主题：[交易系统]波动突破

以下内容为程序代码:

1 runmode:0;
2
3 input:volatility(20,5,100,5);
4
5 variable:myasset=30000;
6
7 entertime:=time＞=092500 and time＜=145500;
8 exittime:=time＞=150000;
9
10 dist:=barslast(date＜＞ref(date,1));
11 oo:=ref(open,dist);
12
13 highest:=oo+volatility*mindiff;
14 lowest:=oo-volatility*mindiff;
15
16 buycond:=entertime and high＞=highest;
17 buyprice:=max(open,highest);
18
19 buyshortcond:=entertime and low＜=lowest;
20 buyshortprice:=min(open,lowest);
21
22 if holding=0 and buycond then begin
23     buy(1,1,limitr,buyprice);
24 end
25
26 if holding=0 and buyshortcond then begin
27     buyshort(1,1,limitr,buyshortprice);
28 end
29
30 if holding＞0 and exittime then begin
31     sell(1,holding,limitr,close);
32 end
33
34 if holding＜0 and exittime then begin
35     sellshort(1,holding,limitr,close);
36 end
37
38 if exittime then
39     myasset:=asset;
40     
41 资产:myasset,noaxis,colormagenta;
42 次数:totaltrade,linethick0;
43 收益:(myasset-30000)/30000,linethick0;
44 胜率:percentwin,linethick0;
45 出击:totaltrade/(count(date＜＞ref(date,1),0)+1),linethick0;
46 连亏:maxseqloss,linethick0;
47 连赢:maxseqwin,linethick0;
48