LydBroker AMA程序化交易策略

最新推荐文章于 2024-06-15 09:07:54 发布

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最新推荐文章于 2024-06-15 09:07:54 发布

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文章标签： c# 开发语言

本文链接：https://blog.csdn.net/xmchang312130259/article/details/124996474

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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;

using TradeFunctions;

namespace TradeScript
{
public class UserScript:UserScriptMain
{
int N5 = 15;
int ATRN = 5;
double ATR_KK = 0.5;

    List<double> CC_List;
    List<double> DMAValue;
    List<double> TR1;
   
    int Count = 1;
    
    int DelaySec = 60*5;
    
     //初始化,设置常数...
     public override void Init()
    {
        CC_List  = AutoList();
        DMAValue = AutoList();
        TR1      = AutoList();
    }
    
    //策略运行
    public override void Run()
    {
        uint color = PosColor();

        double DIRECTION5 = ABS(C - REFVALUE(Close,N5));
        if(BarCp>0)
            CC_List[BarCp]=ABS(C-REFVALUE(Close,1));
        else
            CC_List[BarCp]=1;
        
        double VOLATILITY5 = SUM(CC_List,N5);
        double ER5         = DIRECTION5 / VOLATILITY5;
        
        DispMsg("AMA5","a="+DIRECTION5+",b="+VOLATILITY5+",c="+ER5);

        double FASTSC5 = 2.0 / (2 + 1); 

        double SLOWSC5   = 2.0 / (N5 + 1);
        double SSC5      = ER5 * (FASTSC5 - SLOWSC5) + SLOWSC5;
        double CONSTANT5 = SSC5 * SSC5; 

        if(BarStatus==0){
            DMAValue[BarCp]=C;
            }
        else{ 
            DMAValue[BarCp]=CONSTANT5*C+(1-CONSTANT5)*REFVALUE(DMAValue,1);
            }
        double AMA5 = EMA(DMAValue,1);
        
        
        double HH = HHV(High,ATRN);    //选取几日做波动统计
        double LL = LLV(Low,ATRN);

        TR1[BarCp]=(MAX(MAX((HH-LL),ABS(C-HH)),ABS(C-LL)));

        double ATR = EMA(TR1,5);    //平滑下，避免短期波动太大

        double AMA5Up   = AMA5+ATR*ATR_KK;
        double AMA5Down = AMA5-ATR*ATR_KK;
        
        if (C>AMA5Up && Positions <= 0) //当前Bar的最低值大于EMA值，空翻多
        {
            ClearPositionsNextBar(DelaySec);    //清除所持仓位
            BuyNextBar(Count,DelaySec);          //买入开仓
            color = RED;
        }
        else if (C<AMA5Down && Positions >= 0)//当前Bar的最高值小于EMA值，多翻空
        {
            ClearPositionsNextBar(DelaySec);//清除所持仓位
            SellNextBar(Count,DelaySec);     //卖出开仓
            color = GREEN;
        }

        KLine("K线", O, H, L, C);
        Line("AMA5", AMA5, 2, color);
        Line("AMA5Up", AMA5Up, 2, color);
        Line("AMA5Down", AMA5Down, 2, color);           
    }
 }

}