[求助]請文華老師幫俺寫個公式模型。

作者：文華財經(jīng) 來源：cxh99.com 發(fā)布時間：2015年12月15日

咨詢內(nèi)容： 下面是公式的源碼，好像是開拓者的，請轉(zhuǎn)化成文華的，謝謝！ --------------------------------------------------------------- 海龜交易系統(tǒng)公式源碼如下： //------------------------------------------------------------------------ // 簡稱: TurtleTrader // 名稱: 海龜交易系統(tǒng) // 類別: 交易指令 // 類型: 其他 // 輸出: //------------------------------------------------------------------------ Params Numeric RiskRatio(1); // % Risk Per N ( 0 - 100) Numeric ATRLength(20); // 平均波動周期 ATR Length Numeric boLength(20); // 短周期 BreakOut Length Numeric fsLength(55); // 長周期 FailSafe Length Numeric teLength(10); // 離市周期 Trailing Exit Length Bool LastProfitableTradeFilter(True); // 使用入市過濾條件 Vars Numeric MinPoint; // 最小變動單位 NumericSeries AvgTR; // ATR Numeric N; // N 值 Numeric TotalEquity; // 按最新收盤價計算出的總資產(chǎn) Numeric TurtleUnits; // 交易單位 NumericSeries DonchianHi; // 唐奇安通道上軌，延后1個Bar NumericSeries DonchianLo; // 唐奇安通道下軌，延后1個Bar NumericSeries fsDonchianHi; // 唐奇安通道上軌，延后1個Bar，長周期 NumericSeries fsDonchianLo; // 唐奇安通道下軌，延后1個Bar，長周期 Numeric ExitHighestPrice; // 離市時判斷需要的N周期最高價 Numeric ExitLowestPrice; // 離市時判斷需要的N周期最低價 Numeric myEntryPrice; // 開倉價格 Numeric myExitPrice; // 平倉價格 Bool SendOrderThisBar(False); // 當(dāng)前Bar有過交易 NumericSeries preEntryPrice(0); // 前一次開倉的價格，存放到全局變量0號位置 BoolSeries PreBreakoutFailure(false); // 前一次突破是否失敗 Begin If(BarStatus == 0) { preEntryPrice = InvalidNumeric; PreBreakoutFailure = false; }Else { preEntryPrice = preEntryPrice[1]; PreBreakoutFailure = PreBreakoutFailure[1]; } MinPoint = MinMove*PriceScale; AvgTR = XAverage(TrueRange,ATRLength); N = AvgTR[1]; TotalEquity = CurrentCapital()+ Abs(CurrentContracts()*Close*ContractUnit()*BigPointValue()*MarginRatio()); TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue()); TurtleUnits = IntPart(TurtleUnits); // 對小數(shù)取整 DonchianHi = HighestFC(High[1],boLength); DonchianLo = LowestFC(Low[1],boLength); fsDonchianHi = HighestFC(High[1],fsLength); fsDonchianLo = LowestFC(Low[1],fsLength); Commentary("N="+Text(N)); Commentary("preEntryPrice="+Text(preEntryPrice)); Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False")); // 當(dāng)不使用過濾條件，或者使用過濾條件并且條件為PreBreakoutFailure為True進(jìn)行后續(xù)操作 If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure))) { // 突破開倉 If(CrossOver(High,DonchianHi) && TurtleUnits >= 1) { // 開倉價格取突破上軌+一個價位和最高價之間的較小值，這樣能更接近真實(shí)情況，并能盡量保證成交 myEntryPrice = min(high,DonchianHi + MinPoint); myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替 preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; } If(CrossUnder(Low,DonchianLo) && TurtleUnits >= 1) { // 開倉價格取突破下軌-一個價位和最低價之間的較大值，這樣能更接近真實(shí)情況，并能盡量保證成交 myEntryPrice = max(low,DonchianLo - MinPoint); myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替 preEntryPrice = myEntryPrice; SendOrderThisBar = True; SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統(tǒng)來自智冠豐銀www.fxsola.com SendOrderThisBar = True; PreBreakoutFailure = False;//sg } } // 長周期突破開倉 Failsafe Breakout point If(MarketPosition == 0) { Commentary("fsDfsDExitLowestPrice="+Text(ExitLowestPrice)); If(Low < ExitLowestPrice) { myExitPrice = max(Low,ExitLowestPrice - MinPoint); myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替 Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉 }Else { If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1) { If(Open >= preEntryPrice + 0.5*N) // 如果開盤就超過設(shè)定的1/2N,則直接用開盤價增倉。 { myEntryPrice = Open; preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } while(High >= preEntryPrice + 0.5*N) // 以最高價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉 { myEntryPrice = preEntryPrice + 0.5 * N; preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } } // 止損指令 If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // 加倉Bar不止損 { myExitPrice = preEntryPrice - 2 * N; Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉 PreBreakoutFailure = True; } } }Else If(MarketPosition ==-1) // 有空倉的情況 { // 求出持空倉時離市的條件比較值 ExitHighestPrice = Highest(High[1],teLength); Commentary("ExitHighestPrice="+Text(ExitHighestPrice)); If(High > ExitHighestPrice) { myExitPrice = Min(High,ExitHighestPrice + MinPoint); myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替 BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉 }Else { If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1) { If(Open <= preEntryPrice - 0.5*N) // 如果開盤就超過設(shè)定的1/2N,則直接用開盤價增倉。 { myEntryPrice = Open; preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統(tǒng)來自智冠豐銀www.fxsola.com SendOrderThisBar = True; } while(Low <= preEntryPrice - 0.5*N) // 以最低價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉 { myEntryPrice = preEntryPrice - 0.5 * N; preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } } // 止損指令 If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // 加倉Bar不止損 { myExitPrice = preEntryPrice + 2 * N; BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉 PreBreakoutFailure = True; } } } End
文華技術(shù)人員：        海龜交易系統(tǒng)公式源碼如下：
//------------------------------------------------------------------------
// 簡稱: TurtleTrader
// 名稱: 海龜交易系統(tǒng)
// 類別: 交易指令
// 類型: 其他
// 輸出:
//------------------------------------------------------------------------
Params
    Numeric RiskRatio(1);                   // % Risk Per N ( 0 - 100)
    Numeric ATRLength(20);                  // 平均波動周期 ATR Length
    Numeric boLength(20);                   // 短周期 BreakOut Length
    Numeric fsLength(55);                   // 長周期 FailSafe Length
    Numeric teLength(10);                   // 離市周期 Trailing Exit Length
    Bool LastProfitableTradeFilter(True);   // 使用入市過濾條件
Vars
Numeric MinPoint;                       // 最小變動單位
NumericSeries AvgTR;      // ATR
    Numeric N;                              // N 值
    Numeric TotalEquity;                    // 按最新收盤價計算出的總資產(chǎn)
    Numeric TurtleUnits;                    // 交易單位
    NumericSeries DonchianHi;              // 唐奇安通道上軌，延后1個Bar
    NumericSeries DonchianLo;              // 唐奇安通道下軌，延后1個Bar
    NumericSeries fsDonchianHi;            // 唐奇安通道上軌，延后1個Bar，長周期
    NumericSeries fsDonchianLo;            // 唐奇安通道下軌，延后1個Bar，長周期
    Numeric ExitHighestPrice;               // 離市時判斷需要的N周期最高價
    Numeric ExitLowestPrice;                // 離市時判斷需要的N周期最低價
    Numeric myEntryPrice;                   // 開倉價格
    Numeric myExitPrice;                    // 平倉價格
    Bool SendOrderThisBar(False);          // 當(dāng)前Bar有過交易
NumericSeries preEntryPrice(0);       // 前一次開倉的價格，存放到全局變量0號位置
BoolSeries PreBreakoutFailure(false); // 前一次突破是否失敗
Begin
    If(BarStatus == 0)
    {
  preEntryPrice = InvalidNumeric;
  PreBreakoutFailure = false;
}Else
{
  preEntryPrice = preEntryPrice[1];
        PreBreakoutFailure = PreBreakoutFailure[1];
    }
MinPoint = MinMove*PriceScale;
    AvgTR = XAverage(TrueRange,ATRLength);
N = AvgTR[1];
    TotalEquity = CurrentCapital()+ Abs(CurrentContracts()*Close*ContractUnit()*BigPointValue()*MarginRatio());
    TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
    TurtleUnits = IntPart(TurtleUnits); // 對小數(shù)取整
    DonchianHi = HighestFC(High[1],boLength);
    DonchianLo = LowestFC(Low[1],boLength);
fsDonchianHi = HighestFC(High[1],fsLength);
    fsDonchianLo = LowestFC(Low[1],fsLength);
Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));

