[原創]這個模型太令我吃驚了
作者：文華財經 來源：cxh99.com 發布時間：2019年11月13日
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咨詢內容：
?國慶7天，別人在玩，我在搞文華模型的研究。功夫不負有心人，終于搞得差不多了，對得起這些天的努力。
革命尚未成功，吾輩仍須努力！
各位老師、高手幫看看還有什么問題？
代碼太多，摘錄部分如下：
Setting?AddTimes:5;//最大連續開倉次數//MultSig:240,240,240,240,2,10;//應用此行設置時不能用于外盤的數據回測,不應用此行時回測將加速//SignalNoTrading:1; //啟用出信號不下單（應用此行將在實盤時具有自動追價功能，可用于實盤或回測，13行和14行僅能應于一行）SignalNoTrading:0; //啟用出信號且下單（應用此行將在實盤時失去自動追價功能；13行和14行僅能應于一行）//FinalSigging:2,10; //啟用持倉同步（實盤用）ImPort? ? #ImPort[DAY,1,win] AS Var? ?//#ImPort[min,30,win] AS Var? //短線用? ?//#ImPort[hour,2,win] AS Var //中線用? ?//#ImPort[week,1,win] AS Var? ?//長線用Params
Numeric FX(0);//定義可變參數多空方向-1至1，-1是手動設置只做空，1是手動設置只做多，0是由電腦自動識別多空方向? ?Numeric ZX2(15);//止損點數，指多少個最小變動單位? Numeric BD(37);//反向波動開單點數，指多少個最小變動單位? Numeric ZY(7);//止盈價與止損價的倍數比? Numeric RN(1);//設置是否日內清倉，0表示收盤前必清倉，其他數為收盤前可不清倉Numeric BQ(-2);//設置委托追價點差Numeric ZD(16);//減少震蕩的參數?VarsNumericSeries? LSKC;//連續開倉次數NumericSeries BF;//設置開倉必需前三根K線平均有效漲跌幅相對于止損點位的倍數,其中上下影線占20%，實體陰線和陽線占80%NumericSeries W;NumericSeries ZX1;NumericSeries BD1;NumericSeries SS5;NumericSeries T;NumericSeries T1;NumericSeries T2;NumericSeries T3;NumericSeries N3;NumericSeries N4;NumericSeries N5;NumericSeries N6;NumericSeries N7;NumericSeries MA5;
NumericSeries MM5 ;NumericSeries MA3;NumericSeries MA6;NumericSeries? MA9;NumericSeries MA10;NumericSeries MA12;NumericSeries 短線;NumericSeries 短線差;NumericSeries MA18;NumericSeries MM10;NumericSeries MA20;NumericSeries MA24;NumericSeries? MA36;NumericSeries? MM20;NumericSeries? MA30;NumericSeries MA72;NumericSeries MM30;NumericSeries MA54;NumericSeries MM54;NumericSeries MA60;NumericSeries MM60;NumericSeries MM2;NumericSeries MM6;NumericSeries MM9;NumericSeries MM12;NumericSeries MM18;NumericSeries MM24;NumericSeries? MM36;NumericSeries? MM72;NumericSeries DK ;NumericSeries? MTM;NumericSeries MM1;NumericSeries MM3;NumericSeries MM;NumericSeries K1 ;NumericSeries K2 ;NumericSeries? K3;NumericSeries? K4;NumericSeries? KK1;NumericSeries? KK2;NumericSeries? KK3;NumericSeries? MID2;NumericSeries TMP2;NumericSeries TOP;NumericSeries BOT;NumericSeries TB;NumericSeries B1;NumericSeries B2;NumericSeries