自適應周期策略（文華版）

自適應周期策略（贏智版)本策略是一種基于自適應周期和布林帶交易策略的量化模型。該模型通過動態(tài)調整觀察周期數(shù)來適應市場的波動性變化，并使用布林帶指標來確定交易信號。核心觀點包括：-**自適應周期調整**：通過計算波動率變化比率來動態(tài)調整觀察周期數(shù)，確保自適應引擎在設定的范圍內。-**布林帶指標應用**：利用布林帶指標的上軌和下軌來確定買入和賣出信號。-**交易信號生成**：根據(jù)收盤價與布林帶上下軌的關系，生成相應的買入、賣出和平倉信號。###自適應周期調整-**波動率計算**：首先，計算過去30天收盤價的標準差，分別得到當天和昨天的波動率。-**波動率變化比率**：計算波動率的變化比率，即今天波動率與昨天波動率的差除以今天的波動率。-**觀察周期數(shù)調整**：根據(jù)波動率的變化比率調整觀察周期數(shù)，確保其在設定的上限和下限之間。-**四舍五入處理**：將調整后的觀察周期數(shù)四舍五入到最近的整數(shù)。###布林帶指標應用-**布林帶上軌和下軌**：使用調整后的觀察周期數(shù)和設定的布林帶觸發(fā)值，計算布林帶的上軌和下軌。-**買入和賣出信號**：-如果收盤價高于布林帶上軌，則在下一個交易日以買入點設置買入止損單。-如果收盤價低于布林帶下軌，則在下一個交易日以賣出點設置賣出止損單。###交易信號生成-**買入信號**：當收盤價高于布林帶上軌時，生成買入信號。-**賣出信號**：當收盤價低于布林帶下軌時，生成賣出信號。-**多頭平倉信號**：如果市場持倉為多頭，則在下一個交易日以多頭平倉點設置止損賣出。-**空頭平倉信號**：如果市場持倉為空頭，則在下一個交易日以空頭平倉點設置買入平倉。###多頭平倉點與空頭平倉點-**多頭平倉點**：計算過去觀察周期內的收盤價平均值，作為多頭平倉點。-**空頭平倉點**：同樣計算過去觀察周期內的收盤價平均值，作為空頭平倉點。該策略通過動態(tài)調整觀察周期數(shù)來適應市場的波動性變化，并使用布林帶指標來確定交易信號。具體的交易信號包括買入、賣出、多頭平倉和空頭平倉信號，均基于布林帶上下軌和自適應周期數(shù)的計算結果。通過這些方法，策略旨在捕捉市場的波動性變化，實現(xiàn)穩(wěn)健的交易表現(xiàn)。以下是對每行代碼的注解：指標解釋ceilingAmt:=60;#定義上限金額為60floorAmt:=20;#定義下限金額為20bolBandTrig:=2;#定義一個變量bolBandTrig并賦值為2todayVolatility:=STD(CLOSE,30);#計算收盤價的30日標準差，并將結果賦給todayVolatilityyesterDayVolatility:=STD(REF(CLOSE,1),30);#計算前一日收盤價的30日標準差，并將結果賦給yesterDayVolatility#yesterDayVolatility:=REF(STD(CLOSE,30),1);#注釋：因為今天沒有收完盤所以，采用今天的數(shù)據(jù)不準deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolatility;#計算波動率的變化率lookBackDays2:=N*(1+deltaVolatility);#根據(jù)某個未定義的變量N和波動率變化率計算一個中間值lookBackDays2lookBackDays1:=INTPART(lookBackDays2);#對lookBackDays2取整，并將結果賦給lookBackDays1lookBackDays0:=MIN(lookBackDays1,ceilingAmt);#取lookBackDays1和ceilingAmt中的較小值，并將結果賦給lookBackDays0lookBackDays:=MAX(lookBackDays0,floorAmt);#取lookBackDays0和floorAmt中的較大值，并將結果賦給lookBackDays#lookBackDays:=VALUEWHEN(lookBackDays1<60ANDlookBackDays1>20,lookBackDays1);#注釋：在上下界限之間就選這個值#lookBackDays:=VALUEWHEN(MIN(lookBackDays1,ceilingAmt)=MAX(lookBackDays1,floorAmt),lookBackDays1);MidLine:=MA(CLOSE,lookBackDays);#計算收盤價的lookBackDays日移動平均值，并將結果賦給MidLineBand:=STD(CLOSE,lookBackDays);#計算收盤價的lookBackDays日標準差，并將結果賦給BandupBand:=MidLine+bolBandTrig*Band;#計算上軌線的值dnBand:=MidLine-bolBandTrig*Band;#計算下軌線的值buyPoint:=HHV(REF(HIGH,1),lookBackDays);#計算前一日最高價在lookBackDays周期內的最高值，并