布林波動率策略（TB版）

布林波動率策略（TB版）一、策略概述該策略基于布林帶（BollingerBands）和市場波動率變化，通過動態(tài)調(diào)整回溯天數(shù)來優(yōu)化交易信號。本策略旨在通過識別市場中的特定交易信號，結(jié)合資金管理原則，實現(xiàn)穩(wěn)定盈利。策略將利用TB軟件的強大功能，對市場數(shù)據(jù)進行實時分析，并根據(jù)預(yù)設(shè)的規(guī)則和條件執(zhí)行交易。二、參數(shù)定義ceilingAmt：上限值，默認為60，限制回溯天數(shù)的最大值。floorAmt：下限值，默認為20，限制回溯天數(shù)的最小值。bolBandTrig：布林帶觸發(fā)系數(shù)，默認為2.00，用于計算布林帶的寬度倍數(shù)。三、變量定義*lookBackDays：回溯天數(shù)，初始為20，根據(jù)波動率變化動態(tài)調(diào)整。*todayVolatility：當(dāng)前波動率，通過30日歷史收盤價計算的標準差。*yesterDayVolatility：昨日波動率，基于前一日的收盤價計算。*deltaVolatility：波動率變化量，反映今日與昨日波動率的差異比例。*upBand、dnBand：上布林帶和下布林帶，根據(jù)中線和帶寬計算。*MidLine：布林帶中線，基于動態(tài)調(diào)整后的回溯天數(shù)計算平均收盤價。*Band：布林帶寬度，基于動態(tài)調(diào)整后的回溯天數(shù)和觸發(fā)系數(shù)計算。*buyPoint、sellPoint：買入觸發(fā)點和賣出觸發(fā)點，分別為過去N日內(nèi)的最高價和最低價。*longLiqPoint、shortLiqPoint：多頭止損點和空頭止損點，基于動態(tài)調(diào)整后的回溯天數(shù)計算平均收盤價。四、策略邏輯波動率計算與回溯天數(shù)調(diào)整計算當(dāng)前和昨日的波動率。根據(jù)波動率變化量動態(tài)調(diào)整回溯天數(shù)，并確保其在上下限之間。布林帶計算根據(jù)調(diào)整后的回溯天數(shù)計算布林帶中線、寬度、上帶和下帶。交易信號生成多頭買入：當(dāng)收盤價高于上布林帶，并且價格上穿買入觸發(fā)點時買入?？疹^賣出：當(dāng)收盤價低于下布林帶，并且價格下穿賣出觸發(fā)點時賣出。多頭止損：持倉多頭時，價格下穿多頭止損點則賣出。空頭止損：持倉空頭時，價格上穿空頭止損點則平倉。注釋輸出在觸發(fā)買入、賣出、多頭止損或空頭止損時，輸出相應(yīng)的觸發(fā)價格和注釋。離場條件-止損設(shè)置：為每筆交易設(shè)置合理的止損點，以控制潛在損失。-收盤離場：若達到止損點或收盤時仍持倉，則執(zhí)行平倉操作。資金管理-倉位控制：根據(jù)賬戶資金量和市場波動情況，合理控制每筆交易的倉位大小。-風(fēng)險分散：避免在同一市場或同一品種上過度集中倉位，以降低整體風(fēng)險。其他條件-交易時間：僅在特定交易時間段內(nèi)執(zhí)行交易，如開盤后一段時間內(nèi)或收盤前一段時間內(nèi)。-市場狀態(tài)：根據(jù)市場整體趨勢、波動率等指標，調(diào)整交易策略的參數(shù)或選擇是否執(zhí)行交易。請注意，策略規(guī)則和條件僅為示例，實際交易策略應(yīng)根據(jù)您的具體需求和風(fēng)險承受能力進行調(diào)整和優(yōu)化。在使用任何交易策略之前，請務(wù)必進行充分的研究和測試，并謹慎評估潛在風(fēng)險。策略代碼解讀://參數(shù)定義ParamsNumericceilingAmt(60);//設(shè)置上限值，默認為60NumericfloorAmt(20);//設(shè)置下限值，默認為20NumericbolBandTrig(2.00);//布林帶觸發(fā)系數(shù)，默認為2.00VarsNumericlookBackDays(20);//回溯天數(shù)，默認為20NumerictodayVolatility(0);//當(dāng)前波動率NumericyesterDayVolatility(0);//昨日波動率NumericdeltaVolatility(0);//波動率變化量NumericSeriesbuyPoint(0);//買入觸發(fā)點NumericSeriessellPoint(0);//賣出觸發(fā)點NumericSerieslongLiqPoint(0);//多頭止損點NumericSeriesshortLiqPoint(0);//空頭止損點NumericupBand(0);//上布林帶NumericdnBand(0);//下布林帶NumericMidLine(0);//中線NumericBand(0);//布林帶寬度Begin//計算當(dāng)前和昨日的波動率todayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);//計算波動率的變化比例deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;//根據(jù)波動率變化調(diào)整回溯天數(shù)lookBackDays=lookBackDays*(1+deltaVolatility);//將回溯天數(shù)四舍五入到最近的整數(shù)lookBackDays=Round(lookBackDays,0);//確?