開拓者突破型日內交易策略源碼

作者：開拓者 TB 來源：cxh99.com 發布時間：2012年12月02日

源碼：

Params
      Numeric endTime(14.55);                   //結束交易時間
Numeric RiskRatio(1);                      //風險率(0-100)
Numeric boLength(18);                      //突破周期
Numeric ATRLength(20);                   //平均波動周期
      Numeric Quitlength(10);                   //離市周期
      Numeric weightnumber(1);                   //加權參數
      Numeric Limitednumber(3);                //交易限制次數(能交易的次數為limitednumber+1次)
Bool Filtercondition(True);                //入市過濾條件
Vars
Numeric Minpoint;                         //最小變動單位
      NumericSeries AvgTR;                      //ATR
      Numeric F;                               //表示市場波動性的F值
      Numeric Capital;                         //入市資本
      Numeric scale;                            //買賣規模
      NumericSeries Passwayhi;                   //通道上軌{程序化交易}
      NumericSeries Passwaylo;                   //通道下軌
      NumericSeries quithighprice;             //離市時判斷需要的離市周期最高價
      NumericSeries quitlowprice;                //離市時判斷需要的離市周期最低價
      Numeric myEntryPrice;                      //開倉價格
      Numeric myExitPrice;                      //平倉價格
      NumericSeries tempnum(0);                //臨時計數器
      Bool Sendorderthisbar(False);             //當前Bar是否有過交易
      NumericSeries preEntryprice(0);          //前一次開倉的價格
Begin
      Minpoint=Minmove*PriceScale;
      AvgTR=XAverage(TrueRange,ATRlength);
      F=weightnumber*AvgTR[1];
      Capital=Portfolio_CurrentCapital()+Portfolio_UsedMargin();
      scale=(Capital*RiskRatio/100)/(F*ContractUnit()*BigPointValue());
      scale=IntPart(scale);

      Passwayhi=HighestFC(High[1],boLength);
      Passwaylo=LowestFC(Low[1],boLength);

      quitlowprice=LowestFC(Low[1],Quitlength);
      quithighprice=HighestFC(High[1],Quitlength);

      Commentary("scale="+Text(scale));
      Commentary("preEntryprice="+Text(preEntryprice));


      If(Date!=currentdate)                      //只限于當日交易{程序化交易}
      {return;}
      If((Date!=Date[1])or(CurrentBar==0))
      {
      //當日的第一個Bar
      preEntryprice=InvalidNumeric;
      tempnum=Limitednumber;
      return;
      }

      If(tempnum[1]<1)
      {
      tempnum=limitednumber;
      }

      //開倉
If(time<endtime/100)
{
      If(MarketPosition==0 And Filtercondition)
      {
         If(High>Passwayhi And scale>=1)
            {
            myEntryPrice=Min(high,passwayhi+minpoint);
            myentryprice=IIF(myentryprice<open,open,myentryprice);
            preentryprice=myentryprice;
            Buy(scale,myentryprice);
            sendorderthisbar=True;
            }

            If(Low<passwaylo And scale>=1)
            {
            myentryprice=Max(low,passwaylo-Minpoint);
            myentryprice=IIF(myentryprice>open,open,myentryprice);
            preentryprice=myentryprice;
            SellShort(scale,myentryprice);
            sendorderthisbar=True;
            }
      }


      If(Marketposition==1)
      {
         Commentary("quitlowprice="+Text(quitlowprice));
            If(Low<quitlowprice)
            {
                  myexitprice=Max(low,quitlowprice-Minpoint);
                     myexitprice=IIF(myexitprice>open,open,myexitprice);
                     Sell(0,myexitprice);
                     tempnum=limitednumber;
            }Else
            {
                  tempnum=tempnum[1];
                     If(preentryprice!=Invalidnumeric And scale>=1)
                     {
                        If((open>=preentryprice+0.5*F) And (tempnum>=1))
                              {
                                 myentryprice=open;
                                    preentryprice=myentryprice;
                                    Buy(scale,myentryprice);
                                    sendorderthisbar=True;
                                    tempnum=tempnum-1;
                              }

                              While((High>=preentryprice+0.5*F) And (tempnum>=1))
                              {
                                 myentryprice=preentryprice+0.5*F;
                                    preentryprice=myentryprice;
                                    Buy(scale,myentryprice);
                                    sendorderthisbar=true;
                                    tempnum=tempnum-1;
                              }
                     }

                     If(low<=preentryprice-2*F And sendorderthisbar==false)
                     {
                     myexitprice=preentryprice-2*F;
                     Sell(0,myexitprice);
                     tempnum=limitednumber;
                     }
            }
      }Else If(marketposition==-1)
      {
         Commentary("quithighprice="+Text(quithighprice));
            If(high>quithighprice)
            {
                  myexitprice=Min(High,quithighprice+Minpoint);
                     myexitprice=IIF(myexitprice<open,open,myexitprice);
                     BuyToCover(0,myexitprice);
                     tempnum=limitednumber;
            }Else
            { tempnum=tempnum[1];
                  If(preentryprice!=Invalidnumeric And scale>=1)
                     {
                        If((open<=preentryprice-0.5*F) And (tempnum>=1))
                              {
                                 myentryprice=Open;
                                    preentryprice=myentryprice;
                                    SellShort(scale,myentryprice);
                                    sendorderthisbar=True;
                                    tempnum=tempnum-1;
                              }

                              While((Low<=preentryprice-0.5*F) And (tempnum>=1))
                              {
                                 myentryprice=preentryprice-0.5*F;
                                    preentryprice=myentryprice;
                                    SellShort(scale,myentryprice);
                                    sendorderthisbar=True;
                                    tempnum=tempnum-1;
                              }
                     }


                     If(High>=preentryprice+2*F And sendorderthisbar==False)
                     {
                        myexitprice=preentryprice+2*F;
                              BuyToCover(0,myexitprice);
                              tempnum=limitednumber;
                     }
            }
      }
}

      If(Time==0.145500 && /*CurrentTime>0.145800 &&*/ MarketPosition<>0)  //收盤平倉用于5Min
      {
            Sell(0,Close);
            BuyToCover(0,Close);

      }


End