标题：[交易系统]三重滤网策略

1楼

z7c9 发表于：2011/2/26 12:02:49

input:n1(60,5,120,5);
input:n2(20,5,120,5);
input:n3(5,5,120,5);

ma1:=ma(close,n1);
ma2:=ma(close,n2);
ma3:=ma(close,n3);

longcond:=ref(all(ma1>ref(ma1,1),2) and all(ma2<ref(ma2,1),2) and all(ma3>ref(ma3,1),2),1);

shortcond:=ref(all(ma1<ref(ma1,1),2) and all(ma2>ref(ma2,1),2) and all(ma3<ref(ma3,1),2),1);

if holding=0 then begin
if longcond then
buy(1,1,limitr,open);
end

if holding=0 then begin
if shortcond then
buyshort(1,1,limitr,open);
end

if holding>0 then begin
if shortcond then begin
  sell(1,holding,limitr,open);
  buyshort(1,1,limitr,open);
end

if time=150000 then
  sell(1,holding,limitr,open);
end

if holding<0 then begin
if longcond then begin
  sellshort(1,holding,limitr,open);
  buy(1,1,limitr,open);
end

if time=150000 then
  sellshort(1,holding,limitr,open);
end

收益:asset,noaxis,colorred;
次数:totaltrade,linethick0;
胜率:percentwin,linethick0;
连亏:maxseqloss,linethick0;
连赢:maxseqwin,linethick0;

[此贴子已经被作者于2011-10-3 11:24:25编辑过]

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