主题：[交易系统]动态突破系统

 

runmode:0;

input:ceilingamt(60),flooramt(20),bolbandtrig(2);

variable:lookbackdays=20;

todayvolatility:=std(close,30);
yesterdayvolatility:=std(ref(close,1),30);

deltavolatility:=(todayvolatility-yesterdayvolatility)/todayvolatility;

lookbackdays:=lookbackdays*(1+deltavolatility);
lookbackdays:=round(lookbackdays);
lookbackdays:=min(lookbackdays,ceilingamt);
lookbackdays:=max(lookbackdays,flooramt);

mid:=ma(close,lookbackdays);
upband:=mid+bolbandtrig*std(close,lookbackdays);
dnband:=mid-bolbandtrig*std(close,lookbackdays);

buypoint:=ref(hhv(high,lookbackdays),1);
sellpoint:=ref(llv(low,lookbackdays),1);

longliqpoint:=ma(close,lookbackdays);
shortliqpoint:=ma(close,lookbackdays);

if holding=0 then begin
 if close>upband then
  buy(1,1,limitr,max(open,buypoint));
end

if holding=0 then begin
 if close<dnband then
  buyshort(1,1,limitr,min(open,sellpoint));
end

if holding>0 then begin
 if close<dnband then begin
  sell(1,holding,limitr,min(open,sellpoint));
  buyshort(1,1,limitr,min(open,sellpoint));
 end
 
 if low<=longliqpoint then
  sell(1,holding,limitr,min(open,longliqpoint));
end

if holding<0 then begin
 if close>upband then begin
  sellshort(1,holding,limitr,max(open,buypoint));
  buy(1,1,limitr,max(open,buypoint));
 end
 
 if high>=shortliqpoint then
  sellshort(1,holding,limitr,max(open,shortliqpoint));
end

盈亏:asset-50000,noaxis,colorred,linethick2;