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我的模型为什么有时候超过止损点位不执行？ [复制链接]

hongli788

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电梯直达

1^#

发表于 2015-12-1 10:07:27 |只看该作者 |倒序浏览

我的模型是用在3分钟周期的棕榈油上，偶尔会发生超过止损点位很多却不执行止损的问题，止损部分的代码我是直接复制使用手册里的实例，以下是源码，请帮我找出问题所在，谢谢！
/------------------------------------------------------------------------
// 简称: P9888JYXT
// 名称: 棕榈油3分钟交易系统
// 类别: 公式应用
// 类型: 用户应用
//------------------------------------------------------------------------

Params

Numeric Lots(1);

Numeric MAzq(90);

Numeric BK1diff(1.8);
Numeric SK1diff(-1.9);

Numeric BK2macd(0.8);
Numeric SK2macd(2.1);

Numeric Time_SWk(09.00);
Numeric Time_XWzhK(23.05);
Numeric time_XWqp(23.20);

Numeric BKadx1(10);
Numeric BKadx2(58);
Numeric BKkd(79);
Numeric BKboll(20);

Numeric SKadx1(18);
Numeric SKadx2(68);
Numeric SKkd(20);
Numeric SKboll(8);
//////////////////////////////////////////////////////

   Numeric StopLossSetB(9); // 止损设置
Numeric TrailingStop1B(35);  // 跟踪止损设置1
Numeric TrailingStart1B(0); // 跟踪止损启动设置1

Numeric StopLossSetS(9); // 止损设置
Numeric TrailingStop1S(36);  // 跟踪止损设置1
Numeric TrailingStart1S(0); // 跟踪止损启动设置1

Vars

NumericSeries MACD;
NumericSeries MACDav;
NumericSeries MACDDiff;

NumericSeries UpLine; //上轨
NumericSeries DownLine; //下轨
NumericSeries MidLine; //中间线
Numeric Band;

NumericSeries MA60;

Numeric up_x;
Numeric down_x;
Numeric min_x;

Numeric zhangtingK;
Numeric dietingK;
Numeric zhangting;
Numeric dieting;

Numeric MinPoint;          // 一个最小变动单位，也就是一跳
Numeric MyEntryPrice;    // 开仓价格
Numeric MyExitPrice;       // 平仓价格

NumericSeries HighestAfterEntry;       // 开仓后出现的最高价
NumericSeries LowestAfterEntry;       // 开仓后出现的最低价

//DMI最终输出
NumericSeries oDMIPlus;
NumericSeries oDMIMinus;
NumericSeries oDMI;
NumericSeries oADX;
NumericSeries oADXR;
NumericSeries oVolty;
//DMI过程计算
NumericSeries sDMI;
NumericSeries sADX;
NumericSeries cumm;
NumericSeries sVolty;
Numeric PlusDM;
Numeric MinusDM;
Numeric UpperMove;
Numeric LowerMove;
Numeric SumPlusDM(0);
Numeric SumMinusDM(0);
Numeric SumTR(0);
NumericSeries AvgPlusDM;
NumericSeries AvgMinusDM;
Numeric SF;                      // smoothing factor
Numeric Divisor;
Numeric i;
NumericSeries TRValue;
//--------------------

NumericSeries HighestValue;
NumericSeries LowestValue;
NumericSeries KValue;
NumericSeries SumHLValue;
NumericSeries SumCLValue;
NumericSeries DValue;

Begin

If(Date>20151230)
   {  Return;}

MACD = XAverage( Close, 12 ) - XAverage( Close, 26 ) ;
MACDav = XAverage(MACD,9);
MACDDiff = MACD - MACDav;

MidLine = AverageFC(Close,26);
Band = StandardDev(Close,26,2);
UpLine = MidLine + 2 * Band;
DownLine = MidLine - 2 * Band;
PlotNumeric("UpLine",UpLine);
PlotNumeric("DownLine",DownLine);
PlotNumeric("MidLine",MidLine);

MA60=AverageFC(Close,MAzq);

