程序化交易策略的进阶设计

1、回繇盘者程序化交易策略的进阶设计蔡云华深圳开拓者科技有限公司1 TRADEBLAZER TECHNOLOGY CO.,LTD wv/内容安排 经典交易策略的设计思路和实现 组合测试和策略评估 套利对冲策略的设计选择什么样的交易策略?顺势还是逆势?长线还是短线?日内还是隔夜?投机还是对冲?TRADEBLAZERTECHNOLOGY CO.,LTDwv/w. trad eblazer, net繇盟好策略简单测试顺势策略单均线、四周规则、布林线、MACDo o o逆势策略 RSI、KDJ、假突破系统。A结果：顺势系统基本都是盈利的系统震荡指标逆势策略很难盈利震荡指标顺势策略也是盈利的系统RSI逆势系统ParamsNumeric Length(14);Numeric OuerBought(70);Numeric 0uerSold(30);Numeric Lots(1);UarsNumericSeries RSIUalue;BeginRSIUalue = myRSI(Length);PlotNunericCRSI.RSIUalue);iF (Marketposition 1 and RSIUal

2、ue1 = Oversold)iF (Marketposition -1 and RSIUalue1 = OuerBought) 三EndTRADEBLAZERTECHNOLOGY CO.,LTDwv/油交易开拓者TRADEBLAZERRSI逆势系统收益曲线016003200480D640DTRADEBLAZERTECHNOLOGY CO.,LTDwv/w. trad eblazer, net繇盟好RSI顺势系统ParamsNumeric Length(14);Numeric OuerBought(55);Numeric 0uerSold(45);Numeric Lots(1);UarsNumericSeries RSIUalue;BeginRSIUalue = mpRSI(Length);PlotNumeric(RSI.RSIUalue);iF (Marketposition 1 and RSIUalue1 = OuerBought)Buy(lots,open);)iF (Marketposition -1 and RSIUalue1 = OuerSold)SellShort(Lot

3、s.open);)EndTRADEBLAZERTECHNOLOGY CO.,LTDwv/700020RSI顺势系统收益曲线TRADEBLAZERTECHNOLOGY CO.,LTDwv/w. trad eblazer, net交易策略设计的几大环节进场条件出场条件出场后的再进场条件其他过滤条件头寸管理例1:单均线包络线交易规则: 以简单移动平均线判断趋势，收盘价在均线之上为多头趋势，在均线之下为空头趋势；A为过滤均线假突破，在均线基础上加减一定百分比形成围绕均线的上下两条通道；A价格盘中突破上轨，进场做多或平空反多；A价格盘中突破下轨，进场做空或平多反空；10TECHNOlSSfCcCLTDwv/瀛歌好包络线的设计方法一：均线百分比MA = AverageFC(Close,Length);UpperBand = MA1 * (1 + FilterPercent * 0.01 );LowerBand = MA1 * (1 - FilterPercent * 0.01 );方法二：均线加ATR的一定比例ATRValue = AvgT rueRange(ATRLength);MA = Ave

4、rageFC(Close,Length);UpperBand = MA1 + ATRValue1 * EnvNumATR;LowerBand = MA1 - ATRValue1 * EnvNumATR;#TRADEBLAZERTECHNOLOGY CO.,LTDwv/繇盟好出场条件设计使用了反向突破止损和跟踪止盈相结合的出场方式;跟踪止盈采用的是盈利峰值价回落A T R的一定比例后触发止损。多头出场部分代码如下:止损价的设置StopLine = LowerBand;if (StopLine 止损的触发lf(Low = StopLine) (MyPrice = StopLine;lf(Open 再进场必须突破跟踪止盈出场前的高点或低点If ( bLongStoped and MarketPosition = 0 and High = UpperBand and High HigherAfterEntry )(MyPrice = Max(UpperBand,HigherAfterEntry);lf(Open MyPrice) MyPrice = Open;Buy(Lots,MyPrice)

5、;bLongStoped = false;Return;)例2：四周规则突破交易规则：A价格突破20周期高点（日线即四周），做多;A价格突破20周期低点，做空；14TRADEBLAZERTECHNOLOGY CO.,LTDwv/w. trad eblazer, net繇盟好进场部分代码计算四周高低价HiBand = highest(high1,Length);LoBand = lowest(low1,Length);突破四周高点进场做多(以多头模型为例)If ( MarketPosition = 0 & high = HiBand)(MyPrice = Max( HiBand, Open);buy(lots,MyPrice);return;)出场部分设计采用更小周期的反向突破作为保护性止损;同时采用跟踪止盈的策略。StopLine = LoBand2;If (StopLine HigherAfterEntry - ATRValue1 * TrailStopNumATR) StopLine = HigherAfterEntry - ATRValue1 * TrailStopNumATR;

6、lf(Low = EntryPrice * (1+BreakEvenStop/1000) StopLine = EntryPrice;/追踪止损的价位超过保本止损价，止损价随盈利峰值价的上升同步提高If (StopLine HigherAfterEntry*(1 -TrailingStop/1000)StopLine = HigherAfterEntry*(1 -T railingStop/1000);Commentary(止损价:”+Text(StopLine);/止损触发lf(Low = StopLine)MyPrice = StopLine;lf(Open MyPrice) MyPrice = Open;Sell(Lots,MyPrice);bLongStoped = True;/止损后设置标志Commentary(Long Position Stoped at H+text(MyPrice);TRADEBLAZERTECHNOLOGY CO.,LTDwv/w. trad eblazer, net繇盟好进出场的更多过滤条件技术指标 K线形态成交量或持仓量背离走势（举例）头寸调整问题的提出:一个正期望的系统能否通过亏损增加头寸的头 寸调整方式改进收益曲线？TRADEBLAZERTECHNOLOGY CO.,LTDwv/测试代码（1）ParamsNumeric FastLength(S);Numeric SlouLength(20);Numeric Lots(1);Numeric ReSetRate(30);Numeric StepSet(1);Numeric MaxLots(IO);Uars短期均线参数/最大加头寸次数HumericSeries NumericSeries HumericSeries NumericSeries HumericSeries NumericSeriesAvgValuel;AugUalu

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