据说有90%胜率的交易系统

据说有90%胜率的交易系统
据说有90%胜率的交易系统
A system giving over 90% profitable trades.
[博主注：easylanguge语言编写，适用于TS8、MC等软件，使用时去掉中间中文字]
{****************************************************
The Simplest System #3 with Money Management.
Copyright (c) 2002 DT
****************************************************}
Input: Price((H L)*.5), {中间价}
PtUp(4.), PtDn(4.), {Max correction to change trend}
MM_Model(2), {1 = % Risk Model; 2 = % Volatility Model;
3 = Drawdown Model;
4 = Kelly Model;
5 = Williams' Model;
6 = Fixed Ratio Model; 7= Market Money Model}
MM(1), {% Risk parameter}
MM_add(0), {% Risk for playing market money; 0 to disactivate}
MaxVolat(100), {% Risk for playing market money; 100 to disactivate}
MaxDD(20), {% Drawdown 资金回撤率}
InitCapital(100000); {Initial capital to trade 开始资金}
Vars:LL(99999), HH(0), Trend(0), Volat(TrueRange);MP(0), Risk(Range), Num(1),
add_num(0), red_num(0),
FRDelta(0),DD(0),Equity(InitCapital), TotalEquity(InitCapital), EqTop(InitCapital),AssuredProfit(0), HPositionProfit(0), Kelly(0);
MP = MarketPosition;
Volat = .5 * TrueRange .5*Volat[1];
if MP <= 0 then
begin
if Price < LL then LL = Price;
if Price cross above LL*(1+PtUp*.01) then
begin
Trend = 1;
HH = Price;
end;
end;
if MP >= 0 then begin
if Price > HH then HH = Price;
if Price cross below HH*(1 - PtDn*.01) then
begin
Trend = -1;
LL = Price;
end;
end;
If trend = 1 then Risk = PtDn * .01 * close { Slippage};
If trend = -1 then Risk = PtUp * .01 * close { Slippage};
HPositionProfit = maxlist( OpenPositionProfit, HPositionProfit);
AssuredProfit = HPositionProfit - Risk;
Equity = InitCapital NetProfit;
TotalEquity = Equity OpenPositionProfit;
EqTop = MaxList(EqTop, TotalEquity);
if MM_Model = 1 then { % Risk Model }
Num = floor(MM * Equity *.01/Risk);
if MM_Model = 2 then { % Volatility Model }
Num = floor(MM * Equity *.01/ Volat / BigPointValue );
if MM_Model = 3 then begin { Drawdown Model }
Num = floor(MM * (Equity - (1 - MaxDD*.01) * EqTop) * .01 / Volat /
BigPointValue);
end;
if MM_Model = 4 then
begin { Kelly Model }
If TotalTrades > 20 and GrossProfit > 0 then
Kelly = NumWinTrades/TotalTrades * (1 - GrossLoss/GrossProfit)
else
Kelly = 0.1;
if Kelly > .9 then Kelly = .9;
Num = floor(MM * Kelly * Equity * .01 / Risk);{Print(Kelly);}
end;
if MM_Model = 5 then
begin { Larry Williams' Model }
value11 = MaxList(-LargestLosTrade / MaxList(CurrentContracts, 1) , Risk);
Num = floor(MM * Equity *.01 / value11);
end;
if MM_Model = 6 then
begin { Fixed Ratio Model }
{ DD = MaxList(DD, (EqTop - TotalEquity)/MaxList(CurrentContracts, 1)) ; {Max
Drawdown}
if TotalTrades > 20 and DD > 0 then FRDelta = MM * DD *.01 else }
FRDelta = MM * volat * BigPointValue * .01; {Delta}
value12 = MaxList(Equity - .5*close*(close FRDelta)/FRDelta, 0.25);
Num = floor(SquareRoot(2*value12/FRDelta .25) .5);
end;
if MM_Model = 7 then { Playing the market money }
num = floor((MM * (InitCapital MinList(NetProfit, 0)) MM_add *
MaxList(NetProfit, 0)) * .01 / Volat / BigPointValue);
{ Entries}
if trend = 1 and trend[1] <> 1 then buy("Trend.LE") num contracts at market;
if trend = -1 and trend[1] <> -1 then sell("Trend.SE") num contracts at market;
add_num = floor( MM_add * AssuredProfit * .01/ Volat / BigPointValue);
{ Assured Profit Pyramiding }
if add_num > 0 and OpenPositionProfit > Volat * BigPointValue then
begin
if Trend = 1 and MP = 1 then buy("Add.LE") add_num contracts at market;
if Trend = -1 and MP = -1 then sell("Add.SE") add_num contracts at market;
end;
red_num = floor((CurrentContracts * Volat * BigPointValue - MaxVolat *
TotalEquity * .01)/ close);
if red_num > 0 then
begin
if Trend = 1 and MP = 1 then exitlong("Red.LX") red_num contracts at market;
if Trend = -1 and MP = -1 then exitshort("Red.SX") red_num contracts at market;
end;
if Num < 1 then Num = 1;
这个系统很简单的，大概说明以下：
1 从“MP = MarketPosition; ”开始才是指令，前面为参数说明，变量定义
2 MarketPosition表示多头空头，这是一个双向交易系统，多头、空头规则不同
3 然后是一段趋势跟踪：
if MP <= 0 then begin
if Price < LL then LL = Price;
if Price cross above LL*(1 PtUp*.01) then begin
Trend = 1;
HH = Price;
end;
end;
if MP >= 0 then begin
if Price > HH then HH = Price;
if Price cross below HH*(1 - PtDn*.01) then begin
Trend = -1;
LL = Price;
end;
end;
4 然后是一段风险计算指令
If trend = 1 then Risk = PtDn * .01 * close { Slippage};
If trend = -1 then Risk = PtUp * .01 * close { Slippage};
HPositionProfit = maxlist( OpenPositionProfit, HPositionProfit);
AssuredProfit = HPositionProfit - Risk
5 然后是头寸计算指令，一共有7种模型
... ...
6 然后是开仓指令
{ Entries}
if trend = 1 and trend[1] <> 1 then buy("Trend.LE") num contracts at market;
if trend = -1 and trend[1] <> -1 then sell("Trend.SE") num contracts at market;
交易采用市价指令，趋势变化时发出，trend[1]相当于ref(trend,1)
7 然后是加仓指令
if Trend = 1 and MP = 1 then buy("Add.LE") add_num contracts at market;
if Trend = -1 and MP = -1 then sell("Add.SE") add_num contracts at market;
多头趋势多头市场继续买，空头趋势空头市场继续卖
8 最后一段是平仓指令。