【每日一策】MATLAB量化交易策略之 CCI择时

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收藏 2017-02-20

策略名称：CCI择时策略说明：
1.CCI 为正值时，视为多头市场；为负值时，视为空头市场；
2.常态行情时，CCI 波动于±100 的间；强势行情，CCI 会超出±100 ；
3.CCI>100 时，买进，直到CCI

回测曲线：

策略代码：

function CCI1(n) % 顺势指标

%获取目标资产信息

targetList = traderGetTargetList(); % 在RunBackTest中选择好的标的.

%获取账户信息

HandleList = traderGetHandleList();

%=================================================================

% RunBackTest的参数设置

% n=20; % CCI的参数

%=================================================================

% 定义持有的账户为全局变量

global holdingList;

if isempty(holdingList) % 判断cc是否为空值

holdingList(1).Market=0;

holdingList(1).Code=0;

holdingList(1).OpenBar=0;

holdingList(1).OpenPrice=0;

holdingList(1).Sharebum=0;

end

% 定义可用金额

global available;

if isempty(available) % 判断cc是否为空值

available=100000000;

end

% 定义初始金额,每只股票的最大仓位为初始资金的1/300

initial=100000000;

initialeach=initial/length(targetList)*2;

k1=0;

%------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

for i = 1:length(targetList) % 每个股票过一遍

% lags为策略需要往前获取多少天

lags=30;

%策略中每次取数据的长度

barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code); % K线的序号,后面会增加,前面的值对应的日期固定.

% 数据长度限制,排除了前lags根k线

if(barnum<lags)

continue;

end

% 策略开始部分

[time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-lags, 0,false,'FWard');

if length(close)<30

continue;

end

TP=(high+low+close)/3;

MATP=mean(TP(end-n+1:end));

a1=abs(TP(end-n+1:end)-MATP);

meanDev=mean(a1);

CCI=(TP-MATP)/(0.015*meanDev);

a=CCI(end)>100 && CCI(end-1)<100; % CCI上穿100,买入

if a

k1=k1+1;

stockList(k1).Market=targetList(i).Market;

stockList(k1).Code=targetList(i).Code;

stockList(k1).Price=close(end);

[ATR1, ~]=traderATR(14,targetList(i).Market,targetList(i).Code,'day',1,0-lags,0,false,'FWard');

stockList(k1).ATR=ATR1(end);

end

%--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

% 判断股票池里面的股票是否要买入,买入多少手

if k1~=0

for i=1:length(stockList)

% 等权重

sharenum=floor(initialeach/stockList(i).Price/100)*100;

% 设置每只股票的交易手数,使得最大的亏损不大于初始账户的 n2%.

% sharenum=floor(stockList(i).Price*initialeach/stockList(i).ATR/10000);

% 获取当前bar序号

barnum=traderGetCurrentBar(stockList(i).Market,stockList(i).Code);

%获取当前仓位

[marketposition,~,~]=traderGetAccountPosition(HandleList(1),stockList(i).Market,stockList(i).Code);

if marketposition ==0 && (sharenum*stockList(i).Price)<=1*available

orderID1=traderBuy(HandleList(1),stockList(i).Market,stockList(i).Code,sharenum,0,'market','buy1'); % 开多单

if orderID1~=0

[~,~,price] = traderGetAccountPosition(HandleList(1),stockList(i).Market,stockList(i).Code); % 记录开仓的价格

available=available-sharenum*price;

if holdingList(1).Market==0

holdingList(1).Market=stockList(i).Market;

holdingList(1).Code=stockList(i).Code;

holdingList(1).OpenBar=barnum+1;

holdingList(1).OpenPrice=price;

holdingList(1).Sharebum=sharenum;

else

holdingList1(1).Market=stockList(i).Market;

holdingList1(1).Code=stockList(i).Code;

holdingList1(1).OpenBar=barnum+1;

holdingList1(1).OpenPrice=price;

holdingList1(1).Sharebum=sharenum;

holdingList=[holdingList,holdingList1];

end

%--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

% 出场设置

if holdingList(1).Code~=0

for i=1:length(holdingList)

% [ATR2, ~]=traderATR(14,holdingList(i).Market,holdingList(i).Code,'day',1,0-lags,0,false,'FWard');

[time1,open1,high1,low1,close1,volume1,turnover1,openinterest1] = traderGetKData(holdingList(i).Market,holdingList(i).Code,'day',1, 0-lags, 0,false,'FWard');

barnum=traderGetCurrentBar(holdingList(i).Market,holdingList(i).Code);

TP=(high1+low1+close1)/3;

MATP=mean(TP(end-n+1:end));

a1=abs(TP(end-n+1:end)-MATP);

meanDev=mean(a1);

CCI=(TP-MATP)/(0.015*meanDev);

% 出场条件设定,当CCI指标回到100，并距离前次上穿100在m天之内，我们卖出.或者下穿-100

b1=CCI(end-1)>100 && CCI(end)<=100;

b2=holdingList(1).OpenBar-barnum<6;

exitlong1=b1 && b2;

exitlong2=CCI(end-1)>-100 && CCI(end)<-100;

exitlong= exitlong1 || exitlong2;

if barnum>=holdingList(i).OpenBar && exitlong

orderID2=traderPositionTo(HandleList(1),holdingList(i).Market,holdingList(i).Code,0,0,'market','sell1');

if orderID2~=0

exitprice=traderOrderFilledPrice(HandleList(1),orderID2);

available=available+exitprice*holdingList(i).Sharebum;

holdingList(i).Sharebum=0;

end

% 删除已经卖出的股票

holdingList2(1).Market=0;

holdingList2(1).Code=0;

holdingList2(1).OpenBar=0;

holdingList2(1).OpenPrice=0;

holdingList2(1).Sharebum=0;

for i=1:length(holdingList)

if holdingList(i).Sharebum~=0

holdingList2=[holdingList2,holdingList(i)];

end

holdingList=holdingList2(2:end);

end

%--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

end

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