日內交易策略（TBQ版）

日內交易策略（TBQ版）本策略是一個日內交易策略，主要用于捕捉市場的日內波動機會。策略的核心思想是通過對歷史數(shù)據(jù)的分析和實時市場情況的監(jiān)測，結合多種技術指標和交易規(guī)則，來決定是否進行交易以及如何進行交易。交易邏輯思路1.市場監(jiān)測：策略首先通過訂閱日線數(shù)據(jù)，監(jiān)測市場的開盤價、收盤價、最高價和最低價等關鍵指標。這些數(shù)據(jù)用于計算各種技術指標，如平均波動范圍、突破百分比等。2.交易條件判斷：策略設置了多個條件來判斷是否應該進行交易。這些條件包括市場是否處于可交易時間、價格是否突破了設定的上下軌、是否有足夠的波動空間等。3.交易執(zhí)行：當滿足交易條件時，策略會執(zhí)行買入或賣出操作。買入操作通常在價格突破上軌時進行，賣出操作則在價格突破下軌時進行。4.止損與止盈：策略設置了多級止損點，以控制潛在的虧損。同時，也設置了平移止損和跟蹤止損，以保護利潤并減少回撤。5.交易限制：策略還考慮了日內交易的限制，確保在同一天內不會進行過多的交易，避免過度交易帶來的風險。6.交易結束：策略在日內交易截止時間到達時，無論盈虧都會清倉結束交易，以符合日內交易的規(guī)則。策略特點-靈活性：策略可以根據(jù)不同的市場情況調整參數(shù)，如等待期間、交易百分比、突破百分比等，以適應不同的市場環(huán)境。-風險控制：通過設置多級止損點和平移止損，策略能夠有效地控制每筆交易的最大虧損。-自動化：策略的自動化程度高，可以在無人值守的情況下自動執(zhí)行交易邏輯，減少人為干預。-適應性：策略能夠適應不同的交易品種和市場，通過調整參數(shù)可以應用于多種交易場景。-實時性：策略能夠實時監(jiān)測市場變化，快速響應市場的波動，抓住交易機會。-簡潔性：盡管策略包含多個條件和規(guī)則，但其核心邏輯清晰，易于理解和維護。-可擴展性：策略設計考慮了未來可能的調整和優(yōu)化，留有足夠的空間進行功能擴展和改進。本日內交易策略旨在通過精確的市場分析和嚴格的風險控制，實現(xiàn)穩(wěn)健的日內交易收益。它結合了多種交易技巧和原則，旨在捕捉市場的日內波動，同時嚴格控制風險，確保交易的安全性和盈利性。策略代碼:ParamsNumericwait_period_mins(30);//等待期間Numericinit_trades_endtime(0.1430);//跟蹤交易時間Numericliq_rev_endtime(0.1200);//反轉截止時間Numerictrade_prcnt(0.85);//交易百分比Numericthrust_prcnt1(0.30);//突破百分比1Numericthrust_prcnt2(0.60);//突破百分比2Numericbreakout_prcnt(0.25);//日線突破百分比Numericfailed_breakout_prcnt(0.25);//失敗突破百分比Numericprot_stop_prcnt1(0.25);//保護止損百分比1Numericprot_stop_prcnt2(0.15);//保護止損百分比2（反轉）Numericprot_stop_amt(3);//保護止損偏移Numericbreak_even_prcnt(0.50);//觸發(fā)平移事件百分比Numericavg_rng_length(10);//平均波動周期Numericavg_oc_length(10);//平均開收周期Numericlots(1);//頭寸Numericday_trades_endtime(0.1450);//日內交易截止時間VarsSeries<Numeric>averageRange;Series<Numeric>averageOCRange(0);Series<Numeric>buyBOPoint;Series<Numeric>sellBOPoint;Series<Numeric>longBreakPt(0);Series<Numeric>shortBreakPt(0);Series<Numeric>longFBOPoint(0);Series<Numeric>shortFBOPoint(0);Series<Numeric>barCounts(0);Series<Numeric>intraHigh(0);Series<Numeric>intraLow(1999999);Series<Numeric>buysToday(0);//當日交易多單標志Series<Numeric>sellsToday(0);//當日交易空單單標志Series<Numeric>currTrdType(0);Series<Numeric>longLiqPoint(0);Series<Numeric>shortLiqPoint(0);Series<Numeric>yesterdayOCRRange(0);//昨日開盤收盤真實波動Series<Numeric>intraTradeHigh(0);Series<Numeric>intraTradeLow(1999999);Series<Bool>canTrades(False);//今日啟動交易標識Series<Bool>buyEasierDay(False);Series<Bool>sellEasierDay(False);NumericMinPoint;//最小變動單位NumericmyOpen;//當天開盤價NumericyesDayClose;//昨日收盤價NumericbefyesCloseToYes;//前日-昨日收盤價NumericlongTrack;//多單跟蹤NumericshortTrack;//空單跟蹤NumericyesHigh;//昨高NumericyesHigh_up;//昨高+NumericyesHigh_dn;//昨高-NumericyesLow;//昨低NumericyesLow_up;//昨低+NumericyesLow_dn;//昨低-Series<Numeric>myEntryPrice;//開倉價格Series<Numeric>myExitPrice;//平倉價格Series<Numeric>preMarketPos(0);//前一次持倉狀態(tài)，初始0，多=1，空=-1Series<Numeric>trades_time(0.2100);//日內交易時間Series<Numeric>pre_averageRange;Series<Bool>nightsDay(False);//夜盤Series<Bool>daysDay(False);//白盤Series<Bool>daysDayStockIndex(False);//白盤StockindexfuturesSeries<Bool>trades_time_flag(False);//是否在可交易時間Series<Bool>high_flag(False);//是否突破昨高一定幅度Series<Bool>low_flag(False);//是否突破昨低一定幅度Events//此處實現(xiàn)事件函數(shù)//初始化事件函數(shù)，策略運行期間，首先運行且只有一次，應用在訂閱數(shù)據(jù)等操作OnInit(){//訂閱日線數(shù)據(jù)//SubscribeBar(Data0.Symbol,"1d",Data0.BeginDateTime);}//在新bar的第一次執(zhí)行之前調用一次，參數(shù)為新bar的圖層數(shù)組OnBarOpen(ArrayRef<Integer>indexs){//averageRange取值，回溯上一天的值If(TrueDate(1)<>TrueDate(0)){pre_averageRange=averageRange[1];}}//Bar更新事件函數(shù)，參數(shù)indexs表示變化的數(shù)據(jù)源圖層ID數(shù)組OnBar(ArrayRef<Integer>indexs){myOpen=OpenD(0);//今開//yesDayClose=data1.CloseD(1);//昨日收盤價yesDayClose=CloseD(1);//昨日收盤價yesHigh=HighD(1);yesHigh_up=yesHigh+averageRange*breakout_prcnt;yesHigh_dn=yesHigh-averageRange*breakout_prcnt;yesLow=LowD(1);yesLow_up=yesLow+averageRange*breakout_prcnt;yesLow_dn=yesLow-averageRange*breakout_prcnt;MinPoint=MinMove*PriceScale;//averageRange=data1.AvgTrueRange(avg_rng_length);//日線平均真實波動averageRange=XAverage(Abs(OpenD(1)-CloseD(1)),avg_oc_length*4*12);//日線平均真實波動//yesterdayOCRRange=Abs(data1.OpenD(1)-data1.CloseD(1));//昨波動區(qū)間yesterdayOCRRange=Abs(OpenD(1)-CloseD(1));//昨波動區(qū)間//averageOCRange=data1.Average(Abs(data1.OpenD(1)-data1.CloseD(1)),avg_oc_length);//日線平均波動averageOCRange=Average(Abs(OpenD(1)-CloseD(1)),avg_oc_length*4*12);//日線平均波動//buyEasierDay=data1.CloseD(2)<=data1.CloseD(1);//趨買日//sellEasierDay=data1.CloseD(2)>data1.CloseD(1);//趨賣日//buyEasierDay=data1.CloseD(1)<=data1.CloseD(2);//趨買日昨收小于等于昨昨收//sellEasierDay=data1.CloseD(1)>data1.CloseD(2);//趨賣日昨收大于昨昨收buyEasierDay=CloseD(2)<=CloseD(1);//趨買日sellEasierDay=CloseD(2)>CloseD(1);//趨賣日//befyesCloseToYes=data1.CloseD(2)-data1.CloseD(1);//前收盤價-昨收befyesCloseToYes=CloseD(2)-CloseD(1);//前收盤價-昨收If(TrueDate(1)<>TrueDate(0)){//判斷當日是否可以交易canTrades=False;If(yesterdayOCRRange<trade_prcnt*averageOCRange){canTrades=True;}PlotBool("是否交易",canTrades);Commentary("yesterdayOCRRange="+Text(yesterdayOCRRange));Commentary("averageOCRange="+Text(averageOCRange));//趨買市or趨賣市If(buyEasierDay){PlotString("趨買市","趨買市",High+5*MinPoint);}If(sellEasierDay){PlotString("趨賣市","趨賣市",Low-5*MinPoint);}Commentary("前收-昨收="+Text(befyesCloseToYes));//當日交易限制1多1空buysToday=0;sellsToday=0;//突破昨高/低標志high_flag=False;low_flag=False;//可交易時間確定nightsDay=False;//夜盤初始化daysDay=False;//白盤初始化daysDayStockIndex=False;//白盤初始化Stockindexfuturestrades_time=0.2100;//默認夜盤九點trades_time_flag=False;If(Time==0.2100){nightsDay=True;//夜盤trades_time=0.2100+wait_period_mins/10000;Commentary("夜盤開盤");}ElseIf(Time==0.0900){daysDay=True;//白盤trades_time=0.0900+wait_period_mins/10000;Commentary("白盤開盤");}ElseIf(Time==0.0930){daysDayStockIndex=True;//白盤Stockindexfuturestrades_time=0.0930+wait_period_mins/10000;Commentary("白盤開盤Stockindexfutures");}}//計算可交易時間If(nightsDay){trades_time_flag=(Time>=trades_time&&Time<=0.2400)Or(Time>=0.0000&&Time<=0.0300)Or(Time>=0.0900&&Time<day_trades_endtime);}ElseIf(daysDay){trades_time_flag=(Time>=trades_time&&Time<day_trades_endtime);}ElseIf(daysDayStockIndex){trades_time_flag=(Time>=trades_time&&Time<day_trades_endtime);}//常規(guī)突破上下軌計算If(buyEasierDay){buyBOPoint=myOpen+thrust_prcnt1*pre_averageRange;sellBOPoint=myOpen-thrust_prcnt2*pre_averageRange;}ElseIf(sellEasierDay){sellBOPoint=myOpen-thrust_prcnt1*pre_averageRange;buyBOPoint=myOpen+thrust_prcnt2*pre_averageRange;}//設定畫線類型，如：Enum_Dot,Enum_Line,Enum_Bar,Enum_Cross,默認為屬性框中設定//設定畫線風格，如：Enum_Solid,Enum_Dash,Enum_Broken,Enum_Dash_Dot,默認為屬性框中設定//設定畫線線寬，如：Enum_1Pix,Enum_2Pix,Enum_3Pix,Enum_4Pix,Enum_5Pix,Enum_6Pix,Enum_7Pix,默認為屬性框中設定PlotAuto("myOpen",myOpen,0,White,Enum_Line,Enum_Dash,Enum_1Pix);PlotNumeric("buyBOPoint",buyBOPoint,0,Green);PlotNumeric("sellBOPoint",sellBOPoint,0,Red);//Commentary("myOpen="+Text(myOpen));//Commentary("Time="+Text(Time));//Commentary("trades_time="+Text(trades_time));//Commentary("buyBOPoint="+Text(buyBOPoint));//Commentary("sellBOPoint="+Text(sellBOPoint));//Commentary("averageRange="+Text(averageRange));//Commentary("pre_averageRange="+Text(pre_averageRange));//如果當日可以交易If(canTrades){If(MarketPosition<>1&&High>=buyBOPoint&&trades_time_flag&&buysToday==0){myEntryPrice=Max(Open,buyBOPoint);Buy(lots,myEntryPrice);buysToday=1;//當日交易限制1多1空Commentary("突破買開buyBOPoint");}If(MarketPosition<>-1&&Low<=sellBOPoint&&trades_time_flag&&sellsToday==0){myEntryPrice=Min(Open,sellBOPoint);SellShort(lots,myEntryPrice);sellsToday=1;//當日交易限制1多1空Commentary("*突破賣開sellBOPoint