策略思路：

GFED模型，趋势跟踪策略，利用K线收盘价的涨跌进行判断，真正交易前，需经历交易启动，到交易信号发出的过程，并且买入和卖出分别当做独立的系统进行计算。当买入计数达到4，做多，当卖出计数达到4，做空。并利用ATR控制止损和加仓。

回测曲线(由Auto-trader提供回测报告)

GFTD+止损.png (218.28 KB, 下载次数: 3)

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策略源码：

function atdloss(freq)targetList = traderGetTargetList();HandleList = traderGetHandleList();global record;global record1;global record2;global record3;for i=1:length(targetList)    marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);    barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);    len=30;    dlen=31;    [time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'min',freq, 0-len, 0,false,'FWard');    [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-dlen, 0,false,'FWard');    if length(close)close(end-4)        ud=1;    elseif close(end)=record3{i}.bhigh(2)&&high(end)>record3{i}.bhigh(1)&&close(end)>record3{i}.bclose(1)            record3{i}.bcou=record3{i}.bcou+1;        end    elseif record3{i}.b>1&&record3{i}.bcou<4        record3{i}.bcou=0;        record3{i}.b=0;    end    %卖出交叉计数    if record3{i}.s==1        if close(end)<=record3{i}.slow(2)&&low(end)>record3{i}.slow(1)&&close(end)>record3{i}.sclose(1)            record3{i}.scou=record3{i}.scou+1;        end    elseif record3{i}.s>1&&record3{i}.scou<4        record3{i}.scou=0;        record3{i}.s=0;    end    %判断买入启动是否达成    if record3{i}.bcou==4        con1=1;        record3{i}.b=0;        record3{i}.bcou=0;        record3{i}.bclose=[];        record3{i}.bhigh=[];        record3{i}.blow=[];    else con1=0;    end    if record3{i}.scou==4        con2=1;        record3{i}.s=0;        record3{i}.scou=0;        record3{i}.sclose=[];        record3{i}.shigh=[];        record3{i}.slow=[];    else con2=0;    end    %------------------止损线    ATR=ATR(Dhigh,Dlow,Dclose,20);    %-------------------------------满仓上移--------------%    if record1{i}.m>3        if close(end)>record1{i}.entryp+2*ATR(end)&&(marketposition>0)            record1{i}.entryp= record1{i}.entryp+2*ATR(end);        elseif close(end)0&&record1{i}.m~=0        if close(end)record1{i}.entryp+0.5*ATR(end)            order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');            if order~=0                record1{i}.m=0;                record1{i}.entryp=close(end);                record1{i}.entrybar=0;            end        end    end            sharenum=5;    %---------------入场-------------%    if con1&&(record1{i}.m==0)&&(marketposition==0)        order=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多        if order~=0            record1{i}.m= record1{i}.m+1;            record1{i}.entryp=close(end);            record1{i}.entrybar=barnum;        end    end        if con2&&(record1{i}.m==0)&&(marketposition==0)        order=traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多        if order~=0            record1{i}.m= record1{i}.m+1;            record1{i}.entryp=close(end);            record1{i}.entrybar=barnum;        end    end        %----------------------------加仓----------------------%    if  close(end)>record1{i}.entryp+2*ATR(end)&&(record1{i}.m<=3)&&(marketposition>0)        order=traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,sharenum,0,'market','buy'); %%%%做多        if order~=0            record1{i}.m= record1{i}.m+1;            record1{i}.entryp=close(end);            record1{i}.entrybar=barnum;        end    end        if  close(end)

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GFTD+止损.png

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2017-3-27 16:00 上传

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GFTD+止损.png

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2017-3-27 15:59 上传

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