[交易系统]MACD策略 - 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

runmode:0;

input:period(70,5,90,5);
input:initialstop(2,0,3,1),coststop(2,1,3,1),trailingstop(3,1,6,1);
input:money(0,0,10,1);
input:slippage(1,0,1,1);
input:debug(1,0,1,1);

variable:myasset=500000;
variable:costprice=0,stopline=0;

begin
if stricmp(marketlabel,'sh')=0 then begin
  commission:=0.001;
  stamptax:=0.001;
  transferfee:=0.001;
end

if stricmp(marketlabel,'sz')=0 then begin
  commission:=0.001;
  stamptax:=0.001;
  transferfee:=0;
end

diff:=ema(close,12)-ema(close,26);
dea:=ema(diff,9);
macd:=2*(diff-dea);

buycond:=ref(cross(dea,diff),1);

topband:=ref(hhv(high,period),1)+mindiff;

atr:=ref(ma(tr,10),1);

initialstopnum:=trimprice(initialstop*atr);
coststopnum:=trimprice(coststop*atr);
trailingstopnum:=trimprice(trailingstop*atr);
slippagenum:=slippage*mindiff;
end

if holding=0 then begin
price:=0;
lots:=0;

if barpos>=period and buycond then
  price:=close+slippagenum;

if price>0 then begin
  mycash:=cash(0);

  lots1:=intpart(mycash/(price*volunit))*volunit;

  if money=0 then begin
   lots:=lots1;
  end else begin
   lots2:=intpart(mycash*0.01*money/(initialstopnum*volunit))*volunit;
   lots:=min(lots1,lots2);
  end
end

if lots>=1 then begin
  buy(1,lots,limitr,price);

  if workmode=1 then
   tbuy(1,lots,limitr,price);
end
end

if holding>0 then begin
price:=0;
lots:=holding;

if initialstop>0 then begin
  if stopline>0 and low<=stopline then
   price:=close-slippagenum;

  if stopline=0 then begin
   costprice:=trimprice((enterprice*(1+commission)+2*transferfee)/(1-commission-stamptax))+mindiff;

   stopline:=costprice-initialstopnum;
  end

  if stopline<costprice and high-coststopnum>=costprice then
   stopline:=costprice;

  if stopline>=costprice and high-trailingstopnum>stopline then
   stopline:=high-trailingstopnum;
end

if price>0 then begin
  sell(1,lots,limitr,price);
  costprice:=0;
  stopline:=0;

  myasset:=asset;

  if workmode=1 then
   tsell(1,lots,limitr,price);
end
end

partline(debug=1 and holding=0,topband,colorred,1);

if initialstop>0 then begin
if holding>0 then begin
  drawicon(stopline<costprice,stopline,11);
  drawicon(stopline=costprice,stopline,12);
  drawicon(stopline>costprice,stopline,10);
end
end

if debug=1 then begin
盈亏:myasset,noaxis,colormagenta;
收益:(myasset-500000)/500000,linethick0;
次数:totaltrade,linethick0;
胜率:percentwin,linethick0;
连亏:maxseqloss,linethick0;
连赢:maxseqwin,linethick0;
end

[此贴子已经被作者于2011-10-3 11:22:12编辑过]

主题：[交易系统]MACD策略