策略名称
CT策略之线性回归斜率策略
策略作者
扫地僧
策略参数
| 参数 | 默认值 | 描述 |
|---|---|---|
| len | 35 | len |
源码 (麦语言)
(*backtest
start: 2015-02-22 00:00:00
end: 2021-11-03 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*)
N:=35;
AMOUNT:=INTPART(MONEYTOT*0.25/(C*UNIT*0.15));
ABOVE^^HHV(H,N);
FOLLOW^^LLV(L,N);
MIDDLE^^(ABOVE+FOLLOW)/2;
AVGMIDDLE^^MA(MIDDLE,N);
AVGMIDDLESLOPE:SLOPE(AVGMIDDLE,N);
AVGMIDDLESLOPE>REF(AVGMIDDLESLOPE,1)&&REF(AVGMIDDLESLOPE,1)>REF(AVGMIDDLESLOPE,2),BPK(AMOUNT);
AVGMIDDLESLOPE<REF(AVGMIDDLESLOPE,1)&&REF(AVGMIDDLESLOPE,1)<REF(AVGMIDDLESLOPE,2),SPK(AMOUNT);
AUTOFILTER;
策略出处
https://www.fmz.cn/strategy/327774
更新时间
2021-11-04 10:00:28