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标准差价格通道策略

Author: 扫地僧, Date: 2021-11-04 14:55:23
Tags: 商品期货趋势My语言

数据周期：30分钟左右
支持数字货币现货、数字货币期货
官方网站：www.quantinfo.com

商品期货回测

数字货币回测

主图：上线，公式： UPPERBAND^^AVGVALUE + SHIFTVALUE; 下线，公式： LOWERBAND^^AVGVALUE - SHIFTVALUE;
副图：标准差，公式：STDS:STD(C,10); 标准差，公式：STDL:STD(C,60);

(*backtest
start: 2018-05-01 00:00:00
end: 2018-06-30 00:00:00
period: 1h
exchanges: [{"eid":"Futures_OKCoin","currency":"BTC_USD"}]
args: [["ContractType","this_week",126961]]
*)

TPRICE:=(HIGH+LOW+OPEN+CLOSE)/4;
AVGVALUE:=MA(TPRICE,N);
//求最高价减去最低价，一个周期前的收盘价减去最高价的绝对值，一个周期前的收盘价减去最低价的绝对值，这三个值中的最大值
// Find the maximum of these three values: highest price minus lowest price, the absolute value of (closing price a cycle ago minus the highest price）, the absolute value of （closing price a cycle ago minus the lowest price）

TR:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
SHIFTVALUE:=MA(TR,N);                   // 求N个周期内的TR的简单移动平均
                                        // Find the simple moving average of TR in N cycles
UPPERBAND^^AVGVALUE + SHIFTVALUE;
LOWERBAND^^AVGVALUE - SHIFTVALUE;
STDS:STD(C,10);
STDL:STD(C,60);

BKVOL=0 AND HIGH >= UPPERBAND AND STDS>=STDL,BPK;
SKVOL=0 AND LOW <= LOWERBAND AND  STDS>=STDL,SPK;
BKVOL>0 AND BKHIGH-BKPRICE>=0.2*CLOSE AND C<LOWERBAND,SP;
SKVOL>0 AND SKPRICE-SKLOW>=0.2*CLOSE AND C>UPPERBAND,BP;

//止损
//Stop loss

C>=SKPRICE*(1+STOPRANGE*0.01),BP;
C<=BKPRICE*(1-STOPRANGE*0.01),SP;

AUTOFILTER;

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