金字塔海龟交易法则源码 和风版[金字塔模型]

海龟法则金字塔源码：input:inb(20,1,500,1),outb(10,1,500,1),risk(2,0,10,0.1); //和风版海龟源码 variable:times=0,i=0,n=0; rn:=ema(ref(tr,1),20); n:=valuewhen(holding=0,rn); rh:=ref(h,1); rl:=ref(l,1); h1:hhv(rh,inb); h2:hhv(rh,outb),linedot; l1:llv(rl,inb); l2:llv(rl,outb),linedot; lotst:asset*risk*0.01/(n*2*multiplier),linethick0; lots:=if(risk=0,1,lotst); //如果risk取0，表示固定开1手 tbc:=h＜＞l;//判断是否停板 partline(holding＞0,enterprice-2*n); if barpos＜inb+1 then exit; if holding=0 and tbc then //不是停板才可以交易 begin if h＞h1 then //开多 begin buyp:=max(o,h1); buy(1,lots,limitr,buyp); times:=1; while h＞enterprice+n*0.5 and times＜4 do begin buyp:=max(o,enterprice+n*0.5); buy(1,lots,limitr,buyp); times:=times+1; end;//连续开仓 end;//开多结束 else if l＜l1 then //开空 begin sellp:=min(o,l1); buyshort(1,lots,limitr,sellp); times:=1; while l＜enterprice-n*0.5 and times＜4 do begin sellp:=min(o,enterprice-n*0.5); buyshort(1,lots,limitr,sellp); times:=times+1; end;//连续开仓 end; end;//holding=0 if holding＞0 and tbc then //已有多仓 begin exitlongp:=max(enterprice-2*n,l2); if l＜exitlongp and enterbars＜＞0 then //出场 begin exitp:=min(o,exitlongp); sell(1,0,limitr,exitp); times:=0; end;//出场 else begin while h＞enterprice+n*0.5 and times＜4 do //开多 begin buyp:=max(o,enterprice+n*0.5); buy(1,lots,limitr,buyp); times:=times+1; end;//连续开仓 end;//else end;//holding＞0 if holding＜0 and tbc then //已有空仓 begin exitlongp:=min(enterprice+2*n,h2); if h＞exitlongp and enterbars＜＞0 then //出场 begin exitp:=max(o,exitlongp); sellshort(1,0,limitr,exitp); times:=0; end;//出场 else begin while l＜enterprice-n*0.5 and times＜4 do //开多 begin sellp:=min(o,enterprice-n*0.5); buyshort(1,lots,limitr,sellp); times:=times+1; end;//连续开仓 {来源 CXH99.COM } end;//else end;//holding＜0
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源码解析:

输出INPUT:INB(20,1,500,1),OUTB(10,1,500,1),RISK(2,0,10,0.1)
输出 //和风版海龟源码 VARIABLE:TIMES=0,I=0,N=0
RN赋值:昨日真实波幅的20日指数移动平均
N赋值:VALUEWHEN(HOLDING=0,RN)
RH赋值:昨日最高价
RL赋值:昨日最低价
输出 H1:INB日内RH的最高值
输出 H2:OUTB日内RH的最高值,LINEDOT
输出 L1:INB日内RL的最低值
输出 L2:OUTB日内RL的最低值,LINEDOT
输出 LOTST:ASSET*RISK*0.01/(N*2*MULTIPLIER),线宽为0
LOTS赋值:如果RISK=0,返回1,否则返回LOTST
TBC赋值:H＜＞L
//判断是否停板 PARTLINE(HOLDING＞0,ENTERPRICE-2*N)
 逻辑判断 BARPOS＜INB+1 THEN EXIT
BUYP赋值:开盘价和H1的较大值
 BUY(1,LOTS,LIMITR,BUYP)
TIMES赋值:1
BUYP赋值:开盘价和ENTERPRICE+N*0.5的较大值
 BUY(1,LOTS,LIMITR,BUYP)
TIMES赋值:TIMES+1
 END
//连续开仓 END
SELLP赋值:开盘价和L1的较小值
 BUYSHORT(1,LOTS,LIMITR,SELLP)
TIMES赋值:1
SELLP赋值:开盘价和ENTERPRICE-N*0.5的较小值
 BUYSHORT(1,LOTS,LIMITR,SELLP)
TIMES赋值:TIMES+1
 END
//连续开仓 END
 END
EXITLONGP赋值:ENTERPRICE-2*N和L2的较大值
EXITP赋值:开盘价和EXITLONGP的较小值
 SELL(1,0,LIMITR,EXITP)
TIMES赋值:0
 END
BUYP赋值:开盘价和ENTERPRICE+N*0.5的较大值
 BUY(1,LOTS,LIMITR,BUYP)
TIMES赋值:TIMES+1
 END
//连续开仓 END
//ELSE END
EXITLONGP赋值:ENTERPRICE+2*N和H2的较小值
EXITP赋值:开盘价和EXITLONGP的较大值
 SELLSHORT(1,0,LIMITR,EXITP)
TIMES赋值:0
 END
SELLP赋值:开盘价和ENTERPRICE-N*0.5的较小值
 BUYSHORT(1,LOTS,LIMITR,SELLP)
TIMES赋值:TIMES+1
 END
//连续开仓 END
//ELSE END
//HOLDING＜0