[求助]系统自带的《定制的海龟交易系统V1.0后台版本》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

//该模型为简单示范模型，用户需根据自己交易经验，修改完善后再实际应用!!!

//该模型运行于后台程序化模式

//===========================================================

//《定制的海龟交易系统V1.0后台版本》

// 适用于多时间框架图表

// 仅能工作于金字塔的后台

// 工作模式：轮询法，建议设置1秒，数据长度<300根

// 说明：

// 1、如果最后一根K线发生过进场或者加仓，则该K线不执行出场

// 2、如果最后一根K线发生过出场，则该K线不执行进场

// DESIGNED BY LIKAI

// 2010.07.20

//===========================================================

//声明参数

INPUT : T20(20,15,60,1) ; //进场的周期

INPUT : T10(10,10,30,1); //出场的周期

INPUT : ATRLEN(20,15,30,1) ;

INPUT : POSNUM(2,1,20,1) ; //每次交易的手数

//声明变量

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 = 1 ; //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

//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) ;

AVGTR := REF(MA(TR,ATRLEN),1) ;

//采用全局变量保存最后一根K线的计算状态

STRENTRYBARPOS:=STRCAT(STKLABEL,'ENTRYBARPOS') ;

STREXITBARPOS:=STRCAT(STKLABEL,'EXITBARPOS') ;

STRPREENTRYPRICE:=STRCAT(STKLABEL,'PREENTRYPRICE') ;

STRTURTLEUNITS:=STRCAT(STKLABEL,'TURTLEUNITS') ;

STRPOSITION:=STRCAT(STKLABEL,'POSITION') ;

STRPREN:=STRCAT(STKLABEL,'PREN') ;

IF NOT ( WORKMODE=1 ) THEN BEGIN

DRAWTEXTEX(1 ,0 ,0 ,0 ,'提示：本公式仅用于后台交易！' ),COLORYELLOW ;

EXIT ;

END //IF

//开始执行时初始化数据

//注意：第一个数据的BARPOS=1

IF BARPOS=1 THEN BEGIN

//POSITION := 0 ;

END //IF

//如果当前棒是最后一根K线，执行

IF ISLASTBAR THEN BEGIN

// 如果最后一根K线发生过出场信号，则那一根K线不再交易

IF EXTGBDATA(STREXITBARPOS) = BARPOS THEN BEGIN

GOTO CONTINUELINE ;

END

//恢复上一秒计算时保存的数据

//如果记录的进场BARPOS和当前的相等，说明上一个进场信号也是最后一根K线发出的。

IF EXTGBDATA(STRENTRYBARPOS) = BARPOS THEN BEGIN

MYENTRYPRICE := EXTGBDATA(STRPREENTRYPRICE) ;

TURTLEUNITS := EXTGBDATA(STRTURTLEUNITS) ;

POSITION := EXTGBDATA(STRPOSITION) ;

N := EXTGBDATA(STRPREN) ;

END

//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 ;

//多头进场符合

IF LONG THEN BEGIN

MYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;

POSITION := 1 ;

TURTLEUNITS := 1 ;

N := AVGTR ;

TBUY( _TDEBUG,POSNUM,LMT,H),ALLOWREPEAT ;

EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;

EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

EXTGBDATASET(STRPREN,N ) ;

END //IF多头进场符合

//建立空头进场条件

SHORT := L < T20LO ;

//空头进场符合

IF SHORT AND POSITION=0 THEN BEGIN

MYENTRYPRICE := IF(OPEN<T20LO-MINDIFF ,OPEN ,T20LO-MINDIFF ) ;

POSITION := -1 ;

TURTLEUNITS := 1 ;

N := AVGTR ;

TBUYSHORT( _TDEBUG,POSNUM,LMT,L),ALLOWREPEAT;

EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;

EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

EXTGBDATASET(STRPREN,N ) ;

END //IF空头进场符合

GOTO CONTINUELINE ;

END //IF如果当前是没有持仓的状态

//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

IF (HIGH>MYENTRYPRICE+0.5*N) AND TURTLEUNITS<4 THEN BEGIN

MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+0.5*N ,OPEN ,MYENTRYPRICE+0.5*N ) ;

MYENTRYPRICE := CEILING(MYENTRYPRICE/MINDIFF)*MINDIFF ;

TURTLEUNITS := TURTLEUNITS+1 ;

TBUY( _TDEBUG,POSNUM,LMT,H),ALLOWREPEAT ;

EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;

EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

END //IF多头加仓条件

//建立多头离场条件

LONGX1 := (LOW < T10LO) ;

IF LONGX1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN

MYEXITPRICE := IF(OPEN<T10LO-MINDIFF ,OPEN ,T10LO-MINDIFF ) ;

POSITION := 0 ;

TURTLEUNITS := 0 ;

TSELL( _TDEBUG ,0,LMT,L),ALLOWREPEAT;

EXTGBDATASET(STREXITBARPOS,BARPOS ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

END

//建立多头止损条件

LONGX2 := (LOW<MYENTRYPRICE-2*N) ;

IF LONGX2 AND POSITION=1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN

MYEXITPRICE := IF(OPEN<MYENTRYPRICE-2*N ,OPEN ,MYENTRYPRICE-2*N ) ;

MYEXITPRICE := FLOOR(MYEXITPRICE/MINDIFF)*MINDIFF ;

POSITION := 0 ;

TURTLEUNITS := 0 ;