將結果賦給buyPointsellPoint:=LLV(REF(LOW,1),lookBackDays);#計算前一日最低價在lookBackDays周期內的最低值，并將結果賦給sellPointlongLiqPoint:=MA(REF(CLOSE,1),lookBackDays);#計算前一日收盤價的lookBackDays日移動平均值，并將結果賦給longLiqPointshortLiqPoint:=MA(REF(CLOSE,1),lookBackDays);#計算前一日收盤價的lookBackDays日移動平均值，并將結果賦給shortLiqPointVERTLINE(CLOSE>upBandANDCROSS(HIGH,buyPoint),COLORRED);#當收盤價大于上軌線且最高價上穿buyPoint時繪制垂直紅線VERTLINE(CROSS(longLiqPoint,C),COLORGREEN);#當longLiqPoint上穿當前收盤價時繪制垂直綠線TMP:=OPEN-CLOSE;#計算開盤價與收盤價的差值，并將結果賦給TMPDRAWLINE(TMP>0.00001,HIGH,TMP>0.00001,OPEN,COLORCYAN);#當TMP大于0.00001時，繪制從HIGH到OPEN的青色線DRAWLINE(TMP>0.00001,LOW,TMP>0.00001,CLOSE,COLORCYAN);#當TMP大于0.00001時，繪制從LOW到CLOSE的青色線DRAWLINE(TMP<-0.00001,HIGH,TMP<-0.00001,CLOSE,COLORRED);#當TMP小于-0.00001時，繪制從HIGH到CLOSE的紅線DRAWLINE(TMP<-0.00001,LOW,TMP<-0.00001,OPEN,COLORRED);#當TMP小于-0.00001時，繪制從LOW到OPEN的紅線DRAWLINE(ABS(TMP)<0.00001,LOW,ABS(TMP)<0.00001,OPEN,COLORWHITE);#當TMP的絕對值小于0.00001時，繪制從LOW到OPEN的白線DRAWLINE(ABS(TMP)<0.00001,HIGH,ABS(TMP)<0.00001,OPEN,COLORWHITE);#當TMP的絕對值小于0.00001時，繪制從HIGH到OPEN的白線STICKLINE(TMP>0,OPEN,CLOSE,COLORCYAN,0);#當TMP大于0時，繪制青色的柱狀線STICKLINE(TMP<=0,OPEN,CLOSE,COLORRED,1);#當TMP小于等于0時，繪制紅色的柱狀線

指標公式代碼N:=10;ceilingAmt:=60;floorAmt:=20;bolBandTrig:=2;todayVolatility:=STD(CLOSE,30);yesterDayVolatility:=STD(REF(CLOSE,1),30);//yesterDayVolatility:=REF(STD(CLOSE,30),1);//因為今天沒有收完盤所以，采用今天的數(shù)據(jù)不準：deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays2:=N*(1+deltaVolatility);lookBackDays1:=INTPART(lookBackDays2);//取整lookBackDays0:=MIN(lookBackDays1,ceilingAmt);//比天花板低lookBackDays:=MAX(lookBackDays0,floorAmt);//比地板高//lookBackDays:=VALUEWHEN(lookBackDays1<60ANDlookBackDays1>20,lookBackDays1);//在上下界限之間就選這個值，//lookBackDays:=VALUEWHEN(MIN(lookBackDays1,ceilingAmt)=MAX(lookBackDays1,floorAmt),lookBackDays1);MidLine:=MA(CLOSE,lookBackDays);Band:=STD(CLOSE,lookBackDays);upBand:=MidLine+bolBandTrig*Band;dnBand:=MidLine-bolBandTrig*Band;buyPoint:=HHV(REF(HIGH,1),lookBackDays);sellPoint:=LLV(REF(LOW,1),lookBackDays);longLiqPoint:=MA(REF(CLOSE,1),lookBackDays);shortLiqPoint:=MA(REF(CLOSE,1),lookBackDays);VERTLINE(CLOSE>upBandANDCROSS(HIGH,buyPoint),COLORRED);VERTLINE(CROSS(longLiqPoint,C),COLORGREEN);TMP:=OPEN-CLOSE;DRAWLINE(TMP>0.00001,HIGH,TMP>0.00001,OPEN,COLORCYAN);