A1;NumericSeries A2;NumericSeries DIFF;NumericSeries DEA;NumericSeries CC2;NumericSeries HH3;NumericSeries SS;NumericSeries SS3;NumericSeries SS4;NumericSeries HL;NumericSeries HL2;NumericSeries MTM2;NumericSeries MTM6;NumericSeries MT2;NumericSeries MT6;NumericSeries OBV;NumericSeries OBV2;NumericSeries MACD2;NumericSeries OK;NumericSeries OK1;NumericSeries OK2;NumericSeries MMOK1;NumericSeries MMOK2;NumericSeries MMOBV;NumericSeries MMHHV;NumericSeries MMLLV;NumericSeries AA;NumericSeries AAA;NumericSeries KKK;//強度指標NumericSeries KKK1;//強度指標NumericSeries KKK2;//強度指標NumericSeries MMKKK1;//強度指標對比NumericSeries MMKKK2;//強度指標對比NumericSeries ZX;NumericSeries BD2;NumericSeries WMA3;NumericSeries WMA5;NumericSeries WMA9i;NumericSeries WMA9;NumericSeries WMA18i;NumericSeries WMA18;NumericSeries 日線;NumericSeries 日線多頭;NumericSeries 日線空頭;NumericSeries WWMA18;NumericSeries WWMM18;NumericSeries WMM3;NumericSeries WMM5;NumericSeries WMM9;NumericSeries WMM18;NumericSeries WKKK1;NumericSeries WKKK2;NumericSeries MAKK3;NumericSeries MAKK30;NumericSeries TOPCROSS1;//頂部死叉1NumericSeries BOTCROSS1;//底部金叉1NumericSeries TOPCROSS2;//頂部死叉2NumericSeries BOTCROSS2;//底部金叉2NumericSeries BKCROSS01;//短均線金叉1NumericSeries BKCROSS02;//長均線金叉2NumericSeries BKCROSS03;//突破重要均線1NumericSeries BKCROSS04;//突破重要均線2NumericSeries SKCROSS01;//短均線死叉1NumericSeries SKCROSS02;//長均線死叉2NumericSeries SKCROSS03;//跌破重要均線1NumericSeries SKCROSS04;//跌破重要均線2NumericSeries cond21;NumericSeries cond22;NumericSeries QZ21;NumericSeries QZ22;NumericSeries QZ23;//突破重要均線1NumericSeries QZ24;//突破重要均線2NumericSeries QZ25;//跌破重要均線1NumericSeries QZ26;//跌破重要均線2NumericSeries? BKBK;NumericSeries? SKSK;NumericSeries? BPBP;NumericSeries? SPSP;NumericSeries? JXXS;NumericSeries? JXXX;NumericSeries? CS1;NumericSeries? CS2;NumericSeries? SL;NumericSeries? SL2;NumericSeries? A;NumericSeries? B;NumericSeries? N;NumericSeries? TYP;NumericSeries? CCI;NumericSeries userdate;NumericSeries NS;?NumericSeries QQ;?NumericSeries K11;?NumericSeries DKK;?NumericSeries K31;?NumericSeries K41;?NumericSeries KK31;?NumericSeries KK41;?NumericSeries BPSPtime;Numeric BK01;Numeric BK02;Numeric SK01;Numeric SK02;Numeric