生成dem两种方法的优势（DualThrust策略设计）
生成dem两种方法的优势（DualThrust策略设计）Vars: HH( 0) HC (0) LC(0) LL( 0); vars: sellrange(0 ) buyrange (0) buytrig(0) selltrig(0 ); Nday (1) lots(1);//交易手数 vars: dayclose(0 ) dayhigh(0 ) daylow (0);
#科技萌新成长营# Dual_Thrust策略程序设计。这个程序我在2018年写过一份，今年5月份对它进行重新设计。
2018年版本的核心代码如下：
inputs:
Mday(1 )
Nday (1)
lots(1);//交易手数
vars: dayclose(0 ) dayhigh(0 ) daylow (0);
vars: sellrange(0 ) buyrange (0) buytrig(0) selltrig(0 );
Vars: HH( 0) HC (0) LC(0) LL( 0);
vars: buyposition(0 ) sellposition (0);
vars: opentoday(0 );
if date <> date[1] then begin
opentoday=open ;
end;
HH=highest (high Mday ) of data2 ;
HC=highest (close Mday ) of data2 ;
LL=lowest (low Mday ) of data2 ;
LC=lowest (close Mday ) of data2 ;
condition11=adx(14) of data2>dvalue of data2;
condition12=adx(14) of data2>kvalue of data2;
condition21=adx(14) >dvalue ;
condition22=adx(14) >kvalue ;
condition15=AverageFC(c ma20len)>AverageFC(c ma60len);
condition16=AverageFC(c ma20len)<AverageFC(c ma60len);
if (HH-LC)>=( HC- LL) then sellrange=HH -LC
else sellrange =HC -LL ;
HH = Highest (High Nday ) of data2 ;
HC = Highest (Close Nday ) of data2 ;
LL = Lowest (Low Nday ) of data2 ;
LC = Lowest (Close Nday ) of data2 ;
If((HH - LC) >= ( HC - LL ))then buyrange = HH - LC
Else buyrange = HC - LL;
buytrig = k1* buyrange;
selltrig = k2* sellrange;
buyposition = opentoday buytrig ;
sellposition = opentoday -selltrig ;
if MarketPosition = 0 then begin
If High >=buyposition and condition11 then
Buy lots shares next bar at buyposition stop ;
If Low <=sellposition and condition12 then
SellShort lots shares next bar at sellposition stop;
end;
end;
以上是源代码的绩效并不是很好，现在对其进行重新加工设计。
对以上代码进行了如下重新设计：
1，对K线进行了重新设计；
2，对ADX指标进行了重新设计；改造后的代码如下：
ADX_map(adx_length) >Average(adx_map(adx_length) adx_length) ;
增加了如下过滤：
1，增加BOLL线做为过滤，这是很常规的过滤方法。
value11=close ;
AveMa=Average(value11 boll_Length);
StdValue = StandardDev(value11 boll_Length 0);
UpperBand=hullma StdDevUp*StdValue;
LowerBand=hullma-StdDevUp*StdValue;
交易的主程序如下：
if value61>hullma_data2 and marketPosition = 0 and condition55 then begin
If C>ma_p and c<ma_p*(1 buy_nn) and c>UpperBand and hullma_var0>SLOP_REG and c cross over buyposition then//High >=buyposition AND
Buy("d1") lots shares next bar at market ;
end;
if value61<hullma_data2 and marketPosition = 0 and data2_hullma_var0<-SLOP_REG and condition55 then begin
If Low <=sellposition AND hullma_var0<-SLOP_REG AND C<ma_p and c>ma_p*(1-buy_nn) and c<LowerBand and c cross under sellposition then SellShort("k1") lots shares next bar at market;
end;
程序改完之后，样本外数据信号如下（下图为2分钟K线周期，副图K线是小时K线）：
图1
看起来信号不错，我看下其曲线及业绩
图2
图3
图4
业绩还行，希望大家能够喜欢。如果喜欢 请关注点赞。
