日内交易策略（TBQ版）

日内交易策略（TBQ版）本策略是一个日内交易策略，主要用于捕捉市场的日内波动机会。策略的核心思想是通过对历史数据的分析和实时市场情况的监测，结合多种技术指标和交易规则，来决定是否进行交易以及如何进行交易。交易逻辑思路1.**市场监测**：策略首先通过订阅日线数据，监测市场的开盘价、收盘价、最高价和最低价等关键指标。这些数据用于计算各种技术指标，如平均波动范围、突破百分比等。2.**交易条件判断**：策略设置了多个条件来判断是否应该进行交易。这些条件包括市场是否处于可交易时间、价格是否突破了设定的上下轨、是否有足够的波动空间等。3.**交易执行**：当满足交易条件时，策略会执行买入或卖出操作。买入操作通常在价格突破上轨时进行，卖出操作则在价格突破下轨时进行。4.**止损与止盈**：策略设置了多级止损点，以控制潜在的亏损。同时，也设置了平移止损和跟踪止损，以保护利润并减少回撤。5.**交易限制**：策略还考虑了日内交易的限制，确保在同一天内不会进行过多的交易，避免过度交易带来的风险。6.**交易结束**：策略在日内交易截止时间到达时，无论盈亏都会清仓结束交易，以符合日内交易的规则。策略特点-**灵活性**：策略可以根据不同的市场情况调整参数，如等待期间、交易百分比、突破百分比等，以适应不同的市场环境。-**风险控制**：通过设置多级止损点和平移止损，策略能够有效地控制每笔交易的最大亏损。-**自动化**：策略的自动化程度高，可以在无人值守的情况下自动执行交易逻辑，减少人为干预。-**适应性**：策略能够适应不同的交易品种和市场，通过调整参数可以应用于多种交易场景。-**实时性**：策略能够实时监测市场变化，快速响应市场的波动，抓住交易机会。-**简洁性**：尽管策略包含多个条件和规则，但其核心逻辑清晰，易于理解和维护。-**可扩展性**：策略设计考虑了未来可能的调整和优化，留有足够的空间进行功能扩展和改进。本日内交易策略旨在通过精确的市场分析和严格的风险控制，实现稳健的日内交易收益。它结合了多种交易技巧和原则，旨在捕捉市场的日内波动，同时严格控制风险，确保交易的安全性和盈利性。策略代码:ParamsNumericwait_period_mins(30);//等待期间Numericinit_trades_endtime(0.1430);//跟踪交易时间Numericliq_rev_endtime(0.1200);//反转截止时间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);//日线突破百分比Numericfailed_breakout_prcnt(0.25);//失败突破百分比Numericprot_stop_prcnt1(0.25);//保护止损百分比1Numericprot_stop_prcnt2(0.15);//保护止损百分比2（反转）Numericprot_stop_amt(3);//保护止损偏移Numericbreak_even_prcnt(0.50);//触发平移事件百分比Numericavg_rng_length(10);//平均波动周期Numericavg_oc_length(10);//平均开收周期Numericlots(1);//头寸Numericday_trades_endtime(0.1450);//日内交易截止时间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);//当日交易多单标志Series<Numeric>sellsToday(0);//当日交易空单单标志Series<Numeric>currTrdType(0);Series<Numeric>longLiqPoint(0);Series<Numeric>shortLiqPoint(0);Series<Numeric>yesterdayOCRRange(0);//昨日开盘收盘真实波动Series<Numeric>intraTradeHigh(0);Series<Numeric>intraTradeLow(1999999);Series<Bool>canTrades(False);//今日启动交易标识Series<Bool>buyEasierDay(False);Series<Bool>sellEasierDay(False);NumericMinPoint;//最小变动单位NumericmyOpen;//当天开盘价NumericyesDayClose;//昨日收盘价NumericbefyesCloseToYes;//前日-昨日收盘价NumericlongTrack;//多单跟踪NumericshortTrack;//空单跟踪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;//开仓价格Series<Numeric>myExitPrice;//平仓价格Series<Numeric>preMarketPos(0);//前一次持仓状态，初始0，多=1，空=-1Series<Numeric>trades_time(0.2100);//日内交易时间Series<Numeric>pre_averageRange;Series<Bool>nightsDay(False);//夜盘Series<Bool>daysDay(False);//白盘Series<Bool>daysDayStockIndex(False);//白盘StockindexfuturesSeries<Bool>trades_time_flag(False);//是否在可交易时间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//此处实现事件函数//初始化事件函数，策略运行期间，首先运行且只有一次，应用在订阅数据等操作OnInit(){//订阅日线数据//SubscribeBar(Data0.Symbol,"1d",Data0.BeginDateTime);}//在新bar的第一次执行之前调用一次，参数为新bar的图层数组OnBarOpen(ArrayRef<Integer>indexs){//averageRange取值，回溯上一天的值If(TrueDate(1)<>TrueDate(0)){pre_averageRange=averageRange[1];}}//Bar更新事件函数，参数indexs表示变化的数据源图层ID数组OnBar(ArrayRef<Integer>indexs){myOpen=OpenD(0);//今开//yesDayClose=data1.CloseD(1);//昨日