開拓者TB的RangeBreak交易模型源碼

作者：開拓者 TB 來源：cxh99.com 發布時間：2012年10月14日

咨詢內容： 本帖最后由 rookies 于 2012-7-20 21:23 編輯

日內效果不如隔日來得好

Params
      Numeric PercentOfRange(0.5);    //突破系數
      Numeric ExitOnCloseMins(14.55);  //最后交易時間
      Numeric MinRange(0.002); //開盤價的百分比
      Numeric Lots(1);  //開倉量
Vars
      Numeric MyExitPrice;
      Numeric DayOpen;
      Numeric preDayRange;
      Numeric UpperBand; //上軌
      Numeric LowerBand; //下軌
      Numeric MyPrice;

Begin

      DayOpen = OpenD(0);
      preDayRange = HighD(1)-LowD(1);                                        //昨日波幅
      PreDayRange = Max(PreDayRange,DayOpen*MinRange);
      UpperBand = DayOpen+PreDayRange*PercentOfRange;       //求出上軌
      LowerBand = DayOpen-PreDayRange*PercentOfRange;          //求出下軌
      PlotNumeric("UpperBand",UpperBand);
      PlotNumeric("LowerBand",LowerBand);



      If(MarketPosition!=1 && High>=UpperBand && Time<ExitOnCloseMins/100)          //開多條件  價格高于上軌，時間小于0.145500
      {
                     MyPrice = Max(UpperBand,Open);
                     Buy(Lots,MyPrice);
                              Return;

      }

      If(MarketPosition!=-1 && Low<=LowerBand &&Time<ExitOnCloseMins/100)
      {
                     MyPrice = Min(LowerBand,Open);
                     SellShort(Lots,MyPrice);
                     Return;
      }

      If( MarketPosition==1 && Low<LowerBand)  //多頭中如果下破下軌止損
      {
               MyExitPrice=Min(Open,LowerBand);
            Sell(Lots,MyExitPrice);
            Return;

      }

      If( MarketPosition==-1 && High>UpperBand)  //空頭中如果上穿上軌止損
      {
               MyExitPrice=Max(Open,UpperBand);
            BuytoCover(Lots,MyExitPrice);
               Return;
      }
End
TB技術人員： 本帖最后由 rookies 于 2012-7-21 11:25 編輯

隔日情況下，允許二次開倉，可以提高盈利率

Params
Numeric PercentOfRange(0.5);
Numeric ExitOnCloseMins(14.50);
Numeric MinRange(0.002);
Numeric Lots(1);
Numeric StopPointUpper(1);
Numeric StopPointLower(1);
Numeric Length(12);
Numeric TakeStart(0.1);
Numeric TakeStop(0.5);
Vars
Numeric LastTradeMins(14.00);
NumericSeries Ma;
Numeric MyExitPrice;
Numeric DayOpen;
Numeric preDayRange;
Numeric UpperBand;
Numeric LowerBand;
Numeric MyPrice;

Numeric StopLine;
BoolSeries UpperStoped;
BoolSeries LowerStoped;
NumericSeries HigherAfterEntry;
NumericSeries LowerAfterEntry;
String BoolSet;
Begin

Ma=Average(Close,Length);
DayOpen = OpenD(0);
preDayRange = HighD(1)-LowD(1);
PreDayRange = Max(PreDayRange,DayOpen*MinRange);
Commentary("DayOpen="+Text(DayOpen));
Commentary("preDayRange="+Text(preDayRange));
UpperBand = DayOpen+PreDayRange*PercentOfRange;
LowerBand = DayOpen-PreDayRange*PercentOfRange;
Commentary("UpperBand="+Text(DayOpen+PreDayRange*PercentOfRange));
Commentary("UpperBand="+Text(DayOpen-PreDayRange*PercentOfRange));
PlotNumeric("UpperBand",UpperBand);
PlotNumeric("LowerBand",LowerBand);

If(Date!=Date[1])
{
UpperStoped=True;
LowerStoped=True;

