開拓者 TB 【震蕩+趨勢混合策略】恒溫器策略【源碼】

作者：開拓者 TB 來源：cxh99.com 發布時間：2013年02月11日

本帖最后由 sorakiraa 于 2013-1-14 09:08 編輯

【震蕩+趨勢混合策略】恒溫器策略

by RogarZ

源碼：
1. Params
2. Numeric bollinglengths(50);
3. Numeric trendliqlength(50);
4. Numeric numstddevs(2);
5. Numeric swingprcnt1(0.5);
6. Numeric swingprcnt2(0.75);
7. Numeric atrlength(10);
8. Numeric swingtrendswitch(50);
9. Vars
10. BoolSeries swing(False);
11. NumericSeries cmival;
12. NumericSeries buyeasierday(0);
13. NumericSeries selleasierday(0);
14. NumericSeries trendlokbuy;
15. NumericSeries trendloksell;
16. NumericSeries trendbuypt;
17. NumericSeries trendsellpt;
18. NumericSeries keyofday;
19. NumericSeries ma1;
20. NumericSeries midd;
21. Numeric swingprotstop;
22. Numeric atr;
23. Numeric swingbuypt;
24. Numeric swingsellpt;
25. Begin
26. Commentary("BarInterval= "+Text(BarInterval));
27. cmival=Abs(Close[1]-Close[31])/(Highest(High[1],30)-Lowest(Low[1],30));
28. trendloksell=Average(Low[1],3*240/BarInterval);
29. trendlokbuy=Average(High[1],3*240/BarInterval);
30. keyofday=(HighD(0)+LowD(0)+CloseD(0))/3;
31. If(Date<>Date[1]){
32. If(CloseD(1)>keyofday[1])
33. {
34. selleasierday=1;//空頭日
35. }Else{
36. buyeasierday=1;//多頭日
37. }
38. }
39. Atr=XAverage(TrueRange,atrlength*240/BarInterval);
40. If(buyeasierday==1){
41. swingbuypt=OpenD(0)+swingprcnt1*atr;
42. swingsellpt=OpenD(0)-swingprcnt2*atr;
43. }
44. If(selleasierday==1){
45. swingbuypt=OpenD(0)+swingprcnt2*atr;
46. swingsellpt=OpenD(0)-swingprcnt1*atr;
47. }
48. swingbuypt=Max(swingbuypt,trendlokbuy);
49. swingsellpt=Min(swingsellpt,trendloksell);
51. PlotNumeric("Buy",swingbuypt);
52. PlotNumeric("Sell",swingsellpt);
54. ma1=Average(Close[1],trendliqlength);//趨勢均線
55. midd=Average(Close[1],bollinglengths);//布林中線
56. trendbuypt=midd+numstddevs*StandardDev(Close[1],bollinglengths);
57. trendsellpt=midd-numstddevs*StandardDev(Close[1],bollinglengths);
59. If(cmival<swingtrendswitch/100)
60. {
61. If(MarketPosition==0&&High[1]>=swingbuypt)
62. //開多倉
63. {
64. Buy(1,Max(Open,swingbuypt));
65. swing=True;
66. }
67. If(MarketPosition==0&&Low[1]<=swingsellpt)
68. //開空倉
69. {
70. SellShort(1,Min(Open,swingsellpt));
71. swing=True;
72. }
73. If(MarketPosition>0&&Low[1]<=swingsellpt)
74. //多頭反手
75. {
76. SellShort(1, Min(Open,swingsellpt));
77. swing=True;
78. }
79. If(MarketPosition<0&&High[1]>=swingbuypt)
80. //空頭反手
81. {
82. Buy(1, Max(Open,swingbuypt));
83. swing=True;
84. }
85. }Else{
86. swingprotstop=atr*3;
87. If(MarketPosition==0&&High[1]>=trendbuypt)
88. //開多倉
89. {
90. Buy(1,Max(Open,trendbuypt));
91. swing=False;
92. }
93. If(MarketPosition==0&&Low[1]<=trendsellpt)
94. //開空倉
95. {
96. SellShort(1,Min(Open,trendsellpt));
97. swing=False;
98. }
99. If(MarketPosition>0&&swing)
100. //多頭止損
101. {
102. If(Low[1]<=EntryPrice-swingprotstop)
103. {
104. Sell(1,Min(Open, EntryPrice-swingprotstop));
105. }Else If(Low[1]<=ma1)
106. {
107. Sell(1,Min(Open,ma1));
108. }
109. }
110. If(MarketPosition<0&&swing)
111. //空頭止損
112. {
113. If(High[1]>=EntryPrice+swingprotstop)
114. {
115. BuyToCover(1,Max(Open, EntryPrice+swingprotstop));
116. }Else If(High[1]>=ma1)
117. {
118. BuyToCover (1,Max(Open,ma1));
119. }
120. }
121. }
123. End

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開拓者 TB 【震蕩+趨勢混合策略】恒溫器策略【源碼】