runmode:0;
//input:ceilingamt(60),flooramt(20),bolbandtrig(2);
variable:lookbackdays=20;
todayvolatility:=std(close,30);
yesterdayvolatility:=std(ref(close,1),30);
deltavolatility:=(todayvolatility-yesterdayvolatility)/todayvolatility;
lookbackdays:=lookbackdays*(1+deltavolatility);
lookbackdays:=round(lookbackdays);
lookbackdays:=min(lookbackdays,ceilingamt);
lookbackdays:=max(lookbackdays,flooramt);
mid:=ma(close,lookbackdays);
upband:=mid+bolbandtrig*std(close,lookbackdays);
dnband:=mid-bolbandtrig*std(close,lookbackdays);
buypoint:=ref(hhv(high,lookbackdays),1);
sellpoint:=ref(llv(low,lookbackdays),1);
longliqpoint:=ma(close,lookbackdays);
shortliqpoint:=ma(close,lookbackdays);
if holding=0 then begin
if close>upband then
buy(1,1,limitr,max(open,buypoint));
end
if holding=0 then begin
if close<dnband then
buyshort(1,1,limitr,min(open,sellpoint));
end
if holding>0 then begin
if close<dnband then begin
sell(1,holding,limitr,min(open,sellpoint));
buyshort(1,1,limitr,min(open,sellpoint));
end
if low<=longliqpoint then
sell(1,holding,limitr,min(open,longliqpoint));
end
if holding<0 then begin
if close>upband then begin
sellshort(1,holding,limitr,max(open,buypoint));
buy(1,1,limitr,max(open,buypoint));
end
if high>=shortliqpoint then
sellshort(1,holding,limitr,max(open,shortliqpoint));
end
盈亏:asset-50000,noaxis,colorred,linethick2;