海龜系統(tǒng)改進(jìn)后的策略源碼

作者：開拓者 TB 來(lái)源：cxh99.com 發(fā)布時(shí)間：2012年10月26日

源碼內(nèi)容：

Params
Numeric RiskRatio(1);                // % Risk Per N ( 0 - 100)
Numeric ATRLength(20);                // 平均波動(dòng)周期 ATR Length
Numeric boLength(20);                // 短周期 BreakOut Length
Numeric fsLength(55);                // 長(zhǎng)周期 FailSafe Length
Numeric teLength(10);                // 離市周期 Trailing Exit Length
Bool LastProfitableTradeFilter(True); // 使用入市過(guò)濾條件
Vars
Numeric MinPoint;                      // 最小變動(dòng)單位
NumericSeries AvgTR; // ATR
Numeric N;                            // N 值
Numeric TotalEquity;                   // 按最新收盤價(jià)計(jì)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(gè)Bar
NumericSeries DonchianLo;               // 唐奇安通道下軌，延后1個(gè)Bar
NumericSeries fsDonchianHi;             // 唐奇安通道上軌，延后1個(gè)Bar，長(zhǎng)周期
NumericSeries fsDonchianLo;             // 唐奇安通道下軌，延后1個(gè)Bar，長(zhǎng)周期
Numeric ExitHighestPrice;             // 離市時(shí)判斷需要的N周期最高價(jià)
Numeric ExitLowestPrice;             // 離市時(shí)判斷需要的N周期最低價(jià)
Numeric myEntryPrice;                // 開倉(cāng)價(jià)格
Numeric myExitPrice;                   // 平倉(cāng)價(jià)格
Bool SendOrderThisBar(False);       // 當(dāng)前Bar有過(guò)交易
NumericSeries preEntryPrice(0);    // 前一次開倉(cāng)的價(jià)格
BoolSeries PreBreakoutFailure(false); // 前一次突破是否失敗
Begin
If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
PreBreakoutFailure = false;
}

MinPoint = MinMove*PriceScale;
AvgTR = XAverage(TrueRange,ATRLength);
N = AvgTR[1];
TotalEquity = Portfolio_CurrentCapital() + Portfolio_UsedMargin();
TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
TurtleUnits = IntPart(TurtleUnits); // 對(duì)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);

ExitLowestPrice = LowestFC(Low[1],teLength);
ExitHighestPrice = HighestFC(High[1],teLength);

Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));

// 當(dāng)不使用過(guò)濾條件，或者使用過(guò)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(cāng)
      If(High > DonchianHi && TurtleUnits >= 1)
      {
         // 開倉(cāng)價(jià)格取突破上軌+一個(gè)價(jià)位和最高價(jià)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(shí)候用開盤價(jià)代替
preEntryPrice = myEntryPrice;
         Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
      }

      If(Low < DonchianLo && TurtleUnits >= 1)
      {
         // 開倉(cāng)價(jià)格取突破下軌-一個(gè)價(jià)位和最低價(jià)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(shí)候用開盤價(jià)代替
         preEntryPrice = myEntryPrice;
         SendOrderThisBar = True;
         SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
      }
}

// 長(zhǎng)周期突破開倉(cāng) Failsafe Breakout point
If(MarketPosition == 0)
{
Commentary("fsDonchianHi="+Text(fsDonchianHi));
      If(High > fsDonchianHi && TurtleUnits >= 1)
      {
         // 開倉(cāng)價(jià)格取突破上軌+一個(gè)價(jià)位和最高價(jià)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,fsDonchianHi + MinPoint);
         myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時(shí)候用開盤價(jià)代替
preEntryPrice = myEntryPrice;
         Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
      }

Commentary("fsDonchianLo="+Text(fsDonchianLo));
      If(Low < fsDonchianLo && TurtleUnits >= 1)
      {
         // 開倉(cāng)價(jià)格取突破下軌-一個(gè)價(jià)位和最低價(jià)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,fsDonchianLo - MinPoint);
         myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時(shí)候用開盤價(jià)代替
         preEntryPrice = myEntryPrice;
         SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
      }
}

If(MarketPosition == 1) // 有多倉(cāng)的情況
{
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
      If(Low < ExitLowestPrice)
      {
         myExitPrice = max(Low,ExitLowestPrice - MinPoint);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時(shí)候用開盤價(jià)代替
         Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉(cāng)
      }Else
      {
         If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
         {
            If(Open >= preEntryPrice + 0.5*N) // 如果開盤就超過(guò)設(shè)定的1/2N,則直接用開盤價(jià)增倉(cāng)。
            {
                  myEntryPrice = Open;
preEntryPrice = myEntryPrice;
                  Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
            }

            while(High >= preEntryPrice + 0.5*N) // 以最高價(jià)為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉(cāng)
            {
                  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(cāng)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(cāng)
PreBreakoutFailure = True;
}
      }
}Else If(MarketPosition ==-1) // 有空倉(cāng)的情況
{
      // 求出持空倉(cāng)時(shí)離市的條件比較值
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
      If(High > ExitHighestPrice)
      {
         myExitPrice = Min(High,ExitHighestPrice + MinPoint);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時(shí)候用開盤價(jià)代替
         BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉(cāng)
      }Else
      {
         If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
         {
            If(Open <= preEntryPrice - 0.5*N) // 如果開盤就超過(guò)設(shè)定的1/2N,則直接用開盤價(jià)增倉(cāng)。
            {
                  myEntryPrice = Open;
preEntryPrice = myEntryPrice;
                  SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
            }

            while(Low <= preEntryPrice - 0.5*N) // 以最低價(jià)為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉(cāng)
            {
                  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(cāng)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(cāng)
PreBreakoutFailure = True;
}
      }
}
End