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INPUT : T20(20,15,60,1) ;
INPUT : T10(10,5,30,1);
INPUT : ATRLEN(20,15,30,1) ;
INPUT : POSNUM(1,1,200,1) ;
INPUT : M(30,1,100,5);
INPUT : N0(2,1,10,1);
INPUT : N1(4,1,10,1);
INPUT : N2(6,1,10,1);
INPUT : M0(0.3,0.01,1,0.01);
INPUT : M1(0.2,0.01,1,0.01);
INPUT : M2(0.1,0.01,1,0.01);
INPUT : M3(0.05,0.01,1,0.01);
//聲明變量
NT := 1 ; //調(diào)試信息帶時(shí)間戳
BUYORDERTHISBAR := 0 ; //當(dāng)前BAR有過交易
VARIABLE:回溯值1:=20; //定義全局變量
VARIABLE:回溯值2:=10; //定義全局變量
VARIABLE : _DEBUG = 1 ; //是否輸出前臺(tái)交易指令
VARIABLE : _TDEBUG = 1 ; //是否輸出后臺(tái)交易指令
VARIABLE : _DEBUGOUT = 0 ; //是否輸出后臺(tái)交易的調(diào)試信息
VARIABLE : MYENTRYPRICE =0 ; //開倉價(jià)格
VARIABLE : MYEXITPRICE =0 ; //平倉價(jià)格
VARIABLE : TURTLEUNITS=0 ; //交易單位
VARIABLE : POSITION=0 ; //倉位狀態(tài)
//0表示沒有倉位，1表示持有多頭， -1表示持有空頭
VARIABLE : T20HI=CLOSE; //20周期的高點(diǎn)
VARIABLE : T20LO=CLOSE; //20周期的低點(diǎn)
VARIABLE : T10HI=CLOSE ; //10周期的高點(diǎn)
VARIABLE : T10LO=CLOSE ; //10周期的低點(diǎn)
//準(zhǔn)備需要計(jì)算的變量
//計(jì)算交易系統(tǒng)主要條件
T20HI := REF(HHV(H,T20),1) ;
T20LO := REF(LLV(L,T20),1) ;
T10HI := REF(HHV(H,T10),1) ;
T10LO := REF(LLV(L,T10),1) ;
AVGTR := REF(MA(TR,ATRLEN),1) ;
R:=2*AVGTR;
A:=AVGENTERPRICE;//平均入場價(jià)格
//多頭浮贏和回撤幅度
H1 := HHV(H,ENTERBARS);//H1表示多頭持倉過程中最高價(jià)
DTFY:=C-A;//多頭持倉過程中浮動(dòng)盈利
DTHTFD:=H1-C;//多頭持倉過程中盈利回撤幅度
DTHTFDBL:=(H1-C)/H1;//多頭持倉過程中盈利回撤幅度比率
//空頭浮贏和回撤幅度
L1:=LLV(L,ENTERBARS); //L1表示空頭持倉過程中最低價(jià)
KTFY:=A-C;//空頭持倉過程中浮動(dòng)盈利
KTHTFD:=C-L1;//空頭持倉過程中盈利回撤幅度
KTHTFDBL:=(C-L1)/L1;//空頭持倉過程中盈利回撤幅度比率
//開始執(zhí)行時(shí) 初始化數(shù)據(jù)
IF BARPOS=1 THEN BEGIN
//POSITION := 0 ;
END //IF
//如果當(dāng)前是沒有持倉的狀態(tài)
IF POSITION=0 AND BARPOS>T20 AND H>L THEN BEGIN
//建立多頭進(jìn)場條件
LONG := H > T20HI ;
//多頭進(jìn)場
IF LONG THEN BEGIN
MYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;
BUY( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);
POSITION := 1 ;
TURTLEUNITS := 1 ;
N := AVGTR ;
BUYORDERTHISBAR := 1;
END //IF
//如果當(dāng)前持有多頭倉位的狀態(tài)
IF POSITION=1 AND BARPOS>T20 AND H>L THEN BEGIN
//多頭加倉條件
WHILE (HIGH>MYENTRYPRICE+0.5*N) AND TURTLEUNITS<1 DO BEGIN
MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+0.5*N ,OPEN ,MYENTRYPRICE+0.5*N ) ;
MYENTRYPRICE := CEILING(MYENTRYPRICE/MINDIFF)*MINDIFF ;
BUY( _DEBUG, POSNUM, LIMITR, MYENTRYPRICE);
TURTLEUNITS := TURTLEUNITS+1 ;
BUYORDERTHISBAR := 1;
END //WHILE
//建立多頭離場條件1.0
LONGX1.0 := (DTFY <N0*R AND DTHTFDBL>=M0);
IF LONGX1.0 AND BUYORDERTHISBAR=0 THEN BEGIN
SELL( _DEBUG ,0,MARKET);
POSITION := 0 ;
TURTLEUNITS := 0 ;
END
//建立多頭離場條件1.1
LONGX1.1 := (DTFY <N1*R AND DTFY >=N0*R AND DTHTFDBL>=M1);
IF LONGX1.1 AND BUYORDERTHISBAR=0 THEN BEGIN
SELL( _DEBUG ,0,MARKET);
POSITION := 0 ;
TURTLEUNITS := 0 ;
END
//建立多頭離場條件1.2
LONGX1.2 := (DTFY <N2*R AND DTFY >=N1*R AND DTHTFDBL>=M2);
IF LONGX1.2 AND BUYORDERTHISBAR=0 THEN BEGIN
SELL( _DEBUG ,0,MARKET);
POSITION := 0 ;
TURTLEUNITS := 0 ;
END
//建立多頭離場條件1.3
LONGX1.3 :=(DTFY >=N2*R AND DTHTFDBL>=M3);
IF LONGX1.3 AND BUYORDERTHISBAR=0 THEN BEGIN
SELL( _DEBUG ,0,MARKET);
POSITION := 0 ;
TURTLEUNITS := 0 ;