和風版海龜源碼 支持多空雙向開倉，到價開倉（非收盤開倉)

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模型策略源碼：input:inb(20,1,500,1),outb(10,1,500,1),risk(2,0,10,0.1); //和風版海龜源碼 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)開倉 end;//開多結束 else if l＜l1 then //開空 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)開倉 end; end;//holding=0 if holding＞0 and tbc then //已有多倉 begin exitlongp:=max(enterprice-2*n,l2); if l＜exitlongp and enterbars＜＞0 then //出場 begin exitp:=min(o,exitlongp); sell(1,0,limitr,exitp); times:=0; end;//出場 else begin while h＞enterprice+n*0.5 and times＜4 do //開多 begin buyp:=max(o,enterprice+n*0.5); buy(1,lots,limitr,buyp); times:=times+1; end;//連續(xù)開倉 end;//else end;//holding＞0 if holding＜0 and tbc then //已有空倉 begin exitlongp:=min(enterprice+2*n,h2); if h＞exitlongp and enterbars＜＞0 then //出場 begin exitp:=max(o,exitlongp); sellshort(1,0,limitr,exitp); times:=0; end;//出場 else begin while l＜enterprice-n*0.5 and times＜4 do //開多 begin sellp:=min(o,enterprice-n*0.5); buyshort(1,lots,limitr,sellp); times:=times+1; end;//連續(xù)開倉 end;//else end;//holding＜0
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源碼解析:

輸出INPUT:INB(20,1,500,1),OUTB(10,1,500,1),RISK(2,0,10,0.1)
輸出 //和風版海龜源碼 VARIABLE:TIMES=0,I=0,N=0
RN賦值:昨日真實波幅的20日指數移動平均
N賦值:VALUEWHEN(HOLDING=0,RN)
RH賦值:昨日最高價
RL賦值:昨日最低價
輸出 H1:INB日內RH的最高值
輸出 H2:OUTB日內RH的最高值,LINEDOT
輸出 L1:INB日內RL的最低值
輸出 L2:OUTB日內RL的最低值,LINEDOT
輸出 LOTST:ASSET*RISK*0.01/(N*2*MULTIPLIER),線寬為0
LOTS賦值:如果RISK=0,返回1,否則返回LOTST
TBC賦值:H＜＞L
//判斷是否停板 PARTLINE(HOLDING＞0,ENTERPRICE-2*N)
 邏輯判斷 BARPOS＜INB+1 THEN EXIT
BUYP賦值:開盤價和H1的較大值
 BUY(1,LOTS,LIMITR,BUYP)
TIMES賦值:1
BUYP賦值:開盤價和ENTERPRICE+N*0.5的較大值
 BUY(1,LOTS,LIMITR,BUYP)
TIMES賦值:TIMES+1
 END
//連續(xù)開倉 END
SELLP賦值:開盤價和L1的較小值
 BUYSHORT(1,LOTS,LIMITR,SELLP)
TIMES賦值:1
SELLP賦值:開盤價和ENTERPRICE-N*0.5的較小值
 BUYSHORT(1,LOTS,LIMITR,SELLP)
TIMES賦值:TIMES+1
 END
//連續(xù)開倉 END
 END
EXITLONGP賦值:ENTERPRICE-2*N和L2的較大值
EXITP賦值:開盤價和EXITLONGP的較小值
 SELL(1,0,LIMITR,EXITP)
TIMES賦值:0
 END
BUYP賦值:開盤價和ENTERPRICE+N*0.5的較大值
 BUY(1,LOTS,LIMITR,BUYP)
TIMES賦值:TIMES+1
 END
//連續(xù)開倉 END
//ELSE END
EXITLONGP賦值:ENTERPRICE+2*N和H2的較小值
EXITP賦值:開盤價和EXITLONGP的較大值
 SELLSHORT(1,0,LIMITR,EXITP)
TIMES賦值:0
 END
SELLP賦值:開盤價和ENTERPRICE-N*0.5的較小值
 BUYSHORT(1,LOTS,LIMITR,SELLP)
TIMES賦值:TIMES+1
 END
//連續(xù)開倉 END
//ELSE END
//HOLDING＜0