主题：【趋势策略】增强版唐奇安通道

         原始的唐奇安通道（DONCHIANCHANNEL）规则其实很简单，它先设置一条阻力线和一条支撑线，阻力线由过去N天的最高价的最大值形成；支撑线由过去N天的最低价的最小值形成。但时过境迁，现在的市场环境已经发生了很大的变化，这导致唐奇安通道策略变得低效,我们在支撑线和阻力线分别增加一个系数，并设置一条平仓使用的中轨线，这样避免与大多数策略参数一致，造成的同质化现象，导致策略低效。另外我们知道，国内的期货市场总是涨的时候涨的缓，跌的时候跌的急，那么可以对支撑线和阻力线设置不同的系数，让策略更合理的适应当前市场环境。
       

         一、增强版唐奇安通道策略交易思路

               1、唐奇安上轨：由过去N天的最高价的最大值*上涨系数
            2、唐奇安下轨：由过去N天的最低价的最小值*下跌系数
            3、唐奇安中轨：(唐奇安上轨 + 唐奇安下轨) / 2
            4、开多条件：如果当前无持仓，并且价格突破唐奇安上轨
            5、开空条件：如果当前无持仓，并且价格跌破唐奇安下轨
            6、平多条件：如果当前持多单，并且价格跌破唐奇安中轨
            7、平空条件：如果当前持空单，并且价格突破唐奇安中轨

 

         二、金字塔策略源码

 

            //该策略适用于图表程序化交易

            //该范例适用于5分钟周期

            //此策略仅供参考学习，请勿直接用于实盘

 

            INPUT:N(55,1,100,1),SS(1,1,100,1),NMIN(10,1,100,1),LONG_CO(0.999,0.001,1.1,0.001),SHORT_CO(1.001,0.001,1.1,0.001);

 

            BUYTIME:=TIME>OPENTIME(1) AND TIME<CLOSETIME(0)-NMIN*100;      //设置日内交易的开仓时段           

            SELLTIME:=TIME>=CLOSETIME(0)-NMIN*100;                                        //设置尾盘的清仓时段      

            UP_LINE:REF(HHV(H,N),1)*LONG_CO;                                                    //设置上轨线
            DOWN_LINE:REF(LLV(L,N),1)*SHORT_CO;                                              //设置下轨线
            MIDDLE_LINE:(UP_LINE+DOWN_LINE)/2;                                               //设置中轨线

            CONKD:H>=UP_LINE AND BUYTIME ;                                                     //设置开多条件
            CONKK:L<=DOWN_LINE AND BUYTIME;                                                 //设置开空条件
            CONPD:C<MIDDLE_LINE;                                                                      //设置平多条件
            CONPK:C>MIDDLE_LINE;                                                                      //设置平空条件

 

            SELLSHORT(CONPK AND HOLDING<0,HOLDING,MARKET);
            SELL(CONPD AND HOLDING>0,HOLDING,MARKET);
            BUY(CONKD AND HOLDING=0,SS,MARKET);
            BUYSHORT(CONKK AND HOLDING=0,SS,MARKET);

 

            IF SELLTIME THEN                                                                               //收盘前全部平仓
                BEGIN
                SELL(HOLDING>0,HOLDING,MARKET);
                SELLSHORT(HOLDING<0,HOLDING,MARKET);
                END

请老师改一个股票也能用的全周期交易系统，非常期待，谢谢。

请gxx978老师修改一下吧。 

该范例是以5分钟周期举例的，供用户参考学习唐奇安通道的指标编写。若你有指标编写的疑问，需要描述下你具体的需求。

我想把该策略用在股票交易上，如何修改？希望策略在日线，f30，f60等周期上都能用，不一定在本日平仓，因为股票是t+1。

那直接把日内交易的限制去除就可以了。股票还是需要考虑到可用持仓的问题，举例如下：

INPUT:N(55,1,100,1),SS(1,1,100,1),NMIN(10,1,100,1),LONG_CO(0.999,0.001,1.1,0.001),SHORT_CO(1.001,0.001,1.1,0.001);

 

UP_LINE:REF(HHV(H,N),1)*LONG_CO;                                                 
DOWN_LINE:REF(LLV(L,N),1)*SHORT_CO;                                            
MIDDLE_LINE:(UP_LINE+DOWN_LINE)/2;                                              

CONKD:H>=UP_LINE ;                                                    
CONPD:C<MIDDLE_LINE;    

                                                           

可用持仓:HOLDING-DAYHOLDING;                                                               
SELL(CONPD AND 可用持仓>0,HOLDING,MARKET);
BUY(CONKD,SS,MARKET);

 

请老师再看看，我加载试一下，会出现连续开仓的问题，还有些小问题。

避免连续开仓的话，在开仓条件中加入holding=0的限制。

INPUT:N(55,1,100,1),SS(1,1,100,1),NMIN(10,1,100,1),LONG_CO(0.999,0.001,1.1,0.001),SHORT_CO(1.001,0.001,1.1,0.001);

UP_LINE:REF(HHV(H,N),1)*LONG_CO;                                                 
DOWN_LINE:REF(LLV(L,N),1)*SHORT_CO;                                            
MIDDLE_LINE:(UP_LINE+DOWN_LINE)/2;                                              

CONKD:H>=UP_LINE ;                                                    
CONPD:C<MIDDLE_LINE;   

                                                           

可用持仓:HOLDING-DAYHOLDING;                                                               
SELL(CONPD AND 可用持仓>0,HOLDING,MARKET);
BUY(CONKD and HOLDING=0,SS,MARKET);

INPUT:N(55,1,100,1),SS(999000,1,999000,1),NMIN(10,1,100,1),LONG_CO(0.999,0.001,1.1,0.001),SHORT_CO(1.001,0.001,1.1,0.001);
 
UP_LINE:REF(HHV(H,N),1)*LONG_CO;                                                 
DOWN_LINE:REF(LLV(L,N),1)*SHORT_CO;                                            
MIDDLE_LINE:(UP_LINE+DOWN_LINE)/2;                                              
CONKD:H>=UP_LINE ;                                                    
CONPD:C<MIDDLE_LINE;   
                                                           
SELL(CONPD AND HOLDING>0,HOLDING,MARKET );

SS就是定义的下单手数啊，不知道你说的蓝色竖线是什么，可以截图看下。另外在股票品种上使用，触发了平仓信号后，有可能当天无可用持仓，会导致平仓失败。