DMI and High Low Strategy
- Strategy Name: DMI and High-Low Strategy - Data Cycle: 5M - Support: Commodity Futures - Main chart: AMA1 index, formula: AMA1 ^ ^ EMA (DMA (CLOSE, CQ1), 2); AMA2 index, formula: AMA2 ^ ^ EMA (DMA (CLOSE, CQ2), 2);
Strategy Name: DMI and High-Low Strategy
Data Cycle: 5M
Support: Commodity Futures
Main chart: AMA1 index, formula: AMA1 ^ ^ EMA (DMA (CLOSE, CQ1), 2); AMA2 index, formula: AMA2 ^ ^ EMA (DMA (CLOSE, CQ2), 2);
Parameters
| Name | Default | What it controls |
|---|---|---|
| N | 20 | AMA1Metric parameters(1) | AMA1 index parameter(1) |
| N1 | 4 | AMA1Metric parameters(2) | AMA1 index parameter(2) |
| N2 | 60 | AMA1Metric parameters(3) | AMA1 index parameter(3) |
| M | 40 | AMA2Metric parameters(1) | AMA2 index parameter(1) |
| M1 | 8 | AMA2Metric parameters(2) | AMA2 index parameter(2) |
| M2 | 120 | AMA2Metric parameters(3) | AMA2 index parameter(3) |
Source MyLanguage
(*backtest
start: 2018-11-04 00:00:00
end: 2018-11-30 00:00:00
period: 5m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["TradeAmount",100,126961],["ContractType","XBTUSD",126961]]
*)
DIR1:=ABS(CLOSE-REF(CLOSE,N));
VIR1:=SUM(ABS(CLOSE-REF(CLOSE,1)),N);
ER1:=DIR1/VIR1;
CS1:=ER1*(2/(N1+1)-2/(N2+1))+2/(N2+1);
CQ1:=CS1*CS1;
AMA1^^EMA(DMA(CLOSE,CQ1),2);
DIR2:=ABS(CLOSE-REF(CLOSE,M));
VIR2:=SUM(ABS(CLOSE-REF(CLOSE,1)),M);
ER2:=DIR2/VIR2;
CS2:=ER2*(2/(M1+1)-2/(M2+1))+2/(M2+1);
CQ2:=CS2*CS2;
AMA2^^EMA(DMA(CLOSE,CQ2),2);
cq22:CQ2;
aa:DMA(CLOSE,CQ2);
BKVOL=0 AND REF(AMA1,1)<REF(AMA2,1) AND AMA2<AMA1,BPK;
SKVOL=0 AND REF(AMA1,1)>REF(AMA2,1) AND AMA2>AMA1,SPK;Published by 阿基米德的浴缸 on the FMZ strategy square · last modified 2019-08-20. Collected in the Quant Trading Vault. Unvalidated research: re-test with your own data and costs before trusting it.
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A spec is not a trading system. Paste this into your coding agent and AgenKit runs a specialist team — architecture, test-first build, risk gates, review — with paper trading on by default.
/agenkit build a production-grade trading bot with a backtest engine, risk controls and paper trading by default from strategies/DMI-and-High-Low-Strategy.md- npx agenkit install engineering-kit in your project
- Paste the command into your agent and approve each phase
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Understand it first
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