// 集合竞价和小节休息过滤
If(!CallAuctionFilter()) Return;

Minpoint=Minmove*PriceScale;
//DMI指标计算, 最终将输出ADX指标
//--------------------------DMI计算开始-----------------------------------//
SF = 1/14;
TRValue = TrueRange;
If(CurrentBar == 14)
{
For i = 0 To 14 - 1
{
PlusDM = 0 ;
MinusDM = 0 ;
UpperMove = High[i] - High[ i + 1 ] ;
LowerMove = Low[ i + 1 ] - Low[i] ;
If (UpperMove > LowerMove and UpperMove > 0 )
{
PlusDM = UpperMove;
}Else if (LowerMove > UpperMove and LowerMove > 0)
{
MinusDM = LowerMove ;
}
SumPlusDM = SumPlusDM + PlusDM ;
SumMinusDM = SumMinusDM + MinusDM ;
SumTR = SumTR + TRValue[i] ;
}
AvgPlusDM = SumPlusDM / 14 ;
AvgMinusDM = SumMinusDM / 14 ;
sVolty = SumTR / 14 ;
}Else if(CurrentBar > 14)
{
PlusDM = 0 ;
MinusDM = 0 ;
UpperMove = High - High[1] ;
LowerMove = Low[1] -Low ;
If (UpperMove > LowerMove and UpperMove > 0 )
{
PlusDM = UpperMove;
}Else if (LowerMove > UpperMove and LowerMove > 0 )
{
MinusDM = LowerMove ;
}
AvgPlusDM = AvgPlusDM[1] + SF * ( PlusDM - AvgPlusDM[1] ) ;
AvgMinusDM = AvgMinusDM[1] + SF * ( MinusDM - AvgMinusDM[1] ) ;
sVolty = sVolty[1] + SF * ( TRValue  - sVolty[1] ) ;
}Else
{
oDMIPlus = InvalidNumeric;
oDMIMinus = InvalidNumeric;
oDMI = InvalidNumeric;
oADX = InvalidNumeric;
oADXR = InvalidNumeric;
oVolty = InvalidNumeric;
}

If (sVolty > 0)
{
oDMIPlus = 100 * AvgPlusDM / sVolty ;
oDMIMinus = 100 * AvgMinusDM / sVolty ;
}Else
{
oDMIPlus = 0 ;
oDMIMinus = 0 ;
}

Divisor = oDMIPlus + oDMIMinus ;
if (Divisor > 0)
{
sDMI = 100 * Abs( oDMIPlus - oDMIMinus ) / Divisor;
}else
{
sDMI = 0 ;
}
cumm=Cum( sDMI );
If(CurrentBar > 0)
{
If (CurrentBar <= 14)
{
sADX = Cumm / CurrentBar ;
oADXR = ( sADX + sADX[ CurrentBar - 1 ] ) * 0.5 ;
}Else
{
sADX = sADX[1] + SF * ( sDMI - sADX[1] ) ;
oADXR = ( sADX + sADX[ 30 - 1 ] ) * 0.5 ;
}
}
oVolty = sVolty;
oDMI = sDMI;
oADX = sADX;

HighestValue = HighestFC(High, 14);
LowestValue = LowestFC(Low, 14);
SumHLValue = SummationFC(HighestValue-LowestValue,3);
SumCLValue = SummationFC(Close - LowestValue,3);
If(SumHLValue <> 0)
{
KValue = SumCLValue/SumHLValue*100;
}Else
{
KValue = 0;
}
DValue = AverageFC(KValue,3);

PlotNumeric("MA60",MA60,0,Red);

If(MarketPosition==0&&Time>=Time_SWk/100 &&Time<=Time_XWzhK/100&&oADX[1]>BKadx1&&oADX[1]<BKadx2&&KValue[1]<BKkd&&UpLine[1]-DownLine[1]>BKboll)
{

   If(MACDDiff[1]>BK1diff&&MACD[2]<0&&MACD[1]>0)//1
{
      Buy(Lots,Open);

}

If(MACD[1]>BK2macd&&MACDDiff[2]<0&&MACDDiff[1]>0)//2
{
      Buy(Lots,Open);

