共7 条记录, 每页显示 10 条, 页签: [1]

标题：图表转后台的问题

1楼

Ritter 发表于：2020/11/24 13:50:21

INPUT:ZY(0.03,0.01,0.09,0.005),ZS(0.009,0.001,0.02,0.001)；

IF BULL AND B_COND AND BVOL THEN BEGIN
TSELLSHORT(1,0,LMT,C);
TBUY(THOLDING=0,CW%,LMT,C),PERTRADER;
END

zg:=hhv(h,TENTERBARS+1);

IF (ZG-TAVGENTERPRICE)/TAVGENTERPRICE>=ZY*0.2 AND C<TAVGENTERPRICE THEN BEGIN
TSELL(1,0,LMT,C);
END
if (zg-TAVGENTERPRICE)/TAVGENTERPRICE>=ZY*0.4 and (C-TAVGENTERPRICE)<=(zg-TAVGENTERPRICE)*0.5 then begin
TSELL(1,0,LMT,C);
END
多单止损:=TSELL(TAVGENTERPRICE-c>c*ZS and THOLDING>0 ,0,LMT,C);

请问老师，后台代码这样表述正确吗？?

目前遇到的问题：回测时，平仓信号与图表大部分不一致，偶尔也会一致，不知道是什么原因导致的。

2楼

Ritter 发表于：2020/11/24 14:01:57

如图所示：出现提前平仓，后续多开仓的情况。

此主题相关图片如下：后台.png

此主题相关图片如下：微信截图_20201124135840.png

[此贴子已经被作者于2020/11/24 14:02:45编辑过]

3楼

FireScript 发表于：2020/11/24 14:23:02

这个情况会非常多因素影响的。

1.代码转换是否符合一致的思路。这个一般是最起码要保证差不多一致的思路才行。

2.使用的数据量是否一致。

3.图表和后台交易机制本身就存在一定差异，很难做到完全一致。而且回测的机制也是同样有点差异。

就代码而已，不清楚你的思路是怎样的。但是上面这个TAVGENTERPRICE 这里你最好用TAVGENTERPRICEEX2替换下。按照持仓方向去取均价。还有持仓也是
THOLDING 换成

TBUYHOLDINGEX()
TSELLHOLDINGEX()

去分方向获取。

4楼

Ritter 发表于：2020/11/24 14:49:21

1.思路完全一致，无更改，只修改了后台代码和交易指令；

2.数据量也是完全一致的；

3.两个回测机制略有差错可以理解，但是，后台回测下来，没有按照指令去实现平仓，开仓是符合逻辑的；

4.更改为TAVGENTERPRICEEX2（0），错误提示：所调用的参数与预定义参数不符。

5楼

FireScript 发表于：2020/11/24 14:54:31

1.只更改后台代码和指令，不够的。但是这里没有你图表代码，我也不太好做对照。你最好帖下完整代码，我们看下。

2.你先看下函数说明啊,它需要三个参数的。

TAVGENTERPRICEEX2:

用法:TAVGENTERPRICEEX2(AC,STOCK,N)
AC为指定的帐户名,若为空表示取当前默认帐户
STOCK为指定的品种,若空表示当前品种
N为0表示取买持为1表示取卖持
该函数返回常数.

6楼

Ritter 发表于：2020/11/24 15:22:37

BULL:=(C>DJX AND N1=1) OR (C>XJX AND N3=1);
BEAR:=(C<GJX AND N2=1) OR (C<SJX AND N4=1);

BVOL:=C>O AND VOL>VA1 AND VOL>VA2 AND VOL>VA3;
SVOL:=C<O AND VOL>VA1 AND VOL>VA2 AND VOL>VA3;

B_COND:=C>REF(YL,1) OR ( CROSS(C,A4) AND CD6 ) OR (CROSS(C,BF) AND CD2);

S_COND:=C<REF(ZC,1) OR ( CROSS(A3,C) AND CD8 ) OR (CROSS(BG,C) AND CD4);

zg:=hhv(h,enterbars+1);
CS:=LLV(L,ENTERBARS+1);

IF (ZG-AVGENTERPRICE)/AVGENTERPRICE>=ZY*0.2 AND C<AVGENTERPRICE THEN BEGIN
SELL(1,0,limitr,c);
END
IF (AVGENTERPRICE-CS)/CS>=ZY*0.2 AND C>AVGENTERPRICE THEN BEGIN
SELLSHORT(1,0,limitr,c);
END

if (zg-avgenterprice)/avgenterprice>=ZY*0.4 and (C-avgenterprice)<=(zg-avgenterprice)*0.5 then begin
sell(1,0,limitr,c);
END
if (avgenterprice-CS)/CS>=ZY*0.4 and (avgenterprice-C)<=(avgenterprice-CS)*0.5 then begin
sellshort(1,0,limitr,c);
End

if (zg-avgenterprice)/avgenterprice>=ZY*0.6 and (C-avgenterprice)<=(zg-avgenterprice)*0.6 then begin
sell(1,0,limitr,c);
END
if (avgenterprice-CS)/CS>=ZY*0.6 and (avgenterprice-C)<=(avgenterprice-CS)*0.6 then begin
sellshort(1,0,limitr,c);
End

if (zg-avgenterprice)/avgenterprice>=ZY*0.8 and (C-avgenterprice)<=(zg-avgenterprice)*0.7 then begin
sell(1,0,limitr,c);
END

if (avgenterprice-CS)/CS>=ZY*0.8 and (avgenterprice-C)<=(avgenterprice-CS)*0.7 then begin
sellshort(1,0,limitr,c);
End

if (zg-avgenterprice)/avgenterprice>=ZY and (C-avgenterprice)<=(zg-avgenterprice)*0.8 then begin
sell(1,0,limitr,c);
END

if (avgenterprice-CS)/CS>=ZY and (avgenterprice-C)<=(avgenterprice-CS)*0.8 then begin
sellshort(1,0,limitr,c);
End

