錢德動(dòng)量策略（TB版）VIP

錢德動(dòng)量策略（TB版）一種基于錢德動(dòng)量擺動(dòng)指標(biāo)（ChandeMomentumOscillator,CMO）的交易策略。錢德動(dòng)量擺動(dòng)指標(biāo)(CMO)是由圖莎爾·錢德發(fā)明的，與其他動(dòng)量指標(biāo)擺動(dòng)指標(biāo)如相對(duì)強(qiáng)弱指標(biāo)（RSI）和隨機(jī)指標(biāo)（KDJ）不同，錢德動(dòng)量指標(biāo)在計(jì)算公式的分子中采用上漲日和下跌日的數(shù)據(jù)。錢德動(dòng)量擺動(dòng)指標(biāo)計(jì)算公式CMO=（Su-Sd)*100/(Su+Sd)其中：Su是今日收盤價(jià)與昨日收盤價(jià)（上漲日）差值加總。若當(dāng)日下跌，則增加值為0；Sd是今日收盤價(jià)與做日收盤價(jià)（下跌日）差值的絕對(duì)值加總。若當(dāng)日上漲，則增加值為0；錢德動(dòng)量擺動(dòng)指標(biāo)用法1、當(dāng)CMO大于50時(shí)，處于超買狀態(tài)；當(dāng)CMO小于50時(shí)處于超賣狀態(tài)。2、CMO的絕對(duì)值日越高，趨勢(shì)越強(qiáng)。較低的CMO絕對(duì)值（0附近）標(biāo)示標(biāo)的證券在水平方向波動(dòng)。3、投資者還可利用CMO衡量趨勢(shì)強(qiáng)度的能力來改進(jìn)趨勢(shì)跟蹤機(jī)制。例如當(dāng)CMO的絕對(duì)值較高時(shí)僅根據(jù)趨勢(shì)跟蹤指標(biāo)來操作；當(dāng)COM的絕對(duì)值較低時(shí)轉(zhuǎn)而采用交易范圍指標(biāo)。策略的主要邏輯：策略參數(shù)定義-`Length(20)`：CMO指標(biāo)的計(jì)算周期，默認(rèn)為20天。-`DslowLength(200)`：長(zhǎng)期平滑移動(dòng)平均線的周期，默認(rèn)為200天。-`TakeProfitSet(120)`：盈利目標(biāo)點(diǎn)數(shù)，默認(rèn)為120點(diǎn)。-`StopLossSet(30)`：止損點(diǎn)數(shù)，默認(rèn)為30點(diǎn)。變量定義-`CMOValue`：計(jì)算的錢德動(dòng)量擺動(dòng)指標(biāo)值。-`CloseUp`和`CloseDown`：分別記錄上漲日和下跌日的收盤價(jià)變動(dòng)。-`SumCloseUp`和`SumCloseDown`：上漲和下跌日收盤價(jià)變動(dòng)的總和。-`AvgValue3`：長(zhǎng)期平滑移動(dòng)平均線的值。-`MinPoint`：最小價(jià)格變動(dòng)單位乘以價(jià)格比例，用于精確止損和止盈。-`MyEntryPrice`：入場(chǎng)價(jià)格記錄。-`MyExitPrice`：出場(chǎng)價(jià)格計(jì)算。策略邏輯1.計(jì)算錢德動(dòng)量擺動(dòng)指標(biāo)：通過比較連續(xù)兩日收盤價(jià)的變動(dòng)，區(qū)分上漲日和下跌日，累積計(jì)算上漲日的收盤價(jià)增益和下跌日的收盤價(jià)損失，最終計(jì)算CMO值。此值表示了市場(chǎng)動(dòng)量的方向和強(qiáng)度。2.繪制指標(biāo)和均線：在圖表上繪制CMO值以及參考線（超買超賣水平，如50和-50），同時(shí)繪制長(zhǎng)期平滑移動(dòng)平均線（MA3）。3.交易信號(hào)生成：-買入信號(hào)：當(dāng)CMO值由負(fù)轉(zhuǎn)正，并且收盤價(jià)高于長(zhǎng)期平滑移動(dòng)平均線，表明市場(chǎng)從空頭轉(zhuǎn)為多頭，于開盤價(jià)買入。-賣出信號(hào)：當(dāng)CMO值由正轉(zhuǎn)負(fù)，并且收盤價(jià)低于長(zhǎng)期平滑移動(dòng)平均線，表明市場(chǎng)從多頭轉(zhuǎn)為空頭，于開盤價(jià)賣空。4.風(fēng)險(xiǎn)管理和止損止盈：-設(shè)置固定點(diǎn)數(shù)的盈利目標(biāo)和止損點(diǎn)，當(dāng)盈利達(dá)到目標(biāo)或觸及止損位時(shí)，立即平倉。-如果市場(chǎng)朝著有利方向運(yùn)動(dòng)，動(dòng)態(tài)調(diào)整出場(chǎng)價(jià)格，確保至少達(dá)到最小盈利點(diǎn)數(shù)?？偨Y(jié)該策略通過監(jiān)測(cè)錢德動(dòng)量擺動(dòng)指標(biāo)的變化來捕捉市場(chǎng)趨勢(shì)轉(zhuǎn)變的時(shí)機(jī)，結(jié)合長(zhǎng)期趨勢(shì)（通過長(zhǎng)期均線）來過濾短期波動(dòng)，同時(shí)通過明確的止盈止損規(guī)則來管理風(fēng)險(xiǎn)和鎖定利潤(rùn)。