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策略:Dynamic Break Out II改进版

作者:George Pruitt(1996)

类型:短线系统(短周期)、趋势系统(长周期)

原理:布林带+市场波动率自适应

编译:猫在思考

介绍:Http://Www.Hs633.Com/Forum.Php?Mod=Viewthread&Tid=42281

版本:1.2

日期:2015.6.15

}

//百分比止损

// Setstoplosspercent:=-25; //亏损-25%时止损

//BOLL

Upper:=Round(Ref(Ma(C,M)+N*Std(C,M),1));//布林上轨

Lower:=Round(Ref(Ma(C,M)-N*Std(C,M),1));//布林下轨

//自适应模块

Todayv:=Ref(Std(C,D),1);

Yesterdayv:=Ref(Std(C,D),2);

Deltav:=(Todayv-Yesterdayv)/Todayv;

Backdays:=M; //预设回溯值

Backdays:=(1+Deltav)*Backdays;

Backdays:=Intpart(Backdays); //取整

Backdays:=Min(Backdays,60); //确认回溯值不大于60

Backdays:=Max(Backdays,20); //确认回溯值不小于20

上轨:Ref(Hhv(H,Backdays),1),Colorred,Linedot; //X周期最高价

下轨:Ref(Llv(L,Backdays),1),Colorgreen,Linedot; //X周期最低价

中轨:Ref(Round(Ma(C,Backdays)),1),ColorYellow; //X周期收盘移动平均

//突破上轨做多,突破下轨开空

{多头开仓:跳空高开时}

If Marketposition<1

And O>=上轨

And 上轨>=Upper

Then Buy('', Default, 0, 2, Ot_market, Ob_thisbar); //跳空高开时,开仓时机为开盘价(开仓价取开盘价)

{多头开仓:盘中价格突破时}

If Marketposition<1

And H>=上轨 And O<上轨

And 上轨>=Upper

Then Buy('', Default, 上轨, 2, Ot_market, Ob_thisbar); //盘中价格突破上轨时开仓(开仓价即上轨值)

{空头开仓:跳空低开时}

If Marketposition>-1

And O<=下轨

And 下轨<=Lower

Then Sellshort('', Default, 0, 2, Ot_market, Ob_thisbar); //跳空低开时,开仓时机为开盘价(开仓价取开盘价)

{空头开仓:盘中价格突破时}

If Marketposition>-1

And L<=下轨 And O>下轨

And 下轨<=Lower

Then Sellshort('', Default, 下轨, 2, Ot_market, Ob_thisbar);

//价格运行至中轨时出场(需将参数P即"中轨平仓"设为1)

{多头平仓:跳空低开时}

If Marketposition=1

And P=1

And O<=中轨

And Barsentry>0

Then Sell('', Default, 0, 2, Ot_market, Ob_thisbar); //跳空低开时,平仓时机为开盘价(开盘即平仓)

{多头平仓:盘中价格突破时}

If Marketposition=1

And P=1

And L<=中轨 And O>中轨

And Barsentry>0

Then Sell('', Default, 中轨, 2, Ot_market, Ob_thisbar); //盘中价格突破中轨时平仓(平仓价即中轨值)

{空头平仓:跳空高开时}

If Marketposition=-1

And P=1

And O>=中轨

And Barsentry>0

Then Buytocover('', Default, O, 2, Ot_market, Ob_thisbar); //跳空高开时,平仓时机为开盘价(开盘即平仓)

{空头平仓:盘中价格突破时}

If Marketposition=-1

And P=1

And H>=中轨 And O<中轨

And Barsentry>0

Then Buytocover('', Default, 中轨, 2, Ot_market, Ob_thisbar); //盘中价格突破中轨时平仓(平仓价即中轨值)

//止损处理

Zs:=Floor(Abs(Entryprice*Setstoplosspercent/Bigpointvalue/100),Mindiff);

Setstopcontract;

Setstoploss(Zs*Bigpointvalue);

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