開(kāi)拓者CXH99唐奇安通道交易策略源碼

Params
                        Numeric LongLength(20);                        // 長(zhǎng)周期
                        Numeric ShortLength(10);                // 短周期
                        Numeric TrailingScale(0.5);                // 增倉(cāng)比例
                        Numeric StopLossSet(2);                        // 止損比例
                        Numeric Lots(1);                                // 交易數(shù)量                               
Vars
                        Numeric MinPoint;                                // 最小變動(dòng)單位
                        NumericSeries AvgTR;                        // ATR
                        Numeric N;                          // N 值
                        NumericSeries DonchianHi;           // 唐奇安通道上軌，延后1個(gè)Bar
                        NumericSeries DonchianLo;           // 唐奇安通道下軌，延后1個(gè)Bar
                        Numeric ExitHighestPrice;           // 離市時(shí)判斷需要的N周期最高價(jià)
                        Numeric ExitLowestPrice;            // 離市時(shí)判斷需要的N周期最低價(jià)
                        Numeric myEntryPrice;               // 開(kāi)倉(cāng)價(jià)格
                        Numeric myExitPrice;                // 平倉(cāng)價(jià)格
                        Bool SendOrderThisBar(False);   // 當(dāng)前Bar有過(guò)交易
                        NumericSeries preEntryPrice(0); // 前一次開(kāi)倉(cāng)的價(jià)格
Begin
                        If(BarStatus == 0)
                        {
                                preEntryPrice = InvalidNumeric;
                        } Else
                        {
                                preEntryPrice = preEntryPrice[1];
                        } //程序化交易 www.weiqiv.net.cn
       
                        AvgTR = XAverage(TrueRange,LongLength);
                        N = AvgTR[1];       
                        DonchianHi = HighestFC(High[1],LongLength);
                        DonchianLo = LowestFC(Low[1],LongLength);       
                        ExitLowestPrice = LowestFC(Low[1],ShortLength);
                        ExitHighestPrice = HighestFC(High[1],ShortLength);
                        Commentary("N="+Text(N));
                        Commentary("preEntryPrice="+Text(preEntryPrice));
                        PlotNumeric("上軌",DonchianHi);
                        PlotNumeric("下軌",DonchianLo);
                        PlotNumeric("退出上軌",ExitHighestPrice);
                        PlotNumeric("退出下軌",ExitLowestPrice);
                       
                        /*/////////////////////////////////開(kāi)倉(cāng)////////////////////////////////////////*/
                        If(MarketPosition == 0 && High > DonchianHi)
                        {
                                myEntryPrice = min(high,DonchianHi);
                                myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時(shí)候用開(kāi)盤(pán)價(jià)代替
                                preEntryPrice = myEntryPrice;
                                Buy(Lots,myEntryPrice);
                                SendOrderThisBar = True;
                        }
                        If(MarketPosition == 0 && Low < DonchianLo)
                        {
                                myEntryPrice = max(low,DonchianLo);
                                myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時(shí)候用開(kāi)盤(pán)價(jià)代替
                                preEntryPrice = myEntryPrice;
                                SendOrderThisBar = True;
                                SellShort(Lots,myEntryPrice);
                        }
                        /*///////////////////////////////止盈加倉(cāng)////////////////////////////////////*/
                        If(MarketPosition == 1)
                        {      
                                Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
                                If(Low < ExitLowestPrice)
                                {
                                        myExitPrice = max(Low,ExitLowestPrice);
                                        myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時(shí)候用開(kāi)盤(pán)價(jià)代替
                                        Sell(0,myExitPrice);    // 數(shù)量用0的情況下將全部平
                                }Else
                                {
                                        If(preEntryPrice!=InvalidNumeric)
                                        {
                                                If(Open >= preEntryPrice + TrailingScale*N) // 如果開(kāi)盤(pán)就超過(guò)設(shè)定的1/2N,則直接用開(kāi)盤(pán)價(jià)增倉(cāng)。
                                                {
                                                        myEntryPrice = Open;
                                                        preEntryPrice = myEntryPrice;
                                                        Buy(Lots,myEntryPrice);
                                                        SendOrderThisBar = True;
                                                }       
                                                while(High >= preEntryPrice + TrailingScale*N) // 以最高價(jià)為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉(cāng)
                                                {
                                                        myEntryPrice = preEntryPrice + TrailingScale * N;//程序化交易 www.chengxuhuajiaoyi.com
                                                        preEntryPrice = myEntryPrice;
                                                        Buy(Lots,myEntryPrice);
                                                        SendOrderThisBar = True;                                       
                                                }
                                        }                       
                                        /*///////////////////////////////////止損策略///////////////////////////////*/
                                        If(Low <= preEntryPrice - StopLossSet * N && SendOrderThisBar == false) // 加倉(cāng)Bar不止損
                                        {
                                                myExitPrice = preEntryPrice - StopLossSet * N;
                                                myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時(shí)候用開(kāi)盤(pán)價(jià)代替
                                                Sell(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉(cāng)
                                        }
                                } // www.chengxuhuajiaoyi.com
                        }Else If(MarketPosition ==-1) // 有空倉(cāng)的情況
                        {
                                Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
                                If(High > ExitHighestPrice)
                                {
                                        myExitPrice = Min(High,ExitHighestPrice);
                                        myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時(shí)候用開(kāi)盤(pán)價(jià)代替
                                        BuyToCover(0,myExitPrice);    // 數(shù)量用0的情況下將全部平倉(cāng)
                                }Else
                                {
                                        If(preEntryPrice!=InvalidNumeric)
                                        {
                                                If(Open <= preEntryPrice - TrailingScale*N) // 如果開(kāi)盤(pán)就超過(guò)設(shè)定的1/2N,則直接用開(kāi)盤(pán)價(jià)增倉(cāng)。
                                                {
                                                        myEntryPrice = Open;
                                                        preEntryPrice = myEntryPrice;
                                                        SellShort(Lots,myEntryPrice);
                                                        SendOrderThisBar = True;
                                                }
                                                while(Low <= preEntryPrice - TrailingScale*N) // 以最低價(jià)為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉(cāng)
                                                {
                                                        myEntryPrice = preEntryPrice - TrailingScale * N;
                                                        preEntryPrice = myEntryPrice;
                                                        SellShort(Lots,myEntryPrice);
                                                        SendOrderThisBar = True;
                                                }
                                }
                                /*///////////////////////////////////止損策略///////////////////////////////*/
                                If(High >= preEntryPrice + StopLossSet * N && SendOrderThisBar==false) // 加倉(cāng)Bar不止損
                                {
                                        myExitPrice = preEntryPrice + StopLossSet * N;
                                        myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時(shí)候用開(kāi)盤(pán)價(jià)代替
                                        BuyToCover(0,myExitPrice); // 數(shù)量用0的情況下將全部平倉(cāng)
                                }
                        }
                }
End