Today_Jitter_ER:=STD(CLOSE,30);
Yestoday_Jitter_ER:REF(STD(CLOSE,30),1);
Jitter_Change_ER:=(Today_Jitter_ER - Yestoday_Jitter_ER) /  Today_Jitter_ER;

Lag := (1 + Jitter_Change_ER) * Lag;
MaxLag := HHV(Lag,20);
MinLag := LLV(Lag,60);

UpBand := MA(CLOSE,Lag) + STD(CLOSE,Lag) * 2;
DownBand := MA(CLOSE,Lag) - STD(CLOSE,Lag) * 2;

BuyPoint := HHV(HIGH,Lag);
BuyShortPoint := LLV(LOW,Lag);

SellPoint := MA(CLOSE,Lag);
SellShortPoint := MA(CLOSE,Lag);

BUY(REF(CLOSE,1) > UpBand AND CLOSE >= BuyPoint ,1 , MARKET);
BUYSHORT(REF(CLOSE,1) < DownBand AND CLOSE <= BuyShortPoint, 1, MARKET);

SELL(CLOSE <= SellPoint, 0, MARKET);
SELLSHORT(CLOSE >= SellShortPoint, 0, MARKET);

//该策略的原型自然语句

四 具体策略

   T=0（今日），滞后期K=20；

   今日市场波动率=stdDev（Close，30）；

   昨日市场波动率= stdDev（Close（-1），30）；

   波动率变化率=（今日市场波动率-昨日市场波动率）/今日市场波动率；

   T=1（第二天），滞后期K=（1+波动率变化率）*K；

   K=min(K,60);    K=max(K,20);

   Upband=Average(Close,K)+stdDev(close,K)*2;布林带上限

   Dnband=Average(Close,K)-stdDev(close,K)*2;布林带下限

   buyPoint = Highest(High,K)  /滞后期的最高价，为买入点

sellPoint = Lowest(Low,K)   /滞后期的最低价，为卖出点

longLiqPoint =Average(Close,K)     /做多平仓点

shortLiqPoint = Average(Close,K)   / 做空平仓点

If（Close of yesterday > upBand) then initiate a long position if today\'smarket action >= buyPoint   /如果昨日收盘价高于布林带上轨，今日市价高于买入点，则触发做多

If(Close of yesterday < dnBand) then initiate a short position if today\'smarket action <= sellPoint   /如果昨日收盘价低于布林带下轨，今日市价低于卖出点，则触发做空

Liquidate long position if today\'s market action <= longLiqPoint/回落至滞后期的移动平均价，卖出平仓

Liquidate short position if today\'s market action >= shortLiqPoint/回调至滞后期的移动平均价，买入平仓