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这个模型没有未来函数，为何有信号闪烁问题？请高手帮我改改。 [复制链接]

杨民

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注册时间: 2013-1-22
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电梯直达

1^#

发表于 2013-1-29 18:44:33 |只看该作者 |倒序浏览

Params
Bool bInitStatus(false);//初始化标志，修改初始仓位时需设置为True
Numeric InitMyRealMp(0);//初始当前仓位，正数表示多单，负数表示空单
Numeric FirstGrid(10);//第一笔交易的间距，最小跳动
Numeric AddGrid(30);//加仓间距，最小跳动
Numeric TotalGrids(10);//最大交易次数
Numeric TrailingGrid(10);//移动止损间距，最小跳动
Numeric EveryLots(1);//每次开仓手数
Numeric OffSet(1);//委托价偏差，默认买卖价偏差1个滑点
Numeric ExitOnCloseMins(15.00);//收盘平仓时间
Vars
Numeric HighAfterlongEntry;
Numeric  LowAfterShortEntry;
Numeric MyRealMp(0);
Numeric MinPoint;
Numeric  TmpPrice;
Numeric TmpLots;
Begin
MinPoint=MinMove*PriceScale;//当前商品最小变动量*当前商品的计数单位
MyRealMp=GetGlobalVar(0); //获取MyRealMp全局变量值
HighAfterlongEntry=GetGlobalVar(1);
LowAfterShortEntry=GetGlobalVar(2);
If(BarStatus==0 And (MyRealMp==InvalidNumeric||bInitStatus))
{MyRealMp=InitMyRealMp;}
If(Date<>Date[1])
{HighAfterlongEntry=High;
LowAfterShortEntry=Low;
MyRealMp=0;
}Else
{HighAfterlongEntry=Max(HighAfterlongEntry,High);
LowAfterShortEntry=Min(LowAfterShortEntry,Low);}
if (Time<ExitOnCloseMins/100)
{If(MyRealMp>0 And HighAfterlongEntry-Low>=TrailingGrid*MinPoint And(High-Low<TrailingGrid*MinPoint Or (High-Low>=TrailingGrid*MinPoint And Close<Open)))
   {TmpPrice=Max(HighAfterLongEntry-(TrailingGrid-OffSet)*MinPoint,Low);
   TmpLots=Abs(MyRealMp*EveryLots);
   Sell(TmpLots,TmpPrice);
   MyRealMp=0;
   LowAfterShortEntry=Low;
}else
   If(MyRealMp<0 And High-LowAfterShortEntry>=TrailingGrid*MinPoint And (High-Low<TrailingGrid*MinPoint Or (High-Low>=TrailingGrid*MinPoint And Close>Open)))
   {TmpPrice=Min(LowAfterShortEntry+(TrailingGrid+OffSet)*MinPoint,High);
   TmpLots=Abs(MyRealMp*EveryLots);
   BuyToCover(TmpLots,TmpPrice);
   MyRealMp=0;
   HighAfterLongEntry=0;}
   If(MyRealMp==0 And High-LowAfterShortEntry>=FirstGrid*MinPoint)//第一笔多单开仓
   {TmpPrice=Min(LowAfterShortEntry+(FirstGrid+OffSet)*MinPoint,High);
   TmpLots=EveryLots;
   Buy(TmpLots,TmpPrice);
   MyRealMp=1;
   HighAfterLongEntry=High;
   }Else
   If(MyRealMp>0 And MyRealMp<TotalGrids And High-LowAfterShortEntry>=(FirstGrid+MyRealMp*AddGrid)*MinPoint)//多单加仓
   {TmpPrice=Min(LowAfterShortEntry+(FirstGrid+MyRealMp*AddGrid+OffSet)*MinPoint,High);
   TmpLots=EveryLots;
   Buy(TmpLots,TmpPrice);
   MyRealMp=MyRealMp+1;
   }else
   If(MyRealMp==0 And HighAfterLongEntry-Low>=FirstGrid*MinPoint)//第一笔空单开仓
   {TmpPrice=Max(HighAfterLongEntry-(FirstGrid-OffSet)*MinPoint,Low);
   TmpLots=EveryLots;
   SellShort(TmpLots,TmpPrice);
   MyRealMp=-1;
   LowAfterShortEntry=Low;
   }else
   If(MyRealMp<0 And -1*MyRealMp<TotalGrids And HighAfterLongEntry-Low>=(FirstGrid+Abs(MyRealMp*AddGrid))*MinPoint)//空单加仓
   {TmpPrice=Max(HighAfterLongEntry-(FirstGrid-Abs(MyRealMp*AddGrid)-OffSet)*MinPoint,Low);
   TmpLots=EveryLots;
   SellShort(TmpLots,TmpPrice);
   MyRealMp=MyRealMp-1;}
   }else
   If(Time>=ExitOnCloseMins/100)
   {If(MyRealMp>0)
   {TmpLots=Abs(MyRealMp*EveryLots);
   TmpPrice=close[1];
   Sell(0,TmpPrice);
   MyRealMp=0;}
   If(MyRealMp<0)
   {TmpLots=Abs(MyRealMp*EveryLots);
   TmpPrice=close[1];
   BuyToCover(0,TmpPrice);
   MyRealMp=0;}}
   SetGlobalVar(0,MyRealMp);
   SetGlobalVar(1,HighAfterLongEntry);
   SetGlobalVar(2,LowAfterShortEntry);
   Commentary("MyRealMp="+Text(MyRealMp));
   Commentary("HighAfterLLowAfterShortEntry="+Text(LowAfterShortEntry));
   End

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