文华财经程序化交易模型

一些文华财经程序化交易模型分享给大家。

交易开拓者代码：

Params

Numeric lenth(2);

Numeric malen(12);

Numeric ratio2(4.25);

Numeric InitialStop(31); //初始止损（千分之N）

Numeric TrailingStop1(47); //追踪止损启动（千分之N）

Numeric TrailingStop2(15); //追踪止损回落（千分之N）

Numeric tradBegin(915); //开仓时间

Numeric tradEnd(1430); //开仓截止时间

Vars

NumericSeries ATRDD; //ATR吊灯止损

Numeric OffSet(0);

Numeric atr;

Numeric UpperBand;

Numeric lowerBand;

Numeric MinPoint;

NumericSeries HighestAfterEntry;

NumericSeries LowestAfterEntry;

Numeric StopLine;

Numeric MyPrice;

bool timeCondition;

Numeric tmp;

Numeric tmp2;

bool volCondition;

bool longCondition;

bool shortCondition;

Begin

timeCondition=Time>0.0001*tradBegin And Time

//--------------------------------------------------------------

if (BarsSinceEntry == 1)

{

HighestAfterEntry = AvgEntryPrice;

LowestAfterEntry = AvgEntryPrice;

}

Else If(BarsSinceEntry > 1)

{

HighestAfterEntry = Max(HighestAfterEntry[1],High[1]);

LowestAfterEntry = Min(LowestAfterEntry[1],Low[1]);

}

Else

{

HighestAfterEntry = HighestAfterEntry[1];

LowestAfterEntry = LowestAfterEntry[1];

}

// 通道

MinPoint = MinMove*PriceScale;

atr=Average(high[1]-low[1],lenth);

Upperband=Average(open,malen)+atr*ratio2;

LowerBand=Average(open,malen)-atr*ratio2;

//PlotNumeric(“ub”,upperband);

//PlotNumeric(“lb”,lowerband);

//--------------------------------------------------------------

shortCondition=timeCondition and MarketPosition<>-1 && Low<=LowerBand ;

longCondition=timeCondition and MarketPosition<>1 && high>=UpperBand ;

//--------------------------------------------------------------

If(shortCondition)

{

MyPrice = LowerBand-OffSet*MinPoint;

If(Open < LowerBand)

MyPrice = Open-OffSet*MinPoint;

sellshort(0,MyPrice);

Return;

}

//--------------------------------------------------------------

If(longCondition)

{

MyPrice = UpperBand+OffSet*MinPoint;

If(Open > UpperBand)

MyPrice = Open+OffSet*MinPoint;

Buy(0,MyPrice);

Return;

}

//------------------------止损模块--------------------------------------

//止损离场处理

If(MarketPosition==1 && BarsSinceEntry >0)

{

StopLine = EntryPrice * (1-InitialStop/1000); //固定止损

If (HighestAfterEntry >= EntryPrice * (1 + TrailingStop1/1000)) //跟踪止损

{

StopLine = HighestAfterEntry*(1-TrailingStop2/1000);

}

}

If(Low <= StopLine)

{

MyPrice = StopLine;

If(Open < MyPrice) MyPrice = Open;

Sell(0,MyPrice);

}

Else If(MarketPosition ==-1 && BarsSinceEntry >0)

{

StopLine = EntryPrice * (1+InitialStop/1000); //固定止损

If(LowestAfterEntry <= EntryPrice*(1-TrailingStop1/1000)) //跟踪止损

{

StopLine = LowestAfterEntry * (1+TrailingStop2/1000);

}

}

If(High >= StopLine)

{

MyPrice = StopLine;

If(Open > MyPrice) MyPrice =Open;

BuyToCover(0,MyPrice);

}

End

Params

Numeric K1(0.6);

Numeric K2(0.4);

Numeric Mday(5);

Numeric TrailingStart(39);

Numeric TrailingStop(6);

Vars

Numeric v_li1(1);

Bool v_zo1;

Bool v_zo2;

Numeric v_li2;

Numeric v_li4;

