開拓者CXH99日內波動突破系統源碼

作者：開拓者 TB 來源：cxh99.com 發布時間：2013年05月26日

思路內容：
最近在研究針對震蕩市的日內波動突破系統，主要思想是在開盤后前半小時獲取最高值和最低值，然后+上一定的ATR值最為上軌和下軌。目前完成了初稿，希望兄弟們能夠幫忙完善下這個系統！
源碼：
1. Params
2. Numeric Range(1.5); //ATR Range
3. Numeric Length(10); //ATR Length
4. Numeric nMins(30); // N分鐘的突破
5. Numeric tradBegin(930); //開倉時間
6. Numeric tradEnd(1430); //開倉截止時間
7. Numeric TrailingStop(2); // 追蹤止損,回撤ATR的倍數
8. Vars
9. //ATR Values
10. NumericSeries TR;
11. NumericSeries ATR;
12. Numeric UpperBand;
13. Numeric LowerBand;
14. //30 Minutes Values
15. NumericSeries HighestOf30Min;
16. NumericSeries lowestOf30Min;
17. Numeric MyPrice; //價格判斷條件 www.tumamayizhan.com
18. NumericSeries DayOpen;
19. /* Set Profit Stop Position */
20. NumericSeries HigherAfterEntry;
21. NumericSeries LowerAfterEntry;
22. Numeric StopLine(0); //止損價位
23. Numeric MinPoint;
24. Numeric MyExitPrice; /* Set Profit Stop Position */
25. Begin
26. MinPoint = MinMove * PriceScale;
27. //ATR Value
28. ATR=AvgTrueRange(Length);
29. Commentary("ATR=" + Text(ATR));
30. //30 Minutes Highest and Lowest Value
31. If(Date <> Date[1])
32. {
33. HighestOf30Min = High;
34. LowestOf30Min = Low;
35. }Else If(Time < 0.0900+nMins*0.0001)
36. {
37. HighestOf30Min = max(high,HighestOf30Min[1]);
38. LowestOf30Min = min(Low,LowestOf30Min[1]);
39. }Else
40. {
41. HighestOf30Min = HighestOf30Min[1];
42. LowestOf30Min = LowestOf30Min[1];
43. }
45. UpperBand = HighestOf30Min + Range*ATR[1];
46. LowerBand = LowestOf30Min - Range*ATR[1];
48. PlotNumeric("UpperBand",UpperBand);
49. PlotNumeric("LowerBand",LowerBand);
50. ////程序化交易 www.tumamayizhan.com
51. If(MarketPosition != 1 And High > UpperBand And Time>=0.0001*tradBegin And Time <= tradEnd * 0.0001)
52. {
53. MyPrice = UpperBand;
54. If(Open > MyPrice) MyPrice = Open;
55. Buy(1, MyPrice);
56. }
58. If(MarketPosition != -1 And Low < LowerBand And Time>=0.0001*tradBegin And Time <= tradEnd * 0.0001 )
59. {
60. MyPrice = LowerBand;
61. If(Open < MyPrice) MyPrice = Open;
62. SellShort(1,MyPrice);
63. }
65. End