    // 當(dāng)不使用過濾條件，或者使用過濾條件并且條件為PreBreakoutFailure為True進(jìn)行后續(xù)操作
    If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure)))
    {
        // 突破開倉
        If(CrossOver(High,DonchianHi) && TurtleUnits >= 1)
        {
            // 開倉價格取突破上軌+一個價位和最高價之間的較小值，這樣能更接近真實(shí)情況，并能盡量保證成交
            myEntryPrice = min(high,DonchianHi + MinPoint);
            myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
   preEntryPrice = myEntryPrice;
            Buy(TurtleUnits,myEntryPrice);
   SendOrderThisBar = True;
   PreBreakoutFailure = False;
        }
        If(CrossUnder(Low,DonchianLo) && TurtleUnits >= 1)
        {
            // 開倉價格取突破下軌-一個價位和最低價之間的較大值，這樣能更接近真實(shí)情況，并能盡量保證成交
            myEntryPrice = max(low,DonchianLo - MinPoint);
            myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
            preEntryPrice = myEntryPrice;
            SendOrderThisBar = True;
            SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統(tǒng)來自智冠豐銀www.fxsola.com
   SendOrderThisBar = True;
   PreBreakoutFailure = False;//sg
        }
    }
    // 長周期突破開倉 Failsafe Breakout point
    If(MarketPosition == 0)
    {
  Commentary("fsDfont-family: 宋體; font-size: 12px;">  Commentary("fsDfont-family: 宋體; font-size: 12px;">    If(MarketPosition == 1) // 有多倉的情況
    {
        // 求出持多倉時離市的條件比較值
        ExitLowestPrice = Lowest(Low[1],teLength);
  Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
        If(Low < ExitLowestPrice)
        {
            myExitPrice = max(Low,ExitLowestPrice - MinPoint);
   myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
            Sell(0,myExitPrice);    // 數(shù)量用0的情況下將全部平倉
        }Else
        {
            If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
            {
                If(Open >= preEntryPrice + 0.5*N) // 如果開盤就超過設(shè)定的1/2N,則直接用開盤價增倉。
                {
                    myEntryPrice = Open;
     preEntryPrice = myEntryPrice;
                    Buy(TurtleUnits,myEntryPrice);
     SendOrderThisBar = True;
                }
                while(High >= preEntryPrice + 0.5*N) // 以最高價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉
                {
                    myEntryPrice = preEntryPrice + 0.5 * N;
                    preEntryPrice = myEntryPrice;
                    Buy(TurtleUnits,myEntryPrice);
     SendOrderThisBar = True;
                }
            }

            // 止損指令
   If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // 加倉Bar不止損
   {
    myExitPrice = preEntryPrice - 2 * N;
    Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉
    PreBreakoutFailure = True;
   }
        }
    }Else If(MarketPosition ==-1) // 有空倉的情況
    {
        // 求出持空倉時離市的條件比較值
        ExitHighestPrice = Highest(High[1],teLength);
  Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
        If(High > ExitHighestPrice)
        {
            myExitPrice = Min(High,ExitHighestPrice + MinPoint);
   myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
            BuyToCover(0,myExitPrice);    // 數(shù)量用0的情況下將全部平倉
        }Else
        {
            If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
            {
                If(Open <= preEntryPrice - 0.5*N) // 如果開盤就超過設(shè)定的1/2N,則直接用開盤價增倉。
                {
                    myEntryPrice = Open;
     preEntryPrice = myEntryPrice;
                    SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統(tǒng)來自智冠豐銀www.fxsola.com

     SendOrderThisBar = True;
                }
                while(Low <= preEntryPrice - 0.5*N) // 以最低價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉
                {
                    myEntryPrice = preEntryPrice - 0.5 * N;
                    preEntryPrice = myEntryPrice;
                    SellShort(TurtleUnits,myEntryPrice);
     SendOrderThisBar = True;
                }
            }
            // 止損指令
   If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // 加倉Bar不止損
   {
    myExitPrice = preEntryPrice + 2 * N;
    BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉
    PreBreakoutFailure = True;
   }
        }
    }
End
文華客服： RiskRatio:=1;                   // % Risk Per N ( 0 - 100) 賬戶的1%
ATRLength:=20;                  // 平均波動周期 ATR Length
boLength:=20;                   // 短周期BreakOut Length
fsLength:=55;                   // 長周期FailSafe Length
teLength:=10;                   // 離市周期 Trailing Exit Length
DW:=300;                        //合約的單位（請自行設(shè)定）
TR:= MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR:= MA(TR,ATRLength);
N:=REF(ATR,1);
TU:=FLOOR(MONEYTOT*RiskRatio/100)/(N*DW);
DonchianHi:= HHV(REF(H,1),boLength);//系統(tǒng)一：20日高點(diǎn)突破
DonchianLo:= LLV(REF(L,1),boLength);//系統(tǒng)一：20日低點(diǎn)突破
fsDonchianHi:= HHV(REF(H,1),fsLength);//系統(tǒng)二：55日高點(diǎn)突破
fsDonchianLo:= LLV(REF(L,1),fsLength);//系統(tǒng)二：55日低點(diǎn)突破
ExitLowestPrice:= LLV(REF(L,1),teLength);//系統(tǒng)一多頭離市
ExitHighestPrice:= HHV(REF(H,1),teLength);//系統(tǒng)一空頭離市
H>DonchianHi&&BKVOL=0&&NOT(ISLASTBK||ISLASTSK)&&TU>=1,BK(TU);
L<DonchianLo&&SKVOL=0&&NOT(ISLASTBK||ISLASTSK)&&TU>=1,SK(TU);
H>fsDonchianHi&&BKVOL=0&&NOT(ISLASTBK||ISLASTSK)&&TU>=1,BK(TU);
L<fsDonchianLo&&SKVOL=0&&NOT(ISLASTBK||ISLASTSK)&&TU>=1,SK(TU);
L<ExitLowestPrice&&BKVOL>0,SP(BKVOL);
L>=ExitLowestPrice&&H>=BKPRICE+N&&BKVOL<3*TU,BK(TU);
L<=BKPRICE-2*N&&BKVOL>0,SP(BKVOL);
H>ExitHighestPrice&&SKVOL>0,BP(SKVOL);
H>ExitHighestPrice&&L<=SKPRICE-N&&SKVOL<3*TU,SK(TU);
H>=SKPRICE+2*N&&SKVOL>0,BP(SKVOL);
MONO_SIGNAL;
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