一个简单的破突系统 [复制链接]

rookies

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11^#

发表于 2012-7-20 21:08:30 |只看该作者

本帖最后由 rookies 于 2012-7-20 21:27 编辑

日内系统
Params
Numeric PercentOfRange(0.5);    //突破系数
Numeric ExitOnCloseMins(14.55);  //最后交易时间
Numeric MinRange(0.002); //开盘价的百分比
Numeric Lots(1);  //开仓量
Vars
Numeric MyExitPrice;
Numeric DayOpen;
Numeric preDayRange;
Numeric UpperBand; //上轨
Numeric LowerBand; //下轨
Numeric MyPrice;

Begin

DayOpen = OpenD(0);
preDayRange = HighD(1)-LowD(1);                                        //昨日波幅
PreDayRange = Max(PreDayRange,DayOpen*MinRange);
UpperBand = DayOpen+PreDayRange*PercentOfRange;       //求出上轨
LowerBand = DayOpen-PreDayRange*PercentOfRange;          //求出下轨
PlotNumeric("UpperBand",UpperBand);
PlotNumeric("LowerBand",LowerBand);

If(MarketPosition!=1 && High>=UpperBand && Time<ExitOnCloseMins/100)    //开多条件  价格高于上轨，时间小于0.145500
{
MyPrice = Max(UpperBand,Open);
Buy(Lots,MyPrice);
Return;

}

If(MarketPosition!=-1 && Low<=LowerBand &&Time<ExitOnCloseMins/100)
{
MyPrice = Min(LowerBand,Open);
SellShort(Lots,MyPrice);
Return;
}

If(Time==0.145500 && /*CurrentTime>0.145800 &&*/ MarketPosition<>0)  //收盘平仓用于5Min
{
Sell(0,Close);
BuyToCover(0,Close);

}

End

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rookies

初级大户

Rank: 5 Rank: 5

精华: 1
UID: 42516
积分: 1239
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注册时间: 2011-5-25
最后登录: 2014-9-23

12^#

发表于 2012-7-20 21:18:49 |只看该作者

本帖最后由 rookies 于 2012-7-20 21:27 编辑

日内加入止损和动态止盈

Params
Numeric PercentOfRange(0.5);
Numeric ExitOnCloseMins(14.50);
Numeric MinRange(0.002);
Numeric Lots(1);
Numeric StopPointUpper(1); //多头止损系数
Numeric StopPointLower(1); //空头止损系数
Numeric TakeStart(5);          //动态浮盈系数
Numeric TakeStop(1);          //动态止损系数

Vars
Numeric MyExitPrice;
Numeric DayOpen;
Numeric preDayRange;
Numeric UpperBand;
Numeric LowerBand;
Numeric MyPrice;
Numeric StopLine;
NumericSeries HigherAfterEntry;
NumericSeries LowerAfterEntry;
Begin

DayOpen = OpenD(0);
preDayRange = HighD(1)-LowD(1);
PreDayRange = Max(PreDayRange,DayOpen*MinRange);
UpperBand = DayOpen+PreDayRange*PercentOfRange;
LowerBand = DayOpen-PreDayRange*PercentOfRange;
PlotNumeric("UpperBand",UpperBand);
PlotNumeric("LowerBand",LowerBand);

If(MarketPosition!=1 && High>=UpperBand && Time<ExitOnCloseMins/100)
{
MyPrice = Max(UpperBand,Open);
Buy(Lots,MyPrice);
Return;

}
If(MarketPosition!=-1 && Low<=LowerBand &&Time<ExitOnCloseMins/100)
{
MyPrice = Min(LowerBand,Open);
SellShort(Lots,MyPrice);
Return;

}
}
               //动态止损开始
If(MarketPosition<>0 && BarsSinceEntry==1)
{
HigherAfterEntry=AvgEntryPrice;
LowerAfterEntry=AvgEntryPrice;
}
Else If(BarsSinceEntry>1)
{
HigherAfterEntry=Max(HigherAfterEntry,High[1]);
LowerAfterEntry=Min(LowerAfterEntry,Low[1]);
}

If(MarketPosition==1)
{
If(HigherAfterEntry>=AvgEntryPrice+DayOpen*TakeStart*0.01)
{

StopLine=HigherAfterEntry-DayOpen*TakeStop*0.01;
}
Else

{

StopLine=UpperBand-DayOpen*StopPointUpper*0.01;
}

If(Low<=StopLine)
{
MyExitPrice=Min(StopLine,Open);
Sell(Lots,MyExitPrice);

}

}

If(MarketPosition==-1)
{
If(LowerAfterEntry<=AvgEntryPrice-DayOpen*TakeStart*0.01)
{
StopLine=LowerAfterEntry+DayOpen*TakeStop*0.01;
}
Else
{
StopLine=LowerBand+DayOpen*StopPointLower*0.01;
}

If(High>=StopLine)
{
MyExitPrice=Max(StopLine,Open);
BuyToCover(Lots,MyExitPrice);
}

}

If(Time==0.145500 && /*CurrentTime>0.145800 &&*/ MarketPosition<>0)
{
Sell(0,Close);
BuyToCover(0,Close);

}

End

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