前輩，麻煩幫我看看這個海龜代碼，謝謝
作者：MC 來源：cxh99.com 發(fā)布時間：2015年01月07日
- 咨詢內(nèi)容：
我剛接觸MC不久，網(wǎng)上淘來一段Tradestation海龜策略代碼，導入MC后編譯不能通過。以下是代碼部分：
vars: N(0),StopLoss(1),DV(0),BB(0),AccountBalance(0),DollarRisk(0),LTT(0),
Tracker(0),LastTrade(0),HBP(0),LBP(0); input: InitialBalance(10000000);
{/// Turtle 20-Day Breakout Replica //////////////////////////////////////}
if marketposition = 0 then begin
BB = 0;
N = AvgTrueRange(20); DV = N*BigPointValue;
AccountBalance = InitialBalance;
DV = N * BigPointValue;
{AccountBalance = InitialBalance + netprofit;}
DollarRisk = AccountBalance * .01;
LTT = IntPortion(DollarRisk/DV);
StopLoss = 2 * DV * LTT;
if LastTrade = -1 then begin
buy LTT shares next bar highest(h,20) or higher;
buy LTT shares next bar highest(h,20) + (0.5*N) or higher;
buy LTT shares next bar highest(h,20) + (1.0*N) or higher;
buy LTT shares next bar highest(h,20) + (1.5*N) or higher;
Sell LTT shares next bar lowest(l,20) or lower;
Sell LTT shares next bar lowest(l,20) - (0.5*N) or lower;
Sell LTT shares next bar lowest(l,20) - (1.0*N) or lower;
Sell LTT shares next bar lowest(l,20) - (1.5*N) or lower;
end;
if LastTrade = 1 then begin
buy LTT shares next bar highest(h,55) or higher;
buy LTT shares next bar highest(h,55) + (0.5*N) or higher;
buy LTT shares next bar highest(h,55) + (1.0*N) or higher;
buy LTT shares next bar highest(h,55) + (1.5*N) or higher;
Sell LTT shares next bar lowest(l,55) or lower;
Sell LTT shares next bar lowest(l,55) - (0.5*N) or lower;
Sell LTT shares next bar lowest(l,55) - (1.0*N) or lower;
Sell LTT shares next bar lowest(l,55) - (1.5*N) or lower;
end;
end;
{// PREVIOUS TRADE TRACKER}
if HBP = 0 and h > highest(h,19)[1] then begin
Tracker = 1; HBP = h; LBP = 0;
end;
if LBP = 0 and l < lowest(l,19)[1] then begin
Tracker = -1; LBP = l; HBP = 0;
end;
if Tracker = 1 then begin
if l < HBP - (2*N) then LastTrade = -1;
if h > HBP + (4*N) then LastTrade = 1;
end;
if Tracker = -1 then begin
if h > LBP + (2*N) then LastTrade = -1;
if l < LBP - (4*N) then LastTrade = 1;
end;
{// LONG 20 }
if LastTrade = -1 and marketposition = 1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
buy LTT shares next bar highest(h,20)[BB] + (0.5*N) or higher;
buy LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,20)[BB]+ (1.5*N) or higher;
end;
if currentcontracts = LTT * 2 then begin
buy LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
if currentcontracts = LTT * 3 then
buy LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
{// LONG 55}
if LastTrade = 1 and marketposition = 1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
buy LTT shares next bar highest(h,55)[BB] + (0.5*N) or higher;
buy LTT shares next bar highest(h,55)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,55)[BB]+ (1.5*N) or higher;
end;
if currentcontracts = LTT * 2 then begin
buy LTT shares next bar highest(h,55)[BB] + (1.0*N) or higher;
buy LTT shares next bar highest(h,55)[BB] + (1.5*N) or higher;
end;
if currentcontracts = LTT * 3 then
buy LTT shares next bar highest(h,55)[BB] + (1.5*N) or higher;
end;
ExitLong ("out-S") next bar lowest(l,10) or lower;
{// SHORT 20 }
if LastTrade = -1 and marketposition = -1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
Sell LTT shares next bar lowest(l,20)[BB] - (0.5*N) or lower;
Sell LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;
Sell LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 2 then begin