*");}}Else{Return;}//高低點計算If(MarketPosition==0){intraTradeHigh=0;intraTradeLow=1999999;}ElseIf(MarketPosition==1){intraTradeHigh=Max(intraTradeHigh,High);}ElseIf(MarketPosition==-1){intraTradeLow=Min(intraTradeLow,Low);}Commentary("intraTradeHigh="+Text(intraTradeHigh));Commentary("intraTradeLow="+Text(intraTradeLow));//突破昨高標志If(High>yesHigh_up&&!high_flag){high_flag=True;PlotString("high_flag","突破昨高標志",High+MinPoint*25);Commentary("前高="+Text(yesHigh));Commentary("前高標志+"+Text(yesHigh_up));Commentary("前高失敗位置-"+Text(yesHigh_dn));}//突破昨高標志If(Low<yesLow_dn&&!low_flag){low_flag=True;PlotString("low_flag","*突破昨低標志*",Low-MinPoint*25);Commentary("*前低="+Text(yesLow));Commentary("*前低標志+"+Text(yesLow_dn));Commentary("*前低失敗位置-"+Text(yesLow_up));}//多單處理初始止損1If(MarketPosition==1&&sellsToday==0&&BarsSinceEntry>0){longLiqPoint=myEntryPrice-prot_stop_prcnt1*pre_averageRange;longLiqPoint=Min(longLiqPoint,myEntryPrice-prot_stop_amt*MinPoint);Commentary("longLiqPoint="+Text(longLiqPoint));//貼近真實交易If(longLiqPoint>=yesHigh_dn){//[1]保護止損If(Low<=longLiqPoint){myExitPrice=Min(Open,longLiqPoint);If(BarsSinceEntry>4&&Time<=liq_rev_endtime){myEntryPrice=longLiqPoint;myEntryPrice=Min(Open,myEntryPrice);SellShort(lots,myEntryPrice);sellsToday=1;PlotString("liq_rev","---觸發(fā)反轉信號---",High+MinPoint*35);Commentary("*失敗突破反轉賣開liq_rev-1*");Return;}Sell(0,myExitPrice);Commentary("[1]保護止損Sell");Return;}//回落昨高標志If(high_flag&&low<=yesHigh_dn){myEntryPrice=yesHigh_dn;myEntryPrice=Min(Open,myEntryPrice);SellShort(lots,myEntryPrice);sellsToday=1;//當日交易限制1多1空Commentary("*失敗突破反轉賣開sellBOPoint*");PlotString("high_flag","突破昨高后又回落~",High+MinPoint*25);Commentary("前高失敗位置-"+Text(yesHigh_dn));}}Else{//回落昨高標志If(high_flag&&low<=yesHigh_dn){myEntryPrice=yesHigh_dn;myEntryPrice=Min(Open,myEntryPrice);SellShort(lots,myEntryPrice);sellsToday=1;//當日交易限制1多1空Commentary("*失敗突破反轉賣開sellBOPoint*");PlotString("high_flag","突破昨高后又回落~",High+MinPoint*25);Commentary("前高失敗位置-"+Text(yesHigh_dn));Return;}//[1]保護止損If(Low<=longLiqPoint){myExitPrice=Min(Open,longLiqPoint);If(BarsSinceEntry>4&&Time<=liq_rev_endtime){myEntryPrice=longLiqPoint;myEntryPrice=Min(Open,myEntryPrice);SellShort(lots,myEntryPrice);sellsToday=1;PlotString("liq_rev","---觸發(fā)反轉信號---",High+MinPoint*35);Commentary("*失敗突破反轉賣開liq_rev-2*");Return;}Sell(0,myExitPrice);Commentary("[1]保護止損Sell");}}}//空單處理初始止損1If(MarketPosition==-1&&buysToday==0&&BarsSinceEntry>0){shortLiqPoint=myEntryPrice