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VARIABLE:DayCount=1,positionCount=0,dk=0; //DayCount是计算第几个周期,positionCount是计算头寸数量,dk为-1开空1开多

VARIABLE:EntPoint=0,ExitPoint=0,sellSign=0; //sellSign为0不可平仓，为1则可以;EntPoint用于判定本周期有没有开仓;sellSign为1时表示可以平仓

M:=MA(TR,20); //计算20天内的TR值的简单平均

BUYHHV:=HHV(H,20); //20天最高价的最高价

BUYLLV:=LLV(L,20); //20天最低价的最低价

SELLHHV:=HHV(H,10); //10日最高价

SELLLLV:=LLV(L,10); //10日最低价

IF BARPOS>=21 THEN BEGIN

IF BARPOS=21 THEN

N:=M;

IF DayCount=6 OR BARPOS=21 THEN BEGIN{5天调整N值}

N:=(19*N+TR)/20;{计算N值}

DayCount:=2;

END

DayCount:=DayCount+1;

EntPoint:=ENTERBARS+1;

IF EntPoint=1 THEN BEGIN //本周期有开仓操作（上周期的信号）

sellSign:=1; //可以平仓了

positionCount:=positionCount+1; //头寸加1

END

IF positionCount=0 THEN BEGIN //第一头寸

HOW:=CASH(0)*0.01/N; //头寸规模

IF HIGH>=BUYHHV THEN BEGIN

开多1:BUY(1,HOW,MARKET);

dk:=1;

END

IF LOW<=BUYLLV THEN BEGIN

开空1:BUYSHORT(1,HOW,MARKET);

dk:=-1;

END

IF positionCount=1 THEN BEGIN //第二头寸

HOW:=CASH(0)*0.01/N; //头寸规模

IF dk=1 THEN

开多2:BUY(HIGH>=ENTERPRICE+0.5*N,HOW,MARKET);

IF dk=-1 THEN

开空2:BUYSHORT(LOW<=ENTERPRICE-0.5*N,HOW,MARKET);

END

IF positionCount=2 THEN BEGIN //第三头寸

HOW:=CASH(0)*0.01/N; //头寸规模

IF dk=1 THEN

开多3:BUY(HIGH>=ENTERPRICE+0.5*N,HOW,MARKET);

IF dk=-1 THEN

开空3:BUYSHORT(LOW<=ENTERPRICE-0.5*N,HOW,MARKET);

END

ExitPoint:=EXITBARS+1;

IF ExitPoint=1 THEN BEGIN //本周期有平仓（上周期的信号）

positionCount:=0; //头寸复原

sellSign:=0;

dk:=0;

END

IF sellSign=1 THEN BEGIN

IF dk=1 THEN

IF ENTERPRICE-2*N then SELL(LOW<=SELLLLV,100%,MARKET);//退出离盈利头寸

ELSE SELL(L<=ENTERPRICE-2*N,0,MARKET); //退出亏损头寸

IF dk=-1 THEN

IF ENTERPRICE+2*N then SELLSHORT(LOW<=SELLHHV,100%,MARKET);//退出离盈利头寸

ELSE SELLSHORT(H>=ENTERPRICE+2*N,0,MARKET); //退出亏损头寸

END