自适应周期策略（文华版）

自适应周期策略（赢智版)本策略是一种基于自适应周期和布林带交易策略的量化模型。该模型通过动态调整观察周期数来适应市场的波动性变化，并使用布林带指标来确定交易信号。核心观点包括：-**自适应周期调整**：通过计算波动率变化比率来动态调整观察周期数，确保自适应引擎在设定的范围内。-**布林带指标应用**：利用布林带指标的上轨和下轨来确定买入和卖出信号。-**交易信号生成**：根据收盘价与布林带上下轨的关系，生成相应的买入、卖出和平仓信号。###自适应周期调整-**波动率计算**：首先，计算过去30天收盘价的标准差，分别得到当天和昨天的波动率。-**波动率变化比率**：计算波动率的变化比率，即今天波动率与昨天波动率的差除以今天的波动率。-**观察周期数调整**：根据波动率的变化比率调整观察周期数，确保其在设定的上限和下限之间。-**四舍五入处理**：将调整后的观察周期数四舍五入到最近的整数。###布林带指标应用-**布林带上轨和下轨**：使用调整后的观察周期数和设定的布林带触发值，计算布林带的上轨和下轨。-**买入和卖出信号**：-如果收盘价高于布林带上轨，则在下一个交易日以买入点设置买入止损单。-如果收盘价低于布林带下轨，则在下一个交易日以卖出点设置卖出止损单。###交易信号生成-**买入信号**：当收盘价高于布林带上轨时，生成买入信号。-**卖出信号**：当收盘价低于布林带下轨时，生成卖出信号。-**多头平仓信号**：如果市场持仓为多头，则在下一个交易日以多头平仓点设置止损卖出。-**空头平仓信号**：如果市场持仓为空头，则在下一个交易日以空头平仓点设置买入平仓。###多头平仓点与空头平仓点-**多头平仓点**：计算过去观察周期内的收盘价平均值，作为多头平仓点。-**空头平仓点**：同样计算过去观察周期内的收盘价平均值，作为空头平仓点。该策略通过动态调整观察周期数来适应市场的波动性变化，并使用布林带指标来确定交易信号。具体的交易信号包括买入、卖出、多头平仓和空头平仓信号，均基于布林带上下轨和自适应周期数的计算结果。通过这些方法，策略旨在捕捉市场的波动性变化，实现稳健的交易表现。以下是对每行代码的注解：指标解释ceilingAmt:=60;#定义上限金额为60floorAmt:=20;#定义下限金额为20bolBandTrig:=2;#定义一个变量bolBandTrig并赋值为2todayVolatility:=STD(CLOSE,30);#计算收盘价的30日标准差，并将结果赋给todayVolatilityyesterDayVolatility:=STD(REF(CLOSE,1),30);#计算前一日收盘价的30日标准差，并将结果赋给yesterDayVolatility#yesterDayVolatility:=REF(STD(CLOSE,30),1);#注释：因为今天没有收完盘所以，采用今天的数据不准deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolatility;#计算波动率的变化率lookBackDays2:=N*(1+deltaVolatility);#根据某个未定义的变量N和波动率变化率计算一个中间值lookBackDays2lookBackDays1:=INTPART(lookBackDays2);#对lookBackDays2取整，并将结果赋给lookBackDays1lookBackDays0:=MIN(lookBackDays1,ceilingAmt);#取lookBackDays1和ceilingAmt中的较小值，并将结果赋给lookBackDays0lookBackDays:=MAX(lookBackDays0,floorAmt);#取lookBackDays0和floorAmt中的较大值，并将结果赋给lookBackDays#lookBackDays:=VALUEWHEN(lookBackDays1<60ANDlookBackDays1>20,lookBackDays1);#注释：在上下界限之间就选这个值#lookBackDays:=VALUEWHEN(MIN(lookBackDays1,ceilingAmt)=MAX(lookBackDays1,floorAmt),lookBackDays1);MidLine:=MA(CLOSE,lookBackDays);#计算收盘价的lookBackDays日移动平均值，并将结果赋给MidLineBand:=STD(CLOSE,lookBackDays);#计算收盘价的lookBackDays日标准差，并将结果赋给BandupBand:=MidLine+bolBandTrig*Band;#计算上轨线的值dnBand:=MidLine-bolBandTrig*Band;#计算下轨线的值buyPoint:=HHV(REF(HIGH,1),lookBackDays);#计算前一日最高价在lookBackDays周期内的最高值，并将结果赋给buyPointsellPoint:=LLV(REF(LOW,1),lookBackDays);#计算前一日最低价在lookBackDays周期内的最低值，并将结果赋给sellPointlongLiqPoint:=MA(REF(CLOSE,1),lookBackDays);#计算前一日收盘价的lookBackDays日移动平均值，并将结果赋给longLiqPointshortLiqPoint:=MA(REF(CLOSE,1),lookBackDays);#计算前一日收盘价的lookBackDays日移动平均值，并将结果赋给shortLiqPointVERTLINE(CLOSE>upBandANDCROSS(HIGH,buyPoint),COLORRED);#当收盘价大于上轨线且最高价上穿buyPoint时绘制垂直红线VERTLINE(CROSS(longLiqPoint,C),COLORGREEN);#当longLiqPoint上穿当前收盘价时绘制垂直绿线TMP:=OPEN-CLOSE;#计算开盘价与收盘价的差值，并将结果赋给TMPDRAWLINE(TMP>0.00001,HIGH,TMP>0.00001,OPEN,COLORCYAN);#当TMP大于0.00001时，绘制从HIGH到OPEN的青色线DRAWLINE(TMP>0.00001,LOW,TMP>0.00001,CLOSE,COLORCYAN);#当TMP大于0.00001时，绘制从LOW到CLOSE的青色线DRAWLINE(TMP<-0.00001,HIGH,TMP<-0.00001,CLOSE,COLORRED);#当TMP小于-0.00001时，绘制从HIGH到CLOSE的红线DRAWLINE(TMP<-0.00001,LOW,TMP<-0.00001,OPEN,COLORRED);#当TMP小于-0.00001时，绘制从LOW到OPEN的红线DRAWLINE(ABS(TMP)<0.00001,LOW,ABS(TMP)<0.00001,OPEN,COLORWHITE);#当TMP的绝对值小于0.00001时，绘制从LOW到OPEN的白线DRAWLINE(ABS(TMP)<0.00001,HIGH,ABS(TMP)<0.00001,OPEN,COLORWHITE);#当TMP的绝对值小于0.00001时，绘制从HIGH到OPEN的白线STICKLINE(TMP>0,OPEN,CLOSE,COLORCYAN,0);#当TMP大于0时，绘制青色的柱状线STICKLINE(TMP<=0,OPEN,CLOSE,COLORRED,1);#当TMP小于等于0时，绘制红色的柱状线

指标公式代码N:=10;ceilingAmt:=60;floorAmt:=20;bolBandTrig:=2;todayVolatility:=STD(CLOSE,30);yesterDayVolatility:=STD(REF(CLOSE,1),30);//yesterDayVolatility:=REF(STD(CLOSE,30),1);//因为今天没有收完盘所以，采用今天的数据不准：deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays2:=N*(1+deltaVolatility);lookBackDays1:=INTPART(lookBackDays2);//取整lookBackDays0:=MIN(lookBackDays1,ceilingAmt);//比天花板低lookBackDays:=MAX(lookBackDays0,floorAmt);//比地板高//lookBackDays:=VALUEWHEN(lookBackDays1<60ANDlookBackDays1>20,lookBackDays1);//在上下界限之间就选这个值，//lookBackDays:=VALUEWHEN(MIN(lookBackDays1,ceilingAmt)=MAX(lookBackDays1,floorAmt),lookBackDays1);MidLine:=MA(CLOSE,lookBackDays);Band:=STD(CLOSE,lookBackDays);upBand:=MidLine+bolBandTrig*Band;dnBand:=MidLine-bolBandTrig*Band;buyPoint:=HHV(REF(HIGH,1),lookBackDays);sellPoint:=LLV(REF(LOW,1),lookBackDays);longLiqPoint:=MA(REF(CLOSE,1),lookBackDays);shortLiqPoint:=MA(REF(CLOSE,1),lookBackDays);VERTLINE(CLOSE>upBandANDCROSS(HIGH,buyPoint),COLORRED);VERTLINE(CROSS(longLiqPoint,C),COLORGREEN);TMP:=OPEN-CLOSE;DRAWLINE(TMP>0.00001,HIGH,TMP>0.00001,OPEN,COLORCYAN);