金字塔超级日内组合策略源码[金字塔模型]

相关标签:日内交易策略，黄金外汇日内交易策略，日内期货交易 策略，期货日内超级短线交易，日内短线期货交易系统，股指期货日内交易系统，顶底财神日内交易系统，日内五分钟交易系统，哈里的日内策略，

模型策略源码：runmode:0; input:waitperiodmins(30); input:inittradesendtime(143000); input:liqrevendtime(110000); input:thrustprcnt1(0.3); input:thrustprcnt2(0.6); input:breakoutprcnt(0.25); input:failedbreakoutprcnt(0.25); input:protstopprcnt1(0.25); input:protstopprcnt2(0.15); input:protstopamt(3); input:breakevenprcnt(0.5); input:avgrnglength(10); input:avgoclength(10); variable:averagerange=0; variable:averageocrange=0; variable:cantrade=0; variable:buyeasierday=false; variable:selleasierday=false; variable:buybopoint=0; variable:sellbopoint=0; variable:longbreakpt=0; variable:shortbreakpt=0; variable:longfbopoint=0; variable:shortfbopoint=0; variable:barcount=0; variable:intrahigh=0; variable:intralow=999999; variable:buystoday=0; variable:sellstoday=0; variable:currtrdtype=0; variable:longliqpoint=0; variable:shortliqpoint=0; variable:yesterdayocrrange=0; variable:intratradehigh=0; variable:intratradelow=999999; //来源 www.cxh99.com m1:=ref(ma(callstock(stklabel,vthigh,6,0)-callstock(stklabel,vtlow,6,0),10),1); m2:=ref(ma(abs(callstock(stklabel,vtopen,6,0)-callstock(stklabel,vtclose,6,0)),10),1); m3:=ref(llv(low,3),1); m4:=ref(hhv(high,3),1); if date>ref(date,1) then begin averagerange:=m1; yesterdayocrrange:=abs(open-close); averageocrange:=m2; cantrade:=0; if yesterdayocrrange<0.85*averageocrange then cantrade:=1; buyeasierday:=false; selleasierday:=false; if callstock(stklabel,vtclose,6,-1)<=callstock(stklabel,vtclose,6,-2) then buyeasierday:=true; if callstock(stklabel,vtclose,6,-1)>callstock(stklabel,vtclose,6,-2) then selleasierday:=true; if buyeasierday then begin buybopoint:=callstock(stklabel,vtopen,6,0)+thrustprcnt1*averagerange; sellbopoint:=callstock(stklabel,vtopen,6,0)-thrustprcnt2*averagerange; end if selleasierday then begin sellbopoint:=callstock(stklabel,vtopen,6,0)-thrustprcnt1*averagerange; buybopoint:=callstock(stklabel,vtopen,6,0)+thrustprcnt2*averagerange; end longbreakpt:=callstock(stklabel,vthigh,6,-1)+breakoutprcnt*averagerange; shortbreakpt:=callstock(stklabel,vtlow,6,-1)-breakoutprcnt*averagerange; shortfbopoint:=callstock(stklabel,vthigh,6,-1)-failedbreakoutprcnt*averagerange; longfbopoint:=callstock(stklabel,vtlow,6,-1)+failedbreakoutprcnt*averagerange; barcount:=0; intrahigh:=0; intralow:=999999; buystoday:=0; sellstoday:=0; currtrdtype:=0; end if high>intrahigh then intrahigh:=high; if low<intralow then intralow:=low; barcount:=barcount+1; if barcount>waitperiodmins/datatype and cantrade=1 then begin if holding=0 then begin intratradehigh:=0; intratradelow:=999999; end if holding>0 then begin intratradehigh:=max(intratradehigh,high); buystoday:=1; end if holding<0 then begin intratradelow:=min(intratradelow,low); sellstoday:=1; end if buystoday=0 and time<inittradesendtime then LBreakOut:buy(1,1,stop,buybopoint); if