查看: 5580|回复: 9

发一个交易系统，大家继续完善 [复制链接]

zbh0912

中级散户

Rank: 3 Rank: 3

精华: 0
UID: 95458
积分: 129
帖子: 43
主题: 9
阅读权限: 40
注册时间: 2012-2-4
最后登录: 2014-4-21

电梯直达

1^#

发表于 2012-4-20 14:15:56 |只看该作者 |倒序浏览

本帖最后由 zbh0912 于 2012-4-20 14:16 编辑

//------------------------------------------------------------------------
// 简称: CS
// 名称: 优化
// 类别: 公式应用
// 类型: 用户应用
// 输出:
//------------------------------------------------------------------------
Params
Numeric Length(10);
Numeric NumATRs(1);
Numeric profipoint(200);
Numeric trailingstop(0.3);
Vars
NumericSeries TPrice;
NumericSeries AvgValue;
NumericSeries ShiftValue;
Numeric UpperBand;
Numeric LowerBand;
Numeric MyEntryPrice;
Numeric MyExitPrice;
NumericSeries HighestAfterEntry;
NumericSeries LowestAfterEntry;

Begin
If(BarsSinceentry == 0)
{
      HighestAfterEntry = Close;
      LowestAfterEntry = Close;
      If(MarketPosition <> 0)
      {
         HighestAfterEntry = Max(HighestAfterEntry,AvgEntryPrice);
         LowestAfterEntry = Min(LowestAfterEntry,AvgEntryPrice);
      }
}
else
{
      HighestAfterEntry = Max(HighestAfterEntry,High);
      LowestAfterEntry = Min(LowestAfterEntry,Low);
}

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

//MinPoint = MinMove*PriceScale;
MyEntryPrice = AvgEntryPrice;

TPrice = (High[1]+Low[1]+Close[1])/3;
AvgValue = AverageFC(TPrice,Length);
ShiftValue = NumATRs*AvgTrueRange(Length);
UpperBand = AvgValue + ShiftValue[1];
LowerBand = AvgValue - ShiftValue[1];
PlotNumeric("UpperBand",UpperBand);
PlotNumeric("LowerBand",LowerBand);
PlotNumeric("MidLine",AvgValue);

If(MarketPosition==0)
{
If(High >= UpperBand)
{
MyEntryPrice = UpperBand;
If(Open > MyEntryPrice) MyEntryPrice = Open;
Buy(1,MyEntryPrice);

}
If(Low <= LowerBand)
{
MyEntryPrice = LowerBand;
If(Open < MyEntryPrice) MyEntryPrice = Open;
SellShort(1,MyEntryPrice);

}
}

If(MarketPosition==1)
{
If(Close[1]<AvgValue[1])
   {
   MyExitPrice=Open;
   Sell(0,MyExitPrice);
   }
   Else if(HighestAfterEntry[1]>=myEntryPrice+profipoint*MinMove*PriceScale)
   {
   If(Low<=HighestAfterEntry[1]-trailingstop*(HighestAfterEntry[1]-myEntryPrice))
      {
         MyExitPrice=HighestAfterEntry[1]-trailingstop*(HighestAfterEntry[1]-myEntryPrice);
MyExitPrice=IntPart(MyExitPrice/MinMove*PriceScale)*MinMove*PriceScale;
if(Open<MyExitPrice) MyExitPrice=Open;
Sell(0,MyExitPrice);
}
   }
}
Else if(MarketPosition==-1)
{
if(Close[1]>AvgValue[1])
   {
   MyExitPrice=Open;
   BuyToCover(0,MyExitPrice);
   }
   Else if(LowestAfterEntry[1]<=AvgEntryPrice-profipoint*MinMove*PriceScale)
   {
   If(High>=LowestAfterEntry[1]+trailingstop*(myEntryPrice-LowestAfterEntry[1]))
      {
         MyExitPrice=LowestAfterEntry[1]+trailingstop*(myEntryPrice-LowestAfterEntry[1]);
MyExitPrice=IntPart(MyExitPrice/MinMove*PriceScale)*MinMove*PriceScale;
if(Open>MyExitPrice) MyExitPrice=Open;
BuyToCover(0,MyExitPrice);
}
   }
}
End

//------------------------------------------------------------------------
// 编译版本 GS2010.12.08
// 用户版本 2012/04/17 13:22
// 版权所有 zbh0912
// 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
//------------------------------------------------------------------------

收藏2