开拓者期货期权程序化系统交易论坛

标题: 高手分析下，海龟中的这段话，会产生信号消失吗？ [打印本页]

作者: alley_007 时间: 2013-8-21 20:13:23 标题: 高手分析下，海龟中的这段话，会产生信号消失吗？

如下边的代码，Direction=0的情况下，如果实时行情先突破短周期唐奇安通道下轨，再突破短周期唐奇安通道上轨，这样在奇安通道下轨上就会产生信号消失，实盘会这样吗？为什么？
      If(MarketPosition==0 and TurtleUnits>=1 and DonchianFastUpper>0)
      {
            // 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 and Direction!=-1)
                     {
                              MyPrice = Max(Open,DonchianFastUpper)+MinPoint;
                              preEntryPrice = MyPrice;
                              Buy(TurtleUnits,MyPrice);
                              MyExitPrice = MyPrice - 2*N;
                              SendOrderThisBar = true;
                              MyAvgEntryPrice = AvgEntryPrice;
                              LotsTotal = TurtleUnits;
                              TimesOverWeight = 1;
                     }

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

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