sellstoday=0 and time<inittradesendtime then SBreakout:sellshort(1,1,stop,sellbopoint); if intrahigh>longbreakpt and sellstoday=0 and time<inittradesendtime then SfailedBO:sellshort(1,1,stop,shortfbopoint); if intralow<shortbreakpt and buystoday=0 and time<inittradesendtime then BfeiledBO:buy(1,1,stop,longfbopoint); if holding>0 then begin longliqpoint:=enterprice-protstopprcnt1*averagerange; longliqpoint:=min(longliqpoint,enterprice-protstopamt); if ref(holding,1)<0 and enterbars>=1 and ref(high,1)>=shortliqpoint and shortliqpoint<shortfbopoint then currtrdtype:=-2; if currtrdtype=-2 then begin longliqpoint:=enterprice-protstopprcnt2*averagerange; longliqpoint:=min(longliqpoint,enterprice-protstopamt); end if intratradehigh>=enterprice+breakevenprcnt*averagerange then longliqpoint:=enterprice; if time>=inittradesendtime then longliqpoint:=max(longliqpoint,m3); if time<liqrevendtime and sellstoday=0 and longliqpoint<>enterprice and enterbars>=4 then begin LongLiqRev:sellshort(1,1,stop,longliqpoint); end else begin LongLiq:sell(1,1,stop,longliqpoint); end end if holding<0 then begin shortliqpoint:=enterprice+protstopprcnt1*averagerange; shortliqpoint:=max(shortliqpoint,enterprice+protstopamt); if ref(holding,1)<0 and enterbars>=1 and ref(low,1)<longliqpoint and longliqpoint>longfbopoint then currtrdtype:=2; if currtrdtype=2 then begin shortliqpoint:=enterprice+protstopprcnt2*averagerange; shortliqpoint:=max(shortliqpoint,enterprice+protstopamt); end if intratradelow<=enterprice-breakevenprcnt*averagerange then shortliqpoint:=enterprice; if time>=inittradesendtime then shortliqpoint:=min(shortliqpoint,m4); if time<liqrevendtime and buystoday=0 and shortliqpoint<>enterprice and enterbars>=4 then begin ShortLiqRev:buy(1,1,stop,shortliqpoint); end else begin ShortLiq:sellshort(1,1,stop,shortliqpoint); end end end if time>=closetime(0) then begin sell(1,holding,limitr,close); sellshort(1,holding,limitr,close); end 盈亏:asset-500000,noaxis,coloryellow,linethick2;
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源码解析:

输出RUNMODE:0
输出INPUT:WAITPERIODMINS(30)
输出INPUT:INITTRADESENDTIME(143000)
输出INPUT:LIQREVENDTIME(110000)
输出INPUT:THRUSTPRCNT1(0.3)
输出INPUT:THRUSTPRCNT2(0.6)
输出INPUT:BREAKOUTPRCNT(0.25)
输出INPUT:FAILEDBREAKOUTPRCNT(0.25)
输出INPUT:PROTSTOPPRCNT1(0.25)
输出INPUT:PROTSTOPPRCNT2(0.15)
输出INPUT:PROTSTOPAMT(3)
输出INPUT:BREAKEVENPRCNT(0.5)
输出INPUT:AVGRNGLENGTH(10)
输出INPUT:AVGOCLENGTH(10)
输出VARIABLE:AVERAGERANGE=0
输出VARIABLE:AVERAGEOCRANGE=0
输出VARIABLE:CANTRADE=0
输出VARIABLE:BUYEASIERDAY=FALSE
输出VARIABLE:SELLEASIERDAY=FALSE
输出VARIABLE:BUYBOPOINT=0
输出VARIABLE:SELLBOPOINT=0
输出VARIABLE:LONGBREAKPT=0
输出VARIABLE:SHORTBREAKPT=0
输出VARIABLE:LONGFBOPOINT=0
输出VARIABLE:SHORTFBOPOINT=0
输出VARIABLE:BARCOUNT=0
输出VARIABLE:INTRAHIGH=0
输出VARIABLE:INTRALOW=999999
输出VARIABLE:BUYSTODAY=0
输出VARIABLE:SELLSTODAY=0
输出VARIABLE:CURRTRDTYPE=0
输出VARIABLE:LONGLIQPOINT=0
输出VARIABLE:SHORTLIQPOINT=0
