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：
- Params
- Numeric Range(1.5); //ATR Range
- Numeric Length(10); //ATR Length
- Numeric nMins(30); // N分鐘的突破
- Numeric tradBegin(930); //開倉時間
- Numeric tradEnd(1430); //開倉截止時間
- Numeric TrailingStop(2); // 追蹤止損,回撤ATR的倍數
- Vars
- //ATR Values
- NumericSeries TR;
- NumericSeries ATR;
- Numeric UpperBand;
- Numeric LowerBand;
- //30 Minutes Values
- NumericSeries HighestOf30Min;
- NumericSeries lowestOf30Min;
- Numeric MyPrice; //價格判斷條件 www.tumamayizhan.com
- NumericSeries DayOpen;
- /* Set Profit Stop Position */
- NumericSeries HigherAfterEntry;
- NumericSeries LowerAfterEntry;
- Numeric StopLine(0); //止損價位
- Numeric MinPoint;
- Numeric MyExitPrice; /* Set Profit Stop Position */
- Begin
- MinPoint = MinMove * PriceScale;
- //ATR Value
- ATR=AvgTrueRange(Length);
- Commentary("ATR=" + Text(ATR));
- //30 Minutes Highest and Lowest Value
- If(Date <> Date[1])
- {
- HighestOf30Min = High;
- LowestOf30Min = Low;
- }Else If(Time < 0.0900+nMins*0.0001)
- {
- HighestOf30Min = max(high,HighestOf30Min[1]);
- LowestOf30Min = min(Low,LowestOf30Min[1]);
- }Else
- {
- HighestOf30Min = HighestOf30Min[1];
- LowestOf30Min = LowestOf30Min[1];
- }
-
- UpperBand = HighestOf30Min + Range*ATR[1];
- LowerBand = LowestOf30Min - Range*ATR[1];
-
- PlotNumeric("UpperBand",UpperBand);
- PlotNumeric("LowerBand",LowerBand);
- ////程序化交易 www.tumamayizhan.com
- If(MarketPosition != 1 And High > UpperBand And Time>=0.0001*tradBegin And Time <= tradEnd * 0.0001)
- {
- MyPrice = UpperBand;
- If(Open > MyPrice) MyPrice = Open;
- Buy(1, MyPrice);
- }
-
- If(MarketPosition != -1 And Low < LowerBand And Time>=0.0001*tradBegin And Time <= tradEnd * 0.0001 )
- {
- MyPrice = LowerBand;
- If(Open < MyPrice) MyPrice = Open;
- SellShort(1,MyPrice);
- }
-
- End
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