TB公式高级应用-BOLLppt课件

1、TB公式高级应用公式高级应用黄柳黄柳深圳市拓瑞邦泽科技有限公司Part I:Bollinger Bandit SystemBollinger Bandit Systemu系统名字的字面翻译为【布林强盗】，我们这里简称为BBS；u基于Bollinger Bands(布林通道)的趋势跟踪系统；u根据持仓周期调整跟踪止损。Bollinger Bandit Systemu该系统包含以下四个要素：u布林带u均线uROCu计数器Bollinger Bandit Systemu入场条件：u价格突破布林带上轨即做多；u价格跌破布林带下轨即做空；uROC为正的情况下才能做多；uROC为负的情况下才能做空。Bol

2、linger Bandit Systemu出场条件：u持多仓的情况下，N周期的收盘价小于布林带上轨，即在下个Bar平仓。u持空仓的情况下，N周期的收盘价大于布林带下轨，即在下个Bar平仓。uN的值根据持仓周期变化。刚开仓为50，每持仓Bar，即将N值减1，最小到10。Bollinger Bandit Systemu参数定义：u布林带的周期数50；u布林带标准差的倍数1.25;uROC的周期数30；u跟踪止损算法的周期数50;Bollinger Bandit Systemu参数定义代码：uParamsu Numeric BBLength(50); u Numeric NumsStdDev(1.2

3、5);u Numeric ROCLength(30);u Numeric ExitLength(50);Bollinger Bandit Systemu布林带算法：u定义上轨为UpBand,下轨为DnBand;uUpBand = AverageFC(Close, BBLength) +u StandardDev(Close, BBLength,2)* NumsStdDev;uDnBand = AverageFC(Close, BBLength) -u StandardDev(Close, BBLength,2)* NumsStdDev;u这里使用的样本标准差。Bollinger Bandit

4、Systemu实际交易讯号的产生是根据上一周期的布林带，因为我们将算法中的Close修改为Close1;u也可以将UpBand和DnBand设为序列变量，判断UpBand1的值讯号条件;uUpBand = AverageFC(Close1, BBLength) +u StandardDev(Close1, BBLength,2)* NumsStdDev;uDnBand = AverageFC(Close1, BBLength) -u StandardDev(Close1, BBLength,2)* NumsStdDev;Bollinger Bandit Systemu计算Roc值u定义变量Ro

5、cValueuNumeric RocValue;uRocValue = Close-CloseRocLength;Bollinger Bandit Systemu开多仓条件写法：uIf(MarketPosition1 & RocValue 0)uu If(High=UpBand)u uMyPrice = UpBand;uIf(OpenMyPrice) MyPrice = Open; uBuy(1,MyPrice);u uBollinger Bandit Systemu开空仓条件的写法类似：uIf(MarketPosition-1 & RocValue 0)uu If(Low=D

6、nBand)u uMyPrice = DnBand;uIf(OpenMyPrice) MyPrice = Open; uSellShort(1,MyPrice);u uBollinger Bandit Systemu动态计算跟踪止损的周期数：u先定义一个变量：uNumericSeries exBars;u在公式开始部分添加如下代码:uIf(MarketPosition=0)uuexBars = ExitLength;uelseuuexBars = exBars1 - 1;uBollinger Bandit Systemu根据动态计算的周期数，求出前一周期的均线：uStopAvgClose =

7、Average(Close1,exBars);u持有多仓的情况下，当前价格如果跌破StopAvgClose 即止损。uIf(MarketPosition=1 & Low= StopAvgClose )uuMyPrice = StopAvgClose ;uIf(Open= StopAvgClose )uuMyPrice = StopAvgClose ;uIf(OpenMyPrice) MyPrice = Open; uBuyToCover(1,MyPrice);uBollinger Bandit Systemu对于BBS系统的完善：u我们可以替换Close为其他算法，比如：uTypica

8、l Price = (high + low + close)/3uWeighted Price = (high + low + close + close)/4u增加固定比例止损额，限制单笔交易的最大亏损；u增加连续亏损的控制，由此我们引申出下一部分内容。Part II:Thermostat SystemThermostat Systemu系统名字的字面翻译为【调温器系统】，我们这里简称为TS；u通过一个指标来界定市场形态，根据分类进行不同模式的交易:趋势跟踪和波段交易。u趋势跟踪采取前面所讲的BBS类似方法。u波段交易采取开盘价+ATR突破方式。Thermostat SystemuChopp

9、yMarketIndex，简称CMI，是0-100之间的值，用来量度市场的变动情况。ChoppyMarketIndex = Abs(Close Close29)/u(Highest(High,30) Lowest(Low,30)*100);u本系统设置CMI (High+Low+Close)/3)uu LongShortFlag = 1;uelseuu LongShortFlag = -1;uThermostat SystemuLongShortFlag=1的情况下，第二天做多的突破范围我们会设置较小，做空的突破范围设置较大。uLongShortFlag=-1的情况下，第二天做多的突破范围我们

10、会设置较大，做空的突破范围设置较小。Thermostat Systemuatr10 = AverageTrueRange(10);uavg3Hi = Average(High,3);uavg3Lo = Average(Low,3);uIf(LongShortFlag=1)uu longEntryPoint = Open + atr10 * 0.5;u ShortEntryPoint = Open - atr10 * 0.75;uelseuu longEntryPoint = Open + atr10 * 0.75;u ShortEntryPoint = Open - atr10 * 0.5;uulongEntryPoint = Max(longEntryPoint,avg3Lo);ushortEntryPoint = Min(shortEntryPoint,avg3Hi);Thermostat Systemu波段交易的出场条件:ulongExitPoint = entryPrice - 3 * atr10;uShortExitPoint = entryPrice + 3 * atr10Part III:收盘自动平仓程序收盘自动平仓程序收盘自动平仓程序u该