输出VARIABLE:YESTERDAYOCRRANGE=0
输出VARIABLE:INTRATRADEHIGH=0
输出VARIABLE:INTRATRADELOW=999999
M1赋值:昨日CALLSTOCK(STKLABEL,VTHIGH,6,0)-CALLSTOCK(STKLABEL,VTLOW,6,0)的10日简单移动平均
M2赋值:昨日CALLSTOCK(STKLABEL,VTOPEN,6,0)-CALLSTOCK(STKLABEL,VTCLOSE,6,0)的绝对值的10日简单移动平均
M3赋值:昨日3日内最低价的最低值
M4赋值:昨日3日内最高价的最高值
AVERAGERANGE赋值:M1
GE赋值:开盘价-收盘价的绝对值
AVERAGEOCRANGE赋值:M2
CANTRADE赋值:0
CANTRADE赋值:1
BUYEASIERDAY赋值:FALSE
SELLEASIERDAY赋值:FALSE
BUYEASIERDAY赋值:TRUE
SELLEASIERDAY赋值:TRUE
BUYBOPOINT赋值:CALLSTOCK(STKLABEL,VTOPEN,6,0)+THRUSTPRCNT1*AVERAGERANGE
SELLBOPOINT赋值:CALLSTOCK(STKLABEL,VTOPEN,6,0)-THRUSTPRCNT2*AVERAGERANGE
SELLBOPOINT赋值:CALLSTOCK(STKLABEL,VTOPEN,6,0)-THRUSTPRCNT1*AVERAGERANGE
BUYBOPOINT赋值:CALLSTOCK(STKLABEL,VTOPEN,6,0)+THRUSTPRCNT2*AVERAGERANGE
LONGBREAKPT赋值:CALLSTOCK(STKLABEL,VTHIGH,6,-1)+BREAKOUTPRCNT*AVERAGERANGE
SHORTBREAKPT赋值:CALLSTOCK(STKLABEL,VTLOW,6,-1)-BREAKOUTPRCNT*AVERAGERANGE
SHORTFBOPOINT赋值:CALLSTOCK(STKLABEL,VTHIGH,6,-1)-FAILEDBREAKOUTPRCNT*AVERAGERANGE
LONGFBOPOINT赋值:CALLSTOCK(STKLABEL,VTLOW,6,-1)+FAILEDBREAKOUTPRCNT*AVERAGERANGE
BARCOUNT赋值:0
INTRAHIGH赋值:0
INTRALOW赋值:999999
BUYSTODAY赋值:0
SELLSTODAY赋值:0
CURRTRDTYPE赋值:0
INTRAHIGH赋值:最高价
INTRALOW赋值:最低价
BARCOUNT赋值:BARCOUNT+1
INTRATRADEHIGH赋值:0
INTRATRADELOW赋值:999999
INTRATRADEHIGH赋值:INTRATRADEHIGH和最高价的较大值
BUYSTODAY赋值:1
INTRATRADELOW赋值:INTRATRADELOW和最低价的较小值
SELLSTODAY赋值:1
输出 END  逻辑判断 BUYSTODAY=0 AND 时间<INITTRADESENDTIME THEN  LBREAKOUT:BUY(1,1,STOP,BUYBOPOINT)
输出   逻辑判断 SELLSTODAY=0 AND 时间<INITTRADESENDTIME THEN  SBREAKOUT:SELLSHORT(1,1,STOP,SELLBOPOINT)
输出    逻辑判断 INTRAHIGH>LONGBREAKPT AND SELLSTODAY=0 AND 时间<INITTRADESENDTIME THEN  SFAILEDBO:SELLSHORT(1,1,STOP,SHORTFBOPOINT)
输出   逻辑判断 INTRALOW<SHORTBREAKPT AND BUYSTODAY=0 AND 时间<INITTRADESENDTIME THEN  BFEILEDBO:BUY(1,1,STOP,LONGFBOPOINT)
LONGLIQPOINT赋值:ENTERPRICE-PROTSTOPPRCNT1*AVERAGERANGE
LONGLIQPOINT赋值:LONGLIQPOINT和ENTERPRICE-PROTSTOPAMT的较小值
CURRTRDTYPE赋值:-2
LONGLIQPOINT赋值:ENTERPRICE-PROTSTOPPRCNT2*AVERAGERANGE
LONGLIQPOINT赋值:LONGLIQPOINT和ENTERPRICE-PROTSTOPAMT的较小值
LONGLIQPOINT赋值:ENTERPRICE
LONGLIQPOINT赋值:LONGLIQPOINT和M3的较大值
输出     逻辑判断 时间<LIQREVENDTIME AND SELLSTODAY=0 AND LONGLIQPOINT<>ENTERPRICE AND ENTERBARS>=4 THEN BEGIN   LONGLIQREV:SELLSHORT(1,1,STOP,LONGLIQPOINT)
输出  END ELSE BEGIN   LONGLIQ:SELL(1,1,STOP,LONGLIQPOINT)
SHORTLIQPOINT赋值:ENTERPRICE+PROTSTOPPRCNT1*AVERAGERANGE
SHORTLIQPOINT赋值:SHORTLIQPOINT和ENTERPRICE+PROTSTOPAMT的较大值
CURRTRDTYPE赋值:2
SHORTLIQPOINT赋值:ENTERPRICE+PROTSTOPPRCNT2*AVERAGERANGE
SHORTLIQPOINT赋值:SHORTLIQPOINT和ENTERPRICE+PROTSTOPAMT的较大值
SHORTLIQPOINT赋值:ENTERPRICE
SHORTLIQPOINT赋值:SHORTLIQPOINT和M4的较小值
输出     逻辑判断 时间<LIQREVENDTIME AND BUYSTODAY=0 AND SHORTLIQPOINT<>ENTERPRICE AND ENTERBARS>=4 THEN BEGIN   SHORTLIQREV:BUY(1,1,STOP,SHORTLIQPOINT)
输出  END ELSE BEGIN   SHORTLIQ:SELLSHORT(1,1,STOP,SHORTLIQPOINT)
  END    ENDENDIF 时间>=CLOSETIME(0) THEN BEGIN SELL(1,HOLDING,LIMITR,收盘价)
 SELLSHORT(1,HOLDING,LIMITR,收盘价)
输出END盈亏:ASSET-500000,NOAXIS,画黄色,线宽为2