怎样实现盘中止损？ - 公式模型编写问题提交 - 金字塔客服中心 - 专业程序化交易软件提供商

下面是双向海龟，止损是MYENTRYPRICE+2*N，请问可以实现盘中止损（价格触到止损价即时下单）吗？应怎样改？

//声明参数

INPUT : T20(20,5,60,1) ;

INPUT : T10(10,5,30,1);

INPUT : ATRLEN(20,5,30,1) ;

INPUT : POSNUM(1,1,20,1) ;

//声明变量

NT := 1 ; //调试信息带时间戳

BUYORDERTHISBAR := 0 ; //当前BAR有过交易

VARIABLE : _DEBUG = 1 ; //是否输出前台交易指令

VARIABLE : _TDEBUG = 1 ; //是否输出后台交易指令

VARIABLE : _DEBUGOUT = 0 ; //是否输出后台交易的调试信息

VARIABLE : MYENTRYPRICE =0 ; //开仓价格

VARIABLE : MYEXITPRICE =0 ; //平仓价格

VARIABLE : TURTLEUNITS=0 ; //交易单位

VARIABLE : POSITION=0 ; //仓位状态

//0表示没有仓位，1表示持有多头， -1表示持有空头

{VARIABLE : T20HI=CLOSE ; //20周期的高点

VARIABLE : T20LO=CLOSE ; //20周期的低点

VARIABLE : T10HI=CLOSE ; //10周期的高点

VARIABLE : T10LO=CLOSE }; //10周期的低点

//准备需要计算的变量

T20HI : REF(HHV(H,T20),1) ;

T20LO : REF(LLV(L,T20),1) ;

T10HI : REF(HHV(H,T10),1) ;

T10LO : REF(LLV(L,T10),1) ;

AVGTR := REF(MA(TR,ATRLEN),1) ;

//开始执行时初始化数据

IF BARPOS=1 THEN BEGIN

//POSITION := 0 ;

END //IF

//如果当前是没有持仓的状态

IF POSITION=0 AND BARPOS>T20 AND H>L THEN BEGIN

//建立多头进场条件

LONG := h> T20HI ;

//多头进场

IF LONG THEN BEGIN

MYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;

BUY( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);

POSITION := 1 ;

TURTLEUNITS := 1 ;

N := AVGTR ;

BUYORDERTHISBAR := 1;

END //IF

//建立空头进场条件

SHORT := L < T20LO ;

//空头进场

IF SHORT AND POSITION=0 THEN BEGIN

MYENTRYPRICE := IF(OPEN<T20LO-MINDIFF ,OPEN ,T20LO-MINDIFF ) ;

BUYSHORT( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE);

POSITION := -1 ;

TURTLEUNITS := 1 ;

N := AVGTR ;

BUYORDERTHISBAR := 1;

END

//不要跳转，让程序检查同一根K线是否可以加仓

//GOTO CONTINUELINE ;

END //IF

//如果当前持有多头仓位的状态

IF POSITION=1 AND BARPOS>T20 AND H>L THEN BEGIN

//多头加仓条件

WHILE (HIGH>MYENTRYPRICE+0.5*N) AND TURTLEUNITS<4 DO BEGIN

MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+0.5*N ,OPEN ,MYENTRYPRICE+0.5*N ) ;

MYENTRYPRICE := CEILING(MYENTRYPRICE/MINDIFF)*MINDIFF ;

BUY( _DEBUG, POSNUM, LIMITR, MYENTRYPRICE);

TURTLEUNITS := TURTLEUNITS+1 ;

BUYORDERTHISBAR := 1;

END //WHILE

//建立多头离场条件

LONGX1 := (LOW < T10LO) ;

IF LONGX1 AND BUYORDERTHISBAR=0 THEN BEGIN

MYEXITPRICE := IF(OPEN<T10LO-MINDIFF ,OPEN ,T10LO-MINDIFF ) ;

SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);

POSITION := 0 ;

TURTLEUNITS := 0 ;

END

//建立多头止损条件

LONGX2 := (LOW<MYENTRYPRICE-2*N) ;

IF LONGX2 AND POSITION=1 AND BUYORDERTHISBAR=0 THEN BEGIN

MYEXITPRICE := IF(OPEN<MYENTRYPRICE-2*N ,OPEN ,MYENTRYPRICE-2*N ) ;

MYEXITPRICE := FLOOR(MYEXITPRICE/MINDIFF)*MINDIFF ;

SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);

POSITION := 0 ;

TURTLEUNITS := 0 ;

END

GOTO CONTINUELINE ;

END //IF

//如果当前持有空头仓位的状态

IF POSITION = -1 AND BARPOS>T20 AND H>L THEN BEGIN

//空头加仓条件

WHILE (LOW<MYENTRYPRICE-0.5*N) AND TURTLEUNITS<4 DO BEGIN

MYENTRYPRICE := IF(OPEN<MYENTRYPRICE-0.5*N ,OPEN ,MYENTRYPRICE-0.5*N ) ;

MYENTRYPRICE := FLOOR(MYENTRYPRICE/MINDIFF)*MINDIFF ;

BUYSHORT( _DEBUG,POSNUM, LIMITR, MYENTRYPRICE);

TURTLEUNITS := TURTLEUNITS+1 ;

BUYORDERTHISBAR := 1;

END //IF

//建立空头离场条件

SHORTX1 := H > T10HI ;

IF SHORTX1 AND BUYORDERTHISBAR=0 THEN BEGIN

MYEXITPRICE := IF(OPEN>T10HI+MINDIFF ,OPEN ,T10HI+MINDIFF ) ;

SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);

POSITION := 0 ;

TURTLEUNITS := 0 ;

END

//建立空头止损条件

SHORTX2 := HIGH > MYENTRYPRICE + 2*N ;

IF SHORTX2 AND POSITION = -1 AND BUYORDERTHISBAR=0 THEN BEGIN

MYEXITPRICE := IF(OPEN>MYENTRYPRICE+2*N ,OPEN ,MYENTRYPRICE+2*N ) ;

MYEXITPRICE := CEILING(MYEXITPRICE/MINDIFF)*MINDIFF ;

SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);

POSITION := 0 ;

TURTLEUNITS := 0 ;

END

END //IF

//显示账户状态

CONTINUELINE@ 资产:ASSET,LINETHICK0;

可用现金:CASH(0),LINETHICK0;

POS:HOLDING,LINETHICK0;

交易次数:TOTALDAYTRADE, LINETHICK0 ;

IF _DEBUGOUT>0 THEN BEGIN

DEBUGFILE2('C:\DEBUGFILE.TXT','BARPOS=%.0F' ,BARPOS,NT ) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','T20HI=%.2F' ,T20HI ,NT) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','N=%.2F' ,N ,NT) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','CLOSE=%.2F' ,C ,NT) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','POSITION=%.0F' ,POSITION,NT ) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','TURTLEUNITS=%.0F' ,TURTLEUNITS,NT ) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','MYENTRYPRICE=%.0F' ,MYENTRYPRICE ,NT) ;

DEBUGFILE2('C:\DEBUGFILE.TXT','MYEXITPRICE=%.0F' ,MYEXITPRICE ,NT) ;

END //IF

当前持仓:HOLDING,COLORGRAY,LINETHICK0;

当前资产:ASSET,NOAXIS,COLORGRAY;

主题：怎样实现盘中止损？