Numeric v_li5;

Numeric v_li6;

Numeric v_li7;

Numeric v_li8;

Numeric v_li9;

Numeric v_li10;

Numeric stop;

Numeric MyPrice;

NumericSeries HighestAfterEntry;

NumericSeries LowestAfterEntry;

Numeric Stopline;

BoolSeries bOut;

Begin

if(date>20180501)return;

If(!CallAuctionFilter()) Return;

v_li1=BarsSinceToday() ;

v_li5=Highest(HighD(1),(270/BarInterval * Mday) + v_li1) ;

v_li6=Highest(CloseD(1),(270/BarInterval * Mday) + v_li1) ;

v_li7=Lowest (LowD(1),(270/BarInterval * Mday) + v_li1) ;

v_li1=Lowest (CloseD(1),(270/BarInterval * Mday) + v_li1) ;

v_li7=(v_li6 - v_li7) ;

v_li5=(v_li5 - v_li1) ;

if (v_li5 >= v_li7)

{

v_li10=v_li5;

}

else

{

v_li10=v_li7;

}

If(BarType == 1 And Time == 0.1445)bOut=False;

If(BarType == 1 And Time == 0.1452)bOut=False;

if(Date != Date[1])bOut=False;

v_li5= v_li10 * K1 ;

v_li7= v_li10 * K2 ;

v_li1=OpenD(0) + v_li5 ;

v_li8=OpenD(0) - v_li7 ;

if ((CurrentBar > (270 / BarInterval * Mday)) and (Time > 0.0915))

{

if ((MarketPosition == 0) And !bOut)

{

if ((Close[1] >= v_li1))

{

Buy(0,Max(Open,v_li1) );

Return;

}

if ((Close[1] <= v_li8))

{

SellShort(0,Min(Open,v_li8));

Return;

}

}

}

if ((MarketPosition == -1) and (Close[1] >= v_li1))

{

Buy(0,Max(Open,v_li1));

Return;

}

if ((MarketPosition == 1) and (Close[1] <= v_li8))

{

SellShort(0,Min(Open,v_li8));

Return;

}

if (BarsSinceEntry == 1)

{

HighestAfterEntry = AvgEntryPrice;

LowestAfterEntry = AvgEntryPrice;

}

Else If(BarsSinceEntry > 1)

{

HighestAfterEntry = Max(HighestAfterEntry[1],High[1]);

LowestAfterEntry = Min(LowestAfterEntry[1],Low[1]);

}

Else

{

HighestAfterEntry = HighestAfterEntry[1];

LowestAfterEntry = LowestAfterEntry[1];

}

If( Marketposition == 1 And BarsSinceEntry>0)

{

if(Close[1] <= Entryprice - EntryPrice*TrailingStop/1000)

{

Sell(0, Open);

PlotString(“Mark”,“止损”,Low,White);

}

}

If(Marketposition ==-1 And BarsSinceEntry>0 )

{

if( Close[1] >= Entryprice + EntryPrice*TrailingStop/1000)

{

BuyToCover(0,Open);

PlotString(“Mark”,“止损”,Low,White);

}

}

If(MarketPosition==1 And BarsSinceEntry>0 And HighestAfterEntry>=EntryPrice*(1+TrailingStart/1000))

{

If(Low <= HighestAfterEntry[1]-EntryPrice*TrailingStop/1000)

{

MyPrice = HighestAfterEntry[1]-EntryPrice*TrailingStop/1000;

If(Open < MyPrice) MyPrice = Open;

Sell(0,myprice);

bOut = True;

}

}

If(MarketPosition==-1 And BarsSinceEntry>0 And LowestAfterEntry<=EntryPrice*(1-TrailingStart/1000))

{

If(High >= LowestAfterEntry[1] + EntryPrice*TrailingStop/1000)

{

MyPrice = LowestAfterEntry[1] + EntryPrice*TrailingStop/1000;

If(Open > MyPrice) MyPrice = Open;

BuyToCover(0,MyPrice);

bOut = True;

}

}

End

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