[原创]变种r-b - 交易策略发布专区 - 金字塔客服中心 - 专业程序化交易软件提供商

//本例旨在学习

//源码提供

//BY Ne

//2012-12-13

//股指5分钟

input:upperN(100,50,150,10),upN(50,30,100,10),downN(50,30,100,10),downerN(100,50,150,10);

KLineNum:=BARSLAST(day<>ref(day,1));

OpenPrice:ref(o,KLineNum);

t1:=time>=092000 and time<=144000;

//上轨:开盘价+1%

upper:OpenPrice*(1+0.01*0.01*upperN);

//中上轨:开盘价+0.5%

up:OpenPrice*(1+0.01*0.01*upN);

//中下轨:开盘价-0.5%

down:OpenPrice*(1-0.01*0.01*downN);

//下轨:开盘价-1%

downer:OpenPrice*(1-0.01*0.01*downerN);

//开多:突破上轨 or （最低价不破下轨 and 上穿中下轨;

long:=c>upper or (llv(l,KLineNum)>downer and l<down and c>down);

//平多:反向走0.5%出局

longend:=holding>0 and (enterprice-c)/enterprice>=0.5*0.01;

//开空:突破下轨 or (最高价不丰上轨 and 下穿中上轨)

short:=c<downer or (hhv(h,KLineNum)<upper and h>up and c<up);

//平空:反向走0.5%出局

shortend:=holding<0 and (c-enterprice)/enterprice>=0.5*0.01;

if holding>0 and longend then sell(1,1,thisclose);

if holding<0 and shortend then sellshort(1,1,thisclose);

if holding=0 and t1 and long then buy(1,1,thisclose);

if holding=0 and t1 and short then buyshort(1,1,thisclose);

if time>150900 then BEGIn

sell(holding>0,holding,thisclose);

sellshort(holding<0,abs(holding),thisclose);

end

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