DRAWLINE(TMP>0.00001,LOW,TMP>0.00001,CLOSE,COLORCYAN);DRAWLINE(TMP<-0.00001,HIGH,TMP<-0.00001,CLOSE,COLORRED);DRAWLINE(TMP<-0.00001,LOW,TMP<-0.00001,OPEN,COLORRED);DRAWLINE(ABS(TMP)<0.00001,LOW,ABS(TMP)<0.00001,OPEN,COLORWHITE);DRAWLINE(ABS(TMP)<0.00001,HIGH,ABS(TMP)<0.00001,OPEN,COLORWHITE);STICKLINE(TMP>0,OPEN,CLOSE,COLORCYAN,0);STICKLINE(TMP<=0,OPEN,CLOSE,COLORRED,1);信號代碼注解ceilingAmt:=60;//定義一個參數(shù)，表示天花板值，用于限制自適應引擎查看周期數(shù)的上限floorAmt:=20;//定義一個參數(shù)，表示地板值，用于限制自適應引擎查看周期數(shù)的下限bolBandTrig:=2;//定義一個參數(shù)，表示布林帶觸發(fā)值，用于計算布林帶的上下軌todayVolatility:=STD(CLOSE,30);//計算過去30天收盤價的標準差，并將其存儲在變量todayVolatility中yesterDayVolatility:=STD(REF(CLOSE,1),30);//計算過去30天（前一日）收盤價的標準差，并將其存儲在變量yesterDayVolatility中deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolatility;//計算波動率的變化比率，并將其存儲在變量deltaVolatility中l(wèi)ookBackDays2:=N*(1+deltaVolatility);//計算新的lookBackDays值，其中N是某個未知的常數(shù)lookBackDays1:=INTPART(lookBackDays2);//取整//將lookBackDays2值取整，并將其存儲在變量lookBackDays1中l(wèi)ookBackDays0:=MIN(lookBackDays1,ceilingAmt);//比天花板低//將lookBackDays1與ceilingAmt進行比較，取較小值，并將其存儲在變量lookBackDays0中l(wèi)ookBackDays:=MAX(lookBackDays0,floorAmt);//比地板高//將lookBackDays0與floorAmt進行比較，取較大值，并將其存儲在變量lookBackDays中MidLine:=MA(CLOSE,lookBackDays);//計算過去lookBackDays周期內的收盤價移動平均線，并將其存儲在變量MidLine中Band:=STD(CLOSE,lookBackDays);//計算過去lookBackDays周期內的收盤價標準差，并將其存儲在變量Band中upBand:=MidLine+bolBandTrig*Band;//計算布林帶上軌，并將其存儲在變量upBand中dnBand:=MidLine-bolBandTrig*Band;//計算布林帶下軌，并將其存儲在變量dnBand中buyPoint:=HHV(REF(HIGH,1),lookBackDays);//計算過去lookBackDays周期內的最高價，并將其存儲在變量buyPoint中sellPoint:=LLV(REF(LOW,1),lookBackDays);//計算過去lookBackDays周期內的最低價，并將其存儲在變量sellPoint中l(wèi)ongLiqPoint:=MA(REF(CLOSE,1),lookBackDays);//計算過去lookBackDays周期內的收盤價移動平均線，并將其存儲在變量longLiqPoint中shortLiqPoint:=MA(REF(CLOSE,1),lookBackDays);//計算過去lookBackDays周期內的收盤價移動平均線，并將其存儲在變量shortLiqPoint中CLOSE>upBandANDCROSS(HIGH,buyPoint),BK;//如果收盤價高于布林帶上軌，并且高點點位超過或等于buyPoint，則買入CROSS(longLiqPoint,C),SP;//如果多頭平倉點（longLiqPoint）超過當前收盤價（C），則平倉策略信號代碼ceilingAmt:=60;floorAmt:=20;bolBandTrig:=2;todayVolatility:=STD(CLOSE,30);yesterDayVolatility:=STD(REF(CLOSE,1),30);//yesterDayVolatility:=REF(STD(CLOSE,30),1);//因為今天沒有收完盤所以，采用今天的數(shù)據(jù)不準：deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolati