学习视频经典课程aberration策略怎么转换TBquant上-开拓者TBQuant量化平台，开启量化投资新时代

学习视频经典课程aberration策略怎么转换TBquant上

202****12054200 关注分享到

2022-08-14 09:38

//aberration策略================================================
//---------------------------------------------------------------------
Params
Numeric length (80);
Numeric lots (0);

Vars
Series<Numeric> avgout(0);
Series<Numeric> avgout2(0);
Series<Numeric> avgout3(0);
Series<Numeric> avgout4(0);
Series<Numeric> avgout5(0);

Series<Numeric> myvolav(0);
Series<Numeric> lps(0);
Series<Numeric> sps(0);
Series<Numeric> ps(0);
Series<Numeric> cnt(0);

Series<Numeric> lepnce(0);
Series<Numeric> sepnce(0);
Series<Numeric> sigma(0);
Events
   OnBar(ArrayRef<Integer> indexs)
   {
AvgOut =Average (close,length);
AvgOut2 =Average (close,length-intpart (length/8));
AvgOut3 =Average (close,length-intpart (length/8)*2);
AvgOut4 =Average (close,length-intpart (length/8)*3);
AvgOut5 =Average (close,length-intpart (length/8)*4);

sigma=(StandardDev(close,length)*2);
myvolav =(sigma+sigma[1] +sigma[2])/3;
lepnce=AvgOut+sigma;
sepnce=AvgOut-sigma;


//突破一倍标准差，进行建仓，限制条件中，有一条是必须跌回了最长期的均线后才能开仓，即是lps==0;
if(MarketPosition<1 and Close[1]>lepnce[1]and sigma[1] > myvolav [1] and lps==0)
{
ps=Close[1] +sigma [1];
cnt =1;
Buy(lots,open);

if(MarketPosition>-1 and Close[1]<sepnce[1]and sigma[1] > myvolav[1] and sps==0)
{
SellShort(lots,open);
ps=Close[1] -sigma [1];
cnt=1;
//跌破均线，进行平仓，盈利越多，跌破的均线周期越短
if(Marketposition==1 and close[1] < avgout [1] and cnt==1)
{
sell(0,open);
lps=0;
}
if(Marketposition==1 and close[1] < avgout2 [1] and cnt==2)
{
sell(0,open);
lps=1;
}
if(Marketposition==1 and close[1] < avgout3 [1] and cnt==3)
{
sell(0,open);
lps=1;
if(Marketposition==1 and close[1] < avgout4 [1] and cnt==4)
{
sell(0,open);
lps=1;
}
if(Marketposition==1 and close[1] < avgout5 [1] and cnt==5)
{
sell(0,open);
lps=1;
}

if(Marketposition==1 and cnt==6)
{
sell(0,open);
lps=1;
}
//开空
if(Marketposition==-1 and close[1] > avgout [1] and cnt==1)
{
BuyToCover(0,open);
SPS=0;
}
if(Marketposition==-1 and close[1] >avgout2 [1] and cnt==2)
{
BuyToCover(0,open);
SPS=1;
}
if(Marketposition==-1 and close[1] > avgout3 [1] and cnt==3)
{
BuyToCover (0,open);
SPS =1;
if(Marketposition==-1 and close[1] > avgout4 [1] and cnt==4)
{
BuyToCover(0,open);
SPS =1;
}
if(Marketposition==-1 and close[1] > avgout5 [1] and cnt==5)
{
BuyTocover(0,open);
SPS=1;
}

if(Marketposition==-1 and cnt==6)
{
BuyToCover(0,open);
SPS=1;
}
//更新盈利级别，按照sigma递增
if(MarketPosition==1 and close [1]>ps)
{
cnt=cnt+1;
ps=close[1]+sigma[1];
}
if(MarketPosition==-1 and close [1]<ps)
{
cnt=cnt+1;
ps=close[1]-sigma[1];
}

//只有当跌破最长期的均线后，才能准备下一次的开仓
if(sps ==1 and Close[1]>avgout[1])sps =0;
if(lps ==1 and Close[1]<avgout[1])lps =0;
}
}
}

评论区

只看楼主评论

kyover

这不是已经是tbquant语法了吗

2022-08-14 18:40

202****1205420068

@kyover

tbquant上，编译过不去，不知道为什么

2022-08-14 20:17

ackliyu1981

@202****1205420068

编译不了，是因为代码内有多个大括号不对称，改下就好了。

//aberration策略================================================

//---------------------------------------------------------------------

Params

Numeric length (80);

Numeric lots (0);

Vars

Series<Numeric> avgout(0);

Series<Numeric> avgout2(0);

Series<Numeric> avgout3(0);

Series<Numeric> avgout4(0);

Series<Numeric> avgout5(0);

Series<Numeric> myvolav(0);

Series<Numeric> lps(0);

Series<Numeric> sps(0);

Series<Numeric> ps(0);

Series<Numeric> cnt(0);

Series<Numeric> lepnce(0);

Series<Numeric> sepnce(0);

Series<Numeric> sigma(0);

Events

OnBar(ArrayRef<Integer> indexs)

{

AvgOut =Average (close,length);

AvgOut2 =Average (close,length-intpart (length/8));

AvgOut3 =Average (close,length-intpart (length/8)*2);

AvgOut4 =Average (close,length-intpart (length/8)*3);

AvgOut5 =Average (close,length-intpart (length/8)*4);

sigma=(StandardDev(close,length)*2);

myvolav =(sigma+sigma[1] +sigma[2])/3;

lepnce=AvgOut+sigma;

sepnce=AvgOut-sigma;

//突破一倍标准差，进行建仓，限制条件中，有一条是必须跌回了最长期的均线后才能开仓，即是lps==0;

if(MarketPosition<1 and Close[1]>lepnce[1]and sigma[1] > myvolav [1] and lps==0)

{

ps=Close[1] +sigma [1];

cnt =1;

Buy(lots,open);

}

if(MarketPosition>-1 and Close[1]<sepnce[1]and sigma[1] > myvolav[1] and sps==0)

{

SellShort(lots,open);

ps=Close[1] -sigma [1];

cnt=1;

}

//跌破均线，进行平仓，盈利越多，跌破的均线周期越短

if(Marketposition==1 and close[1] < avgout [1] and cnt==1)

{

sell(0,open);

lps=0;

}

if(Marketposition==1 and close[1] < avgout2 [1] and cnt==2)

{

sell(0,open);

lps=1;

}

if(Marketposition==1 and close[1] < avgout3 [1] and cnt==3)

{

sell(0,open);

lps=1;

}

if(Marketposition==1 and close[1] < avgout4 [1] and cnt==4)

{

sell(0,open);

lps=1;

}

if(Marketposition==1 and close[1] < avgout5 [1] and cnt==5)

{

sell(0,open);

lps=1;

}

if(Marketposition==1 and cnt==6)

{

sell(0,open);

lps=1;

}

//开空

if(Marketposition==-1 and close[1] > avgout [1] and cnt==1)

{

BuyToCover(0,open);

SPS=0;

}

if(Marketposition==-1 and close[1] >avgout2 [1] and cnt==2)

{

BuyToCover(0,open);

SPS=1;

}

if(Marketposition==-1 and close[1] > avgout3 [1] and cnt==3)

{

BuyToCover (0,open);

SPS =1;

}

if(Marketposition==-1 and close[1] > avgout4 [1] and cnt==4)

{

BuyToCover(0,open);

SPS =1;

}

if(Marketposition==-1 and close[1] > avgout5 [1] and cnt==5)

{

BuyTocover(0,open);

SPS=1;

}

if(Marketposition==-1 and cnt==6)

{

BuyToCover(0,open);

SPS=1;

}

//更新盈利级别，按照sigma递增

if(MarketPosition==1 and close [1]>ps)

{

cnt=cnt+1;

ps=close[1]+sigma[1];

}

if(MarketPosition==-1 and close [1]<ps)

{

cnt=cnt+1;

ps=close[1]-sigma[1];

}

//只有当跌破最长期的均线后，才能准备下一次的开仓

if(sps ==1 and Close[1]>avgout[1])sps =0;

if(lps ==1 and Close[1]<avgout[1])lps =0;

}

2022-08-16 17:23

202****1205420068

@ackliyu1981

谢谢

2022-08-26 11:45

a2420956784

我刚测试了这个策略，根本没法用啊

2022-08-30 09:21

您未登录，请先登录或注册后发表评论

202****12054200