金字塔自带交易系统

{肯特纳系统}RUNMODE:0;//中间变量INPUT:AVGLENGTH(40),ATRLENGTH(40),SS(1,1,10000,1);//定义参数值MA1:=REF(MA((HIGH+LOW+CLOSE)/3,AVGLENGTH),1);//定义MA1手数:=ss;//交易条件UPPERBAND:=MA1+REF(MA(TR,ATRLENGTH),1);//上轨LOWERBAND:=MA1-REF(MA(TR,ATRLENGTH),1);//下轨ìENTRYLONGCOND:=MA1>REF(MA1,1) AND HIGH>=UPPERBAND;//开多条件EXITLONGCOND:=LOW<=MA1;//平多条件ENTRYSHORTCOND:=MA1<REF(MA1,1) AND LOW<=LOWERBAND;//开空条件EXITSHORTCOND:=HIGH>=MA1;//平空条件//交易系统IF HOLDING=0 THEN BEGIN //若持仓为0IF ENTRYLONGCOND THEN //且满足开多条件BUY(1,ÊÖÊý,LIMITR,MAX(OPEN,UPPERBAND));//开多单ENDIF HOLDING=0 THEN BEGIN//若持仓为0IF ENTRYSHORTCOND THEN//且满足开空条件BUYSHORT(1,ÊÖÊý,LIMITR,MIN(OPEN,LOWERBAND));//开空单ENDIF HOLDING>0 THEN BEGIN//若持有多单IF EXITLONGCOND THEN//且满足平多条件SELL(1,HOLDING,LIMITR,MIN(OPEN,MA1));//平多单ENDIF HOLDING<0 THEN BEGIN//若持有空单IF EXITSHORTCOND THEN//且满足平空条件SELLSHORT(1,HOLDING,LIMITR,MAX(OPEN,MA1));//平空单END//其他当前持仓:HOLDING,COLORGRAY,LINETHICK0;当前资产:ASSET,NOAXIS,COLORGRAY;{移动止损范例}//*************特别注意：由于图表交易系统通常运行在走完一根K线模式下，本范例所给出的移动止损范例只是反映移动止损的逻辑思想。

在资金回落幅度判断过程中，只是拿每一根K线的收盘价作为统计对象，因此丢失了一些时间细节。

与真正的移动止损相比，这种图表移动止损是有时间延迟的，在使用过程中应当了解这种运行机制，避免不当使用造成的风险。

//*************//定义参数INPUT:N1(5,1,100,10),N2(10,1,120,10),N3(20,1,200,20),N4(60,1,200,20);//绘制四条均线MA1:MA(C,N1);MA2:MA(C,N2);MA3:MA(C,N3);MA4:MA(C,N4);//下单条件COND1:=CROSS(MA2,MA1);COND2:=CROSS(MA1,MA2);//移动止损部分************************//求出持仓以来的最高价或最低价，通过与当前价做比较，判断资金回落的幅度DTYDZS:=(HHV(H,ENTERBARS)-CLOSE)/AVGENTERPRICE>=0.1;KTYDZS:=(CLOSE-LLV(L,ENTERBARS))/AVGENTERPRICE>=0.1;SELL(DTYDZS,0,MARKET);SELLSHORT(KTYDZS,0,MARKET);//*************************************//下单SELL(COND2,0,MARKET);SELLSHORT(COND1,0,MARKET);BUY(COND1,30%,MARKET);BUYSHORT(COND2,30%,MARKET);//其他当前持仓:HOLDING,COLORGRAY,LINETHICK0;当前资产:ASSET,NOAXIS,COLORGRAY;{日内均线交易系统范例}//参数设置INPUT:P(1,0,200,1){建仓量},P1(2,0,50,1){初始止损幅度}，P2(5,2,100,1){止盈幅度}，P3(30,5,60,5){回撤幅度};VARIABLE:MAXPROFIT=0,{有仓位时最大获利幅度}VMIN = 090000;{用于隔夜高开或低开时间差}WIN1:=0;WIN2:=0;//止盈、止损、回撤控制//////////////////////////////////////////////////////////////////////////账户信息当前持仓:HOLDING,COLORGRAY,LINETHICK0;当前资产:ASSET,NOAXIS,COLORGRAY;可用现金:CASH(0),PRECISION0,LINETHICK0;胜率:PERCENTWIN,LINETHICK0;交易次数:TOTALTRADE,LINETHICK0;//////////////////////////////////////////////////////////////////////////主程序///////////////////信号模块，该模块主用于多空头及平仓信号的量化{示例如下：开多，当MA10上穿MA20时，发出买入开仓交易指令；平空：当MA10上穿MA5时，发出卖出平仓交易指令；平多：当MA5上穿MA10时，发出买入平仓交易指令；开空：当MA10下穿MA20时，发出开空交易指令}MA5: MA(CLOSE,5),PRECISION0,;MA10:MA(CLOSE,10),PRECISION0,;MA20:MA(CLOSE,20),PRECISION0,;开多:=CROSS(MA10,MA20);平多:=CROSS(MA5,MA10);开空:=CROSS(MA20,MA10);平空:=CROSS(MA10,MA5);交易时间:=TIME>VMIN