SPBP01;Numeric SPBP02;Numeric SPBP03;NumericSeries? HH;NumericSeries? LL;Numeric BSPRC;Numeric MAXVOL;//------------------------標志變量------------------------//? ?Numeric TT; //時間間隔? ?Numeric SIGT1; //信號時間間隔? ?Numeric X; //循環變量? ?Numeric SX; //信號編號? ?Numeric SH; //上海合約標志? ?Numeric NOW; //當前時間? ?Numeric NEWP; //最新價? ?Numeric MINP; //最小變動價位? ?Numeric KCP; //K線位置? ?Numeric SIGID; //指令序號? ?Numeric BKPRC; //買開價格? ?Numeric SPPRC; //賣平價格? ?Numeric SKPRC; //賣開價格? ?Numeric BPPRC; //買平價格? ?Numeric BRP0; //多頭今倉可用持倉? ?Numeric BRP1; //多頭老倉可用持倉? ?Numeric BRP; //多頭可用持倉? ?Numeric SRP0; //空頭今倉可用持倉? ?Numeric SRP1; //空頭老倉可用持倉? ?Numeric SRP; //空頭可用持倉? ?Numeric OPFLG; //模型處理標志? ?Global_Numeric SIGIDA; //記錄指令序號? ?Global_Numeric KCPA; //記錄K線位置? ?Global_Numeric SIGN; //信號數量? ?Global_Numeric NSKBK; //非開倉委托時間? ?Global_NumericArray SIGT; //信號時間? ?Global_NumericArray SIGF; //信號標志? ?Global_NumericArray SIGXF; //信號消失標志? ?Global_NumericArray SIGDF; //信號處理標志? ?Global_NumericArray SIGKCP; //信號K線位置? ?Global_NumericArray BKID; //買開委托? ?Global_NumericArray SKID; //賣開委托? ?Global_NumericArray BKFLG; //買開標志? ?Global_NumericArray SKFLG; //賣開標志? ?Global_NumericArray BKDEL; //買開撤單標志? ?Global_NumericArray SKDEL; //賣開撤單標志? ?Global_NumericArray BKM; //買開委托手數? ?Global_NumericArray SKM; //賣開委托手數? ?Global_NumericArray BKCM; //買開成交手數? ?Global_NumericArray SKCM; //賣開成交手數? ?Global_NumericArray BKP; //買開委托價格? ?Global_NumericArray SKP; //賣開委托價格? ?Global_NumericArray BKT; //買開委托時間? ?Global_NumericArray SKT; //賣開委托時間? ?Global_NumericArray BPID0; //買平今倉委托? ?Global_NumericArray BPID1; //買平老倉委托? ?Global_NumericArray BPID; //買平委托? ?Global_NumericArray SPID0; //賣平今倉委托? ?Global_NumericArray SPID1; //賣平老倉委托? ?Global_NumericArray SPID; //賣平委托? ?Global_NumericArray BPFLG0; //買平今倉標志? ?Global_NumericArray BPFLG1; //買平老倉標志? ?Global_NumericArray BPFLG; //買平標志? ?Global_NumericArray SPFLG0; //賣平今倉標志? ?Global_NumericArray SPFLG1; //賣平老倉標志? ?Global_NumericArray SPFLG; //賣平標志? ?Global_NumericArray BPDEL0; //買平今倉撤單標志? ?Global_NumericArray BPDEL1; //買平老倉撤單標志? ?Global_NumericArray BPDEL; //買平撤單標志? ?Global_NumericArray SPDEL0; //賣平今倉撤單標志? ?Global_NumericArray SPDEL1; //賣平老倉撤單標志? ?Global_NumericArray