+prot_stop_prcnt1*pre_averageRange;shortLiqPoint=Max(shortLiqPoint,myEntryPrice+prot_stop_amt*MinPoint);Commentary("shortLiqPoint="+Text(shortLiqPoint));If(shortLiqPoint<=yesLow_up){//[1]保護止損BuyToCoverIf(High>=shortLiqPoint){myExitPrice=Max(Open,shortLiqPoint);If(BarsSinceEntry>4&&Time<=liq_rev_endtime){myEntryPrice=shortLiqPoint;myEntryPrice=Max(Open,myEntryPrice);Buy(lots,myEntryPrice);buysToday=1;PlotString("liq_rev","===觸發(fā)反轉信號===",Low-MinPoint*35);Commentary("失敗突破反轉買開liq_rev-1");Return;}BuyToCover(0,myExitPrice);Commentary("[1]保護止損BuyToCover:"+Text(shortLiqPoint));Return;}//回落昨低標志If(low_flag&&High>=yesLow_up){myEntryPrice=yesLow_up;myEntryPrice=Max(Open,myEntryPrice);Buy(lots,myEntryPrice);buysToday=1;Commentary("失敗突破反轉買開buy");PlotString("low_flag","*突破昨低后又沖高~",Low-MinPoint*20);Commentary("前低失敗位置-"+Text(yesLow_up));Return;}}Else{//回落昨低標志If(low_flag&&High>=yesLow_up){myEntryPrice=yesLow_up;myEntryPrice=Max(Open,myEntryPrice);Buy(lots,myEntryPrice);buysToday=1;Commentary("失敗突破反轉買開buy");PlotString("low_flag","*突破昨低后又沖高~",Low-MinPoint*20);Commentary("前低失敗位置-"+Text(yesLow_up));Return;}//[1]保護止損BuyToCoverIf(High>=shortLiqPoint){myExitPrice=Max(Open,shortLiqPoint);If(BarsSinceEntry>4&&Time<=liq_rev_endtime){myEntryPrice=shortLiqPoint;myEntryPrice=Max(Open,myEntryPrice);Buy(lots,myEntryPrice);buysToday=1;PlotString("liq_rev","===觸發(fā)反轉信號===",Low-MinPoint*35);Commentary("失敗突破反轉買開liq_rev-2");Return;}BuyToCover(0,myExitPrice);Commentary("[1]保護止損BuyToCover:"+Text(shortLiqPoint));Return;}}}//多單處理初始止損2If(MarketPosition==1&&sellsToday==1){longLiqPoint=myEntryPrice-prot_stop_prcnt2*pre_averageRange;longLiqPoint=Min(longLiqPoint,myEntryPrice-prot_stop_amt*MinPoint);If(Low<=longLiqPoint&&BarsSinceEntry>0){myExitPrice=Min(Open,longLiqPoint);Sell(0,myExitPrice);Commentary("[1]保護止損2Sell");}}//空單處理初始止損2If(MarketPosition==-1&&buysToday==1){shortLiqPoint=myEntryPrice+prot_stop_prcnt2*pre_averageRange;shortLiqPoint=Max(shortLiqPoint,myEntryPrice+prot_stop_amt*MinPoint);If(High>=shortLiqPoint&&BarsSinceEntry>0){myExitPrice=Max(Open,shortLiqPoint);BuyToCover(0,myExitPrice);Commentary("[1]保護止損2BuyToCover");}}//多單處理平移止損If(MarketPosition==1){If(intraTradeHigh>=myEntryPrice+break_even_prcnt*pre_averageRange){longLiqPoint=myEntryPrice+MinPoint*1;If(High>=intraTradeHigh){PlotString("觸發(fā)平移條件or創(chuàng)新高","@",High+MinPoint*5);}}If(Low<=longLiqPoint&&BarsSinceEntry>0){myExitPrice=Min(Open,longLiqPoint