策略思路：

LLT择时模型，低延迟趋势线，利用最近20个LLT指标数值，大部分LLT呈现上涨(斜率为正)，做多；大部分下跌(斜率为负)，做空；反向出场。

回测曲线(由Auto-Trader提供回测报告)：

2017-3-17 11:28:34 上传

下载附件 (259.65 KB)

策略代码：

function LLTg(freq)targetList = traderGetTargetList();HandleList = traderGetHandleList();for i=1:length(targetList)    marketposition=traderGetAccountPosition(HandleList(1),targetList(i).Market,targetList(i).Code);    barnum=traderGetCurrentBar(targetList(i).Market,targetList(i).Code);    len=60;    dlen=60;    [time,open,high,low,close,volume,turnover,openinterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'min',freq, 0-len, 0,false,'FWard');    [Dtime,Dopen,Dhigh,Dlow,Dclose,Dvolume,Dturnover,Dopeninterest] = traderGetKData(targetList(i).Market,targetList(i).Code,'day',1, 0-dlen, 0,false,'FWard');    if length(close)lltv(1:end-1);    con1=sum(k(end-20:end))>=fix(0.9*21)&&k(end)==1;%斜率为正，上升阶段    con2=sum(k(end-20:end))>=fix(0.1*21)&&k(end)==0; %斜率为负，下降阶段        shareNum=1;        %%    if  marketposition==0        if con1            %             traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buy');%开多单            orderID = traderBuy(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','1');        elseif con2            orderID = traderSellShort(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','1');        end    end        if  marketposition>0 &&con2        order= traderPositionTo(HandleList(1),targetList(i).Market,targetList(i).Code,0,0,'market','sell');%平多单    end        if  marketposition<0 &&con1        traderBuyToCover(HandleList(1),targetList(i).Market,targetList(i).Code,shareNum,0,'market','buytocover');%平空单    end        endendfunction LLTv=LLT(price,a)LLTv=zeros(length(price),1);LLTv(1:2)=price(1:2);for i=3:length(price)    LLTv(i)=(a-a^2/4)*price(i)+(a^2/2)*price(i-1)-(a-3*a^2/4)*price(i-2)+2*(1-a)*LLTv(i-1)-(1-a)^2*LLTv(i-2);endend

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