主题：[交易系统]Dual Thrust

//等价改写,1分钟周期

 

input:k(0.7,0.1,1,0.1);

 

N:=barslast(date<>ref(date,1))+1;

predayhigh:=ref(hhv(h,N),N); //昨日最高价
predaylow:=ref(LLv(L,N),N);  //昨日最低价
predayclose:=VALUEWHEN(DATE<>REF(DATE,1),REF(CLOSE,1)); //昨收
predayrange:=max(predayhigh-predayclose,predayclose-predaylow);

dayopen:=valuewhen(date<>ref(date,1),o);       //当日开盘价

 

upperband:=dayopen+k*predayrange;
lowerband:=dayopen-k*predayrange;

 

if low<=lowerband then
begin
  sell(holding>0,holding,limitr,min(open,lowerband));
  buyshort(holding=0,volunit,limitr,min(open,lowerband));
end

 

if high>=upperband then
begin
  sellshort(holding<0,holding,limitr,max(open,upperband));
  buy(holding=0,volunit,limitr,max(open,upperband));
end

 

if time>=closetime(0)-300 then
begin
  sell(holding>0,holding,limitr,close);
  sellshort(holding<0,holding,limitr,close);
end

 

资产:asset,noaxis,colorred,linethick2;