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文华T8-macd多空交易量化模型策略源码免费下载

//变量DIFF: =EMA(CLOSE,6) – EMA(CLOSE,13);//短周期与长周期的收盘价的指数平滑移动平均值做差。
DEA:=EMA(DIFF,5);//DIFF的M个周期指数平滑移动平均
MACD:=2*(DIFF-DEA);//DIFF减DEA的2倍画柱状线

LC := REF(CLOSE,1);//前一周期收盘价
RSI1:=SMA(MAX(CLOSE-LC,0),14,1)/SMA(ABS(CLOSE-LC),14,1)*100;
TR : =MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR : =MA(TR,14);//求N个周期内的TR的简单移动平均
// 计算指标
EMAVALUE: = EMA(CLOSE, 50);

// 趋势方向过滤
UPTREND := CLOSE > EMAVALUE;
DOWNTREND: = CLOSE < EMAVALUE;

// 交易条件
LONGCONDITION := L<LV(L,5)&&MACD>LV(MACD,5) AND RSI1 < 35 AND UPTREND;
SHORTCONDITION := H>HV(H,5)&&MACD<HV(MACD,5) AND RSI1 > 65 AND DOWNTREND;//多
LONGCONDITION,BPK;
C>=BKPRICE+3*ATR,SP;
C<=BKPRICE-2*ATR,SP;
//空
SHORTCONDITION,SPK;
C>=SKPRICE+2*ATR,BP;
C<=SKPRICE-3*ATR,BP;
AUTOFILTER;