波动突破交易策略源码[金字塔模型]

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模型策略源码：
 

runmode:0;
input:volatility(20,5,100,5);
 variable:myasset=30000;
entertime:=time>=092500 and time<=145500;   //这一句为什么编译有错误？？？
 exittime:=time>=150000;
 
dist:=barslast(date<>ref(date,1));
oo:=ref(open,dist);
 
 highest:=oo+volatility*mindiff;
 lowest:=oo-volatility*mindiff;

 buycond:=entertime and high>=highest;
 buyprice:=max(open,highest);
 
 buyshortcond:=entertime and low<=lowest;
 buyshortprice:=min(open,lowest);
 
 if holding=0 and buycond then begin
     buy(1,1,limitr,buyprice);
 end
 
if holding=0 and buyshortcond then begin
     buyshort(1,1,limitr,buyshortprice);
 end
 
if holding>0 and exittime then begin
    sell(1,holding,limitr,close);
end

 if holding<0 and exittime then begin
     sellshort(1,holding,limitr,close);
 end
 
 if exittime then
     myasset:=asset;
     
 资产:myasset,noaxis,colormagenta;
 次数:totaltrade,linethick0;
 收益:(myasset-30000)/30000,linethick0;
 胜率:percentwin,linethick0;
 出击:totaltrade/(count(date<>ref(date,1),0)+1),linethick0;
 连亏:maxseqloss,linethick0;
 连赢:maxseqwin,linethick0;

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源码解析：

输出RUNMODE:0
输出 INPUT:VOLATILITY(20,5,100,5)
输出  VARIABLE:MYASSET=30000
ENTERTIME赋值:时间>=092500 AND 时间<=145500
EXITTIME赋值:时间>=150000
DIST赋值:上次日期<>昨日日期距今天数
OO赋值:DIST日前的开盘价
HIGHEST赋值:OO+VOLATILITY*MINDIFF
LOWEST赋值:OO-VOLATILITY*MINDIFF
BUYCOND赋值:ENTERTIME AND 最高价>=HIGHEST
BUYPRICE赋值:开盘价和HIGHEST的较大值
BUYSHORTCOND赋值:ENTERTIME AND 最低价<=LOWEST
BUYSHORTPRICE赋值:开盘价和LOWEST的较小值
   逻辑判断 HOLDING=0 AND BUYCOND THEN BEGIN      BUY(1,1,LIMITR,BUYPRICE)
  END  逻辑判断 HOLDING=0 AND BUYSHORTCOND THEN BEGIN      BUYSHORT(1,1,LIMITR,BUYSHORTPRICE)
  END  逻辑判断 HOLDING>0 AND EXITTIME THEN BEGIN     SELL(1,HOLDING,LIMITR,收盘价)
 END  逻辑判断 HOLDING<0 AND EXITTIME THEN BEGIN      SELLSHORT(1,HOLDING,LIMITR,收盘价)
MYASSET赋值:ASSET
输出        资产:MYASSET,NOAXIS,画洋红色
输出  次数:TOTALTRADE,线宽为0
输出  收益:(MYASSET-30000)/30000,线宽为0
输出  胜率:PERCENTWIN,线宽为0
输出  出击:TOTALTRADE/(统计0日中满足日期<>昨日日期的天数+1),线宽为0
输出  连亏:MAXSEQLOSS,线宽为0
输出  连赢:MAXSEQWIN,线宽为0