金字塔上下突破多空策略交易系统

input:period(70,5,90,5);
input:initialstop(2,0,3,1),coststop(2,1,3,1),trailingstop(3,1,6,1);
input:money(0,0,10,1);
input:slippage(1,0,1,1);
input:debug(0,0,1,1);
variable:myasset=500000;
variable:costprice=0,stopline=0;
begin
if stricmp(marketlabel,'sh')=0 then begin
commission:=0.001;
stamptax:=0.001;
transferfee:=0.001;
end
if stricmp(marketlabel,'sz')=0 then begin
commission:=0.001;
stamptax:=0.001;
transferfee:=0;
end
topband:=ref(hhv(high,period),1)+mindiff;
atr:=ref(ma(tr,10),1);
initialstopnum:=trimprice(initialstop*atr);
coststopnum:=trimprice(coststop*atr);
trailingstopnum:=trimprice(trailingstop*atr);
slippagenum:=slippage*mindiff;
end
if holding=0 then begin
price:=0;
lots:=0;
if barpos =period and high =topband then
price:=close+slippagenum;
if price 0 then begin
mycash:=cash(0);
lots1:=intpart(mycash/(price*volunit))*volunit;
if money=0 then begin
lots:=lots1;
end else begin
lots2:=intpart(mycash*0.01*money/(initialstopnum*volunit))*volunit;
lots:=min(lots1,lots2);
end
end
if lots =1 then begin
buy(1,lots,limitr,price);
if workmode=1 then
tbuy(1,lots,limitr,price);
end
end
if holding 0 then begin
price:=0;
lots:=holding;
if initialstop 0 then begin
if stopline 0 and low =stopline then
price:=close-slippagenum;
if stopline=0 then begin
costprice:=trimprice((enterprice*(1+commission)+2*transferfee)/(1-commission-stamptax))+mindiff;
stopline:=costprice-initialstopnum;
end
if stopline costprice and high-coststopnum =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);
costprice:=0;
stopline:=0;
myasset:=asset;
if workmode=1 then
tsell(1,lots,limitr,price);
end
end
partline(debug=1 and holding=0,topband,colorred,1);
if initialstop 0 then begin
if holding 0 then begin
drawicon(stopline costprice,stopline,11);
drawicon(stopline=costprice,stopline,12);
drawicon(stopline costprice,stopline,10);
end
end
if debug=1 then begin
盈亏:myasset,noaxis,colormagenta;
收益:(myasset-500000)/500000,linethick0;
次数:totaltrade,linethick0;
胜率:percentwin,linethick0;
连亏:maxseqloss,linethick0;
连赢:maxseqwin,linethick0;
end

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源码解析：

输出RUNMODE:0
输出INPUT:周期
输出INPUT:INITIALSTOP(2,0,3,1),COSTSTOP(2,1,3,1),TRAILINGSTOP(3,1,6,1)
输出INPUT:MONEY(0,0,10,1)
输出INPUT:SLIPPAGE(1,0,1,1)
输出INPUT:DEBUG(0,0,1,1)
输出VARIABLE:MYASSET=500000
输出VARIABLE:COSTPRICE=0,STOPLINE=0
COMMISSION赋值:0.001
STAMPTAX赋值:0.001
TRANSFERFEE赋值:0.001
COMMISSION赋值:0.001
STAMPTAX赋值:0.001
TRANSFERFEE赋值:0
TOPBAND赋值:昨日周期日内最高价的最高值+MINDIFF
ATR赋值:昨日真实波幅的10日简单移动平均
INITIALSTOPNUM赋值:TRIMPRICE(INITIALSTOP*ATR)
COSTSTOPNUM赋值:TRIMPRICE(COSTSTOP*ATR)
赋值:TRIMPRICE(TRAILINGSTOP*ATR)
SLIPPAGENUM赋值:SLIPPAGE*MINDIFF
PRICE赋值:0
LOTS赋值:0
PRICE赋值:收盘价+SLIPPAGENUM
MYCASH赋值:CASH(0)
LOTS1赋值:MYCASH/(PRICE*VOLUNIT)的整数部分*VOLUNIT
LOTS赋值:LOTS1
LOTS2赋值:MYCASH*0.01*MONEY/(INITIALSTOPNUM*VOLUNIT)的整数部分*VOLUNIT
LOTS赋值:LOTS1和LOTS2的较小值
END END 逻辑判断 LOTS =1 THEN BEGIN BUY(1,LOTS,LIMITR,PRICE)
逻辑判断 WORKMODE=1 THEN TBUY(1,LOTS,LIMITR,PRICE)
PRICE赋值:0
LOTS赋值:HOLDING
PRICE赋值:收盘价-SLIPPAGENUM
COSTPRICE赋值:TRIMPRICE((ENTERPRICE*(1+COMMISSION)+2*TRANSFERFEE)/(1-COMMISSION-STAMPTAX))+MINDIFF
STOPLINE赋值:COSTPRICE-INITIALSTOPNUM
STOPLINE赋值:COSTPRICE
STOPLINE赋值:最高价-TRAILINGSTOPNUM
END 逻辑判断 PRICE 0 THEN BEGIN SELL(1,LOTS,LIMITR,PRICE)
COSTPRICE赋值:0
STOPLINE赋值:0
MYASSET赋值:ASSET
逻辑判断 WORKMODE=1 THEN TSELL(1,LOTS,LIMITR,PRICE)
END ENDPARTLINE(DEBUG=1 AND HOLDING=0,TOPBAND,画红色,1)
逻辑判断 INITIALSTOP 0 THEN BEGIN 逻辑判断 HOLDING 0 THEN BEGIN 当满足条件STOPLINE COSTPRICE时,在STOPLINE位置画11号图标
当满足条件STOPLINE=COSTPRICE时,在STOPLINE位置画12号图标
当满足条件STOPLINE COSTPRICE时,在STOPLINE位置画10号图标
输出 ENDENDIF DEBUG=1 THEN BEGIN 盈亏:MYASSET,NOAXIS,画洋红色
输出收益:(MYASSET-500000)/500000,线宽为0
输出次数:TOTALTRADE,线宽为0
输出胜率:PERCENTWIN,线宽为0
输出连亏:MAXSEQLOSS,线宽为0
输出连赢:MAXSEQWIN,线宽为0
END

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