}

If(UpperStoped && LowerStoped)
{
If(MarketPosition!=1 && High>=UpperBand && Time<ExitOnCloseMins/100)
{
MyPrice = Max(UpperBand,Open);
Buy(Lots,MyPrice);
UpperStoped=False;
Return;

}
}
If(!UpperStoped)
{
If(MarketPosition!=1 && High>=UpperBand && High>=HigherAfterEntry && Time<ExitOnCloseMins/100)
{
MyPrice = Max(UpperBand,Open);
MyPrice = Max(HigherAfterEntry,MyPrice);
Buy(Lots,MyPrice);
PlotString("二次建倉","二次建倉");
Return;
}

If(LowerStoped && MarketPosition==1 && Low<=LowerBand && Time<ExitOnCloseMins/100)
{
MyPrice = Min(LowerBand,Open);
Sell(Lots,MyPrice);
LowerStoped=False;
PlotString("反向建倉","反向建倉");
Return;

}

}

If(UpperStoped && LowerStoped)
{
If(MarketPosition!=-1 && Low<=LowerBand &&Time<ExitOnCloseMins/100)// && Time<=ExitOnCloseMins/100)
{
MyPrice = Min(LowerBand,Open);
SellShort(Lots,MyPrice);
LowerStoped=False;
Return;

}
}
If(!LowerStoped)
{
If(MarketPosition!=-1 && Low<=LowerBand && Low<=LowerAfterEntry &&Time<ExitOnCloseMins/100)
{
MyPrice = Min(LowerBand,Open);
MyPrice = Min(LowerAfterEntry,MyPrice);
SellShort(Lots,MyPrice);
PlotString("二次建倉","二次建倉");
Return;
}

If(UpperStoped && MarketPosition==-1  && High>=UpperBand &&  Time<ExitOnCloseMins/100)
{
MyPrice = Max(UpperBand,Open);
BuyToCover(Lots,MyPrice);
UpperStoped=False;
PlotString("反向建倉","反向建倉");
Return;

}

}

End
TB客服： 本帖最后由 rookies 于 2012-7-21 11:14 編輯

應學友要求加入反向平倉和二次建倉 RU000 5分測試效果如圖，如果做得更細一些的話會有更好的效果 15分上效果更好一些
網友回復： 本帖最后由 rookies 于 2012-7-21 11:25 編輯

加入動態止盈和止損

Params
      Numeric PercentOfRange(0.5);
      Numeric ExitOnCloseMins(14.50);
      Numeric MinRange(0.002);
      Numeric Lots(1);
      Numeric StopPointUpper(1);
      Numeric StopPointLower(1);
      Numeric Length(12);
      Numeric TakeStart(0.1);
      Numeric TakeStop(0.5);
Vars
      Numeric LastTradeMins(14.00);
      NumericSeries Ma;
      Numeric MyExitPrice;
      Numeric DayOpen;
      Numeric preDayRange;
      Numeric UpperBand;
      Numeric LowerBand;
      Numeric MyPrice;

      Numeric StopLine;
      BoolSeries UpperStoped;
      BoolSeries LowerStoped;
      NumericSeries HigherAfterEntry;
      NumericSeries LowerAfterEntry;
      String BoolSet;
Begin

      Ma=Average(Close,Length);
      DayOpen = OpenD(0);
      preDayRange = HighD(1)-LowD(1);
      PreDayRange = Max(PreDayRange,DayOpen*MinRange);
      Commentary("DayOpen="+Text(DayOpen));
      Commentary("preDayRange="+Text(preDayRange));
      UpperBand = DayOpen+PreDayRange*PercentOfRange;
      LowerBand = DayOpen-PreDayRange*PercentOfRange;
      Commentary("UpperBand="+Text(DayOpen+PreDayRange*PercentOfRange));
      Commentary("UpperBand="+Text(DayOpen-PreDayRange*PercentOfRange));
      PlotNumeric("UpperBand",UpperBand);
      PlotNumeric("LowerBand",LowerBand);


