开拓者全自动动态突破型交易系统源码-开拓者公式 -程序化交易(grahamobil.com) - 365bet送体验金
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//源码:

Params
    Numeric ceilingAmt(60);
    Numeric floorAmt(20);
    Numeric bolBandTrig(2.00);
Vars
    Numeric lookBackDays(20);         
    Numeric todayVolatility(0);
    Numeric yesterDayVolatility(0);
    Numeric deltaVolatility(0);
    NumericSeries buyPoint(0);
    NumericSeries sellPoint(0);
    NumericSeries longLiqPoint(0);
    NumericSeries shortLiqPoint(0);
    Numeric upBand(0);
    Numeric dnBand(0);
    Numeric MidLine(0);
    Numeric Band(0);
Begin
    todayVolatility = StandardDev(Close,30,1);
    yesterDayVolatility = StandardDev(Close[1],30,1);
    deltaVolatility = (todayVolatility - yesterDayVolatility)/todayVolatility;
    lookBackDays = lookBackDays * (1 + deltaVolatility);
    lookBackDays = Round(lookBackDays,0);
    lookBackDays = Min(lookBackDays,ceilingAmt);
    lookBackDays = Max(lookBackDays,floorAmt);
    MidLine = AverageFC(Close,lookBackDays);
    Band = StandardDev(Close,lookBackDays,bolBandTrig);
    upBand = MidLine + bolBandTrig * Band;
    dnBand = MidLine - bolBandTrig * Band;
    buyPoint = Highest(High[1],lookBackDays);
    sellPoint = Lowest(Low[1],lookBackDays);
    longLiqPoint = Average(Close[1],lookBackDays);
    shortLiqPoint = Average(Close[1],lookBackDays);
if(Close > upBand)  
{
   If(CrossOver(high,buyPoint))   
  {
     Buy(1,max( buyPoint, Low ));
  }
Commentary("多头触发价:"+Text(buyPoint));
}
if(Close < dnBand)
{
   If(CrossUnder(Low,sellPoint ))
   {
      SellShort(1,min( sellPoint , High ));
   }
Commentary("空头触发价:"+Text(sellPoint));
}
if(MarketPosition == 1)
{  
   If(CrossUnder(Low,longLiqPoint ))
   {
      Sell(1,min( longLiqPoint , High ));
   }
Commentary("多头退出:"+Text(longLiqPoint));
}


if(MarketPosition == -1)
{
   If(CrossOver(high,shortLiqPoint))   
  {
     BuyToCover(1,max( shortLiqPoint, Low ));
  }
Commentary("空头退出:"+Text(shortLiqPoint));
}

End

 

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