程序化交易在文华平台的实现.pptVIP

程序化交易的五个步骤 1、策略的量化 2、策略的图形化 3、策略的程序化（指令化） 4、策略的验证 5、策略的维护 技术指标 指能够绘出图形但不发出交易指令的公式 STICKLINE(OPENCLOSE,OPEN,CLOSE,COLORCYAN,0); STICKLINE(OPEN=CLOSE,OPEN,CLOSE,COLORRED,0); DRAWLINE(OPENCLOSE,HIGH,OPENCLOSE,LOW,COLORCYAN); DRAWLINE(OPEN=CLOSE,HIGH,OPEN=CLOSE,LOW,COLORRED); GHY:=(CLOSE-LLV(LOW,N))/(HHV(HIGH,N)-LLV(LOW,N))*100; GHY1:SMA(GHY,M1,1); GHY2:SMA(GHY1,M2,1); GHY3:3*GHY1-2*GHY2; RSV:=(CLOSE-LLV(LOW,N))/(HHV(HIGH,N)-LLV(LOW,N))*100; K:SMA(RSV,M1,1); D:SMA(K,M2,1); J:3*K-2*D; 当K上穿D时,K线变红; 当K下穿D时,K线变绿; 一个策略 RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LOW,9))*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1); J:=3*K-2*D; STICKLINE(KD,OPEN,CLOSE,COLORRED,0); STICKLINE(KD,OPEN,CLOSE,COLORCYAN,0); DRAWLINE(KD,HIGH,KD,LOW,COLORRED); DRAWLINE(KD,HIGH,KD,LOW,COLORCYAN); 策略程序化 K线为红色时,持多单; K线为绿色时,持空单; RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LOW,9))*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1); J:=3*K-2*D; KD,BPK; KD,SPK; 新需求(1) 不做隔夜单 RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LOW,9))*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1); J:=3*K-2*D; CROSS(K,D)TIME1458,BK; CROSS(K,D)||TIME=1458,BP; CROSS(D,K)TIME1458,SK; CROSS(D,K)||TIME=1458,SP; 新需求(2) 过滤振荡信号 过滤振荡信号 1、不同类型的指标相互确认 2、利用BARSLAST函数 利用均线的多空，配合指标的过滤 M1:=MA(CLOSE,5); M2:=MA(CLOSE,10); M3:=MA(CLOSE,30); RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LOW,9))*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1); J:=3*K-2*D; KDM1M2M2M3REF(M1,1)REF(M2,1)REF(M2,1)REF(M3,1)REF(M1,2)REF(M2,2)REF(M2,2)REF(M3,2),BPK; KDM1M2M2M3REF(M1,1)REF(M2,1)REF(M2,1)REF(M3,1)REF(M1,2)REF(M2,2)REF(M2,2)REF(M3,2),SPK; EVERY函数简化模型 M1:=MA(CLOSE,5); M2:=MA(CLOSE,10); M3:=MA(CLOSE,30); RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LOW,9))*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1); J:=3*K-2*D; KDEVERY(M1M2M2M3,3),BPK; KDEVERY(M1M2M2M3,3),SPK; 利用BARSLAST函数(WEBSTOCK2008版本) RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LOW,9))*100; K:=SMA(RSV,3,1); D:=SMA(K,3,1); J:=3*K-2*D; CROSS(K,D)BARSLAST(CROSS(K,D))10,BPK; CROSS(D,K)BARSLAST(CROSS(D,K))10,SPK; 利用BARSLAST函数(一键通版本) RSV:=(CLOSE-LLV(LOW,9))/(HHV(HIGH,9)-LLV(LO