金字塔MACD動量突破交易系統

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模型策略源碼：runmode:0; input:p(26,20,100,8); input:s(12,5,40,4); input:m(9,2,60,6); variable:myasset=300000; diff:=ema(close,s)-ema(close,p); dea:=ema(diff,m); macd:=2*(diff-dea); entertime:=time>=091000 and time<=145500; exittime:=time>=150000; buycond:=ref(cross(macd,0),1); sellcond:=ref(cross(0,macd),1); if holding=0 then begin if buycond then buy(1,1,limitr,open); end if holding=0 then begin if sellcond then buyshort(1,1,limitr,open); end if holding>0 then begin if exittime then sell(1,holding,limitr,close); if sellcond then begin sell(1,holding,limitr,open),orderqueue; buyshort(1,1,limitr,open),orderqueue; end end if holding<0 then begin if exittime then sellshort(1,holding,limitr,close); if buycond then begin sellshort(1,holding,limitr,open),orderqueue; buy(1,1,limitr,open),orderqueue; end end if exittime then myasset:=asset; 收益:myasset,noaxis,colormagenta; 次數:totaltrade,linethick0; 勝率:percentwin,linethick0; 連虧:maxseqloss,linethick0; 連贏:maxseqwin,linethick0;
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源碼解析：

輸出RUNMODE:0
輸出INPUT:P(26,20,100,8)
輸出INPUT:S(12,5,40,4)
輸出INPUT:M(9,2,60,6)
輸出VARIABLE:MYASSET=300000
DIFF賦值:收盤價的S日指數移動平均-收盤價的P日指數移動平均
DEA賦值:DIFF的M日指數移動平均
MACD賦值:2*(DIFF-DEA)
ENTERTIME賦值:時間>=091000 AND 時間<=145500
EXITTIME賦值:時間>=150000
BUYCOND賦值:昨日MACD上穿0
SELLCOND賦值:昨日0上穿MACD
邏輯判斷 HOLDING=0 THEN BEGIN 邏輯判斷 BUYCOND THEN  BUY(1,1,LIMITR,開盤價)
ENDIF HOLDING=0 THEN BEGIN 邏輯判斷 SELLCOND THEN  BUYSHORT(1,1,LIMITR,開盤價)
ENDIF HOLDING>0 THEN BEGIN 邏輯判斷 EXITTIME THEN  SELL(1,HOLDING,LIMITR,收盤價)
  邏輯判斷 SELLCOND THEN BEGIN  SELL(1,HOLDING,LIMITR,開盤價),ORDERQUEUE
  BUYSHORT(1,1,LIMITR,開盤價),ORDERQUEUE
 END ENDIF HOLDING<0 THEN BEGIN 邏輯判斷 EXITTIME THEN  SELLSHORT(1,HOLDING,LIMITR,收盤價)
   邏輯判斷 BUYCOND THEN BEGIN  SELLSHORT(1,HOLDING,LIMITR,開盤價),ORDERQUEUE
  BUY(1,1,LIMITR,開盤價),ORDERQUEUE
MYASSET賦值:ASSET
輸出 收益:MYASSET,NOAXIS,畫洋紅色
輸出次數: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