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三均线顺势价格突破策略|Three-MA Price Breakthrough Strategy.md

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策略名称

三均线顺势价格突破策略|Three-MA Price Breakthrough Strategy

策略作者

littleDreamXX

策略描述

[trans]

  • 公式名称：三均线顺势价格突破策略
  • 数据周期：多周期
  • 数据合约：指数合约
  • 交易合约：主力合约
  • 适合品种：商品期货
  • 官方网站：www.quantinfo.com

IMG

||

  • Data cycle: multiple cycles

  • Data contract: index contract

  • Trading contract: main contract

  • Suitable for: commodity futures

    IMG

[/trans]

策略参数

参数 默认值 描述
SLOSS 2 止损百分比
N1 30 均线1参数
N2 60 均线2参数
N3 90 均线3参数

源码 (麦语言)

(*backtest
start: 2018-01-01 00:00:00
end: 2018-02-28 00:00:00
period: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES","balance":20000}]
*)

LOTS:=MAX(1,INTPART(MONEYTOT/(O*UNIT*0.1)));

MA1^^MA(C,N1);
MA2^^MA(C,N2);
MA3^^MA(C,N3);

BUYK:=BARPOS>N3 AND BKVOL=0 AND MA1>MA2 AND MA2>MA3 AND C>MA1;
SELLK:=BARPOS>N3 AND SKVOL=0 AND MA1<MA2 AND MA2<MA3 AND C<MA1;
BUYP:=SKVOL>0 AND CROSS(C,MA2) AND C>MA1 AND C<=SKPRICE*(1-2*SLOSS*0.01);
SELLP:=BKVOL>0 AND CROSS(MA2,C) AND MA1>C AND C>=BKPRICE*(1+2*SLOSS*0.01);

BUYK,BK(LOTS);
SELLK,SK(LOTS);

// 止盈
// take profit
BUYP,BP(SKVOL);
SELLP,SP(BKVOL);

// 止损
// stop loss
C>=SKPRICE*(1+SLOSS*0.01),BP(SKVOL);
C<=BKPRICE*(1-SLOSS*0.01),SP(BKVOL);

策略出处

https://www.fmz.com/strategy/128130

更新时间

2018-12-17 12:23:47