SPDEL; //賣平撤單標志? ?Global_NumericArray BPM0; //買平今倉委托手數? ?Global_NumericArray BPM1; //買平老倉委托手數? ?Global_NumericArray BPM; //買平委托手數? ?Global_NumericArray SPM0; //賣平今倉委托手數? ?Global_NumericArray SPM1; //賣平老倉委托手數? ?Global_NumericArray SPM; //賣平委托手數? ?Global_NumericArray BPCM0; //買平成交委托手數? ?Global_NumericArray BPCM1; //買平成交委托手數? ?Global_NumericArray BPCM; //買平成交手數? ?Global_NumericArray SPCM0; //賣平成交委托手數? ?Global_NumericArray SPCM1; //賣平成交委托手數? ?Global_NumericArray SPCM; //賣平成交手數? ?Global_NumericArray BPP0; //買平今倉委托價格? ?Global_NumericArray BPP1; //買平老倉委托價格? ?Global_NumericArray BPP; //買平委托價格? ?Global_NumericArray SPP0; //賣平今倉委托價格? ?Global_NumericArray SPP1; //賣平老倉委托價格? ?Global_NumericArray SPP; //賣平委托價格? ?Global_NumericArray BPT0; //買平今倉委托時間? ?Global_NumericArray BPT1; //買平老倉委托時間? ?Global_NumericArray BPT; //買平委托時間? ?Global_NumericArray SPT0; //賣平今倉委托時間? ?Global_NumericArray SPT1; //賣平老倉委托時間? ?Global_NumericArray SPT; //賣平委托時間? ?Global_NumericArray SPV; //賣平手數? ?Global_NumericArray BPV; //買平手數? ?Global_NumericArray BKZJF; //買開追價標志 Begin? ? ? DrawColorKLine(IsUp,Red,1); //收盤價大于開盤價，繪制紅色空心K線? ? ? DrawColorKLine(IsDown,Cyan,0); //收盤價小于開盤價，繪制青色實心K線? ? ? DrawColorKLine(IsEqual,White,1); //收盤價等于開盤價，//------------------------處理開啟------------------------//? ?If(A_IsExchangeOpen() == 1) //如果是開盤狀態? ?{? ? ? If(BarStatus() == 2) //如果不帶入歷史值? ? ? {? ? ? ? ?If(RunStart() == 1) //如果已初始化成功? ? ? ? ?{? ? ? ? ? ? OPFLG = 1; //開啟模型處理? ? ? ? ?}? ? ? }? ?}? ?//------------------------變量賦值------------------------//? ?If(1) //變量賦值? ?{? ? ? TT = 55; //時間間隔? ? ? SIGT1 = 155; //信號時間間隔? ? ? KCP = CurrentBar; //K線位置? ? ? NOW = CurrentTime(); //當前時間? ? ? NEWP = Price("New"); //最新價? ? ? MINP = Price("MinPrice"); //最小變動價位? ? ? NSKBK = Exist(Time > 0.1445 && Time < 0.1500,0); //NNSKBK ==0非開倉委托時間? ? ? SH = A_IsSHCode(); //上海合約標志? ? ? BRP = F_BuyRemainPosition(); //多頭可用持倉? ? ? SRP = F_SellRemainPosition(); //空頭可用持倉? ? ? If(SH == 1) //如果當前合約是上海市場合約? ? ? {? ? ? ? ?BRP0 = A_TodayBuyRemainPosition(); //多頭今倉可用持倉? ? ? ? ?SRP0 = A_TodaySellRemainPosition(); //空頭今倉可用持倉? ? ? ? ?BRP1 = BRP - BRP0; //多頭老倉可用持倉? ? ? ? ?SRP1 = SRP - SRP0; //空頭老倉可用持倉? ? ? }? ?