金字塔均值回歸交易系統(tǒng)源碼

相關標簽:均值回歸，均值回歸能力，惠比特交易和配種專區(qū)，夢三國交易專區(qū)，夢三國交易專區(qū)速秒，靈緹格力交易專區(qū)，中京交易市場下載專區(qū)，古幣銀元交易專區(qū)，長毛德牧交易專區(qū)，

模型策略源碼：input:n(5,1,10,1); atr:ma(high-low,n); runmode:0; entertime:=time>=091500 and time<=145500; exittime:=time>=150000; atr:="assit.atr#day"; dist:=barslast(date<>ref(date,1))+1; hh:=ref(hhv(high,dist),1); ll:=ref(llv(low,dist),1); buycond:=entertime and low<=hh-atr-mindiff; buyprice:=hh-atr-mindiff; buyshortcond:=entertime and high>=ll+atr+mindiff; buyshortprice:=ll+atr+mindiff; if holding=0 then begin if buycond then buy(1,1,limitr,buyprice); end if holding=0 then begin if buyshortcond then buyshort(1,1,limitr,buyshortprice); end if holding>0 then begin if exittime then sell(1,holding,limitr,close); end if holding<0 then begin if exittime then sellshort(1,holding,limitr,close); end 收益:(asset-30000)/30000,noaxis,colormagenta; 次數(shù):totaltrade,linethick0; 勝率:percentwin,linethick0; 連虧:maxseqloss,linethick0; 連贏:maxseqwin,linethick0;
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源碼解析：

輸出INPUT:N(5,1,10,1)
輸出真實波幅:最高價-最低價的N日簡單移動平均
輸出  RUNMODE:0
ENTERTIME賦值:時間>=091500 AND 時間<=145500
EXITTIME賦值:時間>=150000
ATR賦值:"ASSIT.ATR[取日線數(shù)據(jù)]"
DIST賦值:上次日期<>昨日日期距今天數(shù)+1
HH賦值:昨日DIST日內最高價的最高值
LL賦值:昨日DIST日內最低價的最低值
BUYCOND賦值:ENTERTIME AND 最低價<=HH-ATR-MINDIFF
BUYPRICE賦值:HH-ATR-MINDIFF
BUYSHORTCOND賦值:ENTERTIME AND 最高價>=LL+ATR+MINDIFF
BUYSHORTPRICE賦值:LL+ATR+MINDIFF
邏輯判斷 HOLDING=0 THEN BEGIN 邏輯判斷 BUYCOND THEN  BUY(1,1,LIMITR,BUYPRICE)
ENDIF HOLDING=0 THEN BEGIN 邏輯判斷 BUYSHORTCOND THEN  BUYSHORT(1,1,LIMITR,BUYSHORTPRICE)
ENDIF HOLDING>0 THEN BEGIN 邏輯判斷 EXITTIME THEN  SELL(1,HOLDING,LIMITR,收盤價)
ENDIF HOLDING<0 THEN BEGIN 邏輯判斷 EXITTIME THEN  SELLSHORT(1,HOLDING,LIMITR,收盤價)
輸出END收益:(ASSET-30000)/30000,NOAXIS,畫洋紅色
輸出次數(shù):TOTALTRADE,線寬為0
輸出勝率:PERCENTWIN,線寬為0
輸出連虧:MAXSEQLOSS,線寬為0
輸出連贏:MAXSEQWIN,線寬為0