开拓者期货期权程序化系统交易论坛

标题: 恳请哪位老师提供一个tb的海龟汤交易程序。 [打印本页]

作者: zh10250632 时间: 2015-12-30 22:05:29 标题: 恳请哪位老师提供一个tb的海龟汤交易程序。

恳请哪位老师提供一个tb的海龟汤交易程序，或者有偿写一个，联系电话：15737175291

作者: lolo1973 时间: 2016-1-5 11:26:44

TB自带的公式应用里面有海龟交易 TurtleTrader
或者在论坛里面搜索早期关于海龟的帖子也可以的

作者: gfqh882011127 时间: 2016-1-5 23:23:32

Begin
      MinPoint = MinMove*PriceScale;
      MyBarsSinceToday = BarsSinceToday;
      CloseD_1 = CloseD(1);

      if(BarsSinceToday==0)
      {
            DayCount = DayCount + 1;  //记录交易日数;
            DayHigh = High;
            DayLow = Low;

            //从第二个交易日开始记录;
            if(DayCount>=2)
            {
                     // 前一日真实波幅;
                     Atr = max(max(Abs(DayHigh[1]-CloseD_1),Abs(DayLow[1]-CloseD_1)),DayHigh[1]-DayLow[1]);

                     // 存储前一天的Atr到全局变量环0-19;
                     AtrIndex =  (DayCount-2)%LengthAtr;
                     SetGlobalVar(AtrIndex,Atr[1]);
            }

            // 从第LengthAtr+1个交易日开始计算;
            if(DayCount>=LengthAtr+1)
            {
                     // 计算日线级别长度为LengthAtr的平均真实波幅;
                     AtrAve = 0 ;
                     for i=0 to LengthAtr-1
                     {
                              AtrAve = AtrAve +  getGlobalVar(i);
                     }
                     AtrAve = AtrAve/LengthAtr;
                     N = IntPart(AtrAve);

                     DonchianFastUpper = Highest(DayHigh[1],(LengthAtr-0.1)*(MyBarsSinceToday[1]+1));
                     DonchianFastLower = Lowest(DayLow[1],(LengthAtr-0.1)*(MyBarsSinceToday[1]+1));

                     DonchianSlowUpper = Highest(DayHigh[1],(LengthSlow-0.1)*(MyBarsSinceToday[1]+1));
                     DonchianSlowLower = Lowest(DayLow[1],(LengthSlow-0.1)*(MyBarsSinceToday[1]+1));

                     DonchianExitUpper = Highest(DayHigh[1],(LengthExit-0.1)*(MyBarsSinceToday[1]));
                     DonchianExitLower = Lowest(DayLow[1],(LengthExit-0.1)*(MyBarsSinceToday[1]));
            }

            //账户最新资产 = 按当前Bar开盘价计算的可用资金 + 持仓保证金 ;
            TotalEquity = Portfolio_CurrentCapital() + Portfolio_UsedMargin();
            //标准单位头寸 = (本金*风险比例)/价值波动率
            TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
            TurtleUnits = IntPart(TurtleUnits); // 对小数取整
            // PlotString("Units","Units="+Text(TurtleUnits),High+(High-Low),white);
            // PlotString("N","N="+Text(N),Low-(High-Low)/2,white);
      }
      Else
      {
            DayHigh = Max(DayHigh,High);
            DayLow = Min(DayLow,Low);
      }

      If(MarketPosition==0 and TurtleUnits>=1)
      {
            // 首次入市1:带过滤条件的,如果过滤条件为真,则需要前一笔交易是否是突破失败;
            if(LastProfitableTradeFilter==false Or PreBreakoutFailure )
            {
                     //开多1:突破短周期唐奇安通道上轨;
                     If(High>DonchianFastUpper)
                     {
                              MyPrice = Max(Open,DonchianFastUpper)+MinPoint;
                              Buy(TurtleUnits,MyPrice);
                              MyExitPrice = MyPrice - 2*N;
                              SendOrderThisBar = true;
                     }

                     //开空1:突破短周期唐奇安通道下轨;
                     if(Low<DonchianFastLower)
                     {
                              MyPrice = Min(Open,DonchianFastLower)-MinPoint;
                              SellShort(TurtleUnits,MyPrice);
                              MyExitPrice = MyPrice + 2*N;
                              SendOrderThisBar = true;
                     }
            }

