【金字塔策略源码】突破策略

quant002

1. runmode:0;
   
2. 
   
3. input:period(70,5,90,5);
   
4. input:initialstop(2,0,3,1),coststop(2,1,3,1),trailingstop(3,1,6,1);
   
5. input:money(0,0,10,1);
   
6. input:slippage(1,0,1,1);
   
7. input:debug(0,0,1,1);
   
8. 
   
9. variable:myasset=500000;
   
10. variable:costprice=0,stopline=0;
    
11. 
    
12. begin
    
13. if stricmp(marketlabel,'sh')=0 then begin
    
14.   commission:=0.001;
    
15.   stamptax:=0.001;
    
16.   transferfee:=0.001;
    
17. end
    
18. 
    
19. if stricmp(marketlabel,'sz')=0 then begin
    
20.   commission:=0.001;
    
21.   stamptax:=0.001;
    
22.   transferfee:=0;
    
23. end
    
24. 
    
25. topband:=ref(hhv(high,period),1)+mindiff;
    
26. 
    
27. atr:=ref(ma(tr,10),1);
    
28. 
    
29. initialstopnum:=trimprice(initialstop*atr);
    
30. coststopnum:=trimprice(coststop*atr);
    
31. trailingstopnum:=trimprice(trailingstop*atr);
    
32. slippagenum:=slippage*mindiff;
    
33. end
    
34. 
    
35. if holding=0 then begin
    
36. price:=0;
    
37. lots:=0;
    
38. 
    
39. if barpos>=period and high>=topband then
    
40.   price:=close+slippagenum;
    
41. 
    
42. if price>0 then begin  
    
43.   mycash:=cash(0);
    
44.   
    
45.   lots1:=intpart(mycash/(price*volunit))*volunit;   
    
46.   
    
47.   if money=0 then begin
    
48.    lots:=lots1;
    
49.   end else begin
    
50.    lots2:=intpart(mycash*0.01*money/(initialstopnum*volunit))*volunit;
    
51.    lots:=min(lots1,lots2);
    
52.   end
    
53. end  
    
54.   
    
55. if lots>=1 then begin
    
56.   buy(1,lots,limitr,price);
    
57.   
    
58.   if workmode=1 then
    
59.    tbuy(1,lots,limitr,price);
    
60. end
    
61. end
    
62. 
    
63. if holding>0 then begin
    
64. price:=0;
    
65. lots:=holding;
    
66. 
    
67. if initialstop>0 then begin
    
68.   if stopline>0 and low<=stopline then
    
69.    price:=close-slippagenum;
    
70.    
    
71.   if stopline=0 then begin
    
72.    costprice:=trimprice((enterprice*(1+commission)+2*transferfee)/(1-commission-stamptax))+mindiff;
    
73.    
    
74.    stopline:=costprice-initialstopnum;
    
75.   end
    
76.    
    
77.   if stopline<costprice and high-coststopnum>=costprice then
    
78.    stopline:=costprice;
    
79.   
    
80.   if stopline>=costprice and high-trailingstopnum>stopline then
    
81.    stopline:=high-trailingstopnum;   
    
82. end
    
83. 
    
84. if price>0 then begin
    
85.   sell(1,lots,limitr,price);
    
86.   costprice:=0;
    
87.   stopline:=0;
    
88.   
    
89.   myasset:=asset;
    
90.   
    
91.   if workmode=1 then
    
92.    tsell(1,lots,limitr,price);
    
93. end
    
94. end
    
95. 
    
96. partline(debug=1 and holding=0,topband,colorred,1);
    
97. 
    
98. if initialstop>0 then begin
    
99. if holding>0 then begin
    
100.   drawicon(stopline<costprice,stopline,11);
     
101.   drawicon(stopline=costprice,stopline,12);
     
102.   drawicon(stopline>costprice,stopline,10);
     
103. end
     
104. end
     
105. 
     
106. if debug=1 then begin
     
107. 盈亏:myasset,noaxis,colormagenta;      
     
108. 收益:(myasset-500000)/500000,linethick0;
     
109. 次数:totaltrade,linethick0;
     
110. 胜率:percentwin,linethick0;
     
111. 连亏:maxseqloss,linethick0;
     
112. 连赢:maxseqwin,linethick0;
     
113. end

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