金字塔MA交易系統策略

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模型策略源碼：runmode:0; input:period(70,5,90,5); input:initialstop(2,0,3,1),coststop(2,1,3,1),trailingstop(3,1,6,1); input:money(0,0,10,1); input:slippage(1,0,1,1); input:debug(1,0,1,1); variable:myasset=500000; variable:costprice=0,stopline=0; begin if stricmp(marketlabel,\'sh\')=0 then begin commission:=0.001; stamptax:=0.001; transferfee:=0.001; end if stricmp(marketlabel,\'sz\')=0 then begin commission:=0.001; stamptax:=0.001; transferfee:=0; end ma1:ma(close,60); buycond:=ref(cross(close,ma1),1); topband:=ref(hhv(high,period),1)+mindiff; atr:=ref(ma(tr,10),1); initialstopnum:=trimprice(initialstop*atr); coststopnum:=trimprice(coststop*atr); trailingstopnum:=trimprice(trailingstop*atr); slippagenum:=slippage*mindiff; end if holding=0 then begin price:=0; lots:=0; if barpos>=period and buycond then price:=close+slippagenum; if price>0 then begin mycash:=cash(0); lots1:=intpart(mycash/(price*volunit))*volunit; if money=0 then begin lots:=lots1; end else begin lots2:=intpart(mycash*0.01*money/(initialstopnum*volunit))*volunit; lots:=min(lots1,lots2); end end if lots>=1 then begin buy(1,lots,limitr,price); if workmode=1 then tbuy(1,lots,limitr,price); end end if holding>0 then begin price:=0; lots:=holding; if initialstop>0 then begin if stopline>0 and low<=stopline then price:=close-slippagenum; if stopline=0 then begin costprice:=trimprice((enterprice*(1+commission)+2*transferfee)/(1-commission-stamptax))+mindiff; stopline:=costprice-initialstopnum; end if stopline<costprice and high-coststopnum>=costprice then stopline:=costprice; if stopline>=costprice and high-trailingstopnum>stopline then stopline:=high-trailingstopnum; end if price>0 then begin sell(1,lots,limitr,price); costprice:=0; stopline:=0; myasset:=asset; if workmode=1 then tsell(1,lots,limitr,price); end end partline(debug=1 and holding=0,topband,colorred,1); if initialstop>0 then begin if holding>0 then begin drawicon(stopline<costprice,stopline,11); drawicon(stopline=costprice,stopline,12); drawicon(stopline>costprice,stopline,10); end end if debug=1 then begin 盈虧:myasset,noaxis,colormagenta; 收益:(myasset-500000)/500000,linethick0; 次數:totaltrade,linethick0; 勝率:percentwin,linethick0; 連虧:maxseqloss,linethick0; 連贏:maxseqwin,linethick0; end
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輸出RUNMODE:0
輸出INPUT:周期
輸出INPUT:INITIALSTOP(2,0,3,1),COSTSTOP(2,1,3,1),TRAILINGSTOP(3,1,6,1)
輸出INPUT:MONEY(0,0,10,1)
輸出INPUT:SLIPPAGE(1,0,1,1)
輸出INPUT:DEBUG(1,0,1,1)
輸出VARIABLE:MYASSET=500000
輸出VARIABLE:COSTPRICE=0,STOPLINE=0
COMMISSION賦值:0.001
STAMPTAX賦值:0.001
TRANSFERFEE賦值:0.001
COMMISSION賦值:0.001
STAMPTAX賦值:0.001
TRANSFERFEE賦值:0
輸出 END   MA1:收盤價的60日簡單移動平均
BUYCOND賦值:昨日收盤價上穿MA1
TOPBAND賦值:昨日周期日內最高價的最高值+MINDIFF
ATR賦值:昨日真實波幅的10日簡單移動平均
INITIALSTOPNUM賦值:TRIMPRICE(INITIALSTOP*ATR)
COSTSTOPNUM賦值:TRIMPRICE(COSTSTOP*ATR)
賦值:TRIMPRICE(TRAILINGSTOP*ATR)
SLIPPAGENUM賦值:SLIPPAGE*MINDIFF
PRICE賦值:0
LOTS賦值:0
PRICE賦值:收盤價+SLIPPAGENUM
MYCASH賦值:CASH(0)
LOTS1賦值:MYCASH/(PRICE*VOLUNIT)的整數部分*VOLUNIT
LOTS賦值:LOTS1
LOTS2賦值:MYCASH*0.01*MONEY/(INITIALSTOPNUM*VOLUNIT)的整數部分*VOLUNIT
LOTS賦值:LOTS1和LOTS2的較小值
  END END     邏輯判斷 LOTS>=1 THEN BEGIN  BUY(1,LOTS,LIMITR,PRICE)
     邏輯判斷 WORKMODE=1 THEN   TBUY(1,LOTS,LIMITR,PRICE)
PRICE賦值:0
LOTS賦值:HOLDING
PRICE賦值:收盤價-SLIPPAGENUM
COSTPRICE賦值:TRIMPRICE((ENTERPRICE*(1+COMMISSION)+2*TRANSFERFEE)/(1-COMMISSION-STAMPTAX))+MINDIFF
STOPLINE賦值:COSTPRICE-INITIALSTOPNUM
STOPLINE賦值:COSTPRICE
STOPLINE賦值:最高價-TRAILINGSTOPNUM
     END   邏輯判斷 PRICE>0 THEN BEGIN  SELL(1,LOTS,LIMITR,PRICE)
COSTPRICE賦值:0
STOPLINE賦值:0
MYASSET賦值:ASSET
    邏輯判斷 WORKMODE=1 THEN   TSELL(1,LOTS,LIMITR,PRICE)
 END ENDPARTLINE(DEBUG=1 AND HOLDING=0,TOPBAND,畫紅色,1)
邏輯判斷 INITIALSTOP>0 THEN BEGIN 邏輯判斷 HOLDING>0 THEN BEGIN  當滿足條件STOPLINE<COSTPRICE時,在STOPLINE位置畫11號圖標
  當滿足條件STOPLINE=COSTPRICE時,在STOPLINE位置畫12號圖標
  當滿足條件STOPLINE>COSTPRICE時,在STOPLINE位置畫10號圖標
輸出  ENDENDIF DEBUG=1 THEN BEGIN 盈虧:MYASSET,NOAXIS,畫洋紅色
輸出       收益:(MYASSET-500000)/500000,線寬為0
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
END