[MC源码] [策略分享] 三兵连营策略

quant002

相隔一段时间,这次再来介绍一个趋势策略,用大家熟悉的布林通道所组成,**学习参考

策略原理：
模型通过红绿三兵进行形态识别、利用布林通道上下轨确定价格的相对位置、辅以布林中轨均线过滤及设定价格高低点突破作为开仓信号。出场采用之前的移动停利出场方式，可以自己拓展出场模式。

此策略未做任何优化，参数都是默认常用值，自己可以调整，适合商品趋势行情。

策略源码如下：

1. inputs:
   
2.         BollingerPrice( Close ),
   
3.         TestPriceUBand( Close ),
   
4.         TestPriceLBand( Close ),
   
5.         Length( 20 ),
   
6.         NumDevsUp( 2 ),
   
7.         NumDevsDn( -2 ),
   
8.         Displace( 0 ) ,
   
9.         mm(10);
   
10. variables:
    
11.         var0( 0 ),
    
12.         var1( 0 ),
    
13.         var2( 0 ),
    
14.         var3( 0 ) ;
    
15. 
    
16. var0 = AverageFC( BollingerPrice, Length ) ;
    
17. var1 = StandardDev( BollingerPrice, Length, 1 ) ;
    
18. var3 = var0 + NumDevsUp * var1 ;
    
19. var2 = var0 + NumDevsDn * var1 ;
    
20. /////////////////////////////////////////////布林轨道
    
21. 
    
22. condition1=CountIf(close>open,3)>=3;
    
23. condition2=CountIf(close>close[1],3)>=3;
    
24. condition3=CountIf(open>open[1],3)>=3;
    
25. 
    
26. condition4=open>open[1] and open[1]>open[2]and close>close[1] and close[1]>close[2];
    
27. 
    
28. condition10=CountIf(var3>var3[1],5)>=5;
    
29. 
    
30. if condition1 and condition2 and condition3 and condition4
    
31. and marketposition=0 and close>=Average(var0,mm) and condition10 then buy("BK") next bar at Highest(high,3) stop;
    
32. ///////////////////////////////////////判别白三兵加boll轨道过滤进场
    
33. 
    
34. condition5=CountIf(close<open,3)>=3;
    
35. condition6=CountIf(close<close[1],3)>=3;
    
36. condition7=CountIf(open<open[1],3)>=3;
    
37. 
    
38. condition8=close<close[1] and close[1]<close[2] and open<open[1] and open[1]<open[2];
    
39. 
    
40. condition11=CountIf(var3<var3[1],5)>=5;
    
41. 
    
42. if condition5 and condition6 and condition7 and condition8
    
43. and marketposition=0 and close<Average(var0,mm)  and condition11 then sellshort("SK") next bar at lowest(low,3) stop;
    
44. ///////////////////////////////////判别黑三兵加boll过滤进场
    
45. 
    
46. input:stoppoint(10);
    
47. var:longstop(0),barHH(0);
    
48. if barssinceentry=0 then begin
    
49. longstop=minlist(low,low[1])-stoppoint;
    
50. barHH=high;
    
51. end;
    
52. 
    
53. if high>barHH then barHH=high;
    
54. if barssinceentry>0 then begin
    
55. if c>barHH[1] then longstop=minlist(low,low[1])-stoppoint;
    
56. end;
    
57. 
    
58. if marketposition=1 then sell("EL") next bar at longstop stop ;
    
59. input:stoppoint1(10);
    
60. var:longstop1(0),barll(0);
    
61. if barssinceentry=0 then begin
    
62. longstop1=maxlist(high,high[1])+stoppoint;
    
63. barll=low;
    
64. end;
    
65. 
    
66. if low<barll then barll=low;
    
67. if barssinceentry>0 then begin
    
68. if c<barll[1] then longstop1=maxlist(high,high[1])+stoppoint;
    
69. end;
    
70. 
    
71. if marketposition=-1 then buytocover("EX") next bar at longstop1 stop ;
    
72. ////////////////////////////////////////////移动止盈出场

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