20201126文华商品指数分析

桥博士助教 · 2020-11-26 21:38:24

请用量化的思维来描述一下文华商品指数11月26日的走势和形态
并且分析出明天的涨跌概率

Rain · 2020-11-26 22:41:19

//定义仓位
FUND:=10000000; //资金
LOTS:=INTPART(FUND*0.4/(C*MARGIN*UNIT+FEE));

//K线形态
MA5:MA(C,5);
MA19:=MA(C,19);
MAZ1:MA5>MA19;
MAZ2:MA5<MA19;

LYANG:=EVERY(ISUP,N1) AND REF(NOT(ISUP),6);
LYIN:=EVERY(ISDOWN,N1) AND REF(NOT(ISDOWN),6);

DRAWICON(LYANG,H,'IC01');
DRAWICON(LYIN,H,'IC02');

LYANG AND MAZ1,BK(LOTS);
LYIN AND MAZ2,SK(LOTS);
BKVOL>0 OR SKVOL>0,CLOSEOUT;
//胜率51.61%;盈亏比1.32; 胜率盈亏0.19,中性偏多

甘晓雨 · 2020-11-27 09:25:10

//一、定义仓位
FUND:=10000000; //资金
LOTS:=INTPART(FUND*0.4/(C*MARGIN*UNIT+FEE));

//MA4季
MA1:=MA(C,1);
MA5:MA(C,5);//周1
MA10:=MA(C,10);
MA20:MA(C,20);//月2
MA30:=MA(C,30);
MA60:MA(C,60);//季3
MA120:=MA(C,120);//半年4
MA240:MA(C,240);//年5

MA1235:=MA5>MA20&&MA20>MA60&&MA60>MA240;
TJ1:=MA1235 AND O>REF(C,1) AND C>MA5 AND ISUP;

DIFF := EMA(CLOSE, 12) - EMA(CLOSE, 26);
DEA := EMA(DIFF, 9);
MACD := 2*(DIFF-DEA), COLORSTICK;

//三、定义柱VA鱼
MACDV := MACD>REF(MACD, 1) AND REF(MACD, 2)>REF(MACD, 1);
MACDA := MACD<REF(MACD, 1) AND REF(MACD, 2)<REF(MACD, 1);

//二、连阴连阳定义
LYANG:=EVERY(ISUP,6) AND REF(NOT(ISUP),6);
LY:=EVERY(ISDOWN,6) AND REF(NOT(ISDOWN),6);

DRAWICON(LYANG,H,'IC01');
DRAWICON(LY,H,'IC02');

TJ1 AND LYANG AND H=HHV(H,240) AND C=HHV(C,240),BK(LOTS);
BKVOL>0, SP(BKVOL);

盈利率：14.85；胜率：85.71；盈亏比：2.8；胜率盈亏：2.25；看涨

20201126文华商品指数分析

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