波动突破交易策略源码

buycond:=entertime and high =highest;
buyprice:=max(open,highest);

buyshortcond:=entertime and low =lowest;
buyshortprice:=min(open,lowest);

if holding=0 and buycond then begin
buy(1,1,limitr,buyprice);
end

if holding=0 and buyshortcond then begin
buyshort(1,1,limitr,buyshortprice);
end

if holding 0 and exittime then begin
sell(1,holding,limitr,close);
end

if holding 0 and exittime then begin
sellshort(1,holding,limitr,close);
end

if exittime then
myasset:=asset;

资产:myasset,noaxis,colormagenta;
次数:totaltrade,linethick0;
收益:(myasset-30000)/30000,linethick0;
胜率:percentwin,linethick0;
出击:totaltrade/(count(date ref(date,1),0)+1),linethick0;
连亏:maxseqloss,linethick0;
连赢:maxseqwin,linethick0;

源码解析：

输出RUNMODE:0
输出 INPUT:VOLATILITY(20,5,100,5)
输出 VARIABLE:MYASSET=30000
ENTERTIME赋值:时间 =092500 AND 时间 =145500
EXITTIME赋值:时间 =150000
DIST赋值:上次日期 昨日日期距今天数
OO赋值:DIST日前的开盘价
HIGHEST赋值:OO+VOLATILITY*MINDIFF
LOWEST赋值:OO-VOLATILITY*MINDIFF
BUYCOND赋值:ENTERTIME AND 最高价 =HIGHEST
BUYPRICE赋值:开盘价和HIGHEST的较大值
BUYSHORTCOND赋值:ENTERTIME AND 最低价 =LOWEST
BUYSHORTPRICE赋值:开盘价和LOWEST的较小值
逻辑判断 HOLDING=0 AND BUYCOND THEN BEGIN BUY(1,1,LIMITR,BUYPRICE)
END 逻辑判断 HOLDING=0 AND BUYSHORTCOND THEN BEGIN BUYSHORT(1,1,LIMITR,BUYSHORTPRICE)
END 逻辑判断 HOLDING 0 AND EXITTIME THEN BEGIN SELL(1,HOLDING,LIMITR,收盘价)
END 逻辑判断 HOLDING 0 AND EXITTIME THEN BEGIN SELLSHORT(1,HOLDING,LIMITR,收盘价)
MYASSET赋值:ASSET
输出 资产:MYASSET,NOAXIS,画洋红色
输出 次数:TOTALTRADE,线宽为0
输出 收益:(MYASSET-30000)/30000,线宽为0
输出 胜率:PERCENTWIN,线宽为0
输出 出击:TOTALTRADE/(统计0日中满足日期 昨日日期的天数+1),线宽为0
输出 连亏:MAXSEQLOSS,线宽为0
输出 连赢:MAXSEQWIN,线宽为0