DRAWLINE(TMP>0.00001,LOW,TMP>0.00001,CLOSE,COLORCYAN);DRAWLINE(TMP<-0.00001,HIGH,TMP<-0.00001,CLOSE,COLORRED);DRAWLINE(TMP<-0.00001,LOW,TMP<-0.00001,OPEN,COLORRED);DRAWLINE(ABS(TMP)<0.00001,LOW,ABS(TMP)<0.00001,OPEN,COLORWHITE);DRAWLINE(ABS(TMP)<0.00001,HIGH,ABS(TMP)<0.00001,OPEN,COLORWHITE);STICKLINE(TMP>0,OPEN,CLOSE,COLORCYAN,0);STICKLINE(TMP<=0,OPEN,CLOSE,COLORRED,1);信号代码注解ceilingAmt:=60;//定义一个参数，表示天花板值，用于限制自适应引擎查看周期数的上限floorAmt:=20;//定义一个参数，表示地板值，用于限制自适应引擎查看周期数的下限bolBandTrig:=2;//定义一个参数，表示布林带触发值，用于计算布林带的上下轨todayVolatility:=STD(CLOSE,30);//计算过去30天收盘价的标准差，并将其存储在变量todayVolatility中yesterDayVolatility:=STD(REF(CLOSE,1),30);//计算过去30天（前一日）收盘价的标准差，并将其存储在变量yesterDayVolatility中deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolatility;//计算波动率的变化比率，并将其存储在变量deltaVolatility中lookBackDays2:=N*(1+deltaVolatility);//计算新的lookBackDays值，其中N是某个未知的常数lookBackDays1:=INTPART(lookBackDays2);//取整//将lookBackDays2值取整，并将其存储在变量lookBackDays1中lookBackDays0:=MIN(lookBackDays1,ceilingAmt);//比天花板低//将lookBackDays1与ceilingAmt进行比较，取较小值，并将其存储在变量lookBackDays0中lookBackDays:=MAX(lookBackDays0,floorAmt);//比地板高//将lookBackDays0与floorAmt进行比较，取较大值，并将其存储在变量lookBackDays中MidLine:=MA(CLOSE,lookBackDays);//计算过去lookBackDays周期内的收盘价移动平均线，并将其存储在变量MidLine中Band:=STD(CLOSE,lookBackDays);//计算过去lookBackDays周期内的收盘价标准差，并将其存储在变量Band中upBand:=MidLine+bolBandTrig*Band;//计算布林带上轨，并将其存储在变量upBand中dnBand:=MidLine-bolBandTrig*Band;//计算布林带下轨，并将其存储在变量dnBand中buyPoint:=HHV(REF(HIGH,1),lookBackDays);//计算过去lookBackDays周期内的最高价，并将其存储在变量buyPoint中sellPoint:=LLV(REF(LOW,1),lookBackDays);//计算过去lookBackDays周期内的最低价，并将其存储在变量sellPoint中longLiqPoint:=MA(REF(CLOSE,1),lookBackDays);//计算过去lookBackDays周期内的收盘价移动平均线，并将其存储在变量longLiqPoint中shortLiqPoint:=MA(REF(CLOSE,1),lookBackDays);//计算过去lookBackDays周期内的收盘价移动平均线，并将其存储在变量shortLiqPoint中CLOSE>upBandANDCROSS(HIGH,buyPoint),BK;//如果收盘价高于布林带上轨，并且高点点位超过或等于buyPoint，则买入CROSS(longLiqPoint,C),SP;//如果多头平仓点（longLiqPoint）超过当前收盘价（C），则平仓策略信号代码ceilingAmt:=60;floorAmt:=20;bolBandTrig:=2;todayVolatility:=STD(CLOSE,30);yesterDayVolatility:=STD(REF(CLOSE,1),30);//yesterDayVolatility:=REF(STD(CLOSE,30),1);//因为今天没有收完盘所以，采用今天的数据不准：deltaVolatility:=(todayVolatility-yesterDayVolatility)/todayVolati