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本帖最后由 道勤 于 2010-8-5 13:10 编辑
我想把系统自带的海龟交易系统修改成用A_SendOrder发单的形式,请老大帮忙看看,这样改有没有问题。
Params
Numeric RiskRatio(1);
Numeric ATRLength(20);
Numeric boLength(20);
Numeric fsLength(55);
Numeric teLength(10);
Bool LastProfitableTradeFilter(True);
Numeric BFB(1);
Numeric WaitTime(10);
Vars
Numeric MinPoint;
Numeric N;
Numeric TotalEquity;
Numeric TurtleUnits;
NumericSeries DonchianHi;
NumericSeries DonchianLo;
NumericSeries fsDonchianHi;
NumericSeries fsDonchianLo;
Numeric ExitHighestPrice;
Numeric ExitLowestPrice;
Numeric myEntryPrice;
Numeric myExitPrice;
Bool SendOrderThisBar(False);
NumericSeries preEntryPrice(0);
BoolSeries PreBreakoutFailure(false);
Numeric TimeSeconds;
Begin
If ( GetGlobalVar(10)==InvalidNumeric ) SetGlobalVar(10,0);
TimeSeconds=Value(Left(TimeToString(CurrentTime),2))*3600 //记录系统当前时间,转化为秒数
+Value(Mid(TimeToString(CurrentTime),3,2))*60
+Value(Right(TimeToString(CurrentTime),2));
If ( TimeSeconds-GetGlobalVar(10)<WaitTime ) Return; //如果发单后等待时间小于WaitTime,则返回
If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
PreBreakoutFailure = false;
}Else
{
preEntryPrice = preEntryPrice[1];
PreBreakoutFailure = PreBreakoutFailure[1];
}
MinPoint = MinMove*PriceScale;
N = XAverage(TrueRange,ATRLength);
TotalEquity = A_CurrentEquity()*BFB /* CurrentCapital()+ Abs(CurrentContracts()*Close*ContractUnit()*BigPointValue()*MarginRatio()) */;
TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
TurtleUnits = IntPart(TurtleUnits); // 对小数取整
DonchianHi = HighestFC(High[1],boLength);
DonchianLo = LowestFC(Low[1],boLength);
fsDonchianHi = HighestFC(High[1],fsLength);
fsDonchianLo = LowestFC(Low[1],fsLength);
Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));
// 当不使用过滤条件,或者使用过滤条件并且条件为PreBreakoutFailure为True进行后续操作
If(A_TotalPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure)))
{
// 突破开仓
If(CrossOver(High,DonchianHi) && TurtleUnits >= 1)
{
// 开仓价格取突破上轨+一个价位和最高价之间的较小值,这样能更接近真实情况,并能尽量保证成交
myEntryPrice = min(high,DonchianHi + MinPoint);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
If(CrossUnder(Low,DonchianLo) && TurtleUnits >= 1)
{
// 开仓价格取突破下轨-一个价位和最低价之间的较大值,这样能更接近真实情况,并能尽量保证成交
myEntryPrice = max(low,DonchianLo - MinPoint);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
PreBreakoutFailure = False;
}
}
// 长周期突破开仓 Failsafe Breakout point
If(A_TotalPosition == 0)
{
Commentary("fsDonchianHi="+Text(fsDonchianHi));
If(CrossOver(High,fsDonchianHi) && TurtleUnits >= 1)
{
// 开仓价格取突破上轨+一个价位和最高价之间的较小值,这样能更接近真实情况,并能尽量保证成交
myEntryPrice = min(high,fsDonchianHi + MinPoint);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
PreBreakoutFailure = False;
}
Commentary("fsDonchianLo="+Text(fsDonchianLo));
If(CrossUnder(Low,fsDonchianLo) && TurtleUnits >= 1)
{
// 开仓价格取突破下轨-一个价位和最低价之间的较大值,这样能更接近真实情况,并能尽量保证成交
myEntryPrice = max(low,fsDonchianLo - MinPoint);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
PreBreakoutFailure = False;
}
}
If(A_TodayBuyPosition > 0) // 有多仓的情况
{
// 求出持多仓时离市的条件比较值
ExitLowestPrice = Lowest(Low[1],teLength);
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
If(Low < ExitLowestPrice)
{
/* myExitPrice = max(Low,ExitLowestPrice - MinPoint);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的时候用开盘价代替 */
A_SendOrder(Enum_Sell,Enum_Exit,A_BuyPosition(),Q_BidPrice()-MinPoint) ; // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds); }Else
{
If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
{
If(Open >= preEntryPrice + 0.5*N) // 如果开盘就超过设定的1/2N,则直接用开盘价增仓。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
}
while(High >= preEntryPrice + 0.5*N) // 以最高价为标准,判断能进行几次增仓
{
myEntryPrice = preEntryPrice + 0.5 * N;
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Buy,Enum_Entry,TurtleUnits,Q_AskPrice()+MinPoint);
SetGlobalVar(10,TimeSeconds);
SendOrderThisBar = True;
}
}
// 止损指令
If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // 加仓Bar不止损
{
//myExitPrice = preEntryPrice - 2 * N;
A_SendOrder(Enum_Sell,Enum_Exit,A_BuyPosition(),Q_BidPrice()-MinPoint); // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds); PreBreakoutFailure = True;
}
}
}Else If(A_TodaySellPosition >0 ) // 有空仓的情况
{
// 求出持空仓时离市的条件比较值
ExitHighestPrice = Highest(High[1],teLength);
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
If(High > ExitHighestPrice)
{
/* myExitPrice = Min(High,ExitHighestPrice + MinPoint);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的时候用开盘价代替 */
A_SendOrder(Enum_Buy,Enum_Exit,A_TodaySellPosition(),Q_AskPrice()+MinPoint); // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds); }Else
{
If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
{
If(Open <= preEntryPrice - 0.5*N) // 如果开盘就超过设定的1/2N,则直接用开盘价增仓。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds); SendOrderThisBar = True;
}
while(Low <= preEntryPrice - 0.5*N) // 以最低价为标准,判断能进行几次增仓
{
myEntryPrice = preEntryPrice - 0.5 * N;
preEntryPrice = myEntryPrice;
A_SendOrder(Enum_Sell,Enum_Entry,TurtleUnits,Q_BidPrice()-MinPoint);
SetGlobalVar(10,TimeSeconds);
SendOrderThisBar = True;
}
}
// 止损指令
If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // 加仓Bar不止损
{
//myExitPrice = preEntryPrice + 2 * N;
A_SendOrder(Enum_Buy,Enum_Exit,A_TodaySellPosition(),Q_AskPrice()+MinPoint); // 数量用0的情况下将全部平仓
SetGlobalVar(10,TimeSeconds); PreBreakoutFailure = True;
}
}
}
End |
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