Params
Numeric RiskRatio(1);
Numeric ATRLength(20);
Numeric boLength(20);
Numeric fsLength(55);
Numeric teLength(10);
Bool LastProfitableTradeFilter(True);
Numeric TrailingStart1(50);
Numeric TrailingStart2(80);
Numeric TrailingStop1(30);
Numeric TrailingStop2(20);
Numeric StopLossSet(50);
Vars
Numeric MinPoint;
NumericSeries AvgTR;
Numeric N;
Numeric TotalEquity;
Numeric TurtleUnits;
NumericSeries DonchianHi;
NumericSeries DonchianLo;
NumericSeries fsDonchianHi;
NumericSeries fsDonchianLo;
Numeric ExitHighestPrice;
Numeric ExitLowestPrice;
Numeric myEntryPrice;
Numeric myExitPrice;
Bool SendOrderThisBar(False);
NumericSeries preEntryPrice(0);
BoolSeries PreBreakoutFailure(false);
Numeric MyExitPriceStop;
NumericSeries HighestAfterEntry;
NumericSeries LowestAfterEntry;
Begin
If(BarStatus==2 && Time==0.090000 && CurrentTime<=0.090000) Return;
If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
PreBreakoutFailure = false;
}
MinPoint = MinMove*PriceScale;
AvgTR = XAverage(TrueRange,ATRLength);
N = AvgTR[1];
TotalEquity = Portfolio_CurrentCapital() + Portfolio_UsedMargin();
TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
TurtleUnits = IntPart(TurtleUnits);
DonchianHi = HighestFC(High[1],boLength);
DonchianLo = LowestFC(Low[1],boLength);
fsDonchianHi = HighestFC(High[1],fsLength);
fsDonchianLo = LowestFC(Low[1],fsLength);
ExitLowestPrice = LowestFC(Low[1],teLength);
ExitHighestPrice = HighestFC(High[1],teLength);
Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));
If(BarsSinceentry == 0)
{
HighestAfterEntry = Close;
LowestAfterEntry = Close;
If(MarketPosition <> 0)
{
HighestAfterEntry = Max(HighestAfterEntry,AvgEntryPrice);
LowestAfterEntry = Min(LowestAfterEntry,AvgEntryPrice);
}
}
Else
{
HighestAfterEntry = Max(HighestAfterEntry,High);
LowestAfterEntry = Min(LowestAfterEntry,Low);
}
Commentary("HighestAfterEntry="+Text(HighestAfterEntry));
Commentary("LowestAfterEntry="+Text(LowestAfterEntry));
MinPoint = MinMove*PriceScale;
MyEntryPrice = AvgEntryPrice;
If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or(PreBreakoutFailure)))
{
If(High > DonchianHi && TurtleUnits >= 1)
{
myEntryPrice = min(high,DonchianHi + MinPoint);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice);
preEntryPrice = myEntryPrice;
Buy(1,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
If(Low < DonchianLo && TurtleUnits >= 1)
{
myEntryPrice = max(low,DonchianLo - MinPoint);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice);
preEntryPrice = myEntryPrice;
SendOrderThisBar = True;
SellShort(1,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
}
// 长周期突破开仓 Failsafe Breakout point
If(MarketPosition == 0)
{
Commentary("fsDfont-family: Verdana;"> If(High > fsDonchianHi && TurtleUnits >= 1)
{
myEntryPrice = min(high,fsDonchianHi + MinPoint);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice);
preEntryPrice = myEntryPrice;
Buy(1,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
Commentary("fsDfont-family: Verdana;"> If(Low < fsDonchianLo && TurtleUnits >= 1)
{
myEntryPrice = max(low,fsDonchianLo - MinPoint);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice);
preEntryPrice = myEntryPrice;
SellShort(1,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
}
If(MarketPosition == 1)
{
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
If(Low < ExitLowestPrice)
{
myExitPrice = max(Low,ExitLowestPrice - MinPoint);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice);
Sell(0,myExitPrice);
}
Else
{
If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
{
If(Open >= preEntryPrice + 0.5*N)
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
Buy(1,myEntryPrice);
SendOrderThisBar = True;
}
while(High >= preEntryPrice + 0.5*N)
{
myEntryPrice = preEntryPrice + 0.5 * N;
preEntryPrice = myEntryPrice;
Buy(1,myEntryPrice);
SendOrderThisBar = True;
}
}
If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false)
{
If(HighestAfterEntry[1] >= MyEntryPrice + TrailingStart2*MinPoint)
{
If(Low <= HighestAfterEntry[1] - TrailingStop2*MinPoint)
{
MyExitPriceStop = HighestAfterEntry[1] - TrailingStop2*MinPoint;
If(Open < MyExitPriceStop) MyExitPriceStop = Open;
Sell(0,MyExitPriceStop);
}
}
else if(HighestAfterEntry[1] >= MyEntryPrice + TrailingStart1*MinPoint)
{
If(Low <= HighestAfterEntry[1] - TrailingStop1*MinPoint)
{
MyExitPriceStop = HighestAfterEntry[1] - TrailingStop1*MinPoint;
If(Open < MyExitPriceStop) MyExitPriceStop = Open;
Sell(0,MyExitPriceStop);
}
}
else if (Low <= MyEntryPrice - StopLossSet*MinPoint)
{
MyExitPriceStop = MyEntryPrice - StopLossSet*MinPoint;
If(Open < MyExitPriceStop) MyExitPriceStop = Open;
Sell(0,MyExitPriceStop);
}
PreBreakoutFailure = True;
}
}
}
Else If(MarketPosition ==-1)
{
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
If(High > ExitHighestPrice)
{
myExitPrice = Min(High,ExitHighestPrice + MinPoint);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice);
BuyToCover(0,myExitPrice);
}
Else
{
If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
{
//
If(LowestAfterEntry[1] <= MyEntryPrice - TrailingStart2*MinPoint)
{
If(High >= LowestAfterEntry[1] + TrailingStop2*MinPoint)
{
MyExitPriceStop = LowestAfterEntry[1] + TrailingStop2*MinPoint;
If(Open > MyExitPriceStop) MyExitPriceStop = Open;
BuyToCover(0,MyExitPriceStop);
}
}
else if(LowestAfterEntry[1] <= MyEntryPrice + TrailingStart1*MinPoint)
{
If(High >= LowestAfterEntry[1] + TrailingStop1*MinPoint)
{
MyExitPriceStop = LowestAfterEntry[1] - TrailingStop1*MinPoint;
If(Open > MyExitPriceStop) MyExitPriceStop = Open;
BuyToCover(0,MyExitPriceStop);
}
}
else If(High >= MyEntryPrice + StopLossSet*MinPoint)
{
MyExitPriceStop = MyEntryPrice + StopLossSet*MinPoint;
If(Open > MyExitPriceStop) MyExitPriceStop = Open;
}
PreBreakoutFailure = True;
}
}
} End