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開拓者CXH99唐奇安通道交易策略源碼
Params
Numeric LongLength(20); // 長周期
Numeric ShortLength(10); // 短周期
Numeric TrailingScale(0.5); // 增倉比例
Numeric StopLossSet(2); // 止損比例
Numeric Lots(1); // 交易數(shù)量
Vars
Numeric MinPoint; // 最小變動單位
NumericSeries AvgTR; // ATR
Numeric N; // N 值
NumericSeries DonchianHi; // 唐奇安通道上軌，延后1個Bar
NumericSeries DonchianLo; // 唐奇安通道下軌，延后1個Bar
Numeric ExitHighestPrice; // 離市時判斷需要的N周期最高價
Numeric ExitLowestPrice; // 離市時判斷需要的N周期最低價
Numeric myEntryPrice; // 開倉價格
Numeric myExitPrice; // 平倉價格
Bool SendOrderThisBar(False); // 當(dāng)前Bar有過交易
NumericSeries preEntryPrice(0); // 前一次開倉的價格
Begin
If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
} Else
{
preEntryPrice = preEntryPrice[1];
}
AvgTR = XAverage(TrueRange,LongLength);
N = AvgTR[1];
DonchianHi = HighestFC(High[1],LongLength);
DonchianLo = LowestFC(Low[1],LongLength);
ExitLowestPrice = LowestFC(Low[1],ShortLength);
ExitHighestPrice = HighestFC(High[1],ShortLength);
Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
PlotNumeric("上軌",DonchianHi);
PlotNumeric("下軌",DonchianLo);
PlotNumeric("退出上軌",ExitHighestPrice);
PlotNumeric("退出下軌",ExitLowestPrice);
/*/////////////////////////////////開倉////////////////////////////////////////*/
If(MarketPosition == 0 && High > DonchianHi)
{
myEntryPrice = min(high,DonchianHi);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
preEntryPrice = myEntryPrice;
Buy(Lots,myEntryPrice);
SendOrderThisBar = True;
}
If(MarketPosition == 0 && Low < DonchianLo)
{
myEntryPrice = max(low,DonchianLo);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
preEntryPrice = myEntryPrice;
SendOrderThisBar = True;
SellShort(Lots,myEntryPrice);
}
/*///////////////////////////////止盈加倉////////////////////////////////////*/
If(MarketPosition == 1)
{
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
If(Low < ExitLowestPrice)
{
myExitPrice = max(Low,ExitLowestPrice);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平
}Else
{
If(preEntryPrice!=InvalidNumeric)
{
If(Open >= preEntryPrice + TrailingScale*N) // 如果開盤就超過設(shè)定的1/2N,則直接用開盤價增倉。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
Buy(Lots,myEntryPrice);
SendOrderThisBar = True;
}
while(High >= preEntryPrice + TrailingScale*N) // 以最高價為標(biāo)準(zhǔn)，判斷能進行幾次增倉
{
myEntryPrice = preEntryPrice + TrailingScale * N;
preEntryPrice = myEntryPrice;
Buy(Lots,myEntryPrice);
SendOrderThisBar = True;
}
}
/*///////////////////////////////////止損策略///////////////////////////////*/
If(Low <= preEntryPrice - StopLossSet * N && SendOrderThisBar == false) // 加倉Bar不止損
{
myExitPrice = preEntryPrice - StopLossSet * N;
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉
}
} // www.chengxuhuajiaoyi.com
}Else If(MarketPosition ==-1) // 有空倉的情況
{
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
If(High > ExitHighestPrice)
{
myExitPrice = Min(High,ExitHighestPrice);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉
}Else
{
If(preEntryPrice!=InvalidNumeric)
{
If(Open <= preEntryPrice - TrailingScale*N) // 如果開盤就超過設(shè)定的1/2N,則直接用開盤價增倉。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
SellShort(Lots,myEntryPrice);
SendOrderThisBar = True;
}
while(Low <= preEntryPrice - TrailingScale*N) // 以最低價為標(biāo)準(zhǔn)，判斷能進行幾次增倉
{
myEntryPrice = preEntryPrice - TrailingScale * N;
preEntryPrice = myEntryPrice;
SellShort(Lots,myEntryPrice);
SendOrderThisBar = True;
}
}
/*///////////////////////////////////止損策略///////////////////////////////*/
If(High >= preEntryPrice + StopLossSet * N && SendOrderThisBar==false) // 加倉Bar不止損
{
myExitPrice = preEntryPrice + StopLossSet * N;
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉
}
}
}
End