開拓者TB CXH99反應趨勢交易系統（RTS）即The Reaction Trend System 源碼

作者：開拓者 TB 來源：cxh99.com 發布時間：2013年05月28日

最近市場可能比較震蕩，農產品有許多震蕩交易系統比較適用！所以在研究反應趨勢交易系統（RTS）即The Reaction Trend System 由J.WELLES WILDER發明。本人粗糙簡略地寫了下代碼：
1. Params
2. Numeric NumATRs(1);
3. Numeric ATRLength(10);
4. //Track Stop Profit or Loss
5. Numeric StopATRLength(10);
6. Numeric StopLossPcnt(3); //價格止損控制
7. Numeric InitialStop(2); // 初始止損
8. Numeric BreakEvenStop(2); // 保本止損
9. Numeric TrailStop(2); // 追蹤止損,回撤ATR的倍數
10. //PriceOffset
11. Numeric Offset(10);
12. Vars
13. NumericSeries TPrice;
14. //Track Stop Loss or Profit
15. NumericSeries HigherAfterEntry;
16. NumericSeries LowerAfterEntry;
17. NumericSeries HighestAfterEntry;
18. NumericSeries LowestAfterEntry;
19. BoolSeries bLongTrailingStoped;
20. BoolSeries bShortTrailingStoped;
21. Numeric MyExitPrice; // Exit Market Price
22. //Stop Position
23. Numeric MyPrice;
24. Numeric MinPoint; // 一個最小變動單位，也就是一跳
25. Numeric StopLine;
26. Numeric StopLossBuffSet(15); //止損位Buffer
27. NumericSeries ATRValue; //記錄ATR值
28. Numeric PriceOffset; //Buy or Sell Price Buffer
29. //RTS Variables
30. Numeric HBOP; //高價突破點
31. Numeric LBOP; //低價突破點
32. Numeric SellPoint; //賣點
33. Numeric BuyPoint; //買點
34. Begin
35. //Price Offset
36. PriceOffset = Offset * MinMove * PriceScale;
38. //Track Stop Profit or Loss
39. MinPoint = MinMove*PriceScale;
40. ATRValue = AvgTrueRange(StopATRLength);
41. // www.kzuj.com.cn
42. //KeltnerChannel Variables
43. TPrice = (High[1] + Low[1] + Close[1])/3;
44. HBOP = 2 * TPrice - 2 * Low[1] + High[1];
45. LBOP = 2 * TPrice - 2 * High[1] + Low[1];
46. SellPoint = TPrice * 2 - Low[1]; // Sell Point
47. BuyPoint = TPrice * 2 - High[1]; //Buy Point
49. PlotNumeric("HBOP",HBOP);
50. PlotNumeric("LBOP",LBOP);
51. PlotNumeric("SellPoint", SellPoint);
52. PlotNumeric("BuyPoint", BuyPoint);
54. If (Open < HBOP And Open > LBOP)
55. {
56. //Long Futures High greater than UpperBand
57. If(MarketPosition != 1 And High > BuyPoint)
58. {
59. MyPrice = BuyPoint;
60. If(Open > MyPrice) MyPrice = Open;
61. //Buy(1, Q_BidPrice + PriceOffset);
62. //Buy(1, MyPrice + PriceOffset);
63. SellShort(1, MyPrice - PriceOffset);
64. }
65. //Short Futures Low less than LowerBand
66. If(MarketPosition != -1 And Low < SellPoint)
67. {
68. MyPrice = SellPoint;
69. If(Open < MyPrice) MyPrice = Open;
70. //SellShort(1, Q_AskPrice - PriceOffset);
71. //SellShort(1, MyPrice - PriceOffset);
72. Buy(1, MyPrice + PriceOffset);
74. }
76. } Else If(Open > HBOP) {
77. //Long Futures High greater than UpperBand
78. If(MarketPosition != 1)
79. {
80. MyPrice = HBOP;
81. If(Open > MyPrice) MyPrice = Open;
82. //Buy(1, Q_BidPrice + PriceOffset);
83. Buy(1, MyPrice + PriceOffset);
84. }
85. } Else If(Open < LBOP) {
86. //Short Futures Low less than LowerBand
87. If(MarketPosition != -1)
88. {
89. MyPrice = LBOP;
90. If(Open < MyPrice) MyPrice = Open;
91. //SellShort(1, Q_AskPrice - PriceOffset);
92. SellShort(1, MyPrice - PriceOffset);
93. }
94. }
96. /* Set Loss Postion */
97. MinPoint = MinMove * PriceScale;
98. Myprice = EntryPrice * (1 - StopLossPcnt * 0.01);
99. If(MarketPosition==1 and Low <= Myprice and BarsSinceEntry>0)
100. {
101. Myprice=Min(Myprice,Open);
102. Sell(0, Myprice - stopLossBuffSet * MinPoint);
103. Commentary("Price Pcnt Stop Loss");
104. }
105. Myprice = EntryPrice * (1 + StopLossPcnt * 0.01);
106. If(MarketPosition==-1 and High>=Myprice and BarsSinceEntry>0)
107. {
108. Myprice=Max(Myprice,Open);
109. BuyToCover(0, Myprice + stopLossBuffSet * MinPoint);
110. Commentary("Price Pcnt Stop Loss");
111. }
112. /* Set Loss Postion */
113. End

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開拓者TB CXH99反應趨勢交易系統（RTS）即The Reaction Trend System 源碼