金字塔动态突破交易系统[金字塔模型]

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模型策略源码：runmode:0; input:ceilingamt(60),flooramt(20),bolbandtrig(2); variable:lookbackdays=20; todayvolatility:=std(close,30); yesterdayvolatility:=std(ref(close,1),30); deltavolatility:=(todayvolatility-yesterdayvolatility)/todayvolatility; lookbackdays:=lookbackdays*(1+deltavolatility); lookbackdays:=round(lookbackdays); lookbackdays:=min(lookbackdays,ceilingamt); lookbackdays:=max(lookbackdays,flooramt); mid:=ma(close,lookbackdays); upband:=mid+bolbandtrig*std(close,lookbackdays); dnband:=mid-bolbandtrig*std(close,lookbackdays); buypoint:=ref(hhv(high,lookbackdays),1); sellpoint:=ref(llv(low,lookbackdays),1); longliqpoint:=ma(close,lookbackdays); shortliqpoint:=ma(close,lookbackdays); if holding=0 then begin if close>upband then buy(1,1,limitr,max(open,buypoint)); end if holding=0 then begin if close<dnband then buyshort(1,1,limitr,min(open,sellpoint)); end if holding>0 then begin if close<dnband then begin sell(1,holding,limitr,min(open,sellpoint)); buyshort(1,1,limitr,min(open,sellpoint)); end if low<=longliqpoint then sell(1,holding,limitr,min(open,longliqpoint)); end if holding<0 then begin if close>upband then begin sellshort(1,holding,limitr,max(open,buypoint)); buy(1,1,limitr,max(open,buypoint)); end if high>=shortliqpoint then sellshort(1,holding,limitr,max(open,shortliqpoint)); end 盈亏:asset-50000,noaxis,colorred,linethick2;
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源码解析：

输出RUNMODE:0
输出INPUT:CEILINGAMT(60),FLOORAMT(20),BOLBANDTRIG(2)
输出VARIABLE:LOOKBACKDAYS=20
赋值:收盘价的30日估算标准差
LITY赋值:昨收的30日估算标准差
赋值:(TODAYVOLATILITY-YESTERDAYVOLATILITY)/TODAYVOLATILITY
LOOKBACKDAYS赋值:LOOKBACKDAYS*(1+DELTAVOLATILITY)
LOOKBACKDAYS赋值:对LOOKBACKDAYS(进行)四舍五入LOOKBACKDAYS关于?的四舍五入
LOOKBACKDAYS赋值:LOOKBACKDAYS和CEILINGAMT的较小值
LOOKBACKDAYS赋值:LOOKBACKDAYS和FLOORAMT的较大值
MID赋值:收盘价的LOOKBACKDAYS日简单移动平均
UPBAND赋值:MID+ www.cxh99.com BOLBANDTRIG*收盘价的LOOKBACKDAYS日估算标准差
DNBAND赋值:MID-BOLBANDTRIG*收盘价的LOOKBACKDAYS日估算标准差
BUYPOINT赋值:昨日LOOKBACKDAYS日内最高价的最高值
SELLPOINT赋值:昨日LOOKBACKDAYS日内最低价的最低值
LONGLIQPOINT赋值:收盘价的LOOKBACKDAYS日简单移动平均
SHORTLIQPOINT赋值:收盘价的LOOKBACKDAYS日简单移动平均
逻辑判断 HOLDING=0 THEN BEGIN 逻辑判断 收盘价>UPBAND THEN  BUY(1,1,LIMITR,开盘价和BUYPOINT的较大值)
ENDIF HOLDING=0 THEN BEGIN 逻辑判断 收盘价<DNBAND THEN  BUYSHORT(1,1,LIMITR,开盘价和SELLPOINT的较小值)
ENDIF HOLDING>0 THEN BEGIN 逻辑判断 收盘价<DNBAND THEN BEGIN  SELL(1,HOLDING,LIMITR,开盘价和SELLPOINT的较小值)
  BUYSHORT(1,1,LIMITR,开盘价和SELLPOINT的较小值)
 END  逻辑判断 最低价<=LONGLIQPOINT THEN  SELL(1,HOLDING,LIMITR,开盘价和LONGLIQPOINT的较小值)
ENDIF HOLDING<0 THEN BEGIN 逻辑判断 收盘价>UPBAND THEN BEGIN  SELLSHORT(1,HOLDING,LIMITR,开盘价和BUYPOINT的较大值)
  BUY(1,1,LIMITR,开盘价和BUYPOINT的较大值)
 END  逻辑判断 最高价>=SHORTLIQPOINT THEN  SELLSHORT(1,HOLDING,LIMITR,开盘价和SHORTLIQPOINT的较大值)
输出END盈亏:ASSET-50000,NOAXIS,画红色,线宽为2