}? ?//------------------------信號發出------------------------//? ?If(1) //信號發出? ?{?LSKC=7;WMA3=Var.MA3;//跨周期引用3均線對比值WMA5=Var.MA5;//跨周期引用5均線對比值WMM3=WMA3-WMA5;WMA9i=Var.MA9;//跨周期引用9均線對比值WMA9=ema(EMA(WMA9i,5),3);WMA18i=Var.MA18;//跨周期引用18均線對比值WMA18=ema(EMA(WMA18i,5),3);WWMM18=WMA18-REF(WMA18,1);日線=ema(EMA((WMA3*2+WMA5*2.5+WMA9*3+WMA18*3.5)/11,3),3);日線多頭=Exist(日線>ref(日線,1),1);日線空頭=Exist(日線<ref(日線,1),1);W=REF(A,1)/3000;//交易合約價與指標設計參考合約價的比值ZX=ZX2*W;//真實的止損參數ZX1=MAX(ZX2*W,MA(HIGH-LOW,30));//止損數取止損參數與30周期內平均波幅相比的較大值BD1=MAX(BD*W,MA(HIGH-LOW,30)*2.5);//真實的反正波動開倉參數//A0=BarType;// 返回數據合約的K線周期類型值。(0為日線1為分鐘2為CITK線4周線5月線）//AA=BarInterval;//返回數據合約的K線周期數值（如加載在5分鐘周期上，A返回1，AA返回5）//AAA=IIF(A0<>0,A0*A0*A0/240,1/24)*12;//設置K線周期所用的止損權重,在1分鐘周期上20*AAA相當于一個最小變動單位?LSKC=7;//請與第11行的設置數字一致T=2;T1=1;T2=11;T3=4;N3=4;N4=18;N5=5;N6=47;N7=2;BD2=BD1*MinPrice;A=(3*CLOSE+LOW+OPEN+HIGH)/6;//3倍收盤價與最高價、最低價、開盤價之和的均值MA5 =Ma(A,5);MM5=MA5-REF(MA5,1);MA3=MA(A,3);MA6=MA(A,6);MA9=MA(A,9);MA10=MA(A,18);MA12=MA(A,12);MA18=MA(A,18);MM10=MA10-REF(MA10,1);MA20=MA(A,36);MA24=MA(A,24);MA36=MA(A,36);MM20=MA20-REF(MA20,1);MA30=MA(A,30);MA54=MA(A,54);MA72=MA(A,72);MM30=MA30-REF(MA30,1);MA60=MA(A,144);MM60=MA60-REF(MA60,1);MM2=MA3-REF(MA3,1);MM6=MA6-REF(MA6,1);MM9=MA9-REF(MA9,1);MM12=MA12-REF(MA12,1);MM18=MA18-REF(MA18,1);MM24=MA24-REF(MA24,1);MM36=MA36-REF(MA36,1);MM54=MA54-REF(MA54,1);MM72=MA72-REF(MA72,1);短線=(MA3+MA5+MA6+MA9+MA12)/5;短線差=短線-ref(短線,1);DK=2*CLOSE-HIGH-LOW;MM=1*(SUM(DK*50+MM1*120+MM2*100+MM6*100+MM9*100+MM12*100+MM18*100+MM24*100+MM36*100,1)/ABS(SUM(MM60*800,1)));K1=100*EMA(EMA(MM,N5),3)/EMA(EMA(ABS(MM),N5),3);K2=100*EMA(EMA(MM,N6),4)/EMA(EMA(ABS(MM),N6),4);K3=EMA(MA(K1,T),T1);K4=EMA(MA(K3,N3),N4);KK1=K3-REF(K3,1);KK2=K4-REF(K4,1);KK3=K4-K3;KKK=30*(DK*0.05+(A-REF(A,1))*0.02+MM2*0.10+MM5*0.10+MM6*0.10+MM9*0.10+MM12*0.15+MM18*0.15+MM24*0.20+MM36*0.30+MM54*0.30+(日線-ref(日線,1))*0.5)+IIF(CLOSE>MA36,5,-5)+IIF(CLOSE>MA18,5,-5)+IIF(CLOSE>MA9,5,-5)+IIF(CLOSE>日線,5,-5);//趨勢的強度HH=(EMA(EMA(STD(A,41)*0.2+KKK,1),9)+20)/2;LL=(EMA(EMA(STD(A,41)*0.2+KKK,1),9)-20)/2;KKK1=EMA(EMA(KKK,5),1);KKK2=EMA(EMA(KKK,9),27);MMKKK1=KKK1-REF(KKK1,1);MMKKK2=KKK2-REF(KKK2,1);WMM5=WMA5-REF(WMA5,