動態(tài)突破策略（TB版）

動態(tài)突破策略（TB版）是一種基于自適應(yīng)布林通道與自適應(yīng)唐奇安通道的交易策略，適用于多空雙向交易，旨在捕捉市場的動態(tài)突破機會。策略的關(guān)鍵要素包括：1.自適應(yīng)參數(shù)調(diào)整：策略根據(jù)市場波動性自動調(diào)整關(guān)鍵參數(shù)，如布林帶的寬度和唐奇安通道的范圍，以適應(yīng)市場當(dāng)前的變化。`ceilingAmt`設(shè)定了自適應(yīng)參數(shù)的上限為60，而`floorAmt`設(shè)定了下限為20，確保參數(shù)調(diào)整在一個合理的范圍內(nèi)。2.市場波動度量：通過計算過去30根K線的標(biāo)準(zhǔn)差(`todayVolatility`)，并與前一日的波動率相比較(`deltaVolatility`)，策略動態(tài)調(diào)整了計算布林帶和唐奇安通道的周期長度(`lookBackDays`)，保證了策略對市場波動性的敏感度，使得策略更靈活。3.入場條件：-多頭入場：當(dāng)沒有持有多頭倉位，且前一個收盤價高于布林通道上軌，同時當(dāng)日最高價突破自適應(yīng)唐奇安通道上軌時，策略將開立多頭頭寸。-空頭入場：與多頭相反，當(dāng)沒有持有空頭倉位，且前一個收盤價低于布林通道下軌，同時當(dāng)日最低價低于自適應(yīng)唐奇安通道下軌時，策略將開立空頭頭寸。4.出場條件：-持有多頭時，如果價格跌至自適應(yīng)出場均線之下，則平倉；或者在持有空頭時，價格上漲至出場均線之上，則平空倉。-另外，對于已有的頭寸，策略還設(shè)有基于市場波動的保護(hù)性止損和平倉機制，比如在持有多頭情況下，如果價格觸及布林通道下軌或達(dá)到特定的虧損水平，或者在持有空頭時價格突破布林通道上軌，也會觸發(fā)平倉操作。5.策略特點：-動態(tài)適應(yīng)性：策略參數(shù)隨市場波動性自動調(diào)整，增強了策略對不同市場條件的適應(yīng)能力。-雙重通道突破：結(jié)合布林通道和唐奇安通道的雙重突破信號，增加了交易信號的可靠性和精確度。-風(fēng)險管理：通過設(shè)置自適應(yīng)出場均線和保護(hù)性止損，有效管理風(fēng)險，確保收益與風(fēng)險的合理平衡。動態(tài)突破策略是一種結(jié)合了技術(shù)分析工具與動態(tài)參數(shù)調(diào)整機制的智能化交易策略，旨在捕捉市場的突破趨勢，同時通過靈活的出場機制保護(hù)資本安全。做多信號代碼:ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2);NumericLots(0);VarsNumericlookBackDays(20);NumericSeriestodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSeriesLiqPoint(0);NumericSeriesMidLine(0);NumericBand(0);NumericSeriesupBand(0);NumericSeriesdnBand(0);BeginIf(!CallAuctionFilter())Return;todayVolatility=StandardDev(Close,30,1);yesterDayVolatility=todayVolatility[1];deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays=lookBackDays*(1+deltaVolatility);lookBackDays=Round(lookBackDays,0);lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);MidLine=Average(Close,lookBackDays);Band=StandardDev(Close,lookBackDays,2);upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;buyPoint=Highest(High,lookBackDays);sellPoint=Lowest(Low,lookBackDays);LiqPoint=MidLine;If(MarketPosition!=1AndClose[1]>upBand[1]AndHigh>=buyPoint[1])Buy(Lots,Max(Open,buyPoint[1]));If(MarketPosition==1AndClose[1]<dnBand[1]AndLow<=sellPoint[1])Sell(0,Min(Open,sellPoint[1]));If(MarketPosition==1AndBarsSinceEntry>=1AndLow<=LiqPoint[1])Sell(0,Min(Open,LiqPoint[1]));End基于自適應(yīng)的布林通道與自適應(yīng)的唐奇安通道的突破系統(tǒng)系統(tǒng)要素:1、自適應(yīng)布林通道2、自適應(yīng)唐奇安通道3、自適應(yīng)出場均線入場條件:1、昨日價格大于布林通道上軌，并且當(dāng)日周期價格大于唐奇安通道上軌，開多單2、昨日價格小于布林通道下軌，并且當(dāng)日周期價格小于唐奇安通道下軌，開空單出場條件:1、持有多單時，價格小于自適應(yīng)出場均線，平多單2、持有空單時，價格大于自適應(yīng)出場均線，平空單做多代碼注解:ParamsNumericceilingAmt(60);//聲明數(shù)值參數(shù)ceilingAmt，初值60，即自適應(yīng)參數(shù)的上限。