金字塔動量突破交易系統策略源碼

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模型策略源碼：
 

 runmode:0;

 input:period(20,5,100,5);

 variable:myasset=30000;

 entertime:=time＞=092500 and time＜=145500;
 exittime:=time＞=150000;

 buycond:=entertime and ref(close,1)＞ref(close,period);
 buyprice:=open;

 buyshortcond:=entertime and ref(close,1)＜ref(close,period);
 buyshortprice:=open;

 if holding=0 and buycond then begin
     buy(1,1,limitr,buyprice);
 end

 if holding=0 and buyshortcond then begin
     buyshort(1,1,limitr,buyshortprice);
 end

 if holding＞0 and exittime then begin
     sell(1,holding,limitr,close);
 end

 if holding＜0 and exittime then begin
     sellshort(1,holding,limitr,close);
 end

 if exittime then
     myasset:=asset;
     
資產:myasset,noaxis,colormagenta;
 次數:totaltrade,linethick0;
 收益:(myasset-30000)/30000,linethick0;
 勝率:percentwin,linethick0;
 出擊:totaltrade/(count(date＜＞ref(date,1),0)+1),linethick0;
 連虧:maxseqloss,linethick0;
 連贏:maxseqwin,linethick0;
 

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