VARIABLE : MYENTRYPRICE =0 ;   //开仓价格
VARIABLE : MYEXITPRICE =0 ;   //平仓价格

VARIABLE : TURTLEUNITS=0 ;   //交易单位
VARIABLE : POSITION=0 ;   //仓位状态
//0表示没有仓位，1表示持有多头， -1表示持有空头

VARIABLE : T20HI=CLOSE ;   //20周期的高点
VARIABLE : T20LO=CLOSE ;   //20周期的低点

VARIABLE : T10HI=CLOSE ;   //10周期的高点
VARIABLE : T10LO=CLOSE ;   //10周期的低点

//准备需要计算的变量
T20HI := REF(HHV(H,T20),1) ;
T20LO := REF(LLV(L,T20),1) ;

T10HI := REF(HHV(H,T10),1) ;
T10LO := REF(LLV(L,T10),1) ;

AVGTR :=  REF(MA(TR,ATRLEN),1) ;

//采用全局变量保存最后一根K线的计算状态
STRENTRYBARPOS:STRCAT(STKLABEL,\'ENTRYBARPOS\') ;
STREXITBARPOS:STRCAT(STKLABEL,\'EXITBARPOS\') ;
STRPREENTRYPRICE:STRCAT(STKLABEL,\'PREENTRYPRICE\') ;
STRTURTLEUNITS:STRCAT(STKLABEL,\'TURTLEUNITS\') ;
STRPOSITION:STRCAT(STKLABEL,\'POSITION\') ;
STRPREN:STRCAT(STKLABEL,\'PREN\') ;

{IF NOT ( WORKMODE=1 ) THEN BEGIN
 DRAWTEXTEX(1 ,0 ,0 ,0 ,\'提示：本公式仅用于后台交易！\'  ),COLORYELLOW ;
 EXIT ;
END}

//开始执行时 初始化数据
//注意：第一个数据的BARPOS=1
IF BARPOS=1 THEN BEGIN
 //POSITION := 0 ;

END //IF

//如果当前棒是最后一根K线，执行
IF ISLASTBAR THEN BEGIN

 // 如果最后一根K线发生过出场信号，则那一根K线不再交易
 IF EXTGBDATA(STREXITBARPOS) = BARPOS THEN BEGIN
  GOTO CONTINUELINE ;
 END

 //恢复上一秒计算时保存的数据
 //如果记录的进场BARPOS和当前的相等，说明上一个进场信号也是最后一根K线发出的。  
 IF EXTGBDATA(STRENTRYBARPOS) = BARPOS THEN BEGIN
  MYENTRYPRICE := EXTGBDATA(STRPREENTRYPRICE) ;
  TURTLEUNITS := EXTGBDATA(STRTURTLEUNITS) ;
  POSITION := EXTGBDATA(STRPOSITION) ;
  N := EXTGBDATA(STRPREN) ;
 END
 
 //如果当前是没有持仓的状态
 IF POSITION=0 AND BARPOS>T20 AND H>L THEN BEGIN
 
  //建立多头进场条件
  LONG := H > T20HI ;
  
  //多头进场符合
  IF LONG THEN BEGIN
   MYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;   
   POSITION := 1 ;
   TURTLEUNITS := 1 ;
   N := AVGTR ;
 
   TBUY( _TDEBUG,POSNUM,LMT,H),ALLOWREPEAT ;

   EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;
   EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;
   EXTGBDATASET(STRPREN,N ) ;
 
  END //IF多头进场符合
 
 
  //建立空头进场条件
  SHORT := L < T20LO ;
  
  //空头进场符合
  IF SHORT AND POSITION=0 THEN BEGIN   
   MYENTRYPRICE := IF(OPEN<T20LO-MINDIFF ,OPEN ,T20LO-MINDIFF ) ;   
   POSITION := -1 ;
   TURTLEUNITS := 1 ;
   N := AVGTR ;
 