NumericfloorAmt(20);//聲明數(shù)值參數(shù)floorAmt，初值20，即自適應(yīng)參數(shù)的下限。NumericbolBandTrig(2);//聲明數(shù)值參數(shù)bolBandTrig，初值2，即布林通道參數(shù)。NumericLots(0);//聲明數(shù)值參數(shù)Lots，初值0，即交易手?jǐn)?shù)。VarsNumericlookBackDays(20);//聲明數(shù)值變量lookBackDays，初值20，即自適應(yīng)參數(shù)。NumericSeriestodayVolatility(0);//聲明數(shù)值序列變量todayVolaility，初值0，即當(dāng)日市場波動。NumericyesterDayVolatility(0);//聲明數(shù)值變量yesterDayVolatility，初值0，即昨日市場波動。NumericdeltaVolatility(0);//聲明數(shù)值變量deltaVolatility，初值0，即市場波動的變動率。NumericSeriesbuyPoint(0);//聲明數(shù)值序列變量buyPoint，初值0，即自適應(yīng)唐奇安通道上軌。NumericSeriessellPoint(0);//聲明數(shù)值序列變量sellPoint，初值0，即自適應(yīng)唐奇安通道下軌。NumericSeriesLiqPoint(0);//聲明數(shù)值序列變量LiqPoint，初值0，即自適應(yīng)出場均線。NumericSeriesMidLine(0);//聲明數(shù)值序列變量MidLine，初值0，即布林通道中軌。NumericBand(0);//聲明數(shù)值變量Band，初值0，即標(biāo)準(zhǔn)偏差。NumericSeriesupBand(0);//聲明數(shù)值序列變量upBand，初值0，即布林通道上軌。NumericSeriesdnBand(0);//聲明數(shù)值序列變量dnBand，初值0，即布林通道下軌。BeginIf(!CallAuctionFilter())Return;//集合競價和小節(jié)休息過濾。todayVolatility=StandardDev(Close,30,1);//當(dāng)日市場波動算法，利用求標(biāo)準(zhǔn)差函數(shù)StandardDev，把收盤價周期30，步長1返回去求值，再把值反饋回來賦值給變量todayVolatility。yesterDayVolatility=todayVolatility[1];//昨日市場波動，就前一個變量todayVolatility值。deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;//市場波動的變動率，代入的值就是昨日波動值與今日波動值。lookBackDays=lookBackDays*(1+deltaVolatility);//計算自適應(yīng)變量lookBackDays，先用初值20代入計算，得到的值，再賦值給變量lookBackDays，下個代碼用的就是這個新值。lookBackDays=Round(lookBackDays,0);//這里接觸一個新系統(tǒng)自帶函數(shù)Round，意思為返回某個數(shù)字按指定位數(shù)舍入后的數(shù)字。比如這兩Round(2.15,1)=2.2與Round(2.149,1)=2.1，這個代入上一代碼新值就行，取0位，不取小數(shù)部分，再次求得第三個新的變量lookBackDays值。lookBackDays=Min(lookBackDays,ceilingAmt);//把第三個新值與60對比，取小值，賦值給變量lookBackDays，變成第四個新值。lookBackDays=Max(lookBackDays,floorAmt);//第五個新值，就是利用第四個新值與20對比，取大值。MidLine=Average(Close,lookBackDays);//自適應(yīng)布林通道中軌，把收盤價與第五個新值返回求均值。Band=StandardDev(Close,lookBackDays,2);//這也是求標(biāo)準(zhǔn)差，這回代入的是收盤價，第五個新lookBackDays值，步長2，即求得變量Band值。upBand=MidLine+bolBandTrig*Band;//自適應(yīng)布林通道上軌，也就是把相應(yīng)值代入進(jìn)去求得。dnBand=MidLine-bolBandTrig*Band;//自適應(yīng)布林通道下軌，同理代入值求得。buyPoint=Highest(High,lookBackDays);//自適應(yīng)唐奇安通道上軌，求最高價函數(shù)，即把高價與第五個新lookBackDays值代入求值，即得到buyPoint值。sellPoint=Lowest(Low,lookBackDays);//同上求得自適應(yīng)唐奇安通道下軌。LiqPoint=MidLine;//自適應(yīng)出場均線。If(MarketPosition!=1AndClose[1]>upBand[1]AndHigh>=buyPoint[1])//假如當(dāng)前沒有持多倉，并且前一個收盤價大于布林通道上軌，并且當(dāng)日高價大于唐奇安通道上軌的。Buy(Lots,Max(Open,buyPoint[1]));//開多單，價格就是取開盤價與前一個唐奇安通道上軌值對比的較大值。If(MarketPosition==1AndClose[1]<dnBand[1]AndLow<=sellPoint[1])//持有多單時，昨日價格小于布林通道下軌，并且當(dāng)日價格小于唐奇安通道下軌。