策略名称：海龟原型

策略思路：

入场：价格突破50日高点，或者跌破50日低点

出场：多头情况下跌破20日低点或者低于上次入场价格下的N倍ATR

空头情况下突破20日高点或者高于上次入场价格上的N倍ATR

回测曲线：

2017-2-24 11:02:01 上传

下载附件 (69.29 KB)

策略代码：

function  Turtle(len1,len2,len3,N)

targetList  =  traderGetTargetList();

HandleList  =  traderGetHandleList();

global  s;

lens=60;

Plimit=4;

ShareNum=1;

n=length(targetList);

for  j=1:n

[time,open,high,low,close,volume,turnover,openinterest]  =  traderGetKData(targetList(j).Market,targetList(j).Code,'day',1,  0-lens,  0,false,'FWard');

%---------------------策略计算与基本逻辑---------------%

if  length(close)

continue;

end

value1  =  high(end-lens+1:end)  -  low(end-lens+1:end);%  当日最高价减去当日最低价

value2  =  abs(high(end-lens+1:end)-close(end-lens:end-1));%  当日最高价减去前日收盘价的绝对值

value3  =  abs(low(end-lens+1:end)-close(end-lens:end-1));%    当日最低价减去前日收盘价的绝对值

TRlist=max(value1,max(value2,value3));

ATR_len3=mean(TRlist(end-len3+1:end));

%  四条轨道

High_len1=max(high(end-len1:end-1));

Low_len1=min(low(end-len1:end-1));

High_len2=max(high(end-len2:end-1));

Low_len2=min(low(end-len2:end-1));

mp=  traderGetAccountPosition(HandleList,targetList(j).Market,targetList(j).Code);

con1=close(end)>High_len1;

con2=close(end)

con3=close(end)>High_len2;

con4=close(end)

%  进场

if  mp==0

s(j).ShareList=[];

if  con1

OrderID=traderDirectBuy(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');

if  OrderID~=0

s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);

s(j).ShareList(end+1)=ShareNum;

end

elseif  con2

OrderID=traderDirectSell(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');

if  OrderID~=0

s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);

s(j).ShareList(end+1)=ShareNum;

end

end

end

%  加仓

if  mp>0  &&  Plimit>length(s(j).ShareList)  &&  close(end)>=(  s(j).openprice+N*ATR_len3)

OrderID=traderDirectBuy(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','buy');

if  OrderID~=0

s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);

s(j).ShareList(end+1)=ShareNum;

end

end

if  mp<0  &&  Plimit>length(s(j).ShareList)  &&  close(end)<=(s(j).openprice-N*ATR_len3)

OrderID=traderDirectSell(HandleList(1),targetList(j).Market,targetList(j).Code,ShareNum,0,'market','sell');

if  OrderID~=0

s(j).openprice=traderOrderFilledPrice(HandleList(1),OrderID);

s(j).ShareList(end+1)=ShareNum;

end

end

%  出场

if  mp>0

if  con4  ||  close(end)

traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');

end

end

if  mp<0

if  con3  ||  close(end)>(s(j).openprice+N*ATR_len3)

traderPositionTo(HandleList(1),targetList(j).Market,targetList(j).Code,0,0,'market','close');

end

end

end

策略来源：Atrader社区-策略服务