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      您現在的位置:程序化交易>> 期貨公式>> 交易開拓者(TB)>> 開拓者公式>>正文內容

      開拓者CXH99唐奇安通道交易策略源碼[開拓者公式]

      開拓者CXH99唐奇安通道交易策略源碼


      Params
                              Numeric LongLength(20);                        // 長周期
                              Numeric ShortLength(10);                // 短周期
                              Numeric TrailingScale(0.5);                // 增倉比例
                              Numeric StopLossSet(2);                        // 止損比例
                              Numeric Lots(1);                                // 交易數量                               
      Vars
                              Numeric MinPoint;                                // 最小變動單位
                              NumericSeries AvgTR;                        // ATR
                              Numeric N;                          // N 值
                              NumericSeries DonchianHi;           // 唐奇安通道上軌,延后1個Bar
                              NumericSeries DonchianLo;           // 唐奇安通道下軌,延后1個Bar
                              Numeric ExitHighestPrice;           // 離市時判斷需要的N周期最高價
                              Numeric ExitLowestPrice;            // 離市時判斷需要的N周期最低價
                              Numeric myEntryPrice;               // 開倉價格
                              Numeric myExitPrice;                // 平倉價格
                              Bool SendOrderThisBar(False);   // 當前Bar有過交易
                              NumericSeries preEntryPrice(0); // 前一次開倉的價格
      Begin
                              If(BarStatus == 0)
                              {
                                      preEntryPrice = InvalidNumeric;
                              } Else
                              {
                                      preEntryPrice = preEntryPrice[1];
                              } //程序化交易 www.miao-tiao.com
             
                              AvgTR = XAverage(TrueRange,LongLength);
                              N = AvgTR[1];       
                              DonchianHi = HighestFC(High[1],LongLength);
                              DonchianLo = LowestFC(Low[1],LongLength);       
                              ExitLowestPrice = LowestFC(Low[1],ShortLength);
                              ExitHighestPrice = HighestFC(High[1],ShortLength);
                              Commentary("N="+Text(N));
                              Commentary("preEntryPrice="+Text(preEntryPrice));
                              PlotNumeric("上軌",DonchianHi);
                              PlotNumeric("下軌",DonchianLo);
                              PlotNumeric("退出上軌",ExitHighestPrice);
                              PlotNumeric("退出下軌",ExitLowestPrice);
                             
                              /*/////////////////////////////////開倉////////////////////////////////////////*/
                              If(MarketPosition == 0 && High > DonchianHi)
                              {
                                      myEntryPrice = min(high,DonchianHi);
                                      myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
                                      preEntryPrice = myEntryPrice;
                                      Buy(Lots,myEntryPrice);
                                      SendOrderThisBar = True;
                              }
                              If(MarketPosition == 0 && Low < DonchianLo)
                              {
                                      myEntryPrice = max(low,DonchianLo);
                                      myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
                                      preEntryPrice = myEntryPrice;
                                      SendOrderThisBar = True;
                                      SellShort(Lots,myEntryPrice);
                              }
                              /*///////////////////////////////止盈加倉////////////////////////////////////*/
                              If(MarketPosition == 1)
                              {      
                                      Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
                                      If(Low < ExitLowestPrice)
                                      {
                                              myExitPrice = max(Low,ExitLowestPrice);
                                              myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
                                              Sell(0,myExitPrice);    // 數量用0的情況下將全部平
                                      }Else
                                      {
                                              If(preEntryPrice!=InvalidNumeric)
                                              {
                                                      If(Open >= preEntryPrice + TrailingScale*N) // 如果開盤就超過設定的1/2N,則直接用開盤價增倉。
                                                      {
                                                              myEntryPrice = Open;
                                                              preEntryPrice = myEntryPrice;
                                                              Buy(Lots,myEntryPrice);
                                                              SendOrderThisBar = True;
                                                      }       
                                                      while(High >= preEntryPrice + TrailingScale*N) // 以最高價為標準,判斷能進行幾次增倉
                                                      {
                                                              myEntryPrice = preEntryPrice + TrailingScale * N;//程序化交易 www.chengxuhuajiaoyi.com
                                                              preEntryPrice = myEntryPrice;
                                                              Buy(Lots,myEntryPrice);
                                                              SendOrderThisBar = True;                                       
                                                      }
                                              }                       
                                              /*///////////////////////////////////止損策略///////////////////////////////*/
                                              If(Low <= preEntryPrice - StopLossSet * N && SendOrderThisBar == false) // 加倉Bar不止損
                                              {
                                                      myExitPrice = preEntryPrice - StopLossSet * N;
                                                      myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
                                                      Sell(0,myExitPrice); // 數量用0的情況下將全部平倉
                                              }
                                      } // www.chengxuhuajiaoyi.com
                              }Else If(MarketPosition ==-1) // 有空倉的情況
                              {
                                      Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
                                      If(High > ExitHighestPrice)
                                      {
                                              myExitPrice = Min(High,ExitHighestPrice);
                                              myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
                                              BuyToCover(0,myExitPrice);    // 數量用0的情況下將全部平倉
                                      }Else
                                      {
                                              If(preEntryPrice!=InvalidNumeric)
                                              {
                                                      If(Open <= preEntryPrice - TrailingScale*N) // 如果開盤就超過設定的1/2N,則直接用開盤價增倉。
                                                      {
                                                              myEntryPrice = Open;
                                                              preEntryPrice = myEntryPrice;
                                                              SellShort(Lots,myEntryPrice);
                                                              SendOrderThisBar = True;
                                                      }
                                                      while(Low <= preEntryPrice - TrailingScale*N) // 以最低價為標準,判斷能進行幾次增倉
                                                      {
                                                              myEntryPrice = preEntryPrice - TrailingScale * N;
                                                              preEntryPrice = myEntryPrice;
                                                              SellShort(Lots,myEntryPrice);
                                                              SendOrderThisBar = True;
                                                      }
                                      }
                                      /*///////////////////////////////////止損策略///////////////////////////////*/
                                      If(High >= preEntryPrice + StopLossSet * N && SendOrderThisBar==false) // 加倉Bar不止損
                                      {
                                              myExitPrice = preEntryPrice + StopLossSet * N;
                                              myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
                                              BuyToCover(0,myExitPrice); // 數量用0的情況下將全部平倉
                                      }
                              }
                      }
      End

       

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