收盘价yesDayClose=CloseD(1);//昨日收盘价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);//日线平均真实波动averageRange=XAverage(Abs(OpenD(1)-CloseD(1)),avg_oc_length*4*12);//日线平均真实波动//yesterdayOCRRange=Abs(data1.OpenD(1)-data1.CloseD(1));//昨波动区间yesterdayOCRRange=Abs(OpenD(1)-CloseD(1));//昨波动区间//averageOCRange=data1.Average(Abs(data1.OpenD(1)-data1.CloseD(1)),avg_oc_length);//日线平均波动averageOCRange=Average(Abs(OpenD(1)-CloseD(1)),avg_oc_length*4*12);//日线平均波动//buyEasierDay=data1.CloseD(2)<=data1.CloseD(1);//趋买日//sellEasierDay=data1.CloseD(2)>data1.CloseD(1);//趋卖日//buyEasierDay=data1.CloseD(1)<=data1.CloseD(2);//趋买日昨收小于等于昨昨收//sellEasierDay=data1.CloseD(1)>data1.CloseD(2);//趋卖日昨收大于昨昨收buyEasierDay=CloseD(2)<=CloseD(1);//趋买日sellEasierDay=CloseD(2)>CloseD(1);//趋卖日//befyesCloseToYes=data1.CloseD(2)-data1.CloseD(1);//前收盘价-昨收befyesCloseToYes=CloseD(2)-CloseD(1);//前收盘价-昨收If(TrueDate(1)<>TrueDate(0)){//判断当日是否可以交易canTrades=False;If(yesterdayOCRRange<trade_prcnt*averageOCRange){canTrades=True;}PlotBool("是否交易",canTrades);Commentary("yesterdayOCRRange="+Text(yesterdayOCRRange));Commentary("averageOCRange="+Text(averageOCRange));//趋买市or趋卖市If(buyEasierDay){PlotString("趋买市","趋买市",High+5*MinPoint);}If(sellEasierDay){PlotString("趋卖市","趋卖市",Low-5*MinPoint);}Commentary("前收-昨收="+Text(befyesCloseToYes));//当日交易限制1多1空buysToday=0;sellsToday=0;//突破昨高/低标志high_flag=False;low_flag=False;//可交易时间确定nightsDay=False;//夜盘初始化daysDay=False;//白盘初始化daysDayStockIndex=False;//白盘初始化Stockindexfuturestrades_time=0.2100;//默认夜盘九点trades_time_flag=False;If(Time==0.2100){nightsDay=True;//夜盘trades_time=0.2100+wait_period_mins/10000;Commentary("夜盘开盘");}ElseIf(Time==0.0900){daysDay=True;//白盘trades_time=0.0900+wait_period_mins/10000;Commentary("白盘开盘");}ElseIf(Time==0.0930){daysDayStockIndex=True;//白盘Stockindexfuturestrades_time=0.0930+wait_period_mins/10000;Commentary("白盘开盘Stockindexfutures");}}//计算可交易时间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);}//常规突破上下轨计算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;}//设定画线类型，如：Enum_Dot,Enum_Line,Enum_Bar,Enum_Cross,默认为属性框中设定//设定画线风格，如：Enum_Solid,Enum_Dash,Enum_Broken,Enum_Dash_Dot,默认为属性框中设定//设定画线线宽，如：Enum_1Pix,Enum_2Pix,Enum_3Pix,Enum_4Pix,Enum_5Pix,Enum_6Pix,Enum_7Pix,默认为属性框中设定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));//如果当日可以交易If(canTrades){If(MarketPosition<>1&&High>=buyBOPoint&&trades_time_flag&&buysToday==0){myEntryPrice=Max(Open,buyBOPoint);Buy(lots,myEntryPrice);buysToday=1;//当日交易限制1多1空Commentary("突破买开buyBOPoint");}If(MarketPosition<>-1&&Low<=sellBOPoint&&trades_time_flag&&sellsToday==0){myEntryPrice=Min(Open,sellBOPoint);SellShort(lots,myEntryPrice);sellsToday=1;//当日交易限制1多1空Commentary("*突破卖开sellBOPoint*");}}Else{Return;}//高低点计算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));//突破昨高标志If(High>yesHigh_up&&!high_flag){high_flag=True;PlotString("high_flag","突破昨高标志",High+MinPoint*25