金字塔ORB日内交易策略[金字塔模型]

一、ORB策略交易思路

          1、日内交易策略，收盘前平仓

          2、ORB失败突破基于过去N个交易日的ORB指标；

          3、当价格突破ORB上轨，买入开仓；当价格突破ORB下轨，卖出开仓

      二、金字塔策略源码

           //适用于图表程序化交易

          //以5分钟K线为例

          //此策略仅供参考学习，请勿直接用于实盘

          INPUT:N_DAY(30,1,100,1),N(0.1,0.1,10,0.1);
          INPUT:SS(1,1,100,1);

          NN:=BARSLAST(DATE<>REF(DATE,1))+1;                            //当天K线根数
          LD:=HHV(NN,NN+62);
          O_TODAY:=VALUEWHEN(NN=1,OPEN);                                //获取当天开盘价
          H_TODAY:=HHV(HIGH,NN);                                                 //获取当天最高价
          L_TODAY:=LLV(LOW,NN);                                                    //获取当天最低价
          H_YESTERDAY:=REF(O_TODAY,NN);                                     //获取前一天最高价
          L_YESTERDAY:=REF(L_TODAY,NN);                                      //获取前一天最低价
          C_YESTERDAY:=REF(C,NN);                                                 //获取前一天收盘价
          LENGTH:=N_DAY*LD;
          DISTANCE:=MA(H_YESTERDAY-L_YESTERDAY,LENGTH);
          ORB:=MIN(ABS(H_YESTERDAY-C_YESTERDAY),ABS(L_YESTERDAY-C_YESTERDAY));
          BAND:=MAX(ORB,DISTANCE*N);
          UPBAND:O_TODAY+BAND;                                                          //ORB上轨
          DOWNBAND:O_TODAY-BAND;                                                      //ORB下轨
          MAC:MA(CLOSE,LENGTH);
          MAHH:MA(HHV(HIGH,LENGTH),LENGTH);

          KD:CLOSE>UPBAND AND CLOSE>MAC AND CLOSE>MAHH;           //开多条件
          KK:CLOSE<DOWNBAND AND CLOSE<MAC AND CLOSE<MAHH;      //开空条件
          PD:CLOSE<MAC AND C<ENTERPRICE;                                          //平多条件
          PK:CLOSE>MAC AND C>ENTERPRICE;                                          //平空条件

          SELL(PD,HOLDING,MARKET);
          SELLSHORT(PK,HOLDING,MARKET);
          BUY(KD AND HOLDING=0,SS,MARKET);
          BUYSHORT(KK AND HOLDING=0,SS,MARKET);

          IF TIME>185500 THEN BEGIN                                                      //收盘前平仓
               SELL(HOLDING>0,HOLDING,MARKET);
               SELLSHORT(HOLDING<0,HOLDING,MARKET);
               END

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