Numeric ceilingAmt(60);
Numeric floorAmt(20);
Numeric bolBandTrig(2.00);
Vars
Numeric lookBackDays(20);
Numeric todayVolatility(0);
Numeric yesterDayVolatility(0);
Numeric deltaVolatility(0);
NumericSeries buyPoint(0);
NumericSeries sellPoint(0);
NumericSeries longLiqPoint(0);
NumericSeries shortLiqPoint(0);
Numeric upBand(0);
Numeric dnBand(0);
Numeric MidLine(0);
Numeric Band(0);
Begin
todayVolatility = StandardDev(Close,30,1);
yesterDayVolatility = StandardDev(Close[1],30,1);
deltaVolatility = (todayVolatility - yesterDayVolatility)/todayVolatility;
lookBackDays = lookBackDays * (1 + deltaVolatility);
lookBackDays = Round(lookBackDays,0);
lookBackDays = Min(lookBackDays,ceilingAmt);
lookBackDays = Max(lookBackDays,floorAmt);
MidLine = AverageFC(Close,lookBackDays);
Band = StandardDev(Close,lookBackDays,bolBandTrig);
upBand = MidLine + bolBandTrig * Band;
dnBand = MidLine - bolBandTrig * Band;
buyPoint = Highest(High[1],lookBackDays);
sellPoint = Lowest(Low[1],lookBackDays);
longLiqPoint = Average(Close[1],lookBackDays);
shortLiqPoint = Average(Close[1],lookBackDays);
if(Close > upBand)
{
If(CrossOver(high,buyPoint))
{
Buy(1,max( buyPoint, Low ));
}
Commentary("多头触发价:"+Text(buyPoint));
}
if(Close < dnBand)
{
If(CrossUnder(Low,sellPoint ))
{
SellShort(1,min( sellPoint , High ));
}
Commentary("空头触发价:"+Text(sellPoint));
}
if(MarketPosition == 1)
{
If(CrossUnder(Low,longLiqPoint ))
{
Sell(1,min( longLiqPoint , High ));
}
Commentary("多头退出:"+Text(longLiqPoint));
}
if(MarketPosition == -1)
{
If(CrossOver(high,shortLiqPoint))
{
BuyToCover(1,max( shortLiqPoint, Low ));
}
Commentary("多头退出:"+Text(shortLiqPoint));
}
End