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混沌操作法策略

Author: 扫地僧, Date: 2021-11-04 14:58:18
Tags: 商品期货 趋势 My语言

  • 策略名称:混沌操作法策略
  • 支持:商品期货 , 数字货币, 数字货币期货
  • 使用周期:日线

img

  • 主图:

    Y线,公式:Y^^SMA(REF(HL,N3),N4,1);

    YRG最大,公式:MAX_YRG^^MAX(MAX(Y,R),G);

    YRG最小,公式:MIN_YRG^^MIN(MIN(Y,R),G);

    TOP_FRACTAL,公式:TOP_FRACTAL^^VALUEWHEN(H>=MAX_YRG,TOP);

    BOTTOM_FRACTAL,公式:BOTTOM_FRACTAL^^VALUEWHEN(L<=MIN_YRG,BOTTOM);


(*backtest
start: 2021-05-31 00:00:00
end: 2022-05-30 23:59:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*)

N3:=N1+N2;
N4:=N2+N3;

HL:=(H+L)/2;

Y^^SMA(REF(HL,N3),N4,1);
R:=SMA(REF(HL,N2),N3,1);
G:=SMA(REF(HL,N1),N2,1);

TOP_N:=BARSLAST(REF(H,2)=HHV(H,5))+2;
BOTTOM_N:=BARSLAST(REF(L,2)=LLV(L,5))+2;

TOP:=REF(H,TOP_N);
BOTTOM:=REF(L,BOTTOM_N);

MAX_YRG^^MAX(MAX(Y,R),G); 
MIN_YRG^^MIN(MIN(Y,R),G); 

TOP_FRACTAL^^VALUEWHEN(H>=MAX_YRG,TOP);
BOTTOM_FRACTAL^^VALUEWHEN(L<=MIN_YRG,BOTTOM);

BKVOL=0 AND C>=TOP_FRACTAL AND TOP_FRACTAL>MAX_YRG,BPK;
SKVOL=0 AND C<=BOTTOM_FRACTAL AND BOTTOM_FRACTAL<MIN_YRG,SPK;

C<Y,SP(BKVOL);
C>Y,BP(SKVOL);


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