多单止损:=sell(avgenterprice-c>c*ZS and holding>0 ,0,limitr,c);
空单止损:=sellshort(c-avgenterprice>c*ZS and holding<0 ,0 ,limitr,c);

IF BULL AND B_COND AND BVOL THEN BEGIN
SELLSHORT(1,0,limitr,c);
BUY(HOLDING=0,CW%,limitr,c);
END

IF BEAR AND S_COND AND SVOL THEN BEGIN
SELL(1,0,limitr,c);
BUYSHORT(HOLDING=0,CW%,limitr,c);
END

开仓逻辑是正确的，问题出在平仓语句上；

麻烦老师帮忙把这段语句更改为后台语句，非常感谢！！

7楼

FireScript 发表于：2020/11/24 15:45:36

BULL:=(C>DJX AND N1=1) OR (C>XJX AND N3=1);
BEAR:=(C<GJX AND N2=1) OR (C<SJX AND N4=1);

BVOL:=C>O AND VOL>VA1 AND VOL>VA2 AND VOL>VA3;
SVOL:=C<O AND VOL>VA1 AND VOL>VA2 AND VOL>VA3;

B_COND:=C>REF(YL,1) OR ( CROSS(C,A4) AND CD6 ) OR (CROSS(C,BF) AND CD2);

S_COND:=C<REF(ZC,1) OR ( CROSS(A3,C) AND CD8 ) OR (CROSS(BG,C) AND CD4);

zg:=hhv(h,tenterbars+2);//tenterbars从-1开始，必须+2.否则可能会取到所以K的最高价
CS:=LLV(L,tenterbars+2);

IF (ZG-TAVGENTERPRICEEX2('','',0))/TAVGENTERPRICEEX2('','',0)>=ZY*0.2 AND C<TAVGENTERPRICEEX2('','',0) THEN BEGIN
tSELL(1,0,LMT,c);
END
IF (TAVGENTERPRICEEX2('','',1)-CS)/CS>=ZY*0.2 AND C>TAVGENTERPRICEEX2('','',1) THEN BEGIN
tSELLSHORT(1,0,LMT,c);
END

if (zg-TAVGENTERPRICEEX2('','',0))/TAVGENTERPRICEEX2('','',0)>=ZY*0.4 and (C-TAVGENTERPRICEEX2('','',0))<=(zg-TAVGENTERPRICEEX2('','',0))*0.5 then begin
   tSELL(1,0,LMT,c);
END
if (TAVGENTERPRICEEX2('','',1)-CS)/CS>=ZY*0.4 and (TAVGENTERPRICEEX2('','',1)-C)<=(TAVGENTERPRICEEX2('','',1)-CS)*0.5 then begin
   tSELLSHORT(1,0,LMT,c);
End

if (zg-TAVGENTERPRICEEX2('','',0))/TAVGENTERPRICEEX2('','',0)>=ZY*0.6 and (C-TAVGENTERPRICEEX2('','',0))<=(zg-TAVGENTERPRICEEX2('','',0))*0.6 then begin
tSELL(1,0,LMT,c);
END
if (TAVGENTERPRICEEX2('','',1)-CS)/CS>=ZY*0.6 and (TAVGENTERPRICEEX2('','',1)-C)<=(TAVGENTERPRICEEX2('','',1)-CS)*0.6 then begin
tSELLSHORT(1,0,LMT,c);
End

if (zg-TAVGENTERPRICEEX2('','',0))/TAVGENTERPRICEEX2('','',0)>=ZY*0.8 and (C-TAVGENTERPRICEEX2('','',0))<=(zg-TAVGENTERPRICEEX2('','',0))*0.7 then begin
tSELL(1,0,LMT,c);
END

if (TAVGENTERPRICEEX2('','',1)-CS)/CS>=ZY*0.8 and (TAVGENTERPRICEEX2('','',1)-C)<=(TAVGENTERPRICEEX2('','',1)-CS)*0.7 then begin
tSELLSHORT(1,0,LMT,c);
End

if (zg-TAVGENTERPRICEEX2('','',0))/TAVGENTERPRICEEX2('','',0)>=ZY and (C-TAVGENTERPRICEEX2('','',0))<=(zg-TAVGENTERPRICEEX2('','',0))*0.8 then begin
tSELL(1,0,LMT,c);
END

if (TAVGENTERPRICEEX2('','',1)-CS)/CS>=ZY and (TAVGENTERPRICEEX2('','',1)-C)<=(TAVGENTERPRICEEX2('','',1)-CS)*0.8 then begin
tSELLSHORT(1,0,LMT,c);
End

tSELL(TAVGENTERPRICEEX2('','',0)-c>c*ZS and TBUYHOLDINGEX('','',1)>0 ,0,LMT,c);//多单止损
tSELLSHORT(c-TAVGENTERPRICEEX2('','',1)>c*ZS and TSELLHOLDINGEX('','',1)>0 ,0 ,LMT,c);//空单止损

IF BULL AND B_COND AND BVOL THEN BEGIN
tSELLSHORT(1,0,LMT,c);
tBUY(TBUYHOLDINGEX('','',1)=0,CW%,LMT,c),PERTRADER;
END

IF BEAR AND S_COND AND SVOL THEN BEGIN
tSELL(1,0,LMT,c);
tBUYSHORT(TSELLHOLDINGEX('','',1)=0,CW%,LMT,c),PERTRADER;
END

供参考。

共7 条记录, 每页显示 10 条, 页签: [1]