開拓者隨機發買賣單的模型源碼

作者：開拓者 TB 來源：cxh99.com 發布時間：2013年04月11日

思路： 投資學里經典的一句話 - 限制損失，讓盈利奔跑。只要盈虧比達到一個理想的值，那勝率低也一樣能賺到錢。為了驗證這個理論，我寫了一個隨機發買賣單的模型，并且限制每次損失的上限，對盈利進行追蹤止損。模型為日內交易，每3分鐘發一個單。
源碼：（程序化交易網 www.tumamayizhan.com 轉載請保留出處）
1. Params
2. Numeric InitialStop(2);
3. Numeric BreakEvenStop(3);
4. Numeric TrailStop(5);
6. Vars
7. Numeric RandNum;
8. Numeric BuyOrSell;
9. Numeric StopLine;
10. Numeric MyEntryPrice;
11. Numeric MyExitPrice;
12. NumericSeries HighestAfterEntry;
13. NumericSeries LowestAfterEntry;
15. Begin
17. If(Time>=0.1455){//如果要實盤測試，把Time改為CurrentTime
18. If(MarketPosition == 1)
19. Sell(0,Close);
20. If(MarketPosition == -1)
21. BuyToCover(0,Close);
22. return;
23. }
25. If(BarsSinceentry == 0)
26. {
27. HighestAfterEntry = Close;
28. LowestAfterEntry = Close;
29. If(MarketPosition <> 0)
30. {
31. HighestAfterEntry = Max(HighestAfterEntry,AvgEntryPrice);
32. LowestAfterEntry = Min(LowestAfterEntry,AvgEntryPrice);
33. }
34. }else
35. {
36. HighestAfterEntry = Max(HighestAfterEntry,High);
37. LowestAfterEntry = Min(LowestAfterEntry,Low);
38. }
39. Commentary("HighestAfterEntry="+Text(HighestAfterEntry)); Commentary("LowestAfterEntry="+Text(LowestAfterEntry));
40. MyEntryPrice = AvgEntryPrice;
42. If(MarketPosition==1) // 有多倉的情況( www.tumamayizhan.com )
43. {
44. StopLine = AvgEntryPrice * (1-InitialStop/1000);
46. If(HighestAfterEntry[1] >= MyEntryPrice *(1 + BreakEvenStop/1000))
47. Stopline = MyEntryPrice;
49. If(Stopline < HighestAfterEntry[1]*(1 - TrailStop/1000))
50. Stopline = HighestAfterEntry[1]*(1 - TrailStop/1000);
52. if(Low <= Stopline)
53. {
54. MyExitPrice = Stopline;
55. If(Open < MyExitPrice) MyExitPrice = Open; // 如果該Bar開盤價有跳空觸發，則用開盤價代替
56. Sell(0,MyExitPrice);
57. return;
58. }
59. }else if(MarketPosition==-1) // 有空倉的情況
60. {
61. StopLine = AvgEntryPrice * (1+InitialStop/1000);
63. If(LowestAfterEntry[1] <= MyEntryPrice *(1 - BreakEvenStop/1000))
64. Stopline = MyEntryPrice;
66. If(Stopline > LowestAfterEntry[1]*(1 + TrailStop/1000))
67. Stopline = LowestAfterEntry[1]*(1 + TrailStop/1000);
69. Commentary("StopLine="+Text(Stopline));
70. If(High >= Stopline)
71. {
72. MyExitPrice = Stopline;
73. If(Open > MyExitPrice) MyExitPrice = Open; // 如果該Bar開盤價有跳空觸發，則用開盤價代替來源 CXH99.COM
74. BuyToCover(0,MyExitPrice);
75. return;
76. }
77. }
79. RandNum = Rand(0,100); //產生0到100的隨機數
80. BuyOrSell = Mod(RandNum,2); //產生0到1的隨機數
82. Commentary("BuyOrSell:"+TEXT(BuyOrSell));
84. If(BuyOrSell == 0 && Mod(Minute,3) == 0 && MarketPosition!= -1) //如果BuyOrSell為0，每3分鐘發一次多單
85. Buy(1,Close);
86. else If(BuyOrSell == 1 && Mod(Minute,3) == 0 && MarketPosition!=1)//如果BuyOrSell為1，每3分鐘發一次空單
87. SellShort(1,Close);
88. End