);Commentary("前高="+Text(yesHigh));Commentary("前高标志+"+Text(yesHigh_up));Commentary("前高失败位置-"+Text(yesHigh_dn));}//突破昨高标志If(Low<yesLow_dn&&!low_flag){low_flag=True;PlotString("low_flag","*突破昨低标志*",Low-MinPoint*25);Commentary("*前低="+Text(yesLow));Commentary("*前低标志+"+Text(yesLow_dn));Commentary("*前低失败位置-"+Text(yesLow_up));}//多单处理初始止损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));//贴近真实交易If(longLiqPoint>=yesHigh_dn){//[1]保护止损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","---触发反转信号---",High+MinPoint*35);Commentary("*失败突破反转卖开liq_rev-1*");Return;}Sell(0,myExitPrice);Commentary("[1]保护止损Sell");Return;}//回落昨高标志If(high_flag&&low<=yesHigh_dn){myEntryPrice=yesHigh_dn;myEntryPrice=Min(Open,myEntryPrice);SellShort(lots,myEntryPrice);sellsToday=1;//当日交易限制1多1空Commentary("*失败突破反转卖开sellBOPoint*");PlotString("high_flag","突破昨高后又回落~",High+MinPoint*25);Commentary("前高失败位置-"+Text(yesHigh_dn));}}Else{//回落昨高标志If(high_flag&&low<=yesHigh_dn){myEntryPrice=yesHigh_dn;myEntryPrice=Min(Open,myEntryPrice);SellShort(lots,myEntryPrice);sellsToday=1;//当日交易限制1多1空Commentary("*失败突破反转卖开sellBOPoint*");PlotString("high_flag","突破昨高后又回落~",High+MinPoint*25);Commentary("前高失败位置-"+Text(yesHigh_dn));Return;}//[1]保护止损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","---触发反转信号---",High+MinPoint*35);Commentary("*失败突破反转卖开liq_rev-2*");Return;}Sell(0,myExitPrice);Commentary("[1]保护止损Sell");}}}//空单处理初始止损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]保护止损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","===触发反转信号===",Low-MinPoint*35);Commentary("失败突破反转买开liq_rev-1");Return;}BuyToCover(0,myExitPrice);Commentary("[1]保护止损BuyToCover:"+Text(shortLiqPoint));Return;}//回落昨低标志If(low_flag&&High>=yesLow_up){myEntryPrice=yesLow_up;myEntryPrice=Max(Open,myEntryPrice);Buy(lots,myEntryPrice);buysToday=1;Commentary("失败突破反转买开buy");PlotString("low_flag","*突破昨低后又冲高~",Low-MinPoint*20);Commentary("前低失败位置-"+Text(yesLow_up));Return;}}Else{//回落昨低标志If(low_flag&&High>=yesLow_up){myEntryPrice=yesLow_up;myEntryPrice=Max(Open,myEntryPrice);Buy(lots,myEntryPrice);buysToday=1;Commentary("失败突破反转买开buy");PlotString("low_flag","*突破昨低后又冲高~",Low-MinPoint*20);Commentary("前低失败位置-"+Text(yesLow_up));Return;}//[1]保护止损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","===触发反转信号===",Low-MinPoint*35);Commentary("失败突破反转买开liq_rev-2");Return;}BuyToCover(0,myExitPrice);Commentary("[1]保护止损BuyToCover:"+Text(shortLiqPoint));Return;}}}//多单处理初始止损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]保护止损2Sell");}}//空单处理初始止损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]保护止损2BuyToCover");}}//多单处理平移止损If(MarketPosition==1){If(intraTradeHigh>=myEntryPrice+break_even_prcnt*pre_averageRange){longLiqPoint=myEntryPrice+MinPoint*1;If(High>=intraTradeHigh){PlotString("触发平移条件or创新高","@",High+MinPoint*5);}}If(Low<=longLiqPoint&&BarsSinceEntry>0){myExitPrice=Min(Open,longLiq