1);WMM9=WMA9-REF(WMA9,1);WMM18=WMA18-REF(WMA18,1);WWMA18=EMA(EMA(WMA18,3),3);MAKK3=MA(MM5+MM9+MM18+MM36+MM72,3);MAKK30=MA(MM5+MM9+MM18+MM36+MM72,30);TYP=(CLOSE+HIGH+LOW)/3;CCI=(TYP-MA(TYP,14))/(0.015*AVEDEV(TYP,14));N=DUALVOLUME("N");NS=IIF(SCALE>=0.5&&MM18>0,ABS(N),-ABS(N));QQ=1*(SUM(NS*10+DK*50+MM1*120+MM2*100+MM6*100+MM9*100+MM12*100+MM18*100+MM24*100+MM36*100,1)/ABS(SUM(MM60*800,1)));SL=LinearRegValue (KKK/MA72*K4,9, 0); //計算9周期以來的趨勢的強度的線性回歸值；SL2=LinearRegValue (KKK/MA72*K4,18, 0); //計算18周期以來的趨勢的強度的線性回歸值；?Mid2 = Ma(A, 26);//求Length個周期的收盤價均線，稱為布林通道中軌TMP2 = Std(A,26); //求Offset個周期內的收盤價的標準差TOP= ref(Mid2,1) + 2 * TMP2;//布林通道上軌BOT = ref(Mid2,1) - 2 * TMP2; //布林通道下軌TB=TOP-BOT;//上下軌距離B=(20*A+19*REF(A,1)+18*REF(A,2)+17*REF(A,3)+16*REF(A,4)+15*REF(A,5)+14*REF(A,6)+13*REF(A,7)+12*REF(A,8)+11*REF(A,9)+10*REF(A,10)+9*REF(A,1)+8*REF(A,2)+7*REF(A,3)+6*REF(A,4)+5*REF(A,5)+4*REF(A,6)+3*REF(A,7)+2*REF(A,8)+REF(A,2))/210;//對A值做加權均值計算。DKK=1500*(CLOSE*0.5+DK*10)/SUM(CLOSE*0.5+DK*8,60)+K4*0.75+K3*0.25+MA(MM9,3)*1+MA(MM18,3)*2+MA(MM24,3)*2+MA(MM36,3)*4+MA(MM72,3)*6;K31=EMA(MA(B*0.5+K3*0.5+K4*0.5+MM18*0.06+MM36*0.07+MM54*0.08+MM60*0.1+MM72*0.09+MM9*0.05+MM5*0.04+MM3*0.03,5),1);K41=EMA(MA(K31,21),3);cond21=Every(ref(MM3,1)>=0&&ref(MM5,1)>=0&&ref(MA3,1)>=ref(MA5,1)&&ref(MM6,1)>=0&&ref(MM9,1)>=0&&ref(MM12,1)>=0&&ref(MM18,1)>0&&ref(MM24,1)>=0&&ref(MM36,1)>0&&ref(MA9,1)>=REF(MA12,1)&&ref(MA9,1)>=REF(MA18,1)&&ref(MA9,1)>=REF(MA36,1)&&日線多頭,1);//標準多頭排列cond22=Every(ref(MM3,1)<=0&&ref(MM5,1)<=0&&ref(MA3,1)<=ref(MA5,1)&&ref(MM6,1)<=0&&ref(MM9,1)<=0&&ref(MM12,1)<=0&&ref(MM18,1)<0&&ref(MM24,1)<=0&&ref(MM36,1)<0&&ref(MA9,1)<=ref(MA12,1)&&ref(MA9,1)<=ref(MA18,1)&&ref(MA9,1)<=ref(MA36,1)&&日線空頭,1);//標準空頭排列QZ21=IIF(cond21,count(cond21,27),0);//27個周期內標準上漲的周期數QZ22=IIF(cond22,count(cond22,27),0);//27個周期內標準下跌的周期數TOPCROSS1=IIF(Exist(cross(K4,K3)&&hhVBARS(high,90)<30,90),count(k4>k3&&hhVBARS(high,90)<30,90),0);//90周期內頂部潛龍指標死叉距今K線數BOTCROSS1=IIF(Exist(cross(K3,K4)&&LLVBARS(LOW,90)<30,90),count(k3>k4&&LLVBARS(LOW,90)<30,90),0);//90周期內底部潛龍指標金叉距今K線數TOPCROSS2=IIF(Exist(cross(MA18,MA9)&&hhVBARS(high,90)<30,90),count(ma18>ma9&&hhVBARS(high,90)<30,90),0);//90周期內頂