TSELL( _TDEBUG ,0,LMT,L),ALLOWREPEAT;

EXTGBDATASET(STREXITBARPOS,BARPOS ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

END

GOTO CONTINUELINE ;

END //IF如果当前持有多头仓位的状态

//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

IF (LOW<MYENTRYPRICE-0.5*N) AND TURTLEUNITS<4 THEN BEGIN

MYENTRYPRICE := IF(OPEN<MYENTRYPRICE-0.5*N ,OPEN ,MYENTRYPRICE-0.5*N ) ;

MYENTRYPRICE := FLOOR(MYENTRYPRICE/MINDIFF)*MINDIFF ;

TURTLEUNITS := TURTLEUNITS+1 ;

TBUYSHORT( _TDEBUG,POSNUM,LMT,L),ALLOWREPEAT;

EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;

EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

END //IF空头加仓条件

//建立空头离场条件

SHORTX1 := H > T10HI ;

IF SHORTX1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN

MYEXITPRICE := IF(OPEN>T10HI+MINDIFF ,OPEN ,T10HI+MINDIFF ) ;

POSITION := 0 ;

TURTLEUNITS := 0 ;

TSELLSHORT( _TDEBUG,0,LMT,H),ALLOWREPEAT;

EXTGBDATASET(STREXITBARPOS,BARPOS ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

END

//建立空头止损条件

SHORTX2 := HIGH > MYENTRYPRICE + 2*N ;

IF SHORTX2 AND POSITION = -1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN

MYEXITPRICE := IF(OPEN>MYENTRYPRICE+2*N ,OPEN ,MYENTRYPRICE+2*N ) ;

MYEXITPRICE := CEILING(MYEXITPRICE/MINDIFF)*MINDIFF ;

POSITION := 0 ;

TURTLEUNITS := 0 ;

TSELLSHORT( _TDEBUG,0,LMT,H),ALLOWREPEAT;

EXTGBDATASET(STREXITBARPOS,BARPOS ) ;

EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;

EXTGBDATASET(STRPOSITION,POSITION ) ;

END

GOTO CONTINUELINE ;

END //IF如果当前持有空头仓位的状态

//如果以上3种情形都没有成立，则直接结束本次判断

GOTO CONTINUELINE ;

END //IF如果当前棒是最后一根K线

//不是最后一根K线的情形

//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+MINDIFF);

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-MINDIFF);

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+0.5*N) AND TURTLEUNITS<4 DO BEGIN

MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+0.5*N ,OPEN ,MYENTRYPRICE+0.5*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-MINDIFF);

POSITION := 0 ;

TURTLEUNITS := 0 ;

END

//建立多头止损条件

LONGX2 := (LOW<MYENTRYPRICE-2*N) ;

IF LONGX2 AND POSITION=1 AND BUYORDERTHISBAR=0 THEN BEGIN

MYEXITPRICE := IF(OPEN<MYENTRYPRICE-2*N ,OPEN ,MYENTRYPRICE-2*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-0.5*N) AND TURTLEUNITS<4 DO BEGIN

MYENTRYPRICE := IF(OPEN<MYENTRYPRICE-0.5*N ,OPEN ,MYENTRYPRICE-0.5*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+MINDIFF);

POSITION := 0 ;

TURTLEUNITS := 0 ;

END

//建立空头止损条件

SHORTX2 := HIGH > MYENTRYPRICE + 2*N ;

IF SHORTX2 AND POSITION = -1 AND BUYORDERTHISBAR=0 THEN BEGIN

MYEXITPRICE := IF(OPEN>MYENTRYPRICE+2*N ,OPEN ,MYENTRYPRICE+2*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:TASSET,LINETHICK0;

//可用现金:CASH(0),LINETHICK0;

POS:THOLDING,LINETHICK0;

//交易次数:TOTALDAYTRADE, LINETHICK0 ;

//EP:MYENTRYPRICE ;

// DEBUGOUT('POSITION=%.0F' ,POSITION ) ;

// DEBUGOUT('TURTLEUNITS=%.0F' ,TURTLEUNITS ) ;

// DEBUGOUT('BARPOS=%.0F' ,BARPOS ) ;

// DEBUGOUT('MYENTRYPRICE=%.0F' ,MYENTRYPRICE ) ;

IF _DEBUGOUT>0 AND ISLASTBAR THEN BEGIN

DEBUGFILE2('C:\DEBUGFILE.TXT','BARPOS=%.0F' ,BARPOS,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','T20HI=%.2F' ,T20HI ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','N=%.2F' ,N ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','AVGTR=%.2F' ,AVGTR ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','POSITION=%.0F' ,POSITION,1 ) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','TURTLEUNITS=%.0F' ,TURTLEUNITS,1 ) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','OPEN=%.2F' ,O ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','HIGH=%.2F' ,H ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','LOW=%.2F' ,L ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','CLOSE=%.2F' ,C ,1) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','MYENTRYPRICE=%.0F' ,MYENTRYPRICE ,1) ;

END //IF

请帮忙解释一下，分两次完整交易代码是什么原因？分下面二次：

1，//如果当前棒是最后一根K线的情况

2，//不是最后一根K线的情形

上面这二次的交易代码几乎一样，为什么这样分出来？特别是第2项，什么时候不是最后一根K线的情形（是不是因为当天最后收盘价刚好达到开仓价位没法开，后一天开盘时检测到而开这种情形）？

主题：[求助]系统自带的《定制的海龟交易系统V1.0后台版本》问题