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标题：[求助]老师帮助改下代码

1楼

laihua111111 发表于：2011/5/28 11:20:57

感觉文华程序化比不上金字塔，现想使用金字塔程序化，请老师帮助把文华模型给转成金字塔的。再就在此模型中增加个止损止盈的功能。

a.当开仓后，亏损达到30个点，自动止损;
b. 当开仓后，盈利达到40到100点时，回撤80%，平仓;
c.开仓后，盈利达到100点以上时，回撤30%，平仓。谢谢！

文华模型:

VAR6:=(2*CLOSE+HIGH+OPEN+LOW)/8;

VAR7:=LLV(LOW,12);

VAR8:=HHV(HIGH,20);

VAR9:=EMA((VAR6-VAR7)/(VAR8-VAR7)*150,13);

VARA:=EMA(0.667*REF(VAR9,1)+0.333*VAR9,2);

SARLINE:=ABS(SAR(3,0.01,0.1));

TR:=SUM(MAX(MAX(HIGH-LOW,ABS(HIGH-REF(CLOSE,1))),ABS(LOW-REF(CLOSE,1))),6);

HD:=HIGH-REF(HIGH,1);

LD:=REF(LOW,1)-LOW;

DMP:=SUM(IFELSE(HD>0 && HD>LD,HD,0),6);

DMM:=SUM(IFELSE(LD>0 && LD>HD,LD,0),6);

PDI:=DMP*100/TR,COLORWHITE;

MDI:=DMM*100/TR,COLORYELLOW;

ADX:=MA(ABS(MDI-PDI)/(MDI+PDI)*150,20),COLORRED;

ADXR:=(ADX+REF(ADX,14))/2,COLORGREEN;

MA10:=EMA(CLOSE,11);

MA1:=MA(CLOSE,5);

VAR9>VARA&&CLOSE>=SARLINE&&MA10>REF(MA10,1)&&ADX>30&&CLOSE>REF(OPEN,1)&&CLOSE>REF(OPEN,2)&&CLOSE>REF(CLOSE,1)&&CLOSE>REF(CLOSE,2)&&CLOSE>MA1&&CLOSE>OPEN,BPK;

VAR9<=VARA&&CLOSE<SARLINE&&MA10<REF(MA10,1)&&ADX<80&&CLOSE<REF(OPEN,1)&&CLOSE<REF(OPEN,2)&&CLOSE<REF(CLOSE,1)&&CLOSE<REF(CLOSE,2)&&CLOSE<MA1&&CLOSE<OPEN,SPK;

2楼

laihua111111 发表于：2011/5/28 13:06:57

模型是在小时周期上使用的。能否改成新交易系统平开仓数量等好在模型中控制

[此贴子已经被作者于2011-5-28 13:11:47编辑过]

3楼

26327756l 发表于：2011/5/30 9:10:58

问题正在解决中

[此贴子已经被作者于2011-5-30 9:37:11编辑过]

4楼

fly 发表于：2011/5/30 10:16:57

仅把策略改写到金字塔里,以下代码即可实现.

VAR6:=(2*CLOSE+HIGH+OPEN+LOW)/8;

VAR7:=LLV(LOW,12);

VAR8:=HHV(HIGH,20);

VAR9:=EMA((VAR6-VAR7)/(VAR8-VAR7)*150,13);

VARA:=EMA(0.667*REF(VAR9,1)+0.333*VAR9,2);

SARLINE:=ABS(SAR(3,0.01,0.1));

T:=SUM(MAX(MAX(HIGH-LOW,ABS(HIGH-REF(CLOSE,1))),ABS(LOW-REF(CLOSE,1))),6);

HD:=HIGH-REF(HIGH,1);

LD:=REF(LOW,1)-LOW;

DMP:=SUM(IF(HD>0 and HD>LD,HD,0),6);

DMM:=SUM(IF(LD>0 and LD>HD,LD,0),6);

PDI:=DMP*100/T;

MDI:=DMM*100/T,;

ADX:=MA(ABS(MDI-PDI)/(MDI+PDI)*150,20),COLORRED;

ADXR:=(ADX+REF(ADX,14))/2,COLORGREEN;

MA10:=EMA(CLOSE,11);

MA1:=MA(CLOSE,5);

//平空开多
long:=MA10>REF(MA10,1) and CLOSE>REF(OPEN,1) and CLOSE>REF(OPEN,2) and CLOSE>REF(CLOSE,1) and CLOSE>REF(CLOSE,2) and CLOSE>MA1;//最新价高于前两个周期的开盘价和收盘价。
//平多开空
short:=MA10<REF(MA10,1) and CLOSE<REF(OPEN,1) and CLOