金字塔MACD交易系統策略

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模型策略源碼：runmode:0; input:period(70,5,90,5); input:initialstop(2,0,3,1),coststop(2,1,3,1),trailingstop(3,1,6,1); input:money(0,0,10,1); input:slippage(1,0,1,1); input:debug(1,0,1,1); variable:myasset=500000; variable:costprice=0,stopline=0; begin if stricmp(marketlabel,\'sh\')=0 then begin commission:=0.001; stamptax:=0.001; transferfee:=0.001; end if stricmp(marketlabel,\'sz\')=0 then begin commission:=0.001; stamptax:=0.001; transferfee:=0; end diff:=ema(close,12)-ema(close,26); dea:=ema(diff,9); macd:=2*(diff-dea); buycond:=ref(cross(dea,diff),1); topband:=ref(hhv(high,period),1)+mindiff; atr:=ref(ma(tr,10),1); initialstopnum:=trimprice(initialstop*atr); coststopnum:=trimprice(coststop*atr); trailingstopnum:=trimprice(trailingstop*atr); slippagenum:=slippage*mindiff; end if holding=0 then begin price:=0; lots:=0; if barpos>=period and buycond then price:=close+slippagenum; if price>0 then begin mycash:=cash(0); lots1:=intpart(mycash/(price*volunit))*volunit; if money=0 then begin lots:=lots1; end else begin lots2:=intpart(mycash*0.01*money/(initialstopnum*volunit))*volunit; lots:=min(lots1,lots2); end end if lots>=1 then begin buy(1,lots,limitr,price); if workmode=1 then tbuy(1,lots,limitr,price); end end if holding>0 then begin price:=0; lots:=holding; if initialstop>0 then begin if stopline>0 and low<=stopline then price:=close-slippagenum; if stopline=0 then begin costprice:=trimprice((enterprice*(1+commission)+2*transferfee)/(1-commission-stamptax))+mindiff; stopline:=costprice-initialstopnum; end if stopline<costprice and high-coststopnum>=costprice then stopline:=costprice; if stopline>=costprice and high-trailingstopnum>stopline then stopline:=high-trailingstopnum; end if price>0 then begin sell(1,lots,limitr,price); costprice:=0; stopline:=0; myasset:=asset; if workmode=1 then tsell(1,lots,limitr,price); end end partline(debug=1 and holding=0,topband,colorred,1); if initialstop>0 then begin if holding>0 then begin drawicon(stopline<costprice,stopline,11); drawicon(stopline=costprice,stopline,12); drawicon(stopline>costprice,stopline,10); end end if debug=1 then begin 盈虧:myasset,noaxis,colormagenta; 收益:(myasset-500000)/500000,linethick0; 次數:totaltrade,linethick0; 勝率:percentwin,linethick0; 連虧:maxseqloss,linethick0; 連贏:maxseqwin,linethick0; end
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