案例3自适应布林通道、自适应唐吉安的改进

1、适应布林通道、自适应唐吉安通道的改进文华财经研究部自适应的布林通道与自适应的唐奇安通道的突破系统的基本原理基于自适应的布林通道与自适应的唐奇安通道的突破系统即动态突破2，是价格突破使用N个周期计算得到的布林通道及唐吉安通道的系统。但是N不是固定的值，而是通过市场的波动度来进 行判断以唐奇安系统为例：当最高价上穿突破前N段时间的最高值买进，当最低价下穿突破前N段时间的最小值卖出；如果你优化N参数来获得最好的进出时点，你将发现不同的市场需要有不同的参 数。你还会发现一个特定的市场在不同的循环周期，需要对应不同的参数。TODAYVOLATILITY:=STD(CLOSE,30);YESTERDAYV

2、OLATILITY:=REF(TODAYVOLATILITY,1);计算市场的波动率DELTAVOLATILITY:=(TODAYVOLATILITY- YESTERDAYVOLATILITY)/TODAYVOLATILITY;确定自适应周期N确定极值范围，在最大最小值范围内，通过市场的波动率来进行调节LOOKBACKDAYS:=IF(BARPOS=30,20,REF(LOOKBACKDAYS,1)*(1+DELTAVOLATILITY);LOOKBACKDAYS:=ROUND(LOOKBACKDAYS,0); LOOKBACKDAYS:=MIN(LOOKBACKDAYS,CEILINGAMT

3、); LOOKBACKDAYS:=MAX(LOOKBACKDAYS,FLOORAMT);动态突破系统的基本构架：VARIABLE:LOOKBACKDAYS:=0;CEILINGAMT:=40; FLOORAMT:=20; BOLBANDTRIG:=2;TODAYVOLATILITY:=STD(CLOSE,30); YESTERDAYVOLATILITY:=REF(TODAYVOLATILITY,1); DELTAVOLATILITY:=(TODAYVOLATILITY-YESTERDAYVOLATILITY)/TODAYVOLATILITY;/计算自适应参数LOOKBACKDAYS:=IF(B

4、ARPOSUPBAND&CBUYPOINT,BK; CDNBAND&CUPBAND&CBUYPOINT,BP; CDNBAND&CSELLPOINT,SK;AUTOFILTER;动态突破系统的基本构架：模型存在的突出的问题：1、模型回测太大2、交易测试比较少第一版改进VARIABLE:LOOKBACKDAYS:=0; CEILINGAMT:=40; FLOORAMT:=20; BOLBANDTRIG:=2;TODAYVOLATILITY:=STD(CLOSE,30); YESTERDAYVOLATILITY:=REF(TODAYVOLATILITY,1); DELTAVOLATILITY:=(TODAYVOLATILITY-YESTERDAYVOLATILITY)/TODAYVOLATILITY;/计算自适应参数LOOKBACKDAYS:=IF(BARPOSUPBAND&CBUYPOINT,BK; CDNBAND&CSELLPOINT,SP; EVERY(CUPBAND&CBUYPOIN