金字塔多空海龜交易策略

源碼解析理論

輸出INPUT:INB(20,1,500,1),OUTB(10,1,500,1),RISK(2,0,10,0.1)
輸出//和風(fēng)版海龜源碼VARIABLE:TIMES=0,I=0,N=0
RN賦值:1日前的真實(shí)波幅的20日指數(shù)移動(dòng)平均
N賦值:如果HOLDING=0,返回RN,否則返回上個(gè)輸出值
RH賦值:1日前的最高價(jià)
RL賦值:1日前的最低價(jià)
輸出H1:INB日內(nèi)RH的最高值
輸出H2:OUTB日內(nèi)RH的最高值,LINEDOT
輸出L1:INB日內(nèi)RL的最低值
輸出L2:OUTB日內(nèi)RL的最低值,LINEDOT
輸出LOTST:ASSET*RISK*0.01/(N*2*期貨每手乘數(shù)),線寬為0
LOTS賦值:如果RISK=0,返回1,否則返回LOTST
示固定開(kāi)1手TBC賦值:H＜＞L
//判斷是否停板PARTLINE(HOLDING＞0,ENTERPRICE-2*N)
條件判斷 BARPOS＜INB+1 THEN EXIT
開(kāi)多BEGINBUYP賦值:開(kāi)盤價(jià)和H1的較大值
開(kāi)倉(cāng)買入
TIMES賦值:1
DOBEGINBUYP賦值:開(kāi)盤價(jià)和ENTERPRICE+N*0.5的較大值
開(kāi)倉(cāng)買入
TIMES賦值:TIMES+1
END
//連續(xù)開(kāi)倉(cāng)END
開(kāi)空BEGINSELLP賦值:開(kāi)盤價(jià)和L1的較小值
平倉(cāng)買入
TIMES賦值:1
DOBEGINSELLP賦值:開(kāi)盤價(jià)和ENTERPRICE-N*0.5的較小值
平倉(cāng)買入
TIMES賦值:TIMES+1
END
//連續(xù)開(kāi)倉(cāng)END
END
ITLONGP賦值:ENTERPRICE-2*N和L2的較大值
出場(chǎng)BEGINEXITP賦值:開(kāi)盤價(jià)和EXITLONGP的較小值
平倉(cāng)賣出
TIMES賦值:0
END
開(kāi)多BEGINBUYP賦值:開(kāi)盤價(jià)和ENTERPRICE+N*0.5的較大值
開(kāi)倉(cāng)買入
TIMES賦值:TIMES+1
END
//連續(xù)開(kāi)倉(cāng)END
//ELSEEND
ITLONGP賦值:ENTERPRICE+2*N和H2的較小值
出場(chǎng)BEGINEXITP賦值:開(kāi)盤價(jià)和EXITLONGP的較大值
開(kāi)倉(cāng)賣出
TIMES賦值:0
END
開(kāi)多BEGINSELLP賦值:開(kāi)盤價(jià)和ENTERPRICE-N*0.5的較小值
平倉(cāng)買入
TIMES賦值:TIMES+1
END
//連續(xù)開(kāi)倉(cāng)END
//ELSEEND
//HOLDING＜0
 

 源碼：

input:inb(20,1,500,1),outb(10,1,500,1),risk(2,0,10,0.1);
//和風(fēng)版海龜源碼
variable:times=0,i=0,n=0;
rn:=ema(ref(tr,1),20);
n:=valuewhen(holding=0,rn);
rh:=ref(h,1);
rl:=ref(l,1);
h1:hhv(rh,inb);
h2:hhv(rh,outb),linedot;
l1:llv(rl,inb);
l2:llv(rl,outb),linedot;
lotst:asset*risk*0.01/(n*2*multiplier),linethick0;
lots:=if(risk=0,1,lotst); //如果risk取0，表示固定開(kāi)1手
tbc:=h＜＞l;//判斷是否停板
partline(holding＞0,enterprice-2*n);
if barpos＜inb+1 then exit;
if holding=0 and tbc then //不是停板才可以交易
begin
if h＞h1 then //開(kāi)多
begin
buyp:=max(o,h1);
buy(1,lots,limitr,buyp);
times:=1;
while h＞enterprice+n*0.5 and times＜4 do
begin
buyp:=max(o,enterprice+n*0.5);
buy(1,lots,limitr,buyp);
times:=times+1;
end;//連續(xù)開(kāi)倉(cāng)
end;//開(kāi)多結(jié)束
else if l＜l1 then //開(kāi)空
begin
sellp:=min(o,l1);
buyshort(1,lots,limitr,sellp);
times:=1;
while l＜enterprice-n*0.5 and times＜4 do
begin
sellp:=min(o,enterprice-n*0.5);
buyshort(1,lots,limitr,sellp);
times:=times+1;
end;//連續(xù)開(kāi)倉(cāng)
end;
end;//holding=0
if holding＞0 and tbc then //已有多倉(cāng)
begin // www.tumamayizhan.com
exitlongp:=max(enterprice-2*n,l2);
if l＜exitlongp and enterbars＜＞0 then //出場(chǎng)
begin
exitp:=min(o,exitlongp);
sell(1,0,limitr,exitp);
times:=0;
end;//出場(chǎng)
else
begin
while h＞enterprice+n*0.5 and times＜4 do //開(kāi)多
begin
buyp:=max(o,enterprice+n*0.5);
buy(1,lots,limitr,buyp);
times:=times+1;
end;//連續(xù)開(kāi)倉(cāng)
end;//else

end;//holding＞0
if holding＜0 and tbc then //已有空倉(cāng)
begin
exitlongp:=min(enterprice+2*n,h2);
if h＞exitlongp and enterbars＜＞0 then //出場(chǎng)
begin
exitp:=max(o,exitlongp);
sellshort(1,0,limitr,exitp);
times:=0;
end;//出場(chǎng)
else
begin
while l＜enterprice-n*0.5 and times＜4 do //開(kāi)多
begin
sellp:=min(o,enterprice-n*0.5);
buyshort(1,lots,limitr,sellp);
times:=times+1;
end;//連續(xù)開(kāi)倉(cāng)
end;//else
end;//holding＜0