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价格高低点与一目均线双重趋势策略|Price high and low - Ichimoku trend strategy.md

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策略名称

价格高低点与一目均线双重趋势策略|Price high and low - Ichimoku trend strategy

策略作者

littleDreamXX

策略描述

[trans]

  • 策略名称：价格高低点与一目均线双重趋势策略
  • 数据周期：15M等
  • 支持：商品期货
  • 官方网站：www.quant.la

IMG

  • 主图：

    LINE1指标线，公式：LINE1^^(HHV(H,N1)+LLV(L,N1))*0.5;

    LINE2指标线，公式：LINE2^^(HHV(H,N2)+LLV(L,N2))*0.5;

||

  • Strategy Name: Price high and low - Ichimoku trend strategy

  • Data cycle: 15M, etc.

  • Support: Commodity Futures

    IMG
    IMG
    IMG

  • main chart： LINE1 index line，formula：LINE1^^(HHV(H,N1)+LLV(L,N1))*0.5; LINE2 index line，formula：LINE2^^(HHV(H,N2)+LLV(L,N2))*0.5;

[/trans]

策略参数

参数 默认值 描述
N1 150 高点低点均值1周期
N2 500 高点低点均值2周期
SLOSS 2 止损百分比

源码 (麦语言)

(*backtest
start: 2018-07-01 00:00:00
end: 2018-08-16 00:00:00
period: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["N1",90],["N2",150]]
*)

LINE1^^(HHV(H,N1)+LLV(L,N1))*0.5;
LINE2^^(HHV(H,N2)+LLV(L,N2))*0.5;

BKVOL=0 AND BARPOS>N2 AND REF(LINE1,1)<REF(LINE2,1) AND LINE1>=LINE2,BPK;
SKVOL=0 AND BARPOS>N2 AND REF(LINE1,1)>REF(LINE2,1) AND LINE1<=LINE2,SPK;

BKVOL=0 AND H>=HHV(H,N1),BK;
SKVOL=0 AND L<=LLV(L,N1),SK;

C<BKPRICE*(1-SLOSS*0.01),SP(BKVOL);
C>SKPRICE*(1+SLOSS*0.01),BP(SKVOL);
AUTOFILTER;

策略出处

https://www.fmz.com/strategy/128415

更新时间

2018-12-17 17:16:35