Strategy Name: SAR and Price High and Low Strategy
Data cycle: 1H, etc.
Strategic Support: Commodity Futures, Digital Currency Spot, Digital Currency Futures
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 | (*backteststart: 2018-01-01 00:00:00end: 2018-12-02 00:00:00period: 1dexchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]args: [["IsCryptoCurrency",2],["ContractType","rb888",126961]]*)LOTS:=IF(IsCryptoCurrency, IF(IsCryptoCurrency=1, CryptoCurrencyTradeAmount, MAX(1, INTPART(CryptoCurrencyTradeAmount))), MAX(1,INTPART(MONEYTOT/(O*UNIT*0.1))));SARLINE:=SAR(4,2,20);B1:=SARLINE>0;S1:=SARLINE<0;B2:=HIGH>=HHV(CLOSE,N);S2:=LOW<=LLV(CLOSE,N);BUYK:=BARPOS>N AND B1 AND B2;SELLK:=BARPOS>N AND S1 AND S2;SELLY:=S1 AND S2 AND BKHIGH>BKPRICE*(1+0.01*SLOSS);BUYY:=B1 AND B2 AND SKLOW<SKPRICE*(1-0.01*SLOSS);SELLS:=C<BKPRICE*(1-SLOSS*0.01);BUYS:=C>SKPRICE*(1+SLOSS*0.01);BUYK,BK(LOTS);SELLK,SK(LOTS);SELLY,SP(BKVOL);BUYY,BP(SKVOL);SELLS,SP(BKVOL);BUYS,BP(SKVOL); |
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Source Code: https://www.fmz.com/strategy/128251
