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标题: A_CurrentEquity 函数问题 [打印本页]

作者: 道勤 时间: 2010-8-5 12:49:54 标题: A_CurrentEquity 函数问题

系统自带的海龟系统中
TotalEquity=CurrentCapital()+ Abs(CurrentContracts()*Close*ContractUnit()*BigPointValue()*MarginRatio())；

是否等同于
TotalEquity = A_CurrentEquity；

谢谢

作者: 道勤 时间: 2010-8-5 13:04:19

本帖最后由道勤于 2010-8-5 13:10 编辑

我想把系统自带的海龟交易系统修改成用A_SendOrder发单的形式，请老大帮忙看看，这样改有没有问题。
Params
Numeric RiskRatio(1);
Numeric ATRLength(20);
Numeric boLength(20);
Numeric fsLength(55);
Numeric teLength(10);
Bool LastProfitableTradeFilter(True);
Numeric BFB(1);
Numeric WaitTime(10);
Vars
Numeric MinPoint;
Numeric N;
Numeric TotalEquity;
Numeric TurtleUnits;
NumericSeries DonchianHi;
NumericSeries DonchianLo;
NumericSeries fsDonchianHi;
NumericSeries fsDonchianLo;
Numeric ExitHighestPrice;
Numeric ExitLowestPrice;
Numeric myEntryPrice;
Numeric myExitPrice;
Bool SendOrderThisBar(False);
NumericSeries preEntryPrice(0);
BoolSeries PreBreakoutFailure(false);
Numeric TimeSeconds;
Begin

If ( GetGlobalVar(10)==InvalidNumeric  )       SetGlobalVar(10,0);
TimeSeconds=Value(Left(TimeToString(CurrentTime),2))*3600             //记录系统当前时间，转化为秒数
                              +Value(Mid(TimeToString(CurrentTime),3,2))*60
                              +Value(Right(TimeToString(CurrentTime),2));
If ( TimeSeconds-GetGlobalVar(10)<WaitTime )       Return;       //如果发单后等待时间小于WaitTime，则返回

If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
PreBreakoutFailure = false;
}Else
{
preEntryPrice = preEntryPrice[1];
      PreBreakoutFailure = PreBreakoutFailure[1];
}

MinPoint = MinMove*PriceScale;
N = XAverage(TrueRange,ATRLength);
TotalEquity = A_CurrentEquity()*BFB /* CurrentCapital()+ Abs(CurrentContracts()*Close*ContractUnit()*BigPointValue()*MarginRatio()) */;
TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
TurtleUnits = IntPart(TurtleUnits); // 对小数取整

DonchianHi = HighestFC(High[1],boLength);
DonchianLo = LowestFC(Low[1],boLength);

fsDonchianHi = HighestFC(High[1],fsLength);
fsDonchianLo = LowestFC(Low[1],fsLength);

Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));

// 当不使用过滤条件，或者使用过滤条件并且条件为PreBreakoutFailure为True进行后续操作
If(A_TotalPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure)))
{
      // 突破开仓
      If(CrossOver(High,DonchianHi) && TurtleUnits >= 1)
      {
         // 开仓价格取突破上轨+一个价位和最高价之间的较小值，这样能更接近真实情况，并能尽量保证成交
         myEntryPrice = min(high,DonchianHi + MinPoint);
         myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
         A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds);
SendOrderThisBar = True;
PreBreakoutFailure = False;
      }

      If(CrossUnder(Low,DonchianLo) && TurtleUnits >= 1)
      {
         // 开仓价格取突破下轨-一个价位和最低价之间的较大值，这样能更接近真实情况，并能尽量保证成交
         myEntryPrice = max(low,DonchianLo - MinPoint);
         myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
         preEntryPrice = myEntryPrice;
          A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
PreBreakoutFailure = False;
      }
}

