源代码

公式设计的源码来源于《程序化交易策略开发与应用》中国经济出版社，2015.3 P121 

ISBN 978—7—5136—3525—7

 

源代码如下：

 

vars

 

Numeric MinPoint ;

Numeric MyEntryPrice ;

 

Numeric  TrailingStart1 (50) ;      

Numeric  TrailingStart2 (80) ;     

Numeric  TrailingStop1 (30) ;      

Numeric  TrailingStop2 (20) ;      

Numeric  StopLossSet(50) ;          

Numeric  MyExitPrice ;

 

NumericSeries  HighestAfterEntry ;

NumericSeries  LowestAfterEntry ;

 

If  BarsSinceEntry = = 0 

       HighestAfterEntry = Close ;

       LowestAfterEntry = Close;

 

       If MarketPosition < > 0 THEN BEGIN//仓位不等于0;//有持仓时执行以下代码,源程序;

              HighestAfterEntry = MAX(HighestAfterEntry,MYENTRYPRICE);

//开仓Bar，将开仓价和当时的收盘价的较大值保留到HighestAfterEntry;

              LowestAfterEntry = MIN(LowestAfterEntry,MYENTRYPRICE); 

//开仓Bar，将开仓价和当时的收盘价的较小值保留到LowestAfterEntry;

ELSE             //非开仓Bar时进行以下运算（注意语句上下顺序颠倒过来写）；

              LowestAfterEntry = MIN(LowestAfterEntry,LOW);           

//记录下当前Bar的最低点，用于下一个Bar的跟踪止损判断;（源程序是先写最低价）

              HighestAfterEntry = MAX(HighestAfterEntry,HIGH);      

//记录下当前Bar的最高点，用于下一个Bar的跟踪止损判断;（源程序是再写最高价）

 

Commentary ("HighestAfterEntry =" +Text (HighestAfterEntry));

Commentary ("LowestAfterEntry =" +Text (LowestAfterEntry));

 

MinPoint = MinMove * PriceScale ;

MYENTRYPRICE = AVGENTERPRICE;

 

IF (MarketPosition = = 1 and BarsSinceEntry >=1      //有多仓的情况;

       //第二级跟踪止损的条件表达式;

              IF HighestAfterEntry [1] >= MyEntryPrice + TrailingStart2 * MinPoint    //开仓后开始监控止损条件;

                     IF LOW <= HighestAfterEntry [1] - TrailingStop2 * MinPoint  

                            MyExitPrice = HighestAfterEntry [1] - TrailingStop2 * MinPoint;                 //如果该Bar开盘价跳空，则用开盘价代替;

                            IF (OPEN < MyExitPrice)  MyExitPrice = Open;

                         SELL ( 0, MyExitPrice);

             

              ELSE IF HighestAfterEntry [1] >= MyEntryPrice + TrailingStart1 * MinPoint //第一级跟踪止损的条件表达式;

                     IF LOW <= HighestAfterEntry [1] - TrailingStop1 * MinPoint

                            MyExitPrice = HighestAfterEntry [1] - TrailingStop1 * MinPoint;

                            IF (OPEN < MyExitPrice)  MyExitPrice = Open;

                            SELL ( 0, MyExitPrice) ;