双均线策略优化版本-同花顺supermind指标量化策略

指标量化使用地址：http://quant.10jqka.com.cn/view/backtest/indexstrategy

N:=BARSLAST(DATE<>REF(DATE,1))+1;
LOTS:=ROUND(400000/CLOSE/100)*100;

FASTLENGTH:=8;
SLOWLENGTH:=40;
RISKLENGTH:=2;
PROFITFACTOR1:=2;

MA_FAST:=MA(CLOSE,FASTLENGTH);
MA_SLOW:=MA(CLOSE,SLOWLENGTH);
RANGE1:=HIGH-LOW;

CONDITION1:=CLOSE<=(LOW+0.25*RANGE1);
CONDITION2:=CLOSE>=(HIGH-0.25*RANGE1);
CONDITION11:=CLOSE>=(HIGH-0.25*RANGE1);
CONDITION21:=CLOSE<=(LOW+0.25*RANGE1);

HH:=HHV(HIGH,2);
LL:=LLV(LOW,RISKLENGTH);
LL1:=LLV(LOW,2);
HH1:=HHV(HIGH,RISKLENGTH);

LONGRISK:=REF(LL,1)-0.01;
BUYSIG:=REF(CONDITION1,2)=1 AND REF(CONDITION2,1)=1 AND REF(C,1)>REF(MA_FAST,1) AND REF(C,1)>REF(MA_SLOW,1) AND VOL>0 AND HIGH>=REF(HH,1)+0.01;
SELLSIG:=VOL>0 AND HIGH>BUYPRICE+PROFITFACTOR1*(BUYPRICE-LONGRISK);

IF (BUYSIG AND HOLDING=0){
    BUY(LOTS);
}
IF (SELLSIG AND AVHOLDING>0){
    SELL(AVHOLDING);
}