金字塔fs2交易系统

金字塔公式 金字塔模型策略源码：runmode:0;

input:unitoftime(15,5,15,5),length(4,1,6,1);
input:initialstop(2,2,6,1),trailingstop(4,2,6,1);
input:startdate(1110104,1,9999999,1),intraday(1,0,1,1);
input:money(0,0,10,1);
input:slippage(0,0,2,1);
input:debug(2,0,2,1);

variable:costprice=0,stopline=0;
variable:myasset=50000,mycurve=0;

if initialstop trailingstop then exit;
if startdate 1 and date startdate then exit;

database('provider=microsoft.jet.oledb.4.0;data source=e:TradeReportReport.mdb');

begin
if stricmp(marketlabel,'sq')=0 then
label:=strleft(stklabel,2);

if stricmp(marketlabel,'dq')=0 then
label:=strleft(stklabel,1);

if stricmp(marketlabel,'zq')=0 then
label:=strleft(stklabel,2);

if stricmp(marketlabel,'zj')=0 then
label:=strleft(stklabel,2);

if stricmp(label,'cf')=0 then begin
marginratio:=0.17;
commission:=12;
tradeable:=true;
end

if stricmp(label,'sr')=0 then begin
marginratio:=0.16;
commission:=6;
tradeable:=true;
end

if not(tradeable) then exit;
end

begin
entertime1:=t0totime(timetot0(opentime(1))+60*(unitoftime+2));
entertime2:=t0totime(timetot0(closetime(0))-60);
exittime1:=t0totime(timetot0(closetime(0)));

entertime:=time =entertime1 and time =entertime2;
exittime:=time =exittime1;

cond:=day ref(day,1) or barpos=1;
n:=barpos-valuewhen(cond,barpos)+1;
settlementprice:=trimprice(sum(amount,n)/sum(vol,n)/multiplier);

period:=unitoftime*length;

atr:=trimprice(ref(ma(tr,unitoftime),1)+mindiff);

initialstopnum:=atr*initialstop;
trailingstopnum:=atr*trailingstop;
slippagenum:=slippage*mindiff;

topband:=ref(hhv(high,period),1)+mindiff;
botband:=ref(llv(low,period),1)-mindiff;

longcond:=barpos =period and entertime and high =topband;
longprice:=max(topband,open);

shortcond:=barpos =period and entertime and low =botband;
shortprice:=min(botband,open);

enterhour:=ref(hour,enterbars);
enterminute:=ref(minute,enterbars);
end

if debug=1 and ((startdate=1 and barpos=1) or date=startdate) then begin
dbexecute('drop table 设置');
dbexecute('drop table 权益');
dbexecute('drop table 交易明细');
dbexecute('drop table 账户');

dbexecute('create table 设置(品种 text,周期 text,时间 text,初始资金 number,保证金率 number,佣金滑点 text)');
dbexecute('create table 权益(日期 datetime,权益 number,平仓盈亏 number,累计盈亏 number)');
dbexecute('create table 交易明细(开仓日期 datetime,合约名称 text,开仓时间 datetime,开仓价格 number,交易类型 text,平仓时间 datetime,平仓价格 number,盈亏点数 number,交易手数 number,总手续费 number,平仓盈亏 number)');

if commission 1 then
comm:=numtostr(commission,0);
else
comm:=numtostr(commission*10000,2)+'%%';

dwdate:=date[datacount];
nyear:=intpart(dwdate/10000+1900);
nmonth:=intpart(dwdate/100%100);
nday:=intpart(dwdate%100);
ndate:=numtostr(year,0)+'/'+numtostr(month,0)+'/'+numtostr(day,0)+'-'+numtostr(nyear,0)+'/'+numtostr(nmonth,0)+'/'+numtostr(nday,0);

dbexecute('insert into 设置(品种,周期,时间,初始资金,保证金率,佣金滑点) values( '+stkname+' , 1分钟 , '+ndate+' ,500000,'+numtostr(marginratio,2)+', '+comm+' '+numtostr(slippage,0)+' )');
end

if holding=0 then begin
costprice:=0;
stopline:=0;
end

if holding=0 then begin
price:=0;
lots:=0;

if longcond then
price:=longprice;

if price 0 then begin
mycash:=cash(0);

lots1:=intpart(mycash/(price*multiplier*marginratio));

if money=0 then begin
lots:=lots1;
end else begin
lots2:=intpart(mycash*0.01*money/(initialstopnum*multiplier));
lots:=min(lots1,lots2);
end
end

if lots =1 then
buy(1,lots,limitr,price+slippagenum);
end

if holding=0 then begin
price:=0;
lots:=0;

if shortcond then
price:=shortprice;

if price 0 then begin
mycash:=cash(0);

lots1:=intpart(mycash/(price*multiplier*marginratio));

if money=0 then begin
lots:=lots1;
end else begin
lots2:=intpart(mycash*0.01*money/(initialstopnum*multiplier));
lots:=min(lots1,lots2);
end
end

