input:trn(20,5,30),hn(20,5,30),lown(10,5,20);
VARIABLE:dayCount=1,PositionCount=1,SellSign=0,dK=0;//加多空标志,1:多,-1:空 0:空仓
VARIABLE:EntAndExitSign=1,EntPoint=0,ExitPoint=0;
VARIABLE:N=0;
margin:=0.1;//保证金率
value:=10;//合约单位
//现金:CASH(0)/1000*margin;//若输出此行,cash和asset相等
现金:CASH(0)/1000;//若输出此行,asset=cash*margin。处以1000是为了坐标比例与K线适应
资产:ASSET/1000;
N:=MA(TR,trn);
BUYHHV:=HHV(H,hn);
SELLLLV:=LLV(L,lown);
sellshortllv:=llv(l,hn);
buyshorthhv:=hhv(h,lown);
IF BARPOS>=hn THEN
BEGIN
IF BARPOS=hn THEN
IF DayCount=hn/2 OR BARPOS=hn THEN
BEGIN{hn/2天调整N值}
N:=((hn-1)*N+TR)/hn;{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;{可以平仓信号,如果达到指定的价格}
END
IF PositionCount=1 THEN BEGIN{第一头寸}
HOW:=ASSET*0.01/N/value;{波动性百分比决定头寸规模}
if high=buyhhv then
BEGIN
dk:=1;
多开1:BUY(1,HOW,STOP,BUYHHV);{在20日新高STOP指令买进}
END;
if low=sellshortllv then
begin
dk:=-1;
空开1:buyshort(1,HOW,STOP,sellshortllv);{在20日新低STOP指令空开}
end;
END
IF PositionCount=2 THEN BEGIN{如到第二头寸}
HOW:=ASSET*0.01/N/value;{波动性百分比决定头寸规模}
if dk=1 then 多开2:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第一头寸)+0.5个N以STOP指令买进}
if dk=-1 then 空开2:buyshort(1,HOW,STOP,ENTERPRICE-0.5*N);
END
IF PositionCount=3 THEN BEGIN{如到第三头寸}
HOW:=ASSET*0.01/N/value;
if dk=1 then 多开3:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第二头寸)+0.5个N以STOP指令买进}
if dk=-1 then 空开3:buyshort(1,HOW,STOP,ENTERPRICE-0.5*N);
END
IF PositionCount=4 THEN BEGIN
HOW:=ASSET*0.01/N/value;
if dk=1 then 多开4:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);
if dk=-1 then 空开4:buyshort(1,HOW,STOP,ENTERPRICE-0.5*N);
END
IF SellSign=True THEN
BEGIN
ExitPoint:=EXITBARS+1;
if dk=1 then
begin
IF ExitPoint=EntAndExitSign THEN
BEGIN {说明卖出成功}
PositionCount:=1;{头寸计算复原}
SellSign:=False;
dk:=0;
END
IF ENTERPRICE-2*N then
SELL(1,100%,STOP,SELLLLV);{退出离盈利头寸}
ELSE
SELL(1,100%,STOP,ENTERPRICE-2*N);{退出亏损头寸}
end;
if dk=-1 then
begin
IF ExitPoint=EntAndExitSign THEN
BEGIN
PositionCount:=1;
SellSign:=False;
dk:=0;
END
IF ENTERPRICE+2*N then
sellSHORT(1,100%,STOP,BUYSHORTHHV);
ELSE
sellSHORT(1,100%,STOP,ENTERPRICE+2*N);
END;
END
END;