部均線死叉距今K線數BOTCROSS2=IIF(Exist(cross(MA9,MA18)&&LLVBARS(LOW,90)<30,90),count(ma9>ma18&&LLVBARS(LOW,90)<30,90),0);//90周期內底部均線金叉距今K線數BKCROSS01=IIF(Exist(cross(MA9,MA18),45),count(ma9>ma18,45),0);//短線均線金叉距今K線數1BKCROSS02=IIF(Exist(cross(MA36,MA72),45),count(ma36>ma72,45),0);//長線均線金叉距今K線數SKCROSS01=IIF(Exist(cross(ma18,ma9),45),count(ma18>ma9,45),0);//短均線死叉距今K線數1SKCROSS02=IIF(Exist(cross(MA36,MA72),45),count(ma36>ma72,45),0);//長均線死叉距今K線數2BKCROSS03=BarsLast(cross(HIGH,MA18)&&LLVBARS(LOW,45)<19&&KK1>2&&MMKKK1>0);//45周期內首次突破18均線距今K線數BKCROSS04=BarsLast(cross(HIGH,MA36)&&LLVBARS(LOW,45)<19&&KK1>2&&MMKKK1>0);//45周期內首次突破36均線距今K線數SKCROSS03=BarsLast(cross(MA18,LOW)&&hhVBARS(high,45)<19&&KK1<-2&&MMKKK1<0);//45周期內首次跌破18均線距今K線數SKCROSS04=BarsLast(cross(MA36,LOW)&&hhVBARS(high,45)<19&&KK1<-2&&MMKKK1<0);//45周期內首次跌破36均線距今K線數N=DUALVOLUME("N");BPSPtime=(Between(time,0.1435,0.1500)+Between(time,0.2235,0.2300)+Between(time,0.2315,0.2330))*Between(RN,-0.1,0.1);//日內清倉時間選擇HL=(HHV(ref(HIGH,1),7)-LLV(ref(LOW,1),7))*0.2+ref(MA(ABS(CLOSE-OPEN),7),1)*0.8;//7根K線的有效波幅HL2=ZD*(HHV(WMA9,3)-LLV(WMA9,3))/MINPRICE;//3根K線的日線有效波幅 HL2>1MAXVOL=700;//加倉前最大持倉數SS4=MoneyRatio;//資金使用率SS5=1+IntPart(SS4*10);//資金使用率的10倍取整SS=iif(MaxContracts<MAXVOL,IntPart(IIF(SS4<0.4,max(min(IntPart(MoneyTot*(1-MoneyRatio)*0.20/(REF(A,1)*ContractUnit*0.12)),1000),1),iif(SS4<0.5,max(min(IntPart(MoneyTot*(1-MoneyRatio)*0.15/(REF(A,1)*ContractUnit*0.12)),1000),1),0))*IIF(REF(OpenInt,1)>3000,1,0)),0);//每次開單手數為未使用資金的6%-20%且不超過1000手?//SS=IIF(SS4<0.4,myvol,0);//每次開單手數為未使用資金的10%且不超過1000手
BKBK=B>REF(B,1)&&mm5+MM6+MM9+MM12>0&&k4>-60&&ma9>=ma18&&Every(mm3+mm5>0,2)&&Every(mm9+mm18>0,2);//主圖潛龍線紅色時SKSK=B<REF(B,1)&&mm5+MM6+MM9+MM12<0&&k4<60&&ma9<=ma18&&Every(mm3+mm5<0,2)&&Every(mm9+mm18<0,2);//主圖潛龍線綠色時BPBP=Exist(SKSK,7)==1&&Exist(SKSK,1)==0;//主圖潛龍線由綠色消失時SPSP=Exist(BKBK,7)==1&&Exist(BKBK,1)==0;//主圖潛龍線由紅色消失時JXXS = Cross(MA36, Ref(MA36,1));JXXX = CrossDown(MA36, Ref(MA36,1));CS1 = Count(CrossDown(K3,K4),JXXX);//下跌時死叉CS2 = Count(Cross(K3,K4),JXXS);//上漲時金叉BK01=Every(HH>=0&&HH>=REF(HH,1)&&Exist(MM18>=0||短線差>=0,1),1);//做多BK02=Every(HH>=10&&sum(HH-REF(HH,1),10)>0&&Exist(MM18>=0||短線差>=0,1)&&HIGH==LOW,1);//漲停做多SK01=Every(LL<0&&HH<=REF(HH,1)&&Exist(MM18<=0||短線差<=0,1),1);//做空SK02=Every(LL<-10&&sum(HH-REF(HH,1),10)<0&&Exist(MM18<=0||短線差<=0,1)&&HIGH==LOW,1);//跌停做空SPBP01=Every(HH<0&&HH>REF(HH,1)&¬(HH>=10&&sum(HH-REF(HH,1),10)>0&&HIGH==LOW)&¬(短線差>0),1);//多頭減倉及不持倉區SPBP02=Every(LL>=0&&HH<REF(HH,1)&¬(HH>=10&&sum(HH-REF(HH,1),10)>0&&HIGH==LOW)&¬(短線差<0),1);//空頭減倉及不持倉區SPBP03=Exist(BK01+BK02+SK01+SK02==0,1);//不持倉區
PartLine(B>=REF(B,1)&&MM18>=0,MA18,RGB(255,0,0),Linethick2);PartLine(B<=REF(B,1)&&MM18<=0,MA18,RGB(0,255,0),Linethick2);PartLine(B>=REF(B,1)&&MM36>=0,MA36,RGB(255,22,0),Linethick2);PartLine(B<=REF(B,1)&&MM36<=0,MA36,RGB(0,255,22),Linethick2);BKPRC = Price("New")-BQ*minprice; //實盤所用買開價格?SPPRC = Price("New")+BQ*minprice; //實盤所用賣平價格?SKPRC = Price("New")+BQ*minprice; //實盤所用賣開價格?BPPRC =? Price("New")-BQ*minprice; //實盤所用買平價格BSPRC=IntPart((open+close)/2/minprice)*minprice;//回測所用開倉和平倉價格為“收盤價與開盤價的平均值”//以下為新增交易信號if (Filter(Exist(SPBP02+SPBP01+SPBP03>0,1)&&SKVOL>0,1))//剛進入“空頭減倉及不持倉區”
{?
BuyToCover(IntPart(SKVOL*1),BSPRC);//剛進入“空頭減倉及不持倉區平”100%}if (Filter(Exist(SPBP02+SPBP01+SPBP03>0,1)&&SUM(SPBP02+SPBP01,5)>2&&SKVOL>0,0))//連續進入“空頭減倉及不持倉區”
{
BuyToCover(IntPart(SKVOL*1),BSPRC);//連“進入空頭減倉及不持倉區”清倉}IF(Filter(Exist(SPBP02+SPBP01+SPBP03>0,1)&&BKVOL>0,1))//剛進入“多頭減倉及不持倉區”{
SELL(IntPart(BKVOL*1),BSPRC);//連續進入“多頭減倉及不持倉區”平100%}IF(Filter(Exist(SPBP02+SPBP01+SPBP03>0,1)&&SUM(SPBP02+SPBP01,5)>2&&BKVOL>0,0))//剛進入“多頭減倉及不持倉區”{
SELL(IntPart(BKVOL*1),BSPRC);//連續進入“多頭減倉及不持倉區”平100%}if (Filter(FX>=0&&SS4<0.5&&BK01+BK02>0&&Exist(HHVBars(HIGH,3)<=1||LLVBars(LOW,7)<=1,1)&¬(Every(BK01+BK02>0,7))&&NOT(BarsSell<2)&&SPBP01+SPBP02<1,2))//多頭
{
Buy(IntPart(SS*1),BSPRC);//多頭區做多}if (Filter(FX<=0&&SS4<0.5&&SK01+SK02>0&&Exist(HHVBars(HIGH,7)<=1||LLVBars(LOW,3)<=1,1)&¬(Every(SK01+SK02>0,7))&&NOT(BarsBuyToCover<2)&&SPBP01+SPBP02<1,2) )//空頭
{
SellShort(SS*1,BSPRC);//空頭區做空}if (BK01+BK02>0&&SKVOL>0)//持空單進入了多頭區
{
BuyToCover(SKVOL,BSPRC);//持空單進入了多頭區須平空}if (SK01+SK02>0&&BKVOL>0 )//持多單進入了空頭區
{
Sell(BKVOL,BSPRC);//持多單進入了空頭區須平多}
文件名：vip版測試02.png
文件名：vip版測試03.png
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?來源:程序化99
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