【金字塔策略源码】双均线穿越

quant002

1. 1 runmode:0;
   
2. 2
   
3. 3 input:period1(20,5,100,5);
   
4. 4 input:period2(60,5,100,5);
   
5. 5
   
6. 6 variable:myasset=30000;
   
7. 7
   
8. 8 entertime:=time＞=092500 and time＜=145500;
   
9. 9 exittime:=time＞=150000;
   
10. 10
    
11. 11 ma1:=ma(close,period1);
    
12. 12 ma2:=ma(close,period2);
    
13. 13
    
14. 14 buycond:=entertime and ref(cross(ma1,ma2),1);
    
15. 15 buyprice:=open;
    
16. 16
    
17. 17 buyshortcond:=entertime and ref(cross(ma2,ma1),1);
    
18. 18 buyshortprice:=open;
    
19. 19
    
20. 20 if holding=0 and buycond then begin
    
21. 21     buy(1,1,limitr,buyprice);
    
22. 22 end
    
23. 23
    
24. 24 if holding=0 and buyshortcond then begin
    
25. 25     buyshort(1,1,limitr,buyshortprice);
    
26. 26 end
    
27. 27
    
28. 28 if holding＞0 and exittime then begin
    
29. 29     sell(1,holding,limitr,close);
    
30. 30 end
    
31. 31
    
32. 32 if holding＜0 and exittime then begin
    
33. 33     sellshort(1,holding,limitr,close);
    
34. 34 end
    
35. 35
    
36. 36 if exittime then
    
37. 37     myasset:=asset;
    
38. 38     
    
39. 39 资产:myasset,noaxis,colormagenta;
    
40. 40 次数:totaltrade,linethick0;
    
41. 41 收益:(myasset-30000)/30000,linethick0;
    
42. 42 胜率:percentwin,linethick0;
    
43. 43 出击:totaltrade/(count(date＜＞ref(date,1),0)+1),linethick0;
    
44. 44 连亏:maxseqloss,linethick0;
    
45. 45 连赢:maxseqwin,linethick0;
    
46. 46

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