[讨论]头一两笔的交易数量有问题 - 公式模型编写问题提交 - 金字塔客服中心 - 专业程序化交易软件提供商

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数量跟点位都不对，怀疑ATR有问题，不知道怎么修改，100W的资金测试

//声明参数
INPUT : T20(20,15,30,1) ;
INPUT : T10(10,10,20,1);
INPUT : ATRLEN(20,15,30,1) ;
INPUT : x(2,1,3,0.1);
INPUT : Y(0.5,0.1,3,0.1);
input: 资金变动比例(0.2,0,1,0.1);
input: 仓位变动比例(0.5,0,1,0.1);

//声明变量
NT := 1 ; //调试信息带时间戳
BUYORDERTHISBAR := 0 ; //当前BAR有过交易

VARIABLE : _DEBUG = 1 ;               //是否输出前台交易指令
VARIABLE : _TDEBUG = 1 ;            //是否输出后台交易指令
VARIABLE : _DEBUGOUT = 0 ;            //是否输出后台交易的调试信息

VARIABLE : MYENTRYPRICE =0 ; //开仓价格
VARIABLE : MYEXITPRICE =0 ; //平仓价格

VARIABLE : TURTLEUNITS=0 ; //交易单位
VARIABLE : POSITION=0 ; //仓位状态
//0表示没有仓位，1表示持有多头， -1表示持有空头

VARIABLE : T20HI=CLOSE ; //20周期的高点
VARIABLE : T20LO=CLOSE ; //20周期的低点

VARIABLE : T10HI=CLOSE ;         //10周期的高点
VARIABLE : T10LO=CLOSE ;         //10周期的低点
VARIABLE : POSNUM=0 ;         //仓位
VARIABLE : zijingbili=0.02;
VARIABLE: multi=1;
VARIABLE: maxset=0;
VARIABLE: minset=0;

marginratio:=10/100;//保证金比例

//准备需要计算的变量
T20HI := REF(HHV(H,T20),1) ;
T20LO := REF(LLV(L,T20),1) ;

T10HI := REF(HHV(H,T10),1) ;
T10LO := REF(LLV(L,T10),1) ;

if BARPOS<ATRLEN then exit;
WARNING_DISABLE:2;

//开始执行时初始化数据
IF BARPOS=1 THEN BEGIN
   maxset:=ASSET;
   minset:=asset;
   multi:=1;
END //IF

AVGTR := REF(MA(TR,ATRLEN),1) ;
A:=ceiling(AVGTR*x)*10;
//POSNUM: if(FLOOR (ASSET*0.02/A)=0,1,FLOOR (ASSET*0.02/A)),noaxis;//仓位
//POSNUM:1,noaxis;
if holding=0 then BEGIN

//最大资产
if asset>maxset then BEGIN
  maxset:=asset;
  minset:=asset;
  multi:=1;
end

//低于20%减仓位
WHILE asset<=minset*(1-资金变动比例) do BEGIN
  minset:=minset*(1-资金变动比例);
  multi:=multi*仓位变动比例;
end

//高于一定百分比恢复仓位
WHILE asset>=minset*(1/(1-资金变动比例)) do BEGIN
  minset:=minset*(1/(1-资金变动比例));
  multi:=multi*(1/(1-仓位变动比例));
  MULTI:=min(1,MULTI);
end

//开仓手数
POSNUM:=if(FLOOR (ASSET*multi*0.02/A)=0,1,FLOOR (ASSET*multi*0.02/A));//仓位
POSNUM:=min(FLOOR (ASSET/(C*multiplier*marginratio*4)),POSNUM);//仓位
end

//此处作为临时输出结果
仓位:posnum,NOAXIS;
最大资金: maxset,NOAXIS;
当前资金: minset,NOAXIS;
比例: MULTI,NOAXIS;

//如果当前是没有持仓的状态
IF POSITION=0 AND BARPOS>T20 AND H>L THEN BEGIN

   //建立多头进场条件
   LONG := H > T20HI ;

   //多头进场
   IF LONG THEN BEGIN
      MYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;
      BUY( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);
      POSITION := 1 ;
      TURTLEUNITS := 1 ;
      N := AVGTR ;
      BUYORDERTHISBAR := 1;

END //IF

   //建立空头进场条件
   SHORT := L < T20LO ;

   //空头进场
   IF SHORT AND POSITION=0 THEN BEGIN
      MYENTRYPRICE := IF(OPEN<T20LO-MINDIFF ,OPEN ,T20LO-MINDIFF ) ;
      BUYSHORT( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);
      POSITION := -1 ;
      TURTLEUNITS := 1 ;
      N := AVGTR ;
      BUYORDERTHISBAR := 1;

   END

   //不要跳转，让程序检查同一根K线是否可以加仓
   //GOTO CONTINUELINE ;

