用于股指期貨的突破交易策略源碼及解析

input:n1(32,6,50,1);

W1:=-100*(HHV(H,N1)-C)/(HHV(H,N1)-LLV(L,N1))+50;
T1:=TIME>093000 AND TIME<143500;
T2:=TIME>150500;

if W1>45 AND REF(ANY(W1>45,9),1) then begin
 sellshort(holding<0, 0, thisclose);
 buy(holding=0 AND T1, 1, thisclose);
 end

if HHV(H,5)>1.0094*C OR T2 then sell(holding>0, 0, thisclose);

if W1<-45 AND REF(ANY(W1<-45,9),1) then begin
 sell(holding>0, 0, thisclose);
 buyshort(holding=0 AND T1, 1, thisclose);
 end

if C>1.0094*LLV(L,5) OR T2 then sellshort(holding<0, 0, thisclose);

input:n1(32,6,50,1);//參數(shù)n1，默認(rèn)值為32

W1:=-100*(HHV(H,N1)-C)/(HHV(H,N1)-LLV(L,N1))+50;//定義w1
T1:=TIME>093000 AND TIME<143500;//時(shí)間段1，下單時(shí)間

T2:=TIME>150500;//時(shí)間段2，強(qiáng)平時(shí)間

if W1>45 AND REF(ANY(W1>45,9),1) then begin//滿足w1>45和 前9個(gè)周期中任意一個(gè)周期滿足w1>45 則平空開多
 sellshort(holding<0, 0, thisclose);
 buy(holding=0 AND T1, 1, thisclose);//開多還需要在T1時(shí)間內(nèi)
 end

if HHV(H,5)>1.0094*C OR T2 then sell(holding>0, 0, thisclose);//5周期最高價(jià)> 收盤價(jià)*1.0094 或者 T1時(shí)間時(shí)，平倉

if W1<-45 AND REF(ANY(W1<-45,9),1) then begin//滿足w1<-45 和 前9個(gè)周期中任意一個(gè)周期滿足w2<-45，則平多開空
 sell(holding>0, 0, thisclose);
 buyshort(holding=0 AND T1, 1, thisclose);//開空還要在T1時(shí)間內(nèi)
 end

if C>1.0094*LLV(L,5) OR T2 then sellshort(holding<0, 0, thisclose);//收盤價(jià)>5周期最低價(jià)*1.0094 或者在T2時(shí)間時(shí)，平空