海龟交易系统和程式码（2) - 交易逻辑及策略探讨 - 策略交易高峰会 EasyLangu...

1. input: InitialBalance(500000);
   
2. 
   
3. vars: N(0), StopLoss(1), DV(0), BB(0), AccountBalance(0), DollarRisk(0), LTT(0), Tracker(0), LastTrade(0), HBP(0),
   
4. 
   
5. LBP(0);
   
6. 
   
7. if marketposition = 0 then begin BB = 0;
   
8. 
   
9. N = AvgTrueRange(20); DV= N*BigPointValue; AccountBalance =InitialBalance;
   
10. 
    
11. DV = N * BigPointValue; AccountBalance =InitialBalance + netprofit;
    
12. 
    
13. DollarRisk =AccountBalance * .01; LTT =IntPortion(DollarRisk/DV);
    
14. 
    
15. StopLoss = 2 * DV * LTT;
    
16. 
    
17. if LastTrade = -1 then begin
    
18. 
    
19. buy LTT shares next barhighest(h,20) or higher;
    
20. 
    
21. buy LTT shares next barhighest(h,20) + (0.5*N) or higher;
    
22. 
    
23. buy LTT shares next barhighest(h,20) + (1.0*N) or higher;
    
24. 
    
25. buy LTT shares next barhighest(h,20) + (1.5*N) or higher;
    
26. 
    
27. sellshort LTT shares nextbar lowest(l,20) or lower;
    
28. 
    
29. sellshort LTT shares nextbar lowest(l,20) - (0.5*N) or lower;
    
30. 
    
31. sellshort LTT shares nextbar lowest(l,20) - (1.0*N) or lower;
    
32. 
    
33. sellshort LTT shares nextbar lowest(l,20) - (1.5*N) or lower;
    
34. 
    
35. end;
    
36. 
    
37. // LONG 20
    
38. 
    
39. if LastTrade = -1 and marketposition =1 then begin
    
40. 
    
41. BB = BB + 1;
    
42. 
    
43. if currentshares = LTT then begin
    
44. 
    
45. buy LTT shares next barhighest(h,20)[BB] + (0.5*N) or higher;
    
46. 
    
47. buy LTT shares next barhighest(h,20)[BB] + (1.0*N) or higher;
    
48. 
    
49. buy LTT shares next barhighest(h,20)[BB]+ (1.5*N) or higher;
    
50. 
    
51. end;
    
52. 
    
53. if currentshares = LTT * 2 then begin
    
54. 
    
55. buy LTT shares next barhighest(h,20)[BB] + (1.0*N) or higher;
    
56. 
    
57. buy LTT shares next barhighest(h,20)[BB] + (1.5*N) or higher;
    
58. 
    
59. end;
    
60. 
    
61. if currentshares = LTT * 3 then
    
62. 
    
63. buy LTT shares next barhighest(h,20)[BB] + (1.5*N) or higher;
    
64. 
    
65. end;
    
66. 
    
67. sell ("out-S") next barlowest(l,10) or lower;
    
68. 
    
69. 
    
70. 
    
71. 
    
72. // SHORT 20
    
73. 
    
74. if LastTrade = -1 and marketposition =-1 then begin
    
75. 
    
76. BB = BB + 1; if currentshares = LTTthen begin
    
77. 
    
78. sellshort LTTshares next bar lowest(l,20)[BB] - (0.5*N) or lower;
    
79. 
    
80. sellshort LTTshares next bar lowest(l,20)[BB] - (1.0*N) or lower;
    
81. 
    
82. sellshort LTTshares next bar lowest(l,20)[BB] - (1.5*N) or lower;
    
83. 
    
84. end;
    
85. 
    
86. if currentshares = LTT * 2 then begin
    
87. 
    
88. sellshort LTT shares nextbar lowest(l,20)[BB] - (1.0*N) or lower;
    
89. 
    
90. sellshort LTT shares nextbar lowest(l,20)[BB] - (1.5*N) or lower;
    
91. 
    
92. end;
    
93. 
    
94. if currentshares = LTT * 3 then
    
95. 
    
96. sellshort LTT shares nextbar lowest(l,20)[BB] - (1.5*N) or lower;
    
97. 
    
98. end;