   TBUYSHORT( _TDEBUG,POSNUM,LMT,L),ALLOWREPEAT;

   EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;
   EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;
   EXTGBDATASET(STRPREN,N ) ;
 
  END //IF空头进场符合
  
  GOTO CONTINUELINE ;
  
 END  //IF如果当前是没有持仓的状态

 //如果当前持有多头仓位的状态
 
 IF POSITION=1 AND BARPOS>T20 AND H>L THEN BEGIN
 
  //多头加仓条件
  
  IF (HIGH>MYENTRYPRICE+0.5*N) AND TURTLEUNITS<4 THEN BEGIN
   MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+0.5*N ,OPEN ,MYENTRYPRICE+0.5*N ) ;
   MYENTRYPRICE := CEILING(MYENTRYPRICE/MINDIFF)*MINDIFF ; 
   TURTLEUNITS := TURTLEUNITS+1 ;
 
   TBUY( _TDEBUG,POSNUM,LMT,H),ALLOWREPEAT ;

   EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;
   EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;
 
  END //IF多头加仓条件 
  
  //建立多头离场条件
  LONGX1 := (LOW < T10LO)  ;
  
  IF LONGX1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN
   MYEXITPRICE := IF(OPEN<T10LO-MINDIFF ,OPEN ,T10LO-MINDIFF ) ;   
   POSITION := 0 ;
   TURTLEUNITS := 0 ;
   
   TSELL( _TDEBUG ,0,LMT,L),ALLOWREPEAT;
   
   EXTGBDATASET(STREXITBARPOS,BARPOS ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;

  END
 
  //建立多头止损条件
  LONGX2 := (LOW<MYENTRYPRICE-2*N)  ;
 
  IF LONGX2 AND POSITION=1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN
   MYEXITPRICE := IF(OPEN<MYENTRYPRICE-2*N ,OPEN ,MYENTRYPRICE-2*N ) ;  
   MYEXITPRICE := FLOOR(MYEXITPRICE/MINDIFF)*MINDIFF ; 
   POSITION := 0 ;
   TURTLEUNITS := 0 ;

   TSELL( _TDEBUG ,0,LMT,L),ALLOWREPEAT;
   
   EXTGBDATASET(STREXITBARPOS,BARPOS ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;

  END
 
  GOTO CONTINUELINE ;
 
 END  //IF如果当前持有多头仓位的状态

 //如果当前持有空头仓位的状态
 
 IF POSITION = -1 AND BARPOS>T20 AND H>L THEN BEGIN
 
  //空头加仓条件

  IF (LOW<MYENTRYPRICE-0.5*N) AND TURTLEUNITS<4 THEN BEGIN
   MYENTRYPRICE := IF(OPEN<MYENTRYPRICE-0.5*N ,OPEN ,MYENTRYPRICE-0.5*N ) ;   
   MYENTRYPRICE := FLOOR(MYENTRYPRICE/MINDIFF)*MINDIFF ; 
   TURTLEUNITS := TURTLEUNITS+1 ;

   TBUYSHORT( _TDEBUG,POSNUM,LMT,L),ALLOWREPEAT;

   EXTGBDATASET(STRENTRYBARPOS,BARPOS ) ;
   EXTGBDATASET(STRPREENTRYPRICE,MYENTRYPRICE ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;

  END //IF空头加仓条件 
 
  //建立空头离场条件
  SHORTX1 := H > T10HI  ;
 
  IF SHORTX1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN
   MYEXITPRICE := IF(OPEN>T10HI+MINDIFF ,OPEN ,T10HI+MINDIFF ) ;   
   POSITION := 0 ;
   TURTLEUNITS := 0 ;

   TSELLSHORT( _TDEBUG,0,LMT,H),ALLOWREPEAT;
   
   EXTGBDATASET(STREXITBARPOS,BARPOS ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;

  END
 
  //建立空头止损条件
  SHORTX2 := HIGH > MYENTRYPRICE + 2*N  ;
 