Sell LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;
Sell LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 3 then
Sell LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
{// SHORT 55 }
if LastTrade = 1 and marketposition = -1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
Sell LTT shares next bar lowest(l,55)[BB] - (0.5*N) or lower;
Sell LTT shares next bar lowest(l,55)[BB] - (1.0*N) or lower;
Sell LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 2 then begin
Sell LTT shares next bar lowest(l,55)[BB] - (1.0*N) or lower;
Sell LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 3 then
Sell LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
ExitShort ("out-B") next bar highest(h,10) or higher;
{// STOPS}
if currentcontracts = (2 * LTT) then StopLoss = DV * 3.5 * LTT;
if currentcontracts = (3 * LTT) then StopLoss = DV * 4.5 * LTT;
if currentcontracts = (4 * LTT) then StopLoss = DV * 5.0 * LTT;
setstoploss (StopLoss);
{// COMMENTARY}
commentary ("LTT: ",LTT,Newline);
commentary ("currentcontracts: ",currentcontracts,Newline);
commentary ("StopLoss: ",StopLoss,Newline);
commentary ("AccountBalance:",AccountBalance,NewLine);
commentary ("LastTrade: ",LastTrade,NewLine);
編譯時遇到問題，ExitShort 和 ExitLong 不能通過，這是兩個函數(shù)？是否這段代碼少了這個函數(shù)的內(nèi)容呢？我根據(jù)語法大概意思，用buytocover替換ExitLong，用sell替換ExitShort 。能夠編譯通過，但是圖表只有2個信號，與海龜法則相去甚遠。不知道是這段代碼不完整？還是Tradestation的程序在MC上需要做些修改才能使用呢？
- MC技術部：
我們網(wǎng)站上找到一個海龜?shù)恼n程，老師講授的課程剛好就是這個代碼，可惜沒有完整版提供，我根據(jù)老師上課內(nèi)容對上面代碼做了些修改，但是圖表上還是沒有信號。不知道問題出在哪里？下面我把我修改的代碼附上，麻煩老師有時間幫我看下，謝謝
[IntrabarOrderGeneration = True]
input: InitialBalance(200000);
vars: N(0),StopLoss(1),DV(0),BB(0),
AccountBalance(0),DollarRisk(0),system(0),
LTT(0),Tracker(0),LastTrade(0),HBP(0),LBP(0);
{/// Turtle 20-Day Breakout Replica //////////////////////////////////////}
if marketposition = 0 then begin
BB = 0;
N = AvgTrueRange(20);
DV = N * BigPointValue;
{AccountBalance = InitialBalance;}
AccountBalance = InitialBalance + netprofit;
DollarRisk = AccountBalance * 0.01;
LTT = IntPortion(DollarRisk/DV/2);
StopLoss = 2 * DV * LTT;
if LastTrade = -1 then begin
buy ("b20-1") LTT shares next bar highest(h,20) or higher;
buy ("b20-2") LTT shares next bar highest(h,20) + (0.5*N) or higher;
buy ("b20-3") LTT shares next bar highest(h,20) + (1.0*N) or higher;
buy ("b20-4") LTT shares next bar highest(h,20) + (1.5*N) or higher;
Sell("s20-1") LTT shares next bar lowest(l,20) or lower;
Sell("s20-2") LTT shares next bar lowest(l,20) - (0.5*N) or lower;
Sell("s20-3") LTT shares next bar lowest(l,20) - (1.0*N) or lower;
Sell("s20-4") LTT shares next bar lowest(l,20) - (1.5*N) or lower;
system = 1;
end;
if LastTrade = 1 then begin
buy ("b55-1") LTT shares next bar highest(h,55) or higher;
buy ("b55-2") LTT shares next bar highest(h,55) + (0.5*N) or higher;
buy ("b55-3") LTT shares next bar highest(h,55) + (1.0*N) or higher;
buy ("b55-4") LTT shares next bar highest(h,55) + (1.5*N) or higher;
Sell ("s55-1") LTT shares next bar lowest(l,55) or lower;
Sell ("s55-2") LTT shares next bar lowest(l,55) - (0.5*N) or lower;
Sell ("s55-3") LTT shares next bar lowest(l,55) - (1.0*N) or lower;
Sell ("s55-4") LTT shares next bar lowest(l,55) - (1.5*N) or lower;
system = 2;
end;
end;
{// PREVIOUS TRADE TRACKER}
if HBP = 0 and h > highest(h,19)[1] then begin
Tracker = 1; HBP = h; LBP = 0;
end;
if LBP = 0 and l < Lowest(l,19)[1] then begin
Tracker = -1; LBP = l; HBP = 0;
end;
