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  • 金字塔布林通道+MA+diff落影模型源码

    正文概述    2024-04-14 11:00:12  

    金字塔公式 金字塔模型策略源码:

    input:P(26,20,100,8);
    input:S(12,5,40,4);

    input:B1(26,5,300,30);
    input:B2(2,0.1,10,1);

    input:N2(10,1,120,12);
    input:N3(20,1,200,20);
    input:N4(60,1,200,20);

    ma2:=ma(c,n2);
    ma3:=ma(c,n3);
    ma4:=ma(c,n4);

    MID := MA(CLOSE,B1);
    UPPER:= MID + B2*STD(CLOSE,B1);
    LOWER:= MID - B2*STD(CLOSE,B1),colorred;

    diff := EMA(CLOSE,S) - EMA(CLOSE,P);

    variable:vmin = 090000;//用于隔夜高开或低开时间差

    if (abs(o-ref(c,1)) =20*MINDIFF AND time 090000 and time 090400) then vmin := 091500;

    //开多仓条件:
    BOPEON1:=c upper and diff 0 and c o and c ma4 AND HOLDING=0 AND time vmin AND time 144800;

    //平多仓条件:
    BLIQCON:=holding 0 and cross(ma3,ma2);

    //开空仓条件:
    SOPCON1:=c lower and diff 0 and c o and c ma4 AND HOLDING=0 AND time vmin AND time 144800;

    //平空仓条件:
    SLIQCON:=holding 0 and cross(ma2,ma3);


    buy(BOPEON1,1,market);
    sell(BLIQCON,holding,market);
    buyshort(SOPCON1,1,market);
    sellshort(SLIQCON,holding,market);

    //收盘前平仓
    sell(time 145400 and holding 0,holding,market);
    sellshort(time 145400 and holding 0,holding,market);

    可用现金:CASH(0),LINETHICK0;
    持仓:HOLDING,LINETHICK0;
    资产:ASSET,LINETHICK0;

    ==============================================================

    源码解析:

    MA2赋值:收盘价的N2日简单移动平均
    MA3赋值:收盘价的N3日简单移动平均
    MA4赋值:收盘价的N4日简单移动平均
    赋值: 收盘价的B1日简单移动平均
    UPPER赋值: MID + B2*收盘价的B1日估算标准差
    LOWER赋值: MID - B2*收盘价的B1日估算标准差,画红色
    赋值: 收盘价的S日指数移动平均 - 收盘价的P日指数移动平均
    输出VARIABLE:VMIN = 090000
    赋值: 091500
    EON1赋值:收盘价 UPPER AND DIFF 0 AND 收阳线AND 收盘价 MA4 AND HOLDING=0 AND 时间 VMIN AND 时间 144800
    QCON赋值:HOLDING 0 AND MA3上穿MA2
    CON1赋值:收盘价 LOWER AND DIFF 0 AND 收阴线AND 收盘价 MA4 AND HOLDING=0 AND 时间 VMIN AND 时间 144800
    QCON赋值:HOLDING 0 AND MA2上穿MA3
    BUY(BOPEON1,1,MARKET)
    SELL(BLIQCON,HOLDING,MARKET)
    BUYSHORT(SOPCON1,1,MARKET)
    SELLSHORT(SLIQCON,HOLDING,MARKET)
    //收盘前平仓SELL(时间 145400 AND HOLDING 0,HOLDING,MARKET)
    SELLSHORT(时间 145400 AND HOLDING 0,HOLDING,MARKET)
    输出可用现金:CASH(0),线宽为0
    输出持仓:HOLDING,线宽为0
    输出资产:ASSET,线宽为0

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