  IF SHORTX2 AND POSITION = -1 AND EXTGBDATA(STRENTRYBARPOS)<>BARPOS AND EXTGBDATA(STREXITBARPOS)<>BARPOS THEN BEGIN
   MYEXITPRICE := IF(OPEN>MYENTRYPRICE+2*N ,OPEN ,MYENTRYPRICE+2*N ) ;   
   MYEXITPRICE := CEILING(MYEXITPRICE/MINDIFF)*MINDIFF ; 
   POSITION := 0 ;
   TURTLEUNITS := 0 ;

   TSELLSHORT( _TDEBUG,0,LMT,H),ALLOWREPEAT;
   
   EXTGBDATASET(STREXITBARPOS,BARPOS ) ;
   EXTGBDATASET(STRTURTLEUNITS,TURTLEUNITS ) ;
   EXTGBDATASET(STRPOSITION,POSITION ) ;

  END

  GOTO CONTINUELINE ;
 
 END  //IF如果当前持有空头仓位的状态

 //如果以上3种情形都没有成立，则直接结束本次判断
 GOTO CONTINUELINE ;

END //IF如果当前棒是最后一根K线

//不是最后一根K线的情形
//如果当前是没有持仓的状态
IF POSITION=0 AND BARPOS>T20 AND H>L THEN BEGIN

 //建立多头进场条件
 LONG := H > T20HI ;
 
 //多头进场
 IF LONG THEN BEGIN
  MYENTRYPRICE := IF(OPEN>T20HI+MINDIFF ,OPEN ,T20HI+MINDIFF ) ;   
  //BUY( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE+MINDIFF);
  POSITION := 1 ;
  TURTLEUNITS := 1 ;
  N := AVGTR ;
  BUYORDERTHISBAR := 1;

 END //IF

 //建立空头进场条件
 SHORT := L < T20LO ;
 
 //空头进场
 IF SHORT AND POSITION=0 THEN BEGIN   
  MYENTRYPRICE := IF(OPEN<T20LO-MINDIFF ,OPEN ,T20LO-MINDIFF ) ;   
  //BUYSHORT( _DEBUG,POSNUM,LIMITR,MYENTRYPRICE-MINDIFF);
  POSITION := -1 ;
  TURTLEUNITS := 1 ;
  N := AVGTR ;
  BUYORDERTHISBAR := 1;

 END
 
 //不要跳转，让程序检查同一根K线是否可以加仓
 //GOTO CONTINUELINE ;
 
END  //IF

//如果当前持有多头仓位的状态

IF POSITION=1 AND BARPOS>T20 AND H>L THEN BEGIN

 //多头加仓条件
 
 WHILE (HIGH>MYENTRYPRICE+0.5*N) AND TURTLEUNITS<4 DO BEGIN
  MYENTRYPRICE := IF(OPEN>MYENTRYPRICE+0.5*N ,OPEN ,MYENTRYPRICE+0.5*N ) ;
  MYENTRYPRICE := CEILING(MYENTRYPRICE/MINDIFF)*MINDIFF ; 
  //BUY( _DEBUG, POSNUM, LIMITR, MYENTRYPRICE);
  TURTLEUNITS := TURTLEUNITS+1 ;
  BUYORDERTHISBAR := 1;
 END //WHILE 
 
 //建立多头离场条件
 LONGX1 := (LOW < T10LO)  ;
 
 IF LONGX1 AND BUYORDERTHISBAR=0 THEN BEGIN
  MYEXITPRICE := IF(OPEN<T10LO-MINDIFF ,OPEN ,T10LO-MINDIFF ) ;   
  //SELL( _DEBUG ,0,LIMITR,MYEXITPRICE-MINDIFF);
  POSITION := 0 ;
  TURTLEUNITS := 0 ;
 END

 //建立多头止损条件
 LONGX2 := (LOW<MYENTRYPRICE-2*N)  ;