END //IF

//如果当前持有多头仓位的状态

IF POSITION=1 AND BARPOS>T20 AND H>L THEN BEGIN

   //多头加仓条件

   WHILE (HIGH>MYENTRYPRICE+Y*N) AND TURTLEUNITS<4 DO BEGIN
      MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+Y*N ,OPEN ,MYENTRYPRICE+Y*N ) ;
      MYENTRYPRICE := CEILING(MYENTRYPRICE/MINDIFF)*MINDIFF ;
      BUY( _DEBUG, POSNUM, LIMITR, MYENTRYPRICE);
      TURTLEUNITS := TURTLEUNITS+1 ;
      BUYORDERTHISBAR := 1;

   END //WHILE

   //建立多头离场条件
   LONGX1 := (LOW < T10LO) ;

   IF LONGX1 AND BUYORDERTHISBAR=0 THEN BEGIN
      MYEXITPRICE := IF(OPEN<T10LO-MINDIFF ,OPEN ,T10LO-MINDIFF ) ;
      SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);
      POSITION := 0 ;
      TURTLEUNITS := 0 ;
   END

//建立多头止损条件
LONGX2 := (LOW<MYENTRYPRICE-X*N) ;

   IF LONGX2 AND POSITION=1 AND BUYORDERTHISBAR=0 THEN BEGIN
      MYEXITPRICE := IF(OPEN<MYENTRYPRICE-X*N ,OPEN ,MYENTRYPRICE-X*N ) ;
      MYEXITPRICE := FLOOR(MYEXITPRICE/MINDIFF)*MINDIFF ;
      SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);
      POSITION := 0 ;
      TURTLEUNITS := 0 ;
   END

GOTO CONTINUELINE ;

END //IF

//如果当前持有空头仓位的状态

IF POSITION = -1 AND BARPOS>T20 AND H>L THEN BEGIN

   //空头加仓条件

   WHILE (LOW<MYENTRYPRICE-Y*N) AND TURTLEUNITS<4 DO BEGIN
      MYENTRYPRICE := IF(OPEN<MYENTRYPRICE-Y*N ,OPEN ,MYENTRYPRICE-Y*N ) ;
      MYENTRYPRICE := FLOOR(MYENTRYPRICE/MINDIFF)*MINDIFF ;
      BUYSHORT( _DEBUG,POSNUM, LIMITR, MYENTRYPRICE);
      TURTLEUNITS := TURTLEUNITS+1 ;
      BUYORDERTHISBAR := 1;
   END //IF

//建立空头离场条件
SHORTX1 := H > T10HI ;

   IF SHORTX1 AND BUYORDERTHISBAR=0 THEN BEGIN
      MYEXITPRICE := IF(OPEN>T10HI+MINDIFF ,OPEN ,T10HI+MINDIFF ) ;
      SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);
      POSITION := 0 ;
      TURTLEUNITS := 0 ;
   END

//建立空头止损条件
SHORTX2 := HIGH > MYENTRYPRICE + X*N ;

   IF SHORTX2 AND POSITION = -1 AND BUYORDERTHISBAR=0 THEN BEGIN
      MYEXITPRICE := IF(OPEN>MYENTRYPRICE+X*N ,OPEN ,MYENTRYPRICE+X*N ) ;
      MYEXITPRICE := CEILING(MYEXITPRICE/MINDIFF)*MINDIFF ;
      SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);
      POSITION := 0 ;
      TURTLEUNITS := 0 ;
   END

END //IF

//显示账户状态
CONTINUELINE@ 资产:ASSET,LINETHICK0;
可用现金:CASH(0),LINETHICK0;
POS:HOLDING,LINETHICK0;
交易次数:TOTALDAYTRADE, LINETHICK0 ;

IF _DEBUGOUT>0 THEN BEGIN

   DEBUGFILE2('C:\DEBUGFILE.TXT','BARPOS=%.0F' ,BARPOS,NT ) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','T20HI=%.2F' ,T20HI ,NT) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','N=%.2F' ,N ,NT) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','CLOSE=%.2F' ,C ,NT) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','POSITION=%.0F' ,POSITION,NT ) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','TURTLEUNITS=%.0F' ,TURTLEUNITS,NT ) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','MYENTRYPRICE=%.0F' ,MYENTRYPRICE ,NT) ;
   DEBUGFILE2('C:\DEBUGFILE.TXT','MYEXITPRICE=%.0F' ,MYEXITPRICE ,NT) ;

END //IF

当前持仓:HOLDING,COLORGRAY,LINETHICK0;
当前资产:ASSET,NOAXIS,COLORGRAY;

[此贴子已经被作者于2015/1/8 9:35:41编辑过]

主题：[讨论]头一两笔的交易数量有问题