//if LBP = 0 and l HBP + (4*N) then LastTrade = 1;
// end;
if Tracker = 1 then begin
if l < HBP - (2*N) then LastTrade = -1;
if h > HBP + (4*N) then LastTrade = 1;
end;
if Tracker = -1 then begin
if h > LBP + (2*N) then LastTrade = -1;
if l < LBP - (4*N) then LastTrade = 1;
end;
{// LONG 20 }
if LastTrade = -1 and marketposition = 1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
buy ("b20-2+") LTT shares next bar highest(h,20)[BB] + (0.5*N) or higher;
buy ("b20-3+")LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy ("b20-4+")LTT shares next bar highest(h,20)[BB]+ (1.5*N) or higher;
end;
if currentcontracts = LTT * 2 then begin
buy ("bf20-3++") LTT shares next bar highest(h,20)[BB] + (1.0*N) or higher;
buy ("bf20-4++") LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
if currentcontracts = LTT * 3 then
buy ("bf20-4+++") LTT shares next bar highest(h,20)[BB] + (1.5*N) or higher;
end;
{// LONG 55}
if LastTrade = 1 and marketposition = 1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
buy ("b55-2+") LTT shares next bar highest(h,55)[BB] + (0.5*N) or higher;
buy ("b55-3+") LTT shares next bar highest(h,55)[BB] + (1.0*N) or higher;
buy ("b55-4+") LTT shares next bar highest(h,55)[BB]+ (1.5*N) or higher;
end;
if currentcontracts = LTT * 2 then begin
buy ("b55-3++") LTT shares next bar highest(h,55)[BB] + (1.0*N) or higher;
buy ("b55-4++")LTT shares next bar highest(h,55)[BB] + (1.5*N) or higher;
end;
if currentcontracts = LTT * 3 then
buy ("b55-4+++") LTT shares next bar highest(h,55)[BB] + (1.5*N) or higher;
end;
sell("out-S") next bar lowest(l,10) or lower;
{// SHORT 20 }
if LastTrade = -1 and marketposition = -1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
SellShort ("s20-2+") LTT shares next bar lowest(l,20)[BB] - (0.5*N) or lower;
SellShort ("s20-3+") LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;
SellShort ("s20-4+") LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 2 then begin
SellShort ("s20-3++") LTT shares next bar lowest(l,20)[BB] - (1.0*N) or lower;
SellShort ("s20-4++") LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 3 then
SellShort ("s20-4+++") LTT shares next bar lowest(l,20)[BB] - (1.5*N) or lower;
end;
{// SHORT 55 }
if LastTrade = 1 and marketposition = -1 then begin
BB = BB + 1;
if currentcontracts = LTT then begin
SellShort ("s55-2+") LTT shares next bar lowest(l,55)[BB] - (0.5*N) or lower;
SellShort ("s55-3+") LTT shares next bar lowest(l,55)[BB] - (1.0*N) or lower;
SellShort ("s55-4+") LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 2 then begin
SellShort ("s55-3++") LTT shares next bar lowest(l,55)[BB] - (1.0*N) or lower;
SellShort ("s55-4++") LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
if currentcontracts = LTT * 3 then
SellShort ("s55-4+++") LTT shares next bar lowest(l,55)[BB] - (1.5*N) or lower;
end;
buytocover ("out-B") next bar highest(h,10) or higher;
{// STOPS}
if currentcontracts = (2 * LTT) then StopLoss = DV * 3.5 * LTT;
if currentcontracts = (3 * LTT) then StopLoss = DV * 4.5 * LTT;
if currentcontracts = (4 * LTT) then StopLoss = DV * 5.0 * LTT;
setstoploss (StopLoss);
{// COMMENTARY}
commentary ("LTT: ",LTT,Newline);
commentary ("currentcontracts: ",currentcontracts,Newline);
commentary ("StopLoss: ",StopLoss,Newline);
commentary ("AccountBalance:",AccountBalance,NewLine);
commentary ("LastTrade: ",LastTrade,NewLine);
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