；厮萏鞌?shù)在上限和下限之間lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);//計算布林帶的中線MidLine=AverageFC(Close,lookBackDays);//計算布林帶的寬度Band=StandardDev(Close,lookBackDays,bolBandTrig);//計算上布林帶和下布林帶的位置upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;//計算買入和賣出觸發(fā)點buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);//計算多頭和空頭的止損點longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);//多頭買入邏輯if(Close>upBand){If(CrossOver(high,buyPoint)){//當(dāng)價格上穿最高價且穿越買入觸發(fā)點時買入Buy(1,max(buyPoint,Low));}//輸出買入觸發(fā)點的注釋Commentary("多頭觸發(fā)價:"+Text(buyPoint));}//空頭賣出邏輯if(Close<dnBand){If(CrossUnder(Low,sellPoint)){//當(dāng)價格下穿最低價且穿越賣出觸發(fā)點時賣出SellShort(1,min(sellPoint,High));}//輸出賣出觸發(fā)點的注釋Commentary("空頭觸發(fā)價:"+Text(sellPoint));}//多頭止損邏輯if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint)){//當(dāng)價格下穿多頭止損點時賣出Sell(1,min(longLiqPoint,High));}//輸出多頭止損點的注釋Commentary("多頭退出:"+Text(longLiqPoint));}//空頭止損邏輯if(MarketPosition==-1){If(CrossOver(high,shortLiqPoint)){//當(dāng)價格上穿空頭止損點時平空BuyToCover(1,max(shortLiqPoint,Low));}//輸出空頭止損點的注釋Commentary("空頭退出:"+Text(shortLiqPoint));}End//結(jié)束策略邏輯策略代碼:ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2.00);VarsNumericlookBackDays(20);NumerictodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSerieslongLiqPoint(0);NumericSeriesshortLiqPoint(0);NumericupBand(0);NumericdnBand(0);NumericMidLine(0);NumericBand(0);BegintodayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays=lookBackDays*(1+deltaVolatility);lookBackDays=Round(lookBackDays,0);lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);MidLine=AverageFC(Close,lookBackDays);Band=StandardDev(Close,lookBackDays,bolBandTrig);upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);if(Close>upBand){If(CrossOver(high,buyPoint)){Buy(1,max(buyPoint,Low));}Commentary("多頭觸發(fā)價:"+Text(buyPoint));}if(Close<dnBand){If(CrossUnder(Low,sellPoint)){SellShort(1,min(sellPoint,High));}Commentary("空頭觸發(fā)價:"+Text(sellPoint));}if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint