[TB源码] TB唐奇安通道（TB源码）
//唐奇安通道Params
Numeric LongLength(20); // 长周期
Numeric ShortLength(10); // 短周期
Numeric TrailingScale(0.5); // 增仓比例
Numeric StopLossSet(2); // 止损比例
Numeric Lots(1); // 交易数量
Vars
Numeric MinPoint; // 最小变动单位
NumericSeries AvgTR; // ATR
Numeric N; // N 值
NumericSeries DonchianHi; // 唐奇安通道上轨，延后1个Bar
NumericSeries DonchianLo; // 唐奇安通道下轨，延后1个Bar
Numeric ExitHighestPrice; // 离市时判断需要的N周期最高价
Numeric ExitLowestPrice; // 离市时判断需要的N周期最低价
Numeric myEntryPrice; // 开仓价格
Numeric myExitPrice; // 平仓价格
Bool SendOrderThisBar(False); // 当前Bar有过交易
NumericSeries preEntryPrice(0); // 前一次开仓的价格
Begin
If(BarStatus == 0)
{
preEntryPrice = InvalidNumeric;
} Else
{
preEntryPrice = preEntryPrice;
} //程序化交易 www.cxh99.com
AvgTR = XAverage(TrueRange,LongLength);
N = AvgTR;
DonchianHi = HighestFC(High,LongLength);
DonchianLo = LowestFC(Low,LongLength);
ExitLowestPrice = LowestFC(Low,ShortLength);
ExitHighestPrice = HighestFC(High,ShortLength);
Commentary("N="+Text(N));
Commentary("preEntryPrice="+Text(preEntryPrice));
PlotNumeric("上轨",DonchianHi);
PlotNumeric("下轨",DonchianLo);
PlotNumeric("退出上轨",ExitHighestPrice);
PlotNumeric("退出下轨",ExitLowestPrice);
/*/////////////////////////////////开仓////////////////////////////////////////*/
If(MarketPosition == 0 && High > DonchianHi)
{
myEntryPrice = min(high,DonchianHi);
myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
Buy(Lots,myEntryPrice);
SendOrderThisBar = True;
}
If(MarketPosition == 0 && Low < DonchianLo)
{
myEntryPrice = max(low,DonchianLo);
myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替
preEntryPrice = myEntryPrice;
SendOrderThisBar = True;
SellShort(Lots,myEntryPrice);
}
/*///////////////////////////////止盈加仓////////////////////////////////////*/
If(MarketPosition == 1)
{
Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
If(Low < ExitLowestPrice)
{
myExitPrice = max(Low,ExitLowestPrice);
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的时候用开盘价代替
Sell(0,myExitPrice); // 数量用0的情况下将全部平
}Else
{
If(preEntryPrice!=InvalidNumeric)
{
If(Open >= preEntryPrice + TrailingScale*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;
Buy(Lots,myEntryPrice);
SendOrderThisBar = True;
}
while(High >= preEntryPrice + TrailingScale*N) // 以最高价为标准，判断能进行几次增仓
{
myEntryPrice = preEntryPrice + TrailingScale * N;//程序化交易 www.chengxuhuajiaoyi.com
preEntryPrice = myEntryPrice;
Buy(Lots,myEntryPrice);
SendOrderThisBar = True;
}
}
/*///////////////////////////////////止损策略///////////////////////////////*/
If(Low <= preEntryPrice - StopLossSet * N && SendOrderThisBar == false) // 加仓Bar不止损
{
myExitPrice = preEntryPrice - StopLossSet * N;
myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的时候用开盘价代替
Sell(0,myExitPrice); // 数量用0的情况下将全部平仓
}
} // www.chengxuhuajiaoyi.com
}Else If(MarketPosition ==-1) // 有空仓的情况
{
Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
If(High > ExitHighestPrice)
{
myExitPrice = Min(High,ExitHighestPrice);
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的时候用开盘价代替
BuyToCover(0,myExitPrice); // 数量用0的情况下将全部平仓
}Else
{
If(preEntryPrice!=InvalidNumeric)
{
If(Open <= preEntryPrice - TrailingScale*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;
SellShort(Lots,myEntryPrice);
SendOrderThisBar = True;
}
while(Low <= preEntryPrice - TrailingScale*N) // 以最低价为标准，判断能进行几次增仓
{
myEntryPrice = preEntryPrice - TrailingScale * N;
preEntryPrice = myEntryPrice;
SellShort(Lots,myEntryPrice);
SendOrderThisBar = True;
}
}
/*///////////////////////////////////止损策略///////////////////////////////*/
If(High >= preEntryPrice + StopLossSet * N && SendOrderThisBar==false) // 加仓Bar不止损
{
myExitPrice = preEntryPrice + StopLossSet * N;
myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的时候用开盘价代替
BuyToCover(0,myExitPrice); // 数量用0的情况下将全部平仓
}
}
}
End
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