布林波動率策略（TB版）一、策略概述該策略基于布林帶（BollingerBands）和市場波動率變化，通過動態調整回溯天數來優化交易信號。本策略旨在通過識別市場中的特定交易信號，結合資金管理原則，實現穩定盈利。策略將利用TB軟件的強大功能，對市場數據進行實時分析，并根據預設的規則和條件執行交易。二、參數定義ceilingAmt：上限值，默認為60，限制回溯天數的最大值。floorAmt：下限值，默認為20，限制回溯天數的最小值。bolBandTrig：布林帶觸發系數，默認為2.00，用于計算布林帶的寬度倍數。三、變量定義*lookBackDays：回溯天數，初始為20，根據波動率變化動態調整。*todayVolatility：當前波動率，通過30日歷史收盤價計算的標準差。*yesterDayVolatility：昨日波動率，基于前一日的收盤價計算。*deltaVolatility：波動率變化量，反映今日與昨日波動率的差異比例。*upBand、dnBand：上布林帶和下布林帶，根據中線和帶寬計算。*MidLine：布林帶中線，基于動態調整后的回溯天數計算平均收盤價。*Band：布林帶寬度，基于動態調整后的回溯天數和觸發系數計算。*buyPoint、sellPoint：買入觸發點和賣出觸發點，分別為過去N日內的最高價和最低價。*longLiqPoint、shortLiqPoint：多頭止損點和空頭止損點，基于動態調整后的回溯天數計算平均收盤價。四、策略邏輯波動率計算與回溯天數調整計算當前和昨日的波動率。根據波動率變化量動態調整回溯天數，并確保其在上下限之間。布林帶計算根據調整后的回溯天數計算布林帶中線、寬度、上帶和下帶。交易信號生成多頭買入：當收盤價高于上布林帶，并且價格上穿買入觸發點時買入。空頭賣出：當收盤價低于下布林帶，并且價格下穿賣出觸發點時賣出。多頭止損：持倉多頭時，價格下穿多頭止損點則賣出?？疹^止損：持倉空頭時，價格上穿空頭止損點則平倉。注釋輸出在觸發買入、賣出、多頭止損或空頭止損時，輸出相應的觸發價格和注釋。離場條件-止損設置：為每筆交易設置合理的止損點，以控制潛在損失。-收盤離場：若達到止損點或收盤時仍持倉，則執行平倉操作。資金管理-倉位控制：根據賬戶資金量和市場波動情況，合理控制每筆交易的倉位大小。-風險分散：避免在同一市場或同一品種上過度集中倉位，以降低整體風險。其他條件-交易時間：僅在特定交易時間段內執行交易，如開盤后一段時間內或收盤前一段時間內。-市場狀態：根據市場整體趨勢、波動率等指標，調整交易策略的參數或選擇是否執行交易。請注意，策略規則和條件僅為示例，實際交易策略應根據您的具體需求和風險承受能力進行調整和優化。在使用任何交易策略之前，請務必進行充分的研究和測試，并謹慎評估潛在風險。策略代碼解讀://參數定義ParamsNumericceilingAmt(60);//設置上限值，默認為60NumericfloorAmt(20);//設置下限值，默認為20NumericbolBandTrig(2.00);//布林帶觸發系數，默認為2.00VarsNumericlookBackDays(20);//回溯天數，默認為20NumerictodayVolatility(0);//當前波動率NumericyesterDayVolatility(0);//昨日波動率NumericdeltaVolatility(0);//波動率變化量NumericSeriesbuyPoint(0);//買入觸發點NumericSeriessellPoint(0);//賣出觸發點NumericSerieslongLiqPoint(0);//多頭止損點NumericSeriesshortLiqPoint(0);//空頭止損點NumericupBand(0);//上布林帶NumericdnBand(0);//下布林帶NumericMidLine(0);//中線NumericBand(0);//布林帶寬度Begin//計算當前和昨日的波動率todayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);//計算波動率的變化比例deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;//根據波動率變化調整回溯天數lookBackDays=lookBackDays*(1+deltaVolatility);//將回溯天數四舍五入到最近的整數lookBackDays=Round(lookBackDays,0);//確?；厮萏鞌翟谏舷藓拖孪拗glookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);//計算布林帶的中線MidLine=AverageFC(Close,lookBackDays);//計算布林帶的寬度Band=StandardDev(Close,lookBackDays,bolBandTrig);//計算上布林帶和下布林帶的位置upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;//計算買入和賣出觸發點buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);//計算多頭和空頭的止損點longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);//多頭買入邏輯if(Close>upBand){If(CrossOver(high,buyPoint)){//當價格上穿最高價且穿越買入觸發點時買入Buy(1,max(buyPoint,Low));}//輸出買入觸發點的注釋Commentary("多頭觸發價:"+Text(buyPoint));}//空頭賣出邏輯if(Close<dnBand){If(CrossUnder(Low,sellPoint)){//當價格下穿最低價且穿越賣出觸發點時賣出SellShort(1,min(sellPoint,High));}//輸出賣出觸發點的注釋Commentary("空頭觸發價:"+Text(sellPoint));}//多頭止損邏輯if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint)){//當價格下穿多頭止損點時賣出Sell(1,min(longLiqPoint,High));}//輸出多頭止損點的注釋Commentary("多頭退出:"+Text(longLiqPoint));}//空頭止損邏輯if(MarketPosition==-1){If(CrossOver(high,shortLiqPoint)){//當價格上穿空頭止損點時平空BuyToCover(1,max(shortLiqPoint,Low));}//輸出空頭止損點的注釋Commentary("空頭退出:"+Text(shortLiqPoint));}End//結束策略邏輯策略代碼:ParamsNumericceilingAmt(60);NumericfloorAmt(20);NumericbolBandTrig(2.00);VarsNumericlookBackDays(20);NumerictodayVolatility(0);NumericyesterDayVolatility(0);NumericdeltaVolatility(0);NumericSeriesbuyPoint(0);NumericSeriessellPoint(0);NumericSerieslongLiqPoint(0);NumericSeriesshortLiqPoint(0);NumericupBand(0);NumericdnBand(0);NumericMidLine(0);NumericBand(0);BegintodayVolatility=StandardDev(Close,30,1);yesterDayVolatility=StandardDev(Close[1],30,1);deltaVolatility=(todayVolatility-yesterDayVolatility)/todayVolatility;lookBackDays=lookBackDays*(1+deltaVolatility);lookBackDays=Round(lookBackDays,0);lookBackDays=Min(lookBackDays,ceilingAmt);lookBackDays=Max(lookBackDays,floorAmt);MidLine=AverageFC(Close,lookBackDays);Band=StandardDev(Close,lookBackDays,bolBandTrig);upBand=MidLine+bolBandTrig*Band;dnBand=MidLine-bolBandTrig*Band;buyPoint=Highest(High[1],lookBackDays);sellPoint=Lowest(Low[1],lookBackDays);longLiqPoint=Average(Close[1],lookBackDays);shortLiqPoint=Average(Close[1],lookBackDays);if(Close>upBand){If(CrossOver(high,buyPoint)){Buy(1,max(buyPoint,Low));}Commentary("多頭觸發價:"+Text(buyPoint));}if(Close<dnBand){If(CrossUnder(Low,sellPoint)){SellShort(1,min(sellPoint,High));}Commentary("空頭觸發價:"+Text(sellPoint));}if(MarketPosition==1){If(CrossUnder(Low,longLiqPoint