這種結(jié)合了動(dòng)能策略和趨勢(shì)跟隨策略，旨在提高交易贏利概率和資本管理效率。錢德動(dòng)量擺動(dòng)指標(biāo)算法：CMOValue=(SumCloseUp-SumCloseDown)/(SumCloseUp+SumCloseDown)*100;其中:SumCloseUp是今日收盤價(jià)與昨日收盤價(jià)(上漲日)差值加總。若當(dāng)日下跌，則增加值為0;SumCloseDown是今日收盤價(jià)與做日收盤價(jià)(下跌日)差值的絕對(duì)值加總。若當(dāng)日上漲，則增加值為0.指標(biāo)代碼:ParamsNumericLength(20);//聲明數(shù)值參數(shù)Length，初始值為20。VarsNumericCMOValue;//聲明數(shù)值變量CMOValue。NumericSeriesCloseUp;//聲明數(shù)值序列變量CloseUp。NumericSeriesCloseDown;//聲明數(shù)值序列變量CloseDown。NumericSumCloseUp;//聲明數(shù)值變量SumCloseUp。NumericSumCloseDown;//聲明數(shù)值變量SumCloseDown。Beginif(CurrentBar==0)//假如當(dāng)前k線為第一根。{CMOValue=0;//變量CMOValue賦值為0.}Else//這是從第二根k線開始算。{If(Close>Close[1])//假如當(dāng)前k線收盤價(jià)大于前一根的收盤價(jià)。{CloseUp=Close-Close[1];//變量CloseUp=當(dāng)前收盤價(jià)-前一根收盤價(jià)。CloseDown=0;//變量CloseDowm=0}If(Close<Close[1])//假如當(dāng)前收盤價(jià)小于前一根k線收盤價(jià){CloseUp=0;//變量CloseUp=0CloseDown=Close[1]-Close;//變量CloseDown=前一根收盤價(jià)-當(dāng)前收盤價(jià)。}If(Close==Close[1])//當(dāng)前收盤價(jià)等于前一根收盤價(jià){CloseUp=0;//變量CloseUp=0CloseDown=0;//變量CloseDown=0}SumCloseUp=SummationFC(CloseUp,Length);//前面解說過函數(shù)SummationFC，快速求和。把變量CloseUp返回到函數(shù)里去，再把20周期返回，求得變量SumCloseUp總值。SumCloseDown=SummationFC(CloseDown,Length);//解讀同上了。//If(SumCloseUp+SumCloseDown<>0)//這里做個(gè)假設(shè)，變量SumCloseUp+變量SumCloseDown不等于0CMOValue=(SumCloseUp-SumCloseDown)/(SumCloseUp+SumCloseDown)*100;//求變量CMOValue的值。//}PlotNumeric("CMO",CMOValue);//畫線CMO，值就是變量CMOValue的值PlotNumeric("Ref1",50);//畫線超買上軌，值為50PlotNumeric("Ref2",-50);//畫線超賣下軌，值為-50End策略信號(hào)代碼:ParamsNumericLength(20);NumericDslowLength(200);VarsNumericSeriesCMOValue;NumericSeriesCloseUp;NumericSeriesCloseDown;NumericSumCloseUp;NumericSumCloseDown;NumericSeriesAvgValue3;NumericMinPoint;NumericMyEntryPrice;NumericTakeProfitSet(120);NumericStopLossSet(30);NumericMyExitPrice;BeginAvgValue3=AverageFC(Close,DslowLength);PlotNumeric("MA3",AvgValue3);if(CurrentBar==0){CMOValue=0;}Else{If(Close>Close[1]){CloseUp=Close-Close[1];CloseDown=0;}If(Close<Close[1]){CloseUp=0;CloseDown=Close[1]-Close;}If(Close==Close[1]){CloseUp=0;CloseDown=0;}SumCloseUp=SummationFC(CloseUp,Length);SumCloseDown=SummationFC(CloseDown,Length);If(SumCloseUp+SumCloseDown<>0)CMOValue=(SumCloseUp-SumCloseDown)/(SumCloseUp+SumCloseDown)*100;}If(!CallAuctionFilter())Return;If(MarketPosition<>1AndCrossOver(CMOValue[1],0)AndClose[1]>AvgValue3){Buy(1,Open);}If(MarketPosition<>-1AndCrossUnder(CMOValue[1],0)AndClose[1]<AvgValue3){SellShort(1,Open);}MinPoint=MinMove*PriceScale;MyEntryPrice=AvgEntryPrice;If(MarketPosition==1){If(High>=MyEntryPrice+TakeProfitSet*MinPoint){MyExitPrice=MyEntryPrice+TakeProfitSet*MinPoint;If(Open>MyExitPrice)MyExitPrice=Open;Sell(0,MyExitPrice);}elseif(Low<=MyEntryPrice-StopLossSet*MinPoint){MyExitPrice=MyEntryPrice-StopLossSet*MinPoint;If(Open<MyExitPrice)MyExitPrice=Open;Sell(0,MyExitPrice);}}elseif(MarketPosition==-1){If(Low<=MyEntryPrice-TakeProfitSet*MinPoint){MyExitPrice=MyEntryPrice-TakeProfitSet*MinPoint;If(Open<MyExitPrice)MyExitPrice=Open;BuyToCover(0,MyExitPrice);}elseif(High>=MyEntryPrice+StopLossSet*MinPoint){MyExitPrice=MyEntryPrice+StopLossSet*MinPoint;If(Open>MyExitPrice)MyExitPrice=Open;BuyToCover(0,MyExitPrice);}}End信號(hào)代碼解釋:Params//參數(shù)部分NumericLength(20);//長(zhǎng)度參數(shù)，設(shè)為20NumericDslowLength(200);//慢速長(zhǎng)度參數(shù)，設(shè)為200Vars//變量部分NumericSeriesCMOValue;//存儲(chǔ)CMO（錢德動(dòng)量振蕩器）值的系列NumericSeriesCloseUp;//存儲(chǔ)今日收盤價(jià)與前一日收盤價(jià)之差的上漲部分NumericSeriesCloseDown;//存儲(chǔ)今日收盤價(jià)與前一日收盤價(jià)之差的下跌部分NumericSumCloseUp;//上漲部分的總和NumericSumCloseDown;//下跌部分的總和NumericSeriesAvgValue3;//存儲(chǔ)3期移動(dòng)平均線的值NumericMinPoint;//最小價(jià)格變動(dòng)點(diǎn)NumericMyEntryPrice;//我的入場(chǎng)價(jià)格NumericTakeProfitSet(120);//止盈設(shè)置，設(shè)為120倍的最小價(jià)格變動(dòng)點(diǎn)NumericStopLossSet(30);//止損設(shè)置，設(shè)為30倍的最小價(jià)格變動(dòng)點(diǎn)NumericMyExitPrice;//我的出場(chǎng)價(jià)格Begin//開始執(zhí)行策略//計(jì)算3期移動(dòng)平均線AvgValue3=AverageFC(Close,DslowLength);PlotNumeric("MA3",AvgValue3);//繪制3期移動(dòng)平均線//計(jì)算CMO值if(CurrentBar==0){CMOValue=0;}Else{//根據(jù)今日與前一日的收盤價(jià)差計(jì)算CloseUp和CloseDown//...（此部分省略了詳細(xì)的條件判斷和賦值）//計(jì)算上漲和下跌的總和SumCloseUp=SummationFC(CloseUp,Length);SumCloseDown=SummationFC(CloseDown,Length);//計(jì)算CMO值If(SumCloseUp+SumCloseDown<>0)CMOValue=(SumCloseUp-SumCloseDown)/(SumCloseUp+SumCloseDown)*100;}//如