金字塔Dual Thrust交易系統源碼

作者：金字塔來源：cxh99.com 發布時間：2012年11月09日

相關標簽:dual thrust系統，dual thrust，thrust，thrust ssc，thrust ssc圖片，thrust ssc多少錢，thrust washer，thrust ssc超音速車，thrust into，

模型策略源碼：input:k(0.7,0.1,1,0.1); dist1:=barslast(day>ref(day,1))+1; dist2:=ref(dist1,dist1); predayhigh:=ref(hhv(high,dist2),dist1); predaylow:=ref(llv(low,dist2),dist1); predayclose:=ref(close,dist1); predayrange:=max(predayhigh-predayclose,predayclose-predaylow); dayopen:=ref(open,dist1-1); upperband:=dayopen+k*predayrange; lowerband:=dayopen-k*predayrange; if holding=0 then begin if high>=upperband then buy(1,volunit,limitr,max(open,upperband)); end if holding=0 then begin if low<=lowerband then buyshort(1,volunit,limitr,min(open,lowerband)); end if holding>0 then begin if low<=lowerband then begin sell(1,holding,limitr,min(open,lowerband)); buyshort(1,volunit,limitr,min(open,lowerband)); end if time>=closetime(0) then sell(1,holding,limitr,close); end if holding<0 then begin if high>=upperband then begin sellshort(1,holding,limitr,max(open,upperband)); buy(1,volunit,limitr,max(open,upperband)); end if time>=closetime(0) then sellshort(1,holding,limitr,close); end 資產:asset,noaxis,colorred,linethick2;

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源碼解析:

輸出INPUT:K(0.7,0.1,1,0.1)
DIST1賦值:上次日>昨日日距今天數+1
DIST2賦值:DIST1日前的DIST1
PREDAYHIGH賦值:DIST1日前的DIST2日內最高價的最高值
PREDAYLOW賦值:DIST1日前的DIST2日內最低價的最低值
PREDAYCLOSE賦值:DIST1日前的收盤價
PREDAYRANGE賦值:PREDAYHIGH-PREDAYCLOSE和PREDAYCLOSE-PREDAYLOW的較大值
DAYOPEN賦值:DIST1-1日前的開盤價
UPPERBAND賦值:DAYOPEN+K*PREDAYRANGE
LOWERBAND賦值:DAYOPEN-K*PREDAYRANGE
邏輯判斷 HOLDING=0 THEN BEGIN 邏輯判斷最高價>=UPPERBAND THEN BUY(1,VOLUNIT,LIMITR,開盤價和UPPERBAND的較大值)
ENDIF HOLDING=0 THEN BEGIN 邏輯判斷最低價<=LOWERBAND THEN BUYSHORT(1,VOLUNIT,LIMITR,開盤價和LOWERBAND的較小值)
ENDIF HOLDING>0 THEN BEGIN 邏輯判斷最低價<=LOWERBAND THEN BEGIN SELL(1,HOLDING,LIMITR,開盤價和LOWERBAND的較小值)
BUYSHORT(1,VOLUNIT,LIMITR,開盤價和LOWERBAND的較小值)
END 邏輯判斷時間>=CLOSETIME(0) THEN SELL(1,HOLDING,LIMITR,收盤價)
ENDIF HOLDING<0 THEN BEGIN 邏輯判斷最高價>=UPPERBAND THEN BEGIN SELLSHORT(1,HOLDING,LIMITR,開盤價和UPPERBAND的較大值)
BUY(1,VOLUNIT,LIMITR,開盤價和UPPERBAND的較大值)
END 邏輯判斷時間>=CLOSETIME(0) THEN SELLSHORT(1,HOLDING,LIMITR,收盤價)
輸出END資產:ASSET,NOAXIS,畫紅色,線寬為2