-- 作者:abcfund
-- 发布时间:2012/6/23 1:23:27
-- [求助]老师请把这个策略改成期货的,开空也加上空1空2空3的,谢谢!
VARIABLE:dayCount=1,PositionCount=1,SellSign=0; VARIABLE:EntAndExitSign=1,EntPoint=0,ExitPoint=0; VARIABLE:N=0;
MA1:MA(C,5); MA3:MA(C,10);
M:=MA(TR,20); BUYHHV:=HHV(H,20); SELLLLV:=LLV(L,10);
ss:n,linethick0;
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=EntAndExitSign THEN BEGIN{说明STOP指令买进头寸成功} PositionCount:=PositionCount+1;{头寸计数} SellSign:=True;{开始以STOP卖出,如果达到指定的价格} END IF PositionCount=1 THEN BEGIN{第一头寸} HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模} 开1:BUY(H>=BUYHHV,HOW,MARKET);{在20日新高STOP指令买进} END IF PositionCount=2 THEN BEGIN{如到第二头寸} HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模} 开2:BUY(H>=ENTERPRICE+0.5*N,HOW,MARKET);{在上头寸(即第一头寸)+0.5个N以STOP指令买进} END IF PositionCount=3 THEN BEGIN{如到第三头寸} HOW:=CASH(0)*0.01/N; 开3:BUY(H>=ENTERPRICE+0.5*N,HOW,MARKET);{在上头寸(即第二头寸)+0.5个N以STOP指令买进} END IF PositionCount=4 THEN BEGIN HOW:=CASH(0)*0.01/N; 开4:BUY(H>=ENTERPRICE+0.5*N,HOW,MARKET); END IF SellSign=True THEN BEGIN ExitPoint:=EXITBARS+1; IF ExitPoint=EntAndExitSign THEN BEGIN {说明卖出成功} PositionCount:=1;{头寸计算复原} SellSign:=False; END IF ENTERPRICE-2*N then SELL(L<=SELLLLV,100%,MARKET);{退出离盈利头寸} ELSE SELL(L<=ENTERPRICE-2*N,100%,MARKET);{退出亏损头寸} END END;
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