量化交易策略matlab交易方案,Matlab量化交易策略之 GFTD+止损 附源码

策略思路：

GFED模型，趋势跟踪策略，利用K线收盘价的涨跌进行判断，真正交易前，需经历交易启动，到交易信号发出的过程，并且买入和卖出分别当做独立的系统进行计算。当买入计数达到4，做多，当卖出计数达到4，做空。并利用ATR控制止损和加仓。

回测曲线(由Auto-trader提供回测报告)

GFTD+止损.png (218.28 KB, 下载次数: 3)

2017-3-27 16:00 上传

策略源码：

function atdloss(freq)targetList = traderGetTargetList();HandleList = traderGetHandleList();global record;global record1;global record2;global record3;for i=1:length(targetList)    marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);    barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);    len=30;    dlen=31;    [time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'min',freq, 0-len, 0,false,'FWard');    [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-dlen, 0,false,'FWard');    if length(close)close(end-4)        ud=1;    elseif close(end)=record3{i}.bhigh(2)