-- 作者：陈泉清
-- 发布时间：2010/6/8 16:08:36
-- [建议]完善海龟交易法则
版主请完善海龟交易法则现在缺少做空的语句这个例子较好
VARIABLE:dayCount=1,PositionCount=1,SellSign=0;
VARIABLE:EntAndExitSign=1,EntPoint=0,ExitPoint=0;
VARIABLE:N=0;
MA1:MA(C,5);
MA3:MA(C,10);
M:=MA(TR,20);
BUYHHV:=HHV(H,20);
SELLLLV:=LLV(L,10);
ss:n,linethick0;
IF BARPOS>=21 THEN BEGIN
IF BARPOS=21 THEN
N:=M;
IF DayCount=6 OR BARPOS=21 THEN BEGIN{5天调整N值}
N:=(19*N+TR)/20;{计算N值}
DayCount:=2;
END
DayCount:=DayCount+1;
EntPoint:=ENTERBARS+1;
IF EntPoint=EntAndExitSign THEN BEGIN{说明STOP指令买进头寸成功}
PositionCount:=PositionCount+1;{头寸计数}
SellSign:=True;{开始以STOP卖出，如果达到指定的价格}
END
IF PositionCount=1 THEN BEGIN{第一头寸}
HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模}
开1:BUY(1,HOW,STOP,BUYHHV);{在20日新高STOP指令买进}
END
IF PositionCount=2 THEN BEGIN{如到第二头寸}
HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模}
开2:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第一头寸)+0.5个N以STOP指令买进}
END
IF PositionCount=3 THEN BEGIN{如到第三头寸}
HOW:=CASH(0)*0.01/N;
开3:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第二头寸)+0.5个N以STOP指令买进}
END
IF PositionCount=4 THEN BEGIN
HOW:=CASH(0)*0.01/N;
开4:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);
END
IF SellSign=True THEN BEGIN
ExitPoint:=EXITBARS+1;
IF ExitPoint=EntAndExitSign THEN BEGIN {说明卖出成功}
PositionCount:=1;{头寸计算复原}
SellSign:=False;
END
IF ENTERPRICE-2*N then SELL(1,100%,STOP,SELLLLV);{退出离盈利头寸}
ELSE
SELL(1,100%,STOP,ENTERPRICE-2*N);{退出亏损头寸}
END
END;
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-- 作者：金字塔
-- 发布时间：2010/6/9 11:40:53
--
input:trn(20,5,30),hn(20,5,30),lown(10,5,20);
VARIABLE:dayCount=1,PositionCount=1,SellSign=0,dK=0;//加多空标志，1：多，-1：空 0：空仓
VARIABLE:EntAndExitSign=1,EntPoint=0,ExitPoint=0;
VARIABLE:N=0;
N:=MA(TR,trn);
BUYHHV:=HHV(H,hn);
SELLLLV:=LLV(L,lown);
sellshortllv:=llv(l,hn);
buyshorthhv:=hhv(h,lown);
IF BARPOS>=hn THEN
BEGIN
IF BARPOS=hn THEN
IF DayCount=hn/2 OR BARPOS=hn THEN
BEGIN{hn/2天调整N值}
N:=((hn-1)*N+TR)/hn;{计算N值}
DayCount:=2;
END
DayCount:=DayCount+1;
EntPoint:=ENTERBARS+1;
IF EntPoint=EntAndExitSign THEN
BEGIN{说明STOP指令买进头寸成功}
PositionCount:=PositionCount+1;{头寸计数}
SellSign:=True;{可以平仓信号，如果达到指定的价格}
END
IF PositionCount=1 THEN BEGIN{第一头寸}
HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模}
if high=buyhhv then
BEGIN
dk:=1;
多开1:BUY(1,HOW,STOP,BUYHHV);{在20日新高STOP指令买进}
END;
if low=sellshortllv then
begin
dk:=-1;
空开1:buyshort(1,HOW,STOP,sellshortllv);{在20日新低STOP指令空开}
end;
END
IF PositionCount=2 THEN BEGIN{如到第二头寸}
HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模}
if dk=1 then 多开2:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第一头寸)+0.5个N以STOP指令买进}
if dk=-1 then 空开2:buyshort(1,HOW,STOP,ENTERPRICE-0.5*N);
END
IF PositionCount=3 THEN BEGIN{如到第三头寸}
HOW:=CASH(0)*0.01/N;
if dk=1 then 多开3:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);{在上头寸(即第二头寸)+0.5个N以STOP指令买进}
if dk=-1 then 空开3:buyshort(1,HOW,STOP,ENTERPRICE-0.5*N);
END
IF PositionCount=4 THEN BEGIN
HOW:=CASH(0)*0.01/N;
if dk=1 then 多开4:BUY(1,HOW,STOP,ENTERPRICE+0.5*N);
if dk=-1 then 空开4:buyshort(1,HOW,STOP,ENTERPRICE-0.5*N);
END
IF SellSign=True THEN
BEGIN
ExitPoint:=EXITBARS+1;
if dk=1 then
begin
IF ExitPoint=EntAndExitSign THEN
BEGIN {说明卖出成功}
PositionCount:=1;{头寸计算复原}
SellSign:=False;
dk:=0;
END
IF ENTERPRICE-2*N then
SELL(1,100%,STOP,SELLLLV);{退出离盈利头寸}
ELSE
SELL(1,100%,STOP,ENTERPRICE-2*N);{退出亏损头寸}
end;
if dk=-1 then
begin
IF ExitPoint=EntAndExitSign THEN
BEGIN
PositionCount:=1;
SellSign:=False;
dk:=0;
END
IF ENTERPRICE+2*N then
sellSHORT(1,100%,STOP,BUYSHORTHHV);
ELSE
sellSHORT(1,100%,STOP,ENTERPRICE+2*N);
END;
END
END;
这是4楼的，你调整好费用设置，应该可以，有问题可以提出来。
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