开拓者期货期权程序化系统交易论坛

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作者: htqh81102667 时间: 2016-7-26 14:57:08 标题: rb原型收藏

dual thrust系统原形
Inputs: K1(.5),K2(.5),Mday(1),Nday(1);
Vars: BuyRange(0), SellRange(0);
Vars: BuyTrig(0),SellTrig(0);
Vars: HH(0),LL(0),HC(0),LC(0);

If CurrentBar > 1 Then Begin
HH = Highest(High,Mday);
HC = Highest(Close,Mday);
LL = Lowest(Low,Mday);
LC = Lowest(Close,Mday);

If (HH - LC) >= (HC - LL) Then Begin
SellRange = HH - LC;
End Else Begin
SellRange = HC - LL;
End;

HH = Highest(High,Nday);
HC = Highest(Close,Nday);
LL = Lowest(Low,Nday);
LC = Lowest(Close,Nday);

If (HH - LC) >= (HC - LL) Then Begin
BuyRange = HH - LC;
End Else Begin
BuyRange = HC - LL;
End;

BuyTrig = K1*BuyRange;
SellTrig = K2*SellRange;

If MarketPosition = 0 Then Begin
Buy at Open of next bar + BuyTrig Stop;
Sell at Open of next bar - SellTrig Stop;
End;

If MarketPosition = -1 Then Begin
Buy at Open of next bar + Buytrig Stop;
End;

If MarketPosition = 1 Then Begin
Sell at Open of next bar - SellTrig Stop;
End;

End;

作者: htqh81102667 时间: 2016-7-26 14:57:39

//------------------------------------------------------------------------
// 简称: dual_thrust
// 名称:
// 类别: 公式应用
// 类型: 用户应用
// 输出: 穿堂风
//------------------------------------------------------------------------

Params
Numeric K1(0.5);
Numeric K2(0.5);
Numeric Mday(1);
Numeric Nday(1);
Numeric lots(1);
Numeric offset(0);

Vars
Numeric BuyRange(0);
Numeric SellRange(0);
Numeric BuyTrig(0);
Numeric SellTrig(0);
Numeric HH;
Numeric LL;
Numeric HC;
Numeric LC;
Numeric i_offset;
Numeric BuyPosition;
Numeric SellPosition;

Begin
If(CurrentBar > 44*Max(Mday,Nday))//使用的是5分钟周期，其它的周期自己做相应修改
{
      i_offset = offset*MinMove*PriceScale;
      HH = Highest(HighD(1),Mday);
      HC = Highest(CloseD(1),Mday);
      LL = Lowest(LowD(1),Mday);
      LC = Lowest(CloseD(1),Mday);

      If((HH - LC) >= (HC - LL))
      {
            SellRange = HH - LC;
      }
      Else
      {
            SellRange = HC - LL;
      }

      HH = Highest(HighD(1),Nday);
      HC = Highest(CloseD(1),Nday);
      LL = Lowest(LowD(1),Nday);
      LC = Lowest(CloseD(1),Nday);

      If((HH - LC) >= (HC - LL))
      {
            BuyRange = HH - LC;
      }
      Else
      {
            BuyRange = HC - LL;
      }

      BuyTrig = K1*BuyRange;
      SellTrig = K2*SellRange;

      BuyPosition = OpenD(0)+BuyTrig;
      SellPosition = OpenD(0)-SellTrig;

      PlotNumeric("BuyPosition",BuyPosition);
      PlotNumeric("SellPosition",SellPosition);

      If(MarketPosition == 0)
      {
            If(High>=BuyPosition)
            {
                     Buy(lots,Max(Open,BuyPosition)+i_offset);
                     Return;
            }

            If(Low<=SellPosition)
            {
                     SellShort(lots,Min(Open,SellPosition)-i_offset);
                     Return;
            }
      }

      If(MarketPosition == -1)
      {
            If(High>=BuyPosition)
            {
                     Buy(lots,Max(Open,BuyPosition)+i_offset);
                     Return;
            }
      }

      If(MarketPosition == 1)
      {
            If(Low<=SellPosition)
            {
                     SellShort(lots,Min(Open,SellPosition)-i_offset);
                     Return;
            }
      }
}
End

//------------------------------------------------------------------------
// 编译版本       GS2010.12.08
// 用户版本       2011/07/24 02:14
// 版权所有       穿堂风
// 更改声明       TradeBlazer Software保留对TradeBlazer平台
//                      每一版本的TrabeBlazer公式修改和重写的权利
//------------------------------------

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