      If(Date!=Date[1])
      {
            UpperStoped=True;
            LowerStoped=True;

      }

      If(UpperStoped && LowerStoped)
      {
            If(MarketPosition!=1 && High>=UpperBand && Time<ExitOnCloseMins/100)
            {
                     MyPrice = Max(UpperBand,Open);
                     Buy(Lots,MyPrice);
                     UpperStoped=False;
                     Return;

            }
      }
      If(!UpperStoped)
      {
            If(MarketPosition!=1 && High>=UpperBand && High>=HigherAfterEntry && Time<ExitOnCloseMins/100)
            {
                     MyPrice = Max(UpperBand,Open);
                     MyPrice = Max(HigherAfterEntry,MyPrice);
                     Buy(Lots,MyPrice);
                     PlotString("二次建倉","二次建倉");
                     Return;
            }

            If(LowerStoped && MarketPosition==1 && Low<=LowerBand && Time<ExitOnCloseMins/100)
            {
            MyPrice = Min(LowerBand,Open);
            Sell(Lots,MyPrice);
            LowerStoped=False;
            PlotString("反向建倉","反向建倉");
            Return;

            }

      }



      If(UpperStoped && LowerStoped)
      {
            If(MarketPosition!=-1 && Low<=LowerBand &&Time<ExitOnCloseMins/100)// && Time<=ExitOnCloseMins/100)
            {
                     MyPrice = Min(LowerBand,Open);
                     SellShort(Lots,MyPrice);
                     LowerStoped=False;
                     Return;

            }
      }
      If(!LowerStoped)
      {
            If(MarketPosition!=-1 && Low<=LowerBand && Low<=LowerAfterEntry &&Time<ExitOnCloseMins/100)
            {
                     MyPrice = Min(LowerBand,Open);
                     MyPrice = Min(LowerAfterEntry,MyPrice);
                     SellShort(Lots,MyPrice);
                     PlotString("二次建倉","二次建倉");
                     Return;
            }

            If(UpperStoped && MarketPosition==-1  && High>=UpperBand &&  Time<ExitOnCloseMins/100)
            {
            MyPrice = Max(UpperBand,Open);
            BuyToCover(Lots,MyPrice);
            UpperStoped=False;
            PlotString("反向建倉","反向建倉");
            Return;

            }


      }

   If(MarketPosition<>0 && BarsSinceEntry==1)
{
HigherAfterEntry=AvgEntryPrice;
LowerAfterEntry=AvgEntryPrice;
}
Else If(BarsSinceEntry>1)
{
HigherAfterEntry=Max(HigherAfterEntry,High[1]);
LowerAfterEntry=Min(LowerAfterEntry,Low[1]);
}
Commentary("HigherAfterEntry"+Text(HigherAfterEntry));
Commentary("LowerAfterEntry"+Text(LowerAfterEntry));
If(MarketPosition==1)
{
If(HigherAfterEntry>=AvgEntryPrice+DayOpen*TakeStart*0.01)
{

StopLine=HigherAfterEntry-DayOpen*TakeStop*0.01;
Commentary("StopLineHigherAftetEntry"+Text(StopLine));
}
Else

{

StopLine=UpperBand-DayOpen*StopPointUpper*0.01;
Commentary("StopLine"+Text(StopLine));
}

If(Low<=StopLine)
{
MyExitPrice=Min(StopLine,Open);
Sell(Lots,MyExitPrice);

}

}

If(MarketPosition==-1)
{
If(LowerAfterEntry<=AvgEntryPrice-DayOpen*TakeStart*0.01)
{
StopLine=LowerAfterEntry+DayOpen*TakeStop*0.01;
Commentary("StopLineLowerAfterEntry"+Text(StopLine));
}
Else
{
StopLine=LowerBand+DayOpen*StopPointLower*0.01;
Commentary("StopLine"+Text(StopLine));
}

If(High>=StopLine)
{
MyExitPrice=Max(StopLine,Open);
BuyToCover(Lots,MyExitPrice);
}

}

End
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