金字塔R-Breaker交易系统源码

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模型策略源码：runmode:0; input:notbef(090000); input:notaft(145500); input:f1(0.35); input:f2(0.07); input:f3(0.25); input:myreverse(1); input:rangemin(0.2); input:xdiv(3); variable:ssetup=0; variable:bsetup=0; variable:senter=0; variable:benter=0; variable:bbreak=0; variable:sbreak=0; variable:ltoday=0; variable:hitoday=999999; variable:startnow=0; variable:div=0; variable:rfilter=false; i_reverse:=myreverse*(callstock(stklabel,vtopen,6,0)/100); i_rangemin:=rangemin*(callstock(stklabel,vtopen,6,0)/100); if barpos=1 then begin startnow:=0; div:=max(xdiv,1); end hh:=ref(hitoday,1); cc:=ref(close,1); ll:=ref(ltoday,1); if date>ref(date,1) then begin startnow:=startnow+1; ssetup:=hh+f1*(cc-ll); senter:=((1+f2)/2)*(hh+cc)-f2*ll; benter:=((1+f2)/2)*(ll+cc)-f2*hh; bsetup:=ll-f1*(hh-cc); bbreak:=ssetup+f3*(ssetup-bsetup); sbreak:=bsetup-f3*(ssetup-bsetup); hitoday:=high; ltoday:=low; rfilter:=hh-cc>=rangemin; end if high>hitoday then hitoday:=high; if low<ltoday then ltoday:=low; if time>=notbef and time<notaft and startnow>=2 and rfilter then begin if hitoday>=ssetup and holding>=0 then begin if low<=senter+(hitoday-ssetup)/div then begin sell(1,holding,limitr,senter+(hitoday-ssetup)/div); sellshort(1,1,limitr,senter+(hitoday-ssetup)/div); end end if ltoday<=bsetup and holding<=0 then begin if high>=benter-(bsetup-ltoday)/div then begin sellshort(1,holding,limitr,benter-(bsetup-ltoday)/div); buy(1,1,limitr,benter-(bsetup-ltoday)/div); end end if holding<0 then begin if high-enterprice>=i_reverse then sellshort(1,enterprice+i_reverse); end if holding>0 then begin if enterprice-low>=i_reverse then sell(1,enterprice-i_reverse); end //来源 www.cxh99.com if holding=0 then begin if high>=bbreak then buy(1,bbreak); end if holding=0 then begin if low<=sbreak then sellshort(1,sbreak); end end if time>=notaft then begin if holding<0 then sellshort(1,holding,limitr,open); if holding>0 then sell(1,holding,limitr,open); end 盈亏:asset-500000,noaxis,coloryellow,linethick2;
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