自適應(yīng)周期策略（TB版）

自適應(yīng)周期策略本策略是一種基于自適應(yīng)周期和布林帶交易策略的量化模型。該模型通過動(dòng)態(tài)調(diào)整觀察周期數(shù)來適應(yīng)市場的波動(dòng)性變化，并使用布林帶指標(biāo)來確定交易信號。核心觀點(diǎn)包括：-自適應(yīng)周期調(diào)整：通過計(jì)算波動(dòng)率變化比率來動(dòng)態(tài)調(diào)整觀察周期數(shù)，確保自適應(yīng)引擎在設(shè)定的范圍內(nèi)。-布林帶指標(biāo)應(yīng)用：利用布林帶指標(biāo)的上軌和下軌來確定買入和賣出信號。-交易信號生成：根據(jù)收盤價(jià)與布林帶上下軌的關(guān)系，生成相應(yīng)的買入、賣出和平倉信號。自適應(yīng)周期調(diào)整-波動(dòng)率計(jì)算：首先，計(jì)算過去30天收盤價(jià)的標(biāo)準(zhǔn)差，分別得到當(dāng)天和昨天的波動(dòng)率。-波動(dòng)率變化比率：計(jì)算波動(dòng)率的變化比率，即今天波動(dòng)率與昨天波動(dòng)率的差除以今天的波動(dòng)率。-觀察周期數(shù)調(diào)整：根據(jù)波動(dòng)率的變化比率調(diào)整觀察周期數(shù)，確保其在設(shè)定的上限和下限之間。-四舍五入處理：將調(diào)整后的觀察周期數(shù)四舍五入到最近的整數(shù)。布林帶指標(biāo)應(yīng)用-布林帶上軌和下軌：使用調(diào)整后的觀察周期數(shù)和設(shè)定的布林帶觸發(fā)值，計(jì)算布林帶的上軌和下軌。-買入和賣出信號：-如果收盤價(jià)高于布林帶上軌，則在下一個(gè)交易日以買入點(diǎn)設(shè)置買入止損單。-如果收盤價(jià)低于布林帶下軌，則在下一個(gè)交易日以賣出點(diǎn)設(shè)置賣出止損單。交易信號生成-買入信號：當(dāng)收盤價(jià)高于布林帶上軌時(shí)，生成買入信號。-賣出信號：當(dāng)收盤價(jià)低于布林帶下軌時(shí)，生成賣出信號。-多頭平倉信號：如果市場持倉為多頭，則在下一個(gè)交易日以多頭平倉點(diǎn)設(shè)置止損賣出。-空頭平倉信號：如果市場持倉為空頭，則在下一個(gè)交易日以空頭平倉點(diǎn)設(shè)置買入平倉。多頭平倉點(diǎn)與空頭平倉點(diǎn)-多頭平倉點(diǎn)：計(jì)算過去觀察周期內(nèi)的收盤價(jià)平均值，作為多頭平倉點(diǎn)。-空頭平倉點(diǎn)：同樣計(jì)算過去觀察周期內(nèi)的收盤價(jià)平均值，作為空頭平倉點(diǎn)。該策略通過動(dòng)態(tài)調(diào)整觀察周期數(shù)來適應(yīng)市場的波動(dòng)性變化，并使用布林帶指標(biāo)來確定交易信號。具體的交易信號包括買入、賣出、多頭平倉和空頭平倉信號，均基于布林帶上下軌和自適應(yīng)周期數(shù)的計(jì)算結(jié)果。通過這些方法，策略旨在捕捉市場的波動(dòng)性變化，實(shí)現(xiàn)穩(wěn)健的交易表現(xiàn)。策略代碼解釋：ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2.00);VarsNumericlookBackDays(20);NumerictodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSerieslongLiqPoint(0);NumericSeriesshortLiqPoint(0);NumericupBand(0);NumericdnBand(0);NumericMidLine(0);NumericBand(0);BegintodayVolatility=StandardDev(Close,30,1);//計(jì)算過去30天的收盤價(jià)標(biāo)準(zhǔn)差，并存儲在變量todayVolatility中yesterDayVolatility=StandardDev(Close[1],30,1);//計(jì)算過去30天（前一日）的收盤價(jià)標(biāo)準(zhǔn)差，并存儲在變量yesterDayVolatility中deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;//計(jì)算波動(dòng)率的變化比率，并存儲在變量deltaVolatility中l(wèi)ookBackDays=lookBackDays*(1+deltaVolatility);//根據(jù)波動(dòng)率的變化比率調(diào)整lookBackDays的值lookBackDays=Round(lookBackDays,0);//將lookBackDays四舍五入到最近的整數(shù)lookBackDays=Min(lookBackDays,ceilingAmt);//將lookBackDays的值限制在ceilingAmt以下lookBackDays=Max(lookBackDays,floorAmt);//將lookBackDays的值限制在floorAmt以上MidLine=AverageFC(Close,lookBackDays);//計(jì)算過去lookBackDays周期內(nèi)的收盤價(jià)平均值，并存儲在變量MidLine中Band=StandardDev(Close,lookBackDays,bolBandTrig);//計(jì)算過去lookBackDays周期內(nèi)的收盤價(jià)標(biāo)準(zhǔn)差，并存儲在變量Band中upBand=MidLine+bolBandTrig*Band;//計(jì)算布林帶上軌，并存儲在變量upBand中dnBand=MidLine-bolBandTrig*Band;//計(jì)算布林帶下軌，并存儲在變量dnBand中buyPoint=Highest(High[1],lookBackDays);//計(jì)算過去lookBackDays周期內(nèi)的最高價(jià)，并存儲在變量buyPoint中sellPoint=Lowest(Low[1],lookBackDays);//計(jì)算過去lookBackDays周期內(nèi)的最低價(jià)，并存儲在變量sellPoint中l(wèi)ongLiqPoint=Average(Close[1],lookBackDays);//計(jì)算過去lookBackDays周期內(nèi)的收盤價(jià)平均值，并存儲在變量longLiqPoint中shortLiqPoint=Average(Close[1],lookBackDays);//計(jì)算過去lookBackDays周期內(nèi)的收盤價(jià)平均值，并存儲在變量shortLiqPoint中if(Close>upBand){If(CrossOver(high,buyPoint)){Buy(1,max(buyPoint,Low));Commentary("多頭觸發(fā)價(jià):"+Text(buyPoint));}}//如果收盤價(jià)高于布林帶上軌，并且高點(diǎn)點(diǎn)位超過或等于buyPoint，則買入，并在日志中記錄多頭觸發(fā)價(jià)if(Close<dnBand){If(CrossUnder(Low,sellPoint)){SellShort(1,min(sellPoint,High));}Commentary("空頭觸發(fā)價(jià):"+Text(sellPoint));}//如果收盤價(jià)低于布林帶下軌，并且低點(diǎn)點(diǎn)位低于或等于sellPoint，則賣空，并在日志中記錄空頭觸發(fā)價(jià)if(MarketPosition==1){If(CrossUnder策略信號代碼：ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2.00);VarsNumericlookBackDays(20);NumerictodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSerieslongLiqPoint(0);NumericSeriesshortLiqPoint(0);NumericupBand(0);NumericdnBand(0);NumericMidLine(0);NumericBand(0);BegintodayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays=lookBackDays*(1+deltaVolatility);lookBackDays=Round(lookBackDays,0);lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);MidLine=AverageFC(Close,lookBackDays);Band=StandardDev(Close,lookBackDays,bolBandTrig);upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);if(Close>upBand){If(CrossOver(high,buyPoint)){Buy(1,max(buyPoint,Low));}Commentary("多頭觸發(fā)價(jià):"+Text(buyPoint));}if(Close<dnBand){If(CrossUnder(Low,sellPoint)){SellShort(1,min(sellPoint,High));}Commentary("空頭觸發(fā)價(jià):"+Text(sellPoint));}if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint)){