            // 首次入市2:过滤条件之外的,长周期唐奇安通道突破开仓;
            //开多2:突破长周期唐奇安通道上轨;
            else
            {
                     if(CrossOver(High,DonchianSlowUpper))
                     {
                              MyPrice = Max(Open,DonchianSlowUpper)+MinPoint;
                              Buy(TurtleUnits,MyPrice);
                              MyExitPrice = MyPrice - 2*N;
                              SendOrderThisBar = true;
                     }
                     //开空2:突破长周期唐奇安通道下轨;
                     if(CrossUnder(Low,DonchianSlowLower))
                     {
                              MyPrice = Min(Open,DonchianSlowLower)+MinPoint;
                              SellShort(TurtleUnits,MyPrice);
                              MyExitPrice = MyPrice + 2*N;
                              SendOrderThisBar = true;
                     }
            }
      }

      // 当持有多单;
      if(MarketPosition==1)
      {
            //离市:价格反向穿越离市的唐奇安通道;
            if(CrossUnder(Low,DonchianExitLower))
            {
                     MyPrice = Min(Open,DonchianExitLower)-MinPoint;
                     Sell(0,MyPrice);
                     PreBreakoutFailure = False;  //假突破值为假;
                     // PlotBool("突破",PreBreakoutFailure,High,white);
            }
            Else
            {
                     //加仓:与最近一次开仓价间隔0.5*N开仓;
                     if(High>LastEntryPrice+0.5*N and TurtleUnits>=1)
                     {
                              MyPrice = Max(Open,LastEntryPrice+0.5*N)-MinPoint;
                              Buy(TurtleUnits,MyPrice);
                              SendOrderThisBar = true;
                     }

                     //止损:价格反向穿越最近一次开仓价格-2N;
                     if(Low<LastEntryPrice-2*N)
                     {
                              MyPrice = Min(Open,LastEntryPrice-2*N)-MinPoint;
                              Sell(0,MyPrice);
                              PreBreakoutFailure = True;  //假突破值为真;
                              // PlotBool("突破",PreBreakoutFailure,High,white);
                     }
            }
      }
      // 当持有空单;
      else if(MarketPosition==-1)
      {
            // 离市:价格反向穿越离市的唐奇安通道;
            if(CrossOver(High,DonchianExitUpper))
            {
                     MyPrice = Max(Open,DonchianExitUpper)+MinPoint;
                     BuyToCover(0,MyPrice);
                     PreBreakoutFailure = False;  //假突破值为假;
                     // PlotBool("突破",PreBreakoutFailure,High,white);
            }
            Else
            {
                     // 加仓:与最近一次开仓价格间隔0.5*N开仓;
                     if(Low<LastEntryPrice-0.5*N and TurtleUnits>=1)
                     {
                              MyPrice = Min(Open,LastEntryPrice-0.5*N)-MinPoint;
                              SellShort(TurtleUnits,MyPrice);
                              SendOrderThisBar = true;
                     }

                     // 止损:价格反向穿越最近一次开仓价格+2N;
                     if(High>LastEntryPrice+2*N)
                     {
                              MyPrice = Max(Open,LastEntryPrice+2*N)+MinPoint;
                              BuyToCover(0,MyPrice);
                              PreBreakoutFailure = True;  //假突破值为真;
                              // PlotBool("突破",PreBreakoutFailure,High,white);
                     }
            }
      }

      PlotNumeric("DonchianFastUpper",DonchianFastUpper);
      PlotNumeric("DonchianFastLower",DonchianFastLower);
      PlotNumeric("DonchianSlowUpper",DonchianSlowUpper);
      PlotNumeric("DonchianSlowLower",DonchianSlowLower);
      PlotNumeric("DonchianExitUpper",DonchianExitUpper);
      PlotNumeric("DonchianExitLower",DonchianExitLower);

      // Commentary("点值="+Text(ContractUnit()*BigPointValue()));
      Commentary("TotalEquity="+Text(TotalEquity));
      Commentary("N="+Text(N));
      Commentary("Units="+Text(TurtleUnits));
      // Commentary("Atr="+Text(Atr));
      // Commentary("AtrAve="+Text(AtrAve));
      // PlotNumeric("AtrAve",AtrAve);
      Commentary("DayCount="+Text(DayCount));
      Commentary("MyBarsSinceToday="+Text(MyBarsSinceToday[1]+1));

      if(PreBreakoutFailure == True)
      {
            Commentary("PreBreakoutFailure = True");
      }Else
      {
            Commentary("PreBreakoutFailure = false");
      }

      if(LastProfitableTradeFilter==true)
      {
            Commentary("LastProfitableTradeFilter = True");
      }Else
      {
            Commentary("LastProfitableTradeFilter = False");
      }

End

作者: wlq19730 时间: 2016-3-16 23:47:13

gfqh882011127 发表于 2016-1-5 23:23
Begin
MinPoint = MinMove*PriceScale;
MyBarsSinceToday = BarsSinceToday;

请问，这个海龟和TB系统自带的海龟有什么不同的地方吗？

欢迎光临开拓者期货期权程序化系统交易论坛 (http://bbs.tb18.net/)