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模型策略源碼：//策略:Dual Thrust //類型:日內(nèi) //Designed By Rogarz //中間變量 input:n(1,1,100,1),K1(0.5,0.1,1,0.1),k2(0.5,0.1,1,0.1),nmin(10,1,100,1),ss(1,1,100,1),n1(70,1,100,1),n2(70,1,100,1); VARIABLE:fl=0; VARIABLE:該筆盈虧:=0;模擬持倉(cāng):=0,模擬開(kāi)倉(cāng)價(jià):=0,模擬平倉(cāng)價(jià):=0,真實(shí)系統(tǒng)下單開(kāi)關(guān):=0; CYC:=barslast(date<>ref(date,1))+1; 昨高:=callstock(stklabel,vthigh,6,-1); 昨低:=callstock(stklabel,vtlow,6,-1); 昨收:=callstock(stklabel,vtclose,6,-1); 開(kāi)盤(pán)價(jià):=valuewhen(cyc=1,open); HH:=hhv(昨高,n);//N日high的最高價(jià) HC:=hhv(昨收,n);//N日close的最高價(jià) LC:=LLV(昨收,n);//N日close的最低價(jià) LL:=LLV(昨低,n);//N日l(shuí)ow的最低價(jià) 浮動(dòng)區(qū)間:=max(HH-LL,HC-LL);//range 上軌:開(kāi)盤(pán)價(jià)+k1*浮動(dòng)區(qū)間; 下軌:開(kāi)盤(pán)價(jià)-K2*浮動(dòng)區(qū)間; t1:=time>opentime(1) and time<closetime(0)-nmin*100; t2:=time>=closetime(0)-nmin*100; 手?jǐn)?shù):=ss; //虧損5000后停止交易 r1:=barslast(day<>ref(day,1)); r2:=ref(asset,r1)-asset<3000; //交易條件 開(kāi)多條件:=cross(c,上軌) and r2 and holding=0; 開(kāi)空條件:=cross(下軌,c) and r2 and holding=0; 交易時(shí)間:=TIME>=091500 AND TIME<143000; //交易系統(tǒng) m.weiqiv.net.cn if 開(kāi)多條件 then BEGIN 開(kāi)多:buy(交易時(shí)間 and cyc>1,手?jǐn)?shù),market); fl:=0; end if 開(kāi)空條件 then BEGIN 開(kāi)空:buyshort(交易時(shí)間 and cyc>1,手?jǐn)?shù),market); fl:=0; end //止損 多頭止損條件:=c<enterprice-N1*mindiff and time<145500; 空頭止損條件:=c>enterprice+n2*mindiff and time<145500; if 多頭止損條件 and holding>0 then begin 多頭止損:sell(1,0,market); end if 空頭止損條件 and holding<0 then BEGIN 空頭止損:sellshort(1,0,market); end //止損和最大獲利后的回調(diào)止贏分三種點(diǎn)位止贏 en:=enterbars; //開(kāi)倉(cāng)歷來(lái)的周期數(shù) enlv:=llv(l,en+1); //開(kāi)倉(cāng)以來(lái)的最低值 enhv:=hhv(h,en+1); //開(kāi)倉(cāng)以來(lái)的最高值 //設(shè)變量 持倉(cāng)狀態(tài)下的最大盈利 win:=0; //最大獲利 m.weiqiv.net.cn win2:=0; //最大獲利幅度 win3:=0; //最大獲利后的最大回調(diào)幅度 if holding > 0 and enterbars > 0 then begin win:=(enhv-enterprice); win2:=(enhv-enterprice)/enterprice*100; win3:=(enhv-c)/win*100; end if holding < 0 and enterbars > 0 then begin win:=(enterprice- enlv); win2:=(enterprice-enlv)/enterprice*100; win3:=(c-enlv)/win*100; end //出現(xiàn)最高盈利后，獲利10---25個(gè)點(diǎn)，按回撤70%止贏 If win>10 and win3>=70 then begin 多倉(cāng)止贏2:SELL(openprofit > 0 and holding>0, 0); 空倉(cāng)止贏2:SELLshort(openprofit > 0 and holding<0, 0); End If win>5 and fl<2 then begin 加多倉(cāng):buy(交易時(shí)間 ,手?jǐn)?shù),market); 加空倉(cāng):buyshort(交易時(shí)間,手?jǐn)?shù),market); fl:=fl+1; End //4K線出場(chǎng) m.weiqiv.net.cn sqsxd:=count(c>ref(c,1),3)=3 and count(c>=o,4)=4,linethick0;//做空時(shí)4K線出場(chǎng) sqsxk:=count(c<ref(c,1),3)=3 and count(c<=o,4)=4; if sqsxk and win<10 and holding>0 then begin 多頭4K線出場(chǎng):sell(1,0,market); end if sqsxd and win<10 and holding<0 then BEGIN 空頭4K線出場(chǎng):sellshort(1,0,market); end if time>=144000 then BEGIN 收盤(pán)平多:sell(1,0,market); 收盤(pán)平空:sellshort(1,0,market); 交易次數(shù):=0; fl:=0; end
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