// 长周期突破开仓 Failsafe Breakout point
If(A_TotalPosition == 0)
{
Commentary("fsDonchianHi="+Text(fsDonchianHi));
      If(CrossOver(High,fsDonchianHi) && TurtleUnits >= 1)
      {
         // 开仓价格取突破上轨+一个价位和最高价之间的较小值，这样能更接近真实情况，并能尽量保证成交
         myEntryPrice = min(high,fsDonchianHi + MinPoint);
         myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
          A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
PreBreakoutFailure = False;
      }

Commentary("fsDonchianLo="+Text(fsDonchianLo));
      If(CrossUnder(Low,fsDonchianLo) && TurtleUnits >= 1)
      {
         // 开仓价格取突破下轨-一个价位和最低价之间的较大值，这样能更接近真实情况，并能尽量保证成交
         myEntryPrice = max(low,fsDonchianLo - MinPoint);
         myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
         preEntryPrice = myEntryPrice;
          A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
PreBreakoutFailure = False;
      }
}

    If(A_TodayBuyPosition > 0) // 有多仓的情况
{
      // 求出持多仓时离市的条件比较值
      ExitLowestPrice = Lowest(Low[1],teLength);
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
      If(Low < ExitLowestPrice)
      {
         /* myExitPrice = max(Low,ExitLowestPrice - MinPoint);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的时候用开盘价代替 */
          A_SendOrder(Enum_Sell,Enum_Exit,A_BuyPosition(),Q_BidPrice()-MinPoint) ; // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds);       }Else
      {
         If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
         {
            If(Open >= preEntryPrice + 0.5*N) // 如果开盘就超过设定的1/2N,则直接用开盘价增仓。
            {
                  myEntryPrice = Open;
preEntryPrice = myEntryPrice;
                 A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
            }

            while(High >= preEntryPrice + 0.5*N) // 以最高价为标准，判断能进行几次增仓
            {
                  myEntryPrice = preEntryPrice + 0.5 * N;
                  preEntryPrice = myEntryPrice;
               A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds);
SendOrderThisBar = True;
            }
         }

         // 止损指令
If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // 加仓Bar不止损
{
//myExitPrice = preEntryPrice - 2 * N;
A_SendOrder(Enum_Sell,Enum_Exit,A_BuyPosition(),Q_BidPrice()-MinPoint); // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds); PreBreakoutFailure = True;
}
      }
}Else If(A_TodaySellPosition >0 ) // 有空仓的情况
{
      // 求出持空仓时离市的条件比较值
      ExitHighestPrice = Highest(High[1],teLength);
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
      If(High > ExitHighestPrice)
      {
         /* myExitPrice = Min(High,ExitHighestPrice + MinPoint);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的时候用开盘价代替 */
          A_SendOrder(Enum_Buy,Enum_Exit,A_TodaySellPosition(),Q_AskPrice()+MinPoint); // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds);       }Else
      {
         If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
         {
            If(Open <= preEntryPrice - 0.5*N) // 如果开盘就超过设定的1/2N,则直接用开盘价增仓。
            {
                  myEntryPrice = Open;
preEntryPrice = myEntryPrice;
               A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
            }

            while(Low <= preEntryPrice - 0.5*N) // 以最低价为标准，判断能进行几次增仓
            {
                  myEntryPrice = preEntryPrice - 0.5 * N;
                  preEntryPrice = myEntryPrice;
                  A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds);
SendOrderThisBar = True;
            }
         }

         // 止损指令
If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // 加仓Bar不止损
{
//myExitPrice = preEntryPrice + 2 * N;
A_SendOrder(Enum_Buy,Enum_Exit,A_TodaySellPosition(),Q_AskPrice()+MinPoint); // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds); PreBreakoutFailure = True;
}
      }
}
End

作者: lh948 时间: 2010-8-5 13:58:44

要用全局变量控制发单，否则A_SendOrder会一直发单，直到你账户的资金用光
公式改完后，用模拟交易跑跑看

作者: 道勤 时间: 2010-8-5 14:06:08

哦谢谢我先试试

作者: 文静的狮子 时间: 2010-8-10 17:03:07

本帖最后由文静的狮子于 2010-8-16 17:20 编辑

用setTBProfileString

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