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我们是期货公司的,希望和实盘做期货程序化交易的朋友交流,更希望客户能将资金放在我司交易.
tb的测试报告有很多错误显示的地方,我们一般用excel处理交易记录,得出一些关键绩效数据,不知道楼上的有没有发现.
有不少要源码的朋友,我就不一一发了,把源码贴上供大家交流指正.- //------------------------------------------------------------------------
- // 简称: ITF_TurtleRules_V102
- // 名称: TurtleRules_V102
- // 类别: 公式应用
- // 类型: 用户应用
- // 输出:
- //------------------------------------------------------------------------
- Params
- Numeric RiskRatio(1); // % Risk Per N ( 0 - 100)
- Numeric LengthAtr(20); // 平均波动周期 ATR Length
- Numeric LengthFast(20); // 短周期 BreakOut Length
- Numeric LengthSlow(55); // 长周期 FailSafe Length
- Numeric LengthExit(10); // 离市周期 Trailing Exit Length
- Bool LastProfitableTradeFilter(True); // 使用入市过滤条件
- Vars
- Numeric MinPoint; // 最小变动单位
- NumericSeries N; // N 值
- NumericSeries TotalEquity; // 按最新收盘价计算出的总资产
- NumericSeries TurtleUnits; // 交易单位
- NumericSeries DonchianFastUpper; // 短周期唐奇安通道上轨,长度LengthFast;
- NumericSeries DonchianFastLower; // 短周期唐奇安通道下轨,长度LengthFast;
- NumericSeries DonchianSlowUpper; // 长周期唐奇安通道上轨,长度LengthSlow;
- NumericSeries DonchianSlowLower; // 长周期唐奇安通道下轨,长度LengthSlow;
- NumericSeries DonchianExitUpper; // 离市时判断需要的N周期最高价,长度LengthExit;
- NumericSeries DonchianExitLower; // 离市时判断需要的N周期最低价,长度LengthExit;
- NumericSeries MyPrice; // 开仓价格
- NumericSeries MyExitPrice; // 平仓价格
- BoolSeries PreBreakoutFailure(false); // 前一次突破是否失败
- Bool SendOrderThisBar(False); // 当前Bar有过交易
- NumericSeries AtrAve; // 记录日线级别长度为lengthAtr的平均真实波幅;
- NumericSeries DayHigh; // 一天中的最高价;
- NumericSeries DayLow; // 一天中的最低价;
- Numeric i; // 循环计算所需指针;
- NumericSeries Atr(0); // 当天的ATR
- Numeric AtrIndex(0); // 存储真实波幅的全局变量的环的索引值;
- NumericSeries DayCount(0); // 交易日数;
- NumericSeries CloseD_1; // 上一个交易日收盘价,过度CloseD(1);
- NumericSeries MyBarsSinceToday; // 过度BarsSinceToday;
- Begin
- MinPoint = MinMove*PriceScale;
- MyBarsSinceToday = BarsSinceToday;
- CloseD_1 = CloseD(1);
-
- if(BarsSinceToday==0)
- {
- DayCount = DayCount + 1; //记录交易日数;
- DayHigh = High;
- DayLow = Low;
-
- //从第二个交易日开始记录;
- if(DayCount>=2)
- {
- // 前一日真实波幅;
- Atr = max(max(Abs(DayHigh[1]-CloseD_1),Abs(DayLow[1]-CloseD_1)),DayHigh[1]-DayLow[1]);
-
- // 存储前一天的Atr到全局变量环0-19;
- AtrIndex = (DayCount-2)%LengthAtr;
- SetGlobalVar(AtrIndex,Atr[1]);
- }
-
- // 从第LengthAtr+1个交易日开始计算;
- if(DayCount>=LengthAtr+1)
- {
- // 计算日线级别长度为LengthAtr的平均真实波幅;
- AtrAve = 0 ;
- for i=0 to LengthAtr-1
- {
- AtrAve = AtrAve + getGlobalVar(i);
- }
- AtrAve = AtrAve/LengthAtr;
- N = IntPart(AtrAve);
-
- DonchianFastUpper = Highest(DayHigh[1],(LengthAtr-0.1)*(MyBarsSinceToday[1]+1));
- DonchianFastLower = Lowest(DayLow[1],(LengthAtr-0.1)*(MyBarsSinceToday[1]+1));
-
- DonchianSlowUpper = Highest(DayHigh[1],(LengthSlow-0.1)*(MyBarsSinceToday[1]+1));
- DonchianSlowLower = Lowest(DayLow[1],(LengthSlow-0.1)*(MyBarsSinceToday[1]+1));
-
- DonchianExitUpper = Highest(DayHigh[1],(LengthExit-0.1)*(MyBarsSinceToday[1]));
- DonchianExitLower = Lowest(DayLow[1],(LengthExit-0.1)*(MyBarsSinceToday[1]));
- }
-
- //账户最新资产 = 按当前Bar开盘价计算的可用资金 + 持仓保证金 ;
- TotalEquity = Portfolio_CurrentCapital() + Portfolio_UsedMargin();
- //标准单位头寸 = (本金*风险比例)/价值波动率
- TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
- TurtleUnits = IntPart(TurtleUnits); // 对小数取整
- // PlotString("Units","Units="+Text(TurtleUnits),High+(High-Low),white);
- // PlotString("N","N="+Text(N),Low-(High-Low)/2,white);
- }
- Else
- {
- DayHigh = Max(DayHigh,High);
- DayLow = Min(DayLow,Low);
- }
- If(MarketPosition==0 and TurtleUnits>=1)
- {
- // 首次入市1:带过滤条件的,如果过滤条件为真,则需要前一笔交易是否是突破失败;
- if(LastProfitableTradeFilter==false Or PreBreakoutFailure )
- {
- //开多1:突破短周期唐奇安通道上轨;
