Shulou(Shulou.com)06/01 Report--

In the inventor quantitative platform how to use my language to implement Dual Thrust trading algorithm, this article introduces the corresponding analysis and solution in detail, hoping to help more partners who want to solve this problem to find a more simple and feasible method.

1. Brief introduction of Dual Thrust trading strategy

Dual Thrust trading algorithm is a famous strategy developed by Michael Chalek. It is usually used in futures, foreign exchange and stock markets. The concept of Dual Thrust is similar to a typical breakthrough system, using dual-thrust historical prices to build an update retroactive period-theoretically making it more stable in any given period of time.

2. The realization of Dual Thrust transaction strategy

We briefly introduce this strategy and show how to implement this algorithm using my language on the inventor quantization platform. After extracting the historical price of the subject matter of the selected transaction, the range is calculated based on the closing price, the highest price and the lowest price of the last N days. When the market moves a certain range from the opening price, the opening operation is carried out. We tested the strategy in two market conditions: trend market and range volatility market. The results show that this momentum trading system works better in the trend market, but it will trigger some false buying and selling signals in the volatile market. In the interval market, we can adjust the parameters to get a better return.

Basic formula:

At the close of the day, two values are calculated: the highest price-the closing price and the closing price-the lowest price. Then take a larger value and multiply it by the value of k. The result is called the trigger value.

At the opening of the next day, record the opening price and then buy immediately when the price exceeds (opening price + trigger value), or short when the price is below (opening price-trigger value).

The system is a reversal system without separate stop loss. In other words, the reverse signal is also a closing signal.

Main picture:

Upper track: formula: UPTRack ^ O + KSRG; Lower track: formula: down track ^ O-KXRG

Secondary chart:

My language code:

HH:=HV (HH:=HV N); HC:=HV (CMagne N); LL:=LV (LMagne N); LC:=LV (CMagic N); RG:=MAX (HH-LC,HC-LL); UPTRack ^ O + KS*RG; DOWNTRACK ^ O-KX*RG;C > UPTRACK,BPK;C

Welcome to subscribe "Shulou Technology Information " to get latest news, interesting things and hot topics in the IT industry, and controls the hottest and latest Internet news, technology news and IT industry trends.