 IF LONGX2 AND POSITION=1 AND BUYORDERTHISBAR=0 THEN BEGIN
  MYEXITPRICE := IF(OPEN<MYENTRYPRICE-2*N ,OPEN ,MYENTRYPRICE-2*N ) ;  
  MYEXITPRICE := FLOOR(MYEXITPRICE/MINDIFF)*MINDIFF ; 
  //SELL( _DEBUG ,0,LIMITR,MYEXITPRICE);
  POSITION := 0 ;
  TURTLEUNITS := 0 ;
 END

 GOTO CONTINUELINE ;

END  //IF

//如果当前持有空头仓位的状态

IF POSITION = -1 AND BARPOS>T20 AND H>L THEN BEGIN

 //空头加仓条件
 
 WHILE (LOW<MYENTRYPRICE-0.5*N) AND TURTLEUNITS<4 DO BEGIN
  MYENTRYPRICE := IF(OPEN<MYENTRYPRICE-0.5*N ,OPEN ,MYENTRYPRICE-0.5*N ) ;   
  MYENTRYPRICE := FLOOR(MYENTRYPRICE/MINDIFF)*MINDIFF ; 
  //BUYSHORT( _DEBUG,POSNUM, LIMITR, MYENTRYPRICE);
  TURTLEUNITS := TURTLEUNITS+1 ;
  BUYORDERTHISBAR := 1;
 END //IF 

 //建立空头离场条件
 SHORTX1 := H > T10HI  ;

 IF SHORTX1 AND BUYORDERTHISBAR=0 THEN BEGIN
  MYEXITPRICE := IF(OPEN>T10HI+MINDIFF ,OPEN ,T10HI+MINDIFF ) ;   
  //SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE+MINDIFF);
  POSITION := 0 ;
  TURTLEUNITS := 0 ;
 END

 //建立空头止损条件
 SHORTX2 := HIGH > MYENTRYPRICE + 2*N  ;

 IF SHORTX2 AND POSITION = -1 AND BUYORDERTHISBAR=0  THEN BEGIN
  MYEXITPRICE := IF(OPEN>MYENTRYPRICE+2*N ,OPEN ,MYENTRYPRICE+2*N ) ;   
  MYEXITPRICE := CEILING(MYEXITPRICE/MINDIFF)*MINDIFF ; 
  //SELLSHORT( _DEBUG,0,LIMITR,MYEXITPRICE);
  POSITION := 0 ;
  TURTLEUNITS := 0 ;
 END

END  //IF

//显示账户状态
CONTINUELINE@ 资产:TASSET,LINETHICK0;
//可用现金:CASH(0),LINETHICK0;
POS:THOLDING,LINETHICK0;
//交易次数:TOTALDAYTRADE, LINETHICK0 ;
//EP:MYENTRYPRICE ;
// DEBUGOUT(\'POSITION=%.0F\' ,POSITION ) ;
// DEBUGOUT(\'TURTLEUNITS=%.0F\' ,TURTLEUNITS ) ;
// DEBUGOUT(\'BARPOS=%.0F\' ,BARPOS ) ;
// DEBUGOUT(\'MYENTRYPRICE=%.0F\' ,MYENTRYPRICE ) ;

IF _DEBUGOUT>0  AND ISLASTBAR THEN BEGIN

 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'BARPOS=%.0F\' ,BARPOS,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'T20HI=%.2F\' ,T20HI ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'N=%.2F\' ,N ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'AVGTR=%.2F\' ,AVGTR ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'POSITION=%.0F\' ,POSITION,1 ) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'TURTLEUNITS=%.0F\' ,TURTLEUNITS,1 ) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'OPEN=%.2F\' ,O ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'HIGH=%.2F\' ,H ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'LOW=%.2F\' ,L ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'CLOSE=%.2F\' ,C ,1) ;
 DEBUGFILE2(\'C:\\DEBUGFILE.TXT\',\'MYENTRYPRICE=%.0F\' ,MYENTRYPRICE ,1) ;