ATR Trailing Stop Method (摘自www.wealth-lab.com),觉得有用的顶一下

觉得有用的顶一下：ATR 跟踪止损。


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
/* Class that encapsulates the ATR Trailing Stop, closing basis */
public class ATRTrail
{
private WealthScript ws;
private Bars bars;
private double stopPrice;
private bool longPosition;
private DataSeries atrMod;

public ATRTrail(WealthScript wL, Bars b, bool positionLong, double
initialStop, int period, double factor )
{
ws = wL;
bars = b;
longPosition = positionLong;
stopPrice = initialStop;
atrMod = factor * TASCIndicators.ATRModified.Series(bars, period);
}

// Call this method to update and return the stop price on each bar
after entry
public double Price(int bar)
{
double prevPrice = stopPrice;
double newPrice;
if (longPosition)
{
newPrice = bars.Close[bar] - atrMod[bar];
stopPrice = newPrice > stopPrice ? newPrice : stopPrice;
}
else
{
newPrice = bars.Close[bar] + atrMod[bar];
stopPrice = newPrice < stopPrice ? newPrice : stopPrice;
}
ws.DrawLine(ws.PricePane, bar-1, prevPrice, bar, stopPrice, Color.Blue,
LineStyle.Solid, 1);
return stopPrice;
}
}

public class SAC_ATRTrailingStops : WealthScript
{
private StrategyParameter _isLong = null;
private StrategyParameter _initStop = null;
private StrategyParameter _period = null;
private StrategyParameter _atrMult = null;
private StrategyParameter _y = null;
private StrategyParameter _m = null;
private StrategyParameter _d = null;

public SAC_ATRTrailingStops()
{
_isLong = CreateParameter("Long = 1", 1, 0, 1, 1);
_initStop = CreateParameter("Initial Stop", 1.0, 0.25, 50.0, 0.25);
_period = CreateParameter("ATR Period", 5, 2, 100, 1);
_atrMult = CreateParameter("ATR Multiplier", 3.5, 1.0, 5.0, 0.1);
_m = CreateParameter("Month", 4, 1, 12, 1);
_d = CreateParameter("Day", 13, 1, 31, 1);
_y = CreateParameter("Year", 2009, 1990, 2012, 1);
}

/* Execute a strategy - trade on a specified date */
protected override void Execute()
{
DateTime dt;
try {
dt = new DateTime(_y.ValueInt, _m.ValueInt, _d.ValueInt);
}
catch {
DrawLabel(PricePane, "Invalid Date", Color.Red);
return;
}

int b = Bars.ConvertDateToBar(dt, false);
if (b < 1) {
DrawLabel(PricePane, "Date does not exist on chart", Color.Red);
return;
}

if( _isLong.ValueInt == 1 )
BuyAtMarket(b, "Discretionary");
else
ShortAtMarket(b, "Discretionary");
Position p = LastPosition;

// After creating a position, initialize a stop object
ATRTrail atrStop = new ATRTrail(this, Bars, p.PositionType ==
PositionType.Long, _initStop.Value, _period.ValueInt, _atrMult.Value);

for(int bar = b + 1; bar < Bars.Count; bar++)
{
if (p.Active)
{
if (p.PositionType == PositionType.Long)
{
if( Close[bar] < atrStop.Price(bar) )
ExitAtMarket(bar + 1, p);
}
else if( Close[bar] > atrStop.Price(bar) )
ExitAtMarket(bar + 1, p);
}
}
}
}
}

 

这个是closing basis,可以修改为自己的版本。

比如，基于最近的低点，或者entry price下n个ATR，或者entry price下某支撑均线等等，可以自己灵活处理。

 

没有能够运行 回溯测试？？？