- If(High>DonchianFastUpper)
- {
- MyPrice = Max(Open,DonchianFastUpper)+MinPoint;
- Buy(TurtleUnits,MyPrice);
- MyExitPrice = MyPrice - 2*N;
- SendOrderThisBar = true;
- }
-
- //开空1:突破短周期唐奇安通道下轨;
- if(Low<DonchianFastLower)
- {
- MyPrice = Min(Open,DonchianFastLower)-MinPoint;
- SellShort(TurtleUnits,MyPrice);
- MyExitPrice = MyPrice + 2*N;
- SendOrderThisBar = true;
- }
- }
-
- // 首次入市2:过滤条件之外的,长周期唐奇安通道突破开仓;
- //开多2:突破长周期唐奇安通道上轨;
- else
- {
- if(CrossOver(High,DonchianSlowUpper))
- {
- MyPrice = Max(Open,DonchianSlowUpper)+MinPoint;
- Buy(TurtleUnits,MyPrice);
- MyExitPrice = MyPrice - 2*N;
- SendOrderThisBar = true;
- }
- //开空2:突破长周期唐奇安通道下轨;
- if(CrossUnder(Low,DonchianSlowLower))
- {
- MyPrice = Min(Open,DonchianSlowLower)+MinPoint;
- SellShort(TurtleUnits,MyPrice);
- MyExitPrice = MyPrice + 2*N;
- SendOrderThisBar = true;
- }
- }
- }
-
- // 当持有多单;
- if(MarketPosition==1)
- {
- //离市:价格反向穿越离市的唐奇安通道;
- if(CrossUnder(Low,DonchianExitLower))
- {
- MyPrice = Min(Open,DonchianExitLower)-MinPoint;
- Sell(0,MyPrice);
- PreBreakoutFailure = False; //假突破值为假;
- // PlotBool("突破",PreBreakoutFailure,High,white);
- }
- Else
- {
- //加仓:与最近一次开仓价间隔0.5*N开仓;
- if(High>LastEntryPrice+0.5*N and TurtleUnits>=1)
- {
- MyPrice = Max(Open,LastEntryPrice+0.5*N)-MinPoint;
- Buy(TurtleUnits,MyPrice);
- SendOrderThisBar = true;
- }
-
- //止损:价格反向穿越最近一次开仓价格-2N;
- if(Low<LastEntryPrice-2*N)
- {
- MyPrice = Min(Open,LastEntryPrice-2*N)-MinPoint;
- Sell(0,MyPrice);
- PreBreakoutFailure = True; //假突破值为真;
- // PlotBool("突破",PreBreakoutFailure,High,white);
- }
- }
- }
- // 当持有空单;
- else if(MarketPosition==-1)
- {
- // 离市:价格反向穿越离市的唐奇安通道;
- if(CrossOver(High,DonchianExitUpper))
- {
- MyPrice = Max(Open,DonchianExitUpper)+MinPoint;
- BuyToCover(0,MyPrice);
- PreBreakoutFailure = False; //假突破值为假;
- // PlotBool("突破",PreBreakoutFailure,High,white);
- }
- Else
- {
- // 加仓:与最近一次开仓价格间隔0.5*N开仓;
- if(Low<LastEntryPrice-0.5*N and TurtleUnits>=1)
- {
- MyPrice = Min(Open,LastEntryPrice-0.5*N)-MinPoint;
- SellShort(TurtleUnits,MyPrice);
- SendOrderThisBar = true;
- }
-
- // 止损:价格反向穿越最近一次开仓价格+2N;
- if(High>LastEntryPrice+2*N)
- {
- MyPrice = Max(Open,LastEntryPrice+2*N)+MinPoint;
- BuyToCover(0,MyPrice);
- PreBreakoutFailure = True; //假突破值为真;
- // PlotBool("突破",PreBreakoutFailure,High,white);
- }
- }
- }
-
- PlotNumeric("DonchianFastUpper",DonchianFastUpper);
- PlotNumeric("DonchianFastLower",DonchianFastLower);
- PlotNumeric("DonchianSlowUpper",DonchianSlowUpper);
- PlotNumeric("DonchianSlowLower",DonchianSlowLower);
- PlotNumeric("DonchianExitUpper",DonchianExitUpper);
- PlotNumeric("DonchianExitLower",DonchianExitLower);
-
- // Commentary("点值="+Text(ContractUnit()*BigPointValue()));
- Commentary("TotalEquity="+Text(TotalEquity));
- Commentary("N="+Text(N));
- Commentary("Units="+Text(TurtleUnits));
- // Commentary("Atr="+Text(Atr));
- // Commentary("AtrAve="+Text(AtrAve));
- // PlotNumeric("AtrAve",AtrAve);
- Commentary("DayCount="+Text(DayCount));
- Commentary("MyBarsSinceToday="+Text(MyBarsSinceToday[1]+1));
-
- if(PreBreakoutFailure == True)
- {
- Commentary("PreBreakoutFailure = True");
- }Else
- {
- Commentary("PreBreakoutFailure = false");
- }
-
- if(LastProfitableTradeFilter==true)
- {
- Commentary("LastProfitableTradeFilter = True");
- }Else
- {
- Commentary("LastProfitableTradeFilter = False");
- }
-
- End
- //------------------------------------------------------------------------
- // 编译版本 GS2010.12.08
- // 用户版本 2013/05/08 22:28
- // 版权所有 arowana
- // 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
- //------------------------------------------------------------------------
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