海龜系統改進后的策略源碼
作者：開拓者 TB 來源：cxh99.com 發布時間：2012年10月26日
- 源碼內容：
Params
Numeric RiskRatio(1); // % Risk Per N ( 0 - 100)
Numeric ATRLength(20); // 平均波動周期 ATR Length
Numeric boLength(20); // 短周期 BreakOut Length
Numeric fsLength(55); // 長周期 FailSafe Length
Numeric teLength(10); // 離市周期 Trailing Exit Length
Bool LastProfitableTradeFilter(True); // 使用入市過濾條件
Vars
Numeric MinPoint; // 最小變動單位
NumericSeries AvgTR; // ATR
Numeric N; // N 值
Numeric TotalEquity; // 按最新收盤價計算出的總資產
Numeric TurtleUnits; // 交易單位
NumericSeries DonchianHi; // 唐奇安通道上軌，延后1個Bar
NumericSeries DonchianLo; // 唐奇安通道下軌，延后1個Bar
NumericSeries fsDonchianHi; // 唐奇安通道上軌，延后1個Bar，長周期
NumericSeries fsDonchianLo; // 唐奇安通道下軌，延后1個Bar，長周期
Numeric ExitHighestPrice; // 離市時判斷需要的N周期最高價
Numeric ExitLowestPrice; // 離市時判斷需要的N周期最低價
Numeric myEntryPrice; // 開倉價格
Numeric myExitPrice; // 平倉價格
Bool SendOrderThisBar(False); // 當前Bar有過交易
NumericSeries preEntryPrice(0); // 前一次開倉的價格
BoolSeries PreBreakoutFailure(false); // 前一次突破是否失敗
Begin
If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
PreBreakoutFailure = false;
}
MinPoint = MinMove*PriceScale;
AvgTR = XAverage(TrueRange,ATRLength);
N = AvgTR[1];
TotalEquity = Portfolio_CurrentCapital() + Portfolio_UsedMargin();
TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
TurtleUnits = IntPart(TurtleUnits); // 對小數取整
DonchianHi = HighestFC(High[1],boLength);
DonchianLo = LowestFC(Low[1],boLength);
fsDonchianHi = HighestFC(High[1],fsLength);
fsDonchianLo = LowestFC(Low[1],fsLength);
ExitLowestPrice = LowestFC(Low[1],teLength);
ExitHighestPrice = HighestFC(High[1],teLength);
Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));
// 當不使用過濾條件，或者使用過濾條件并且條件為PreBreakoutFailure為True進行后續操作
If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure)))
{
// 突破開倉
If(High > DonchianHi && TurtleUnits >= 1)
{
// 開倉價格取突破上軌+一個價位和最高價之間的較小值，這樣能更接近真實情況，并能盡量保證成交
myEntryPrice = min(high,DonchianHi + MinPoint);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
preEntryPrice = myEntryPrice;
Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
If(Low < DonchianLo && TurtleUnits >= 1)
{
// 開倉價格取突破下軌-一個價位和最低價之間的較大值，這樣能更接近真實情況，并能盡量保證成交
myEntryPrice = max(low,DonchianLo - MinPoint);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
preEntryPrice = myEntryPrice;
SendOrderThisBar = True;
SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
}
// 長周期突破開倉 Failsafe Breakout point
If(MarketPosition == 0)
{
Commentary("fsDonchianHi="+Text(fsDonchianHi));
If(High > fsDonchianHi && TurtleUnits >= 1)
{
// 開倉價格取突破上軌+一個價位和最高價之間的較小值，這樣能更接近真實情況，并能盡量保證成交
myEntryPrice = min(high,fsDonchianHi + MinPoint);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
preEntryPrice = myEntryPrice;
Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
Commentary("fsDonchianLo="+Text(fsDonchianLo));
If(Low < fsDonchianLo && TurtleUnits >= 1)
{
// 開倉價格取突破下軌-一個價位和最低價之間的較大值，這樣能更接近真實情況，并能盡量保證成交
myEntryPrice = max(low,fsDonchianLo - MinPoint);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
preEntryPrice = myEntryPrice;
SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
}
If(MarketPosition == 1) // 有多倉的情況
{
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
If(Low < ExitLowestPrice)
{
myExitPrice = max(Low,ExitLowestPrice - MinPoint);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
Sell(0,myExitPrice); // 數量用0的情況下將全部平倉
}Else
{
If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
{
If(Open >= preEntryPrice + 0.5*N) // 如果開盤就超過設定的1/2N,則直接用開盤價增倉。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
}
while(High >= preEntryPrice + 0.5*N) // 以最高價為標準，判斷能進行幾次增倉
{
myEntryPrice = preEntryPrice + 0.5 * N;
preEntryPrice = myEntryPrice;
Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
}
}
// 止損指令
If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // 加倉Bar不止損
{
myExitPrice = preEntryPrice - 2 * N;
Sell(0,myExitPrice); // 數量用0的情況下將全部平倉
PreBreakoutFailure = True;
}
}
}Else If(MarketPosition ==-1) // 有空倉的情況
{
// 求出持空倉時離市的條件比較值
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
If(High > ExitHighestPrice)
{
myExitPrice = Min(High,ExitHighestPrice + MinPoint);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
BuyToCover(0,myExitPrice); // 數量用0的情況下將全部平倉
}Else
{
If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
{
If(Open <= preEntryPrice - 0.5*N) // 如果開盤就超過設定的1/2N,則直接用開盤價增倉。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
}
while(Low <= preEntryPrice - 0.5*N) // 以最低價為標準，判斷能進行幾次增倉
{
myEntryPrice = preEntryPrice - 0.5 * N;
preEntryPrice = myEntryPrice;
SellShort(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
}
}
// 止損指令
If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // 加倉Bar不止損
{
myExitPrice = preEntryPrice + 2 * N;
BuyToCover(0,myExitPrice); // 數量用0的情況下將全部平倉
PreBreakoutFailure = True;
}
}
}
End
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