肯特纳系统-supermind指标量化策略

指标量化

http://quant.10jqka.com.cn/view/backtest/indexstrategy

AVGLENGTH:=40;
ATRLENGTH:=40;
N:=BARSLAST(DATE<>REF(DATE,1))+1;
LOTS:=ROUND(300000/CLOSE/100)*100;

MA1:=REF(MA((HIGH+LOW+CLOSE)/3,AVGLENGTH),1);
TR:=MAX(H,REF(CLOSE,1))-MIN(LOW,REF(CLOSE,1));

UPPERBAND:=MA1+REF(MA(TR,ATRLENGTH),1);
LOWERBAND:=MA1-REF(MA(TR,ATRLENGTH),1);
ENTRYLONGCOND:=MA1>REF(MA1,1) AND HIGH>=UPPERBAND;
EXITLONGCOND:=LOW<=MA1;
ENTRYSHORTCOND:=MA1<REF(MA1,1) AND LOW<=LOWERBAND;
EXITSHORTCOND:=HIGH>=MA1;

IF (ENTRYLONGCOND AND HOLDING=0){
    BUY(LOTS);
}
IF (EXITLONGCOND AND AVHOLDING>0){
    SELL(AVHOLDING);
}