}

}

/////////////////////////////////////////////////////////////////////////////////////////////////
/////////////////////////////////////////////////////////////////////////////////////////////////
If(MarketPosition==0&&Time>=Time_SWk/100 &&Time<=Time_XWzhK/100&&oADX[1]>SKadx1&&oADX[1]<SKadx2&&KValue[1]>SKkd&&UpLine[1]-DownLine[1]>SKboll)
{

If(MACDDiff[1]<SK1diff&&MACD[2]>0&&MACD[1]<0)//1
{
      SellShort(Lots,Open);

}

   If(MACD[1]<SK2macd&&MACDDiff[2]>0&&MACDDiff[1]<0)//2
{
      SellShort(Lots,Open);

}

}

/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
If(BarsSinceentry == 0)
{
      HighestAfterEntry = Close;
      LowestAfterEntry = Close;
      If(MarketPosition <> 0)
      {
         HighestAfterEntry = Max(HighestAfterEntry,AvgEntryPrice); // 开仓的Bar，将开仓价和当时的收盘价的较大值保留到HighestAfterEntry
         LowestAfterEntry = Min(LowestAfterEntry,AvgEntryPrice);    // 开仓的Bar，将开仓价和当时的收盘价的较小值保留到LowestAfterEntry
      }
}else
{
      HighestAfterEntry = Max(HighestAfterEntry,High); // 记录下当前Bar的最高点，用于下一个Bar的跟踪止损判断
      LowestAfterEntry = Min(LowestAfterEntry,Low); // 记录下当前Bar的最低点，用于下一个Bar的跟踪止损判断
}

Commentary("HighestAfterEntry="+Text(HighestAfterEntry));
Commentary("LowestAfterEntry="+Text(LowestAfterEntry));

MinPoint = MinMove*PriceScale;
MyEntryPrice = AvgEntryPrice;

   If(MarketPosition==1) // 有多仓的情况
{
      if(HighestAfterEntry[1] >= MyEntryPrice + TrailingStart1B*MinPoint)// 第一级跟踪止损的条件表达式
      {
         If(Low <= HighestAfterEntry[1] - TrailingStop1B*MinPoint)
         {
            MyExitPrice = HighestAfterEntry[1] - TrailingStop1B*MinPoint;
If(Open < MyExitPrice) MyExitPrice = Open;    // 如果该Bar开盘价有跳空触发，则用开盘价代替

            Sell(0,MyExitPrice);
         }
      }else if(Low <= MyEntryPrice - StopLossSetB*MinPoint)//可以在这里写上初始的止损处理
      {
         MyExitPrice = MyEntryPrice - StopLossSetB*MinPoint;
   If(Open < MyExitPrice) MyExitPrice = Open;    // 如果该Bar开盘价有跳空触发，则用开盘价代替

         Sell(0,MyExitPrice);
      }
}
else if(MarketPosition==-1) // 有空仓的情况
{
      if(LowestAfterEntry[1] <= MyEntryPrice - TrailingStart1S*MinPoint)// 第一级跟踪止损的条件表达式
      {
         If(High >= LowestAfterEntry[1] + TrailingStop1S*MinPoint)
         {
            MyExitPrice = LowestAfterEntry[1] + TrailingStop1S*MinPoint;
            If(Open > MyExitPrice) MyExitPrice = Open;    // 如果该Bar开盘价有跳空触发，则用开盘价代替
            BuyToCover(0,MyExitPrice);
         }
      }else If(High >= MyEntryPrice + StopLossSetS*MinPoint)//可以在这里写上初始的止损处理
      {
         MyExitPrice = MyEntryPrice + StopLossSetS*MinPoint;
         If(Open > MyExitPrice) MyExitPrice = Open;    // 如果该Bar开盘价有跳空触发，则用开盘价代替
         BuyToCover(0,MyExitPrice);
      }
}



If(Time >=time_XWqp/100)
{
      Sell(0,Open);
      BuyToCover(0,Open);
}

   End

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