if lots =1 then
buyshort(1,lots,limitr,price-slippagenum);
end

if holding 0 then begin
price:=0;
lots:=holding;

if exittime then begin
if intraday=0 then begin
price:=open;
end else begin
if costprice settlementprice and settlementprice stopline then
exit;
else
price:=close;
end
end

begin
if stopline 0 and low =stopline then
price:=min(stopline,open);

if stopline=0 then begin
if commission 1 then
costprice:=trimprice(enterprice+2*commission/multiplier)+mindiff;
else
costprice:=trimprice(enterprice*(1+commission)/(1-commission))+mindiff;

stopline:=costprice-initialstopnum;
end

if stopline costprice and high-initialstopnum =costprice then
stopline:=costprice;

if stopline =costprice and high-trailingstopnum stopline then
stopline:=high-trailingstopnum;
end

if price 0 then begin
sell(1,lots,limitr,price-slippagenum);

if debug=1 then begin
if commission 1 then
commission:=2*commission*lots;
else
commission:=(enterprice+exitprice)*multiplier*commission*lots;

sql:='insert into 交易明细(开仓日期,合约名称,开仓时间,开仓价格,交易类型,平仓时间,平仓价格,盈亏点数,交易手数,总手续费,平仓盈亏) values( '+
numtostr(year,0)+'-'+numtostr(month,0)+'-'+numtostr(day,0)+' , '+stklabel+' , '+
numtostr(enterhour,0)+':'+numtostr(enterminute,0)+' ,'+numtostr(enterprice,2)+', Buy , '+
numtostr(hour,0)+':'+numtostr(minute,0)+' ,'+numtostr(exitprice,2)+','+
numtostr(exitprice-enterprice,2)+','+numtostr(lots,0)+','+numtostr(commission,0)+','+
numtostr((exitprice-enterprice)*multiplier*lots,2)+')';
dbexecute(sql);
end
end
end

if holding 0 then begin
price:=0;
lots:=-holding;

if exittime then begin
if intraday=0 then begin
price:=open;
end else begin
if costprice settlementprice and settlementprice stopline then
exit;
else
price:=close;
end
end

begin
if stopline 0 and high =stopline then
price:=max(stopline,open);

if stopline=0 then begin
if commission 1 then
costprice:=trimprice(enterprice-2*commission/multiplier)-mindiff;
else
costprice:=trimprice(enterprice*(1-commission)/(1+commission))-mindiff;

stopline:=costprice+initialstopnum;
end

if stopline costprice and low+initialstopnum =costprice then
stopline:=costprice;

if stopline =costprice and low+trailingstopnum stopline then
stopline:=low+trailingstopnum;
end

if price 0 then begin
sellshort(1,lots,limitr,price+slippagenum);

if debug=1 then begin
if commission 1 then
commission:=2*commission*lots;
else
commission:=(enterprice+exitprice)*multiplier*commission*lots;

sql:='insert into 交易明细(开仓日期,合约名称,开仓时间,开仓价格,交易类型,平仓时间,平仓价格,盈亏点数,交易手数,总手续费,平仓盈亏) values( '+
numtostr(year,0)+'-'+numtostr(month,0)+'-'+numtostr(day,0)+' , '+stklabel+' , '+
numtostr(enterhour,0)+':'+numtostr(enterminute,0)+' ,'+numtostr(enterprice,2)+', Sell , '+
numtostr(hour,0)+':'+numtostr(minute,0)+' ,'+numtostr(exitprice,2)+','+
numtostr(enterprice-exitprice,2)+','+numtostr(lots,0)+','+numtostr(commission,0)+','+
numtostr((enterprice-exitprice)*multiplier*lots,2)+')';
dbexecute(sql);
end
end
end

if exittime then begin
closeprofit:=asset-myasset;
myasset:=asset;
mycurve:=mycurve+closeprofit;
if debug=1 then begin
sql:='insert into 权益(日期,权益,平仓盈亏,累计盈亏) values( '+numtostr(year,0)+'-'+numtostr(month,0)+'-'+numtostr(day,0)+' ,'+numtostr(myasset,2)+','+numtostr(closeprofit,2)+','+numtostr(mycurve,2)+')';
dbexecute(sql);
end
end

if holding 0 then begin
drawicon(stopline costprice,stopline,11);
drawicon(stopline=costprice,stopline,12);
drawicon(stopline costprice,stopline,10);
end

if holding 0 then begin
drawicon(stopline costprice,stopline,11);
drawicon(stopline=costprice,stopline,12);
drawicon(stopline costprice,stopline,10);
end

if debug=2 then begin
盈亏:mycurve,noaxis,colormagenta;
收益:(myasset-50000)/50000,linethick0;
次数:totaltrade,linethick0;
胜率:percentwin,linethick0;
连亏:maxseqloss,linethick0;
连赢:maxseqwin,linethick0;
end

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