AND TIME<150000;//////////////////图表日内交易模块:IF HOLDING=0 THEN BEGIN//多头开仓IF 交易时间AND 开多THEN BEGINBUY(1,P,LIMITR,CLOSE);MAXPROFIT:=0;END//空头开仓IF 交易时间AND 开空THEN BEGINBUYSHORT(1,P,LIMITR,CLOSE);MAXPROFIT:=0;ENDENDIF HOLDING>0 THEN BEGIN//多头平仓IF 平多THENSELL(1,HOLDING,LIMITR,CLOSE);//多头收盘平仓IF NOT(交易时间) THENSELL(1,HOLDING,LIMITR,CLOSE);//盈亏计算IF ENTERBARS>0 THEN BEGINWIN1:=(C-ENTERPRICE)/ENTERPRICE*100;IF WIN1>MAXPROFIT THENMAXPROFIT:=WIN1;WIN2:=(MAXPROFIT-WIN1)/MAXPROFIT*100;END//多头初始浮亏P1%止损IF WIN1<-P1 THENSELL(1,HOLDING,LIMITR,CLOSE);//多头利润大于P2%止盈IF WIN1>P2 THENSELL(1,HOLDING,LIMITR,CLOSE);//多头获利后回撤P3%止盈IF WIN2>P3 AND OPENPROFIT>0 THENSELL(1,HOLDING,LIMITR,CLOSE);ENDIF HOLDING<0 THEN BEGIN//空头平仓IF 平空THENSELLSHORT(1,HOLDING,LIMITR,CLOSE);//空头收盘平仓IF NOT(交易时间) THENSELLSHORT(1,HOLDING,LIMITR,CLOSE);//盈亏计算IF ENTERBARS>0 THEN BEGINWIN1:=(ENTERPRICE-C)/ENTERPRICE*100;IF WIN1>MAXPROFIT THENMAXPROFIT:=WIN1;WIN2:=(MAXPROFIT-WIN1)/MAXPROFIT*100;END//空头初始浮亏超过P1%止损IF WIN1<-P1 THENSELLSHORT(1,HOLDING,LIMITR,CLOSE);//空头利润大于P2%止盈IF WIN1>P2 THENSELLSHORT(1,HOLDING,LIMITR,CLOSE);//空头获利后回撤P3%止盈IF WIN2>P3 AND OPENPROFIT>0 THENSELLSHORT(1,HOLDING,LIMITR,CLOSE);END{双向海龟交易系统}//适用于多时间框架图表//这个版本可以用于在图表上显示信号，也可以做自动交易//同一根K线多次发出指令// DESIGNED BY LIKAI// 2010.07.16//声明参数INPUT : T20(20,15,60,1) ;INPUT : T10(10,10,30,1);INPUT : ATRLEN(20,15,30,1) ;INPUT : POSNUM(1,1,20,1) ;//声明变量NT := 1 ; //调试信息带时间戳BUYORDERTHISBAR := 0 ; //当前BAR有过交易VARIABLE : _DEBUG = 1 ; //是否输出前台交易指令VARIABLE : _TDEBUG = 1 ; //是否输出后台交易指令VARIABLE : _DEBUGOUT = 0 ; //是否输出后台交易的调试信息VARIABLE : MYENTRYPRICE =0 ; //开仓价格VARIABLE : MYEXITPRICE =0 ; //平仓价格VARIABLE : TURTLEUNITS=0 ; //交易单位VARIABLE : POSITION=0 ; //仓位状态//0表示没有仓位，1表示持有多头，-1表示持有空头VARIABLE : T20HI=CLOSE ; //20周期的高点VARIABLE : T20LO=CLOSE ; //20周期的低点VARIABLE : T10HI=CLOSE ; //10周期的高点VARIABLE : T10LO=CLOSE ; //10周期的低点//准备需要计算的变量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) ;//开始执行时初始化数据IF BARPOS=1 THEN BEGIN//POSITION := 0 ;END //IF//如果当前是没有持仓的状态IF POSITION=0 AND BARPOS>T20 AND H>L THEN BEGIN//建立多头进场条件LONG := H > T20HI ;//多头进场IF LONG THEN BEGINMYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;BUY( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);POSITION := 1 ;TURTLEUNITS := 1 ;N := AVGTR ;BUYORDERTHISBAR := 1;END //IF//建立空头进场条件SHORT := L < T20LO ;//空头进场IF SHORT AND POSITION=0 THEN BEGINMYENTRYPRICE := IF(OPEN<T20LO-MINDIFF ,OPEN ,T20LO-MINDIFF ) ;BUYSHORT( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);POSITION := -1 ;TURTLEUNITS := 1 ;N := AVGTR ;BUYORDERTHISBAR := 1;END//不要跳转，让程序检查同一根K线是否可以加仓//GOTO CONTINUELINE ;END //IF//如果当前持有多头仓位的状态IF POSITION=1 AND BARPOS>T20 AND H>L THEN BEGIN//多头加仓条件WHILE (HIGH>MYENTRYPRICE+0.5*N) AND TURTLEUNITS<4 DO BEGINMYENTRYPRICE := 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//建立多头离场条件LONGX1 := (LOW < T10LO) ;IF LONGX1 AND BUYORDERTHISBAR=0 THEN BEGINMYEXITPRICE := IF(OPEN<T10LO-MINDIFF ,OPEN ,T10LO-MINDIFF ) ;SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);POSITION := 0 ;TURTLEUNITS := 0 ;END//建立多头止损条件LONGX2 := (LOW<MYENTRYPRICE-2*N) ;IF LONGX2 AND POSITION=1 AND BUYORDERTHISBAR=0 THEN BEGINMYEXITPRICE := IF(OPEN<MYENTRYPRICE-2*N ,OPEN ,MYENTRYPRICE-2*N ) ;MYEXITPRICE := FLOOR(MYEXITPRICE/MINDIFF)*MINDIFF ;SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);POSITION := 0 ;TURTLEUNITS := 0 ;ENDGOTO CONTINUELINE ;END //IF//如果当前持有空头仓位的状态IF POSITION = -1 AND BARPOS>T20 AND H>L THEN BEGIN//空头加仓条件WHILE (LOW<MYENTRYPRICE-0.5*N) AND TURTLEUNITS<4 DO BEGINMYENTRYPRICE := IF(OPEN<MYENTRYPRICE-0.5*N ,OPEN ,MYENTRYPRICE-0.5*N ) ;MYENTRYPRICE := FLOOR(MYENTRYPRICE/MINDIFF)*MINDIFF ;BUYSHORT( _DEBUG,POSNUM, LIMITR, MYENTRYPRICE);TURTLEUNITS := TURTLEUNITS+1 ;BUYORDERTHISBAR := 1;END //IF//建立空头离场条件SHORTX1 := H > T10HI ;IF SHORTX1 AND BUYORDERTHISBAR=0 THEN BEGINMYEXITPRICE := IF(OPEN>T10HI+MINDIFF ,OPEN ,T10HI+MINDIFF ) ;SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);POSITION := 0 ;TURTLEUNITS := 0 ;END//建立空头止损条件SHORTX2 := HIGH > MYENTRYPRICE + 2*N ;IF SHORTX2 AND POSITION = -1 AND BUYORDERTHISBAR=0 THEN BEGINMYEXITPRICE := IF(OPEN>MYENTRYPRICE+2*N ,OPEN ,MYENTRYPRICE+2*N ) ;MYEXITPRICE := CEILING(MYEXITPRICE/MINDIFF)*MINDIFF ;SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);POSITION := 0 ;TURTLEUNITS := 0 ;ENDEND //IF//显示账户状态CONTINUELINE@ 资产:ASSET,LINETHICK0;可用现金:CASH(0),LINETHICK0;POS:HOLDING,LINETHICK0;交易次数:TOTALDAYTRADE, LINETHICK0 ;IF _DEBUGOUT>0 THEN BEGINDEBUGFILE2('C:\DEBUGFILE.TXT','BARPOS=%.0F' ,BARPOS,NT ) ;DEBUGFILE2('C:\DEBUGFILE.TXT','T20HI=%.2F' ,T20HI ,NT) ;DEBUGFILE2('C:\DEBUGFILE.TXT','N=%.2F' ,N ,NT) ;DEBUGFILE2('C:\DEBUGFILE.TXT','CLOSE=%.2F' ,C ,NT) ;DEBUGFILE2('C:\DEBUGFILE.TXT','POSITION=%.0F' ,POSITION,NT ) ;DEBUGFILE2('C:\DEBUGFILE.TXT','TURTLEUNITS=%.0F' ,TURTLEUNITS,NT ) ;DEBUGFILE2('C:\DEBUGFILE.TXT','MYENTRYPRICE=%.0F' ,MYENTRYPRICE ,NT) ;DEBUGFILE2('C:\DEBUGFILE.TXT','MYEXITPRICE=%.0F' ,MYEXITPRICE ,NT) ; END //IF当前持仓:HOLDING,COLORGRAY,LINETHICK0;当前资产:ASSET,NOAXIS,COLORGRAY;【日内策略】R-Breaker 发帖心情 Post By：2012/10/29 22:01:44 [只看该作者]R-Breaker是个经典的具有长生命周期的日内模型。