开拓者期货期权程序化系统交易论坛

标题: 公式源码白送了！ [打印本页]

作者: liuwu3077057 时间: 2020-10-15 09:15:31 标题: 公式源码白送了！

根据http://bbs.tb18.net/thread-8818-1-1.html里的公式改的，有些多余的我没有删，反正自己看
Params
Numeric ceilingAmt(60);
//Numeric floorAmt(20);
Numeric bolBandTrig(0.1);
Numeric lookBackDays(20);
Vars

Numeric lookBackDays1(0);
Numeric lookBackDays2(0);
Numeric lookBackDays3(0);
Numeric todayVolatility(0);
Numeric yesterDayVolatility(0);
Numeric deltaVolatility(0);
NumericSeries buyPoint(0);
NumericSeries sellPoint(0);
NumericSeries longLiqPoint(0);
NumericSeries shortLiqPoint(0);
NumericSeries upBand(0);
NumericSeries dnBand(0);
NumericSeries MidLine(0);
NumericSeries Band(0);
Begin
todayVolatility = StandardDev(High[1],30,1);
yesterDayVolatility = StandardDev(High[2],30,1);
deltaVolatility = (todayVolatility - yesterDayVolatility)/todayVolatility;
lookBackDays1 = ceilingAmt * (1 + deltaVolatility);
lookBackDays1 = Round(lookBackDays1,0);
lookBackDays2 = Min(lookBackDays1,ceilingAmt);
lookBackDays3 = Max(lookBackDays1,ceilingAmt);
MidLine = AverageFC(Close,lookBackDays);
Band = StandardDev(Close,lookBackDays,bolBandTrig);
upBand = MidLine + bolBandTrig * Band;
dnBand = MidLine - bolBandTrig * Band;
buyPoint = Highest(High[1],lookBackDays3);
sellPoint = Lowest(Low[1],lookBackDays2);
longLiqPoint = Average(Close,lookBackDays);
// shortLiqPoint = Average(Close,lookBackDays3);
   //PlotNumeric("buyPoint",buyPoint );
// PlotNumeric("upBand",upBand);
If(MarketPosition == 0)

{

If(high>=BuyPoint)
  {
   Buy(1,max( BuyPoint, Open ));

  }

/*if(Close[1] <Midline[1])
{

If(Low<=sellPoint )
{
   SellShort(1,min( sellPoint , Open ));
}
Commentary("空头触发价:"+Text(sellPoint));

}*/
}
if(MarketPosition == 1 And BarsSinceEntry > 0)
{
If(Low<=sellPoint)
{
   Sell(1,min( sellPoint , Open ));
}
//Commentary("多头退出:"+Text(longLiqPoint));
}

/*if(MarketPosition == -1  And BarsSinceEntry > 0)

{
If(high>=shortLiqPoint[1])
  {
   BuyToCover(1,max( shortLiqPoint[1], Open ));
  }
Commentary("多头退出:"+Text(shortLiqPoint));

}*/

End
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作者: win5ms 时间: 2020-10-15 14:04:17

Dynamic Break Out II？

作者: liuwu3077057 时间: 2020-10-15 14:41:28

win5ms 发表于 2020-10-15 14:04
Dynamic Break Out II？

用他改的，不过还是有好多不同的！自己看吧

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