【金字塔策略源码】动量突破

quant002

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

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