Sell(0,Min(Open,sellPoint[1]));//平多單。開盤價與前一唐奇安通道下軌的對比，取較小值平倉。If(MarketPosition==1AndBarsSinceEntry>=1AndLow<=LiqPoint[1])//持有多單時，價格小于自適應(yīng)出場均線。Sell(0,Min(Open,LiqPoint[1]));//平多單，開盤價與前一自適應(yīng)均線值對比，取小值。End做空信號代碼:ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2);NumericLots(0);VarsNumericlookBackDays(20);NumericSeriestodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSeriesLiqPoint(0);NumericSeriesMidLine(0);NumericBand(0);NumericSeriesupBand(0);NumericSeriesdnBand(0);BeginIf(!CallAuctionFilter())Return;todayVolatility=StandardDev(Close,30,1);yesterDayVolatility=todayVolatility[1];deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays=lookBackDays*(1+deltaVolatility);lookBackDays=Round(lookBackDays,0);lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);MidLine=Average(Close,lookBackDays);Band=StandardDev(Close,lookBackDays,2);upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;buyPoint=Highest(High,lookBackDays);sellPoint=Lowest(Low,lookBackDays);LiqPoint=MidLine;If(MarketPosition==-1AndClose[1]>upBand[1]AndHigh>=buyPoint[1])BuyToCover(0,Max(Open,buyPoint[1]));If(MarketPosition!=-1AndClose[1]<dnBand[1]AndLow<=sellPoint[1])SellShort(Lots,Min(Open,sellPoint[1]));If(MarketPosition==-1AndBarsSinceEntry>=1AndHigh>=LiqPoint[1])BuyToCover(0,Max(Open,LiqPoint[1]));End做空代碼注解//定義參數(shù)，設(shè)置初始值。ParamsNumericceilingAmt(60);//自適應(yīng)參數(shù)的上限，設(shè)置為60。NumericfloorAmt(20);//自適應(yīng)參數(shù)的下限，設(shè)置為20。NumericbolBandTrig(2);//布林通道參數(shù)，設(shè)置為2。NumericLots(0);//交易手?jǐn)?shù)，初始值0。//定義變量，初始化為0或布爾值。VarsNumericlookBackDays(20);//自適應(yīng)參數(shù)，初始值20。NumericSeriestodayVolatility(0);//當(dāng)日市場波動，初始值0。NumericyesterDayVolatility(0);//昨日市場波動，初始值0。NumericdeltaVolatility(0);//市場波動的變動率，初始值0。NumericSeriesbuyPoint(0);//自適應(yīng)唐奇安通道上軌，初始值0。NumericSeriessellPoint(0);//自適應(yīng)唐奇安通道下軌，初始值0。NumericSeriesLiqPoint(0);//自適應(yīng)出場均線，初始值0。NumericSeriesMidLine(0);//布林通道中軌，初始值0。NumericBand(0);//標(biāo)準(zhǔn)偏差，初始值0。NumericSeriesupBand(0);//布林通道上軌，初始值0。NumericSeriesdnBand(0);//布林通道下軌，初始值0。//開始策略邏輯。Begin//過濾掉集合競價和小節(jié)休息時間。If(!CallAuctionFilter())Return;//計算當(dāng)日市場波動。todayVolatility=StandardDev(Close,30,1);//昨日市場波動等于前一日的當(dāng)日市場波動。yesterDayVolatility=todayVolatility[1];//計算市場波動的變動率。deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;//根據(jù)市場波動變動率調(diào)整自適應(yīng)參數(shù)。lookBackDays=lookBackDays*(1+deltaVolatility);//將自適應(yīng)參數(shù)四舍五入到整數(shù)。lookBackDays=Round(lookBackDays,0);//確保自適應(yīng)參數(shù)在上下限之間。lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBa