金字塔動態突破交易系統

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模型策略源碼：runmode:0; input:ceilingamt(60),flooramt(20),bolbandtrig(2); variable:lookbackdays=20; todayvolatility:=std(close,30); yesterdayvolatility:=std(ref(close,1),30); deltavolatility:=(todayvolatility-yesterdayvolatility)/todayvolatility; lookbackdays:=lookbackdays*(1+deltavolatility); lookbackdays:=round(lookbackdays); lookbackdays:=min(lookbackdays,ceilingamt); lookbackdays:=max(lookbackdays,flooramt); mid:=ma(close,lookbackdays); upband:=mid+bolbandtrig*std(close,lookbackdays); dnband:=mid-bolbandtrig*std(close,lookbackdays); buypoint:=ref(hhv(high,lookbackdays),1); sellpoint:=ref(llv(low,lookbackdays),1); longliqpoint:=ma(close,lookbackdays); shortliqpoint:=ma(close,lookbackdays); if holding=0 then begin if close>upband then buy(1,1,limitr,max(open,buypoint)); end if holding=0 then begin if close<dnband then buyshort(1,1,limitr,min(open,sellpoint)); end if holding>0 then begin if close<dnband then begin sell(1,holding,limitr,min(open,sellpoint)); buyshort(1,1,limitr,min(open,sellpoint)); end if low<=longliqpoint then sell(1,holding,limitr,min(open,longliqpoint)); end if holding<0 then begin if close>upband then begin sellshort(1,holding,limitr,max(open,buypoint)); buy(1,1,limitr,max(open,buypoint)); end if high>=shortliqpoint then sellshort(1,holding,limitr,max(open,shortliqpoint)); end 盈虧:asset-50000,noaxis,colorred,linethick2;
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源碼解析：

輸出RUNMODE:0
輸出INPUT:CEILINGAMT(60),FLOORAMT(20),BOLBANDTRIG(2)
輸出VARIABLE:LOOKBACKDAYS=20
賦值:收盤價的30日估算標準差
LITY賦值:昨收的30日估算標準差
賦值:(TODAYVOLATILITY-YESTERDAYVOLATILITY)/TODAYVOLATILITY
LOOKBACKDAYS賦值:LOOKBACKDAYS*(1+DELTAVOLATILITY)
LOOKBACKDAYS賦值:對LOOKBACKDAYS(進行)四舍五入LOOKBACKDAYS關于?的四舍五入
LOOKBACKDAYS賦值:LOOKBACKDAYS和CEILINGAMT的較小值
LOOKBACKDAYS賦值:LOOKBACKDAYS和FLOORAMT的較大值
MID賦值:收盤價的LOOKBACKDAYS日簡單移動平均
UPBAND賦值:MID+ www.tumamayizhan.com BOLBANDTRIG*收盤價的LOOKBACKDAYS日估算標準差
DNBAND賦值:MID-BOLBANDTRIG*收盤價的LOOKBACKDAYS日估算標準差
BUYPOINT賦值:昨日LOOKBACKDAYS日內最高價的最高值
SELLPOINT賦值:昨日LOOKBACKDAYS日內最低價的最低值
LONGLIQPOINT賦值:收盤價的LOOKBACKDAYS日簡單移動平均
SHORTLIQPOINT賦值:收盤價的LOOKBACKDAYS日簡單移動平均
邏輯判斷 HOLDING=0 THEN BEGIN 邏輯判斷 收盤價>UPBAND THEN  BUY(1,1,LIMITR,開盤價和BUYPOINT的較大值)
ENDIF HOLDING=0 THEN BEGIN 邏輯判斷 收盤價<DNBAND THEN  BUYSHORT(1,1,LIMITR,開盤價和SELLPOINT的較小值)
ENDIF HOLDING>0 THEN BEGIN 邏輯判斷 收盤價<DNBAND THEN BEGIN  SELL(1,HOLDING,LIMITR,開盤價和SELLPOINT的較小值)
  BUYSHORT(1,1,LIMITR,開盤價和SELLPOINT的較小值)
 END  邏輯判斷 最低價<=LONGLIQPOINT THEN  SELL(1,HOLDING,LIMITR,開盤價和LONGLIQPOINT的較小值)
ENDIF HOLDING<0 THEN BEGIN 邏輯判斷 收盤價>UPBAND THEN BEGIN  SELLSHORT(1,HOLDING,LIMITR,開盤價和BUYPOINT的較大值)
  BUY(1,1,LIMITR,開盤價和BUYPOINT的較大值)
 END  邏輯判斷 最高價>=SHORTLIQPOINT THEN  SELLSHORT(1,HOLDING,LIMITR,開盤價和SHORTLIQPOINT的較大值)
輸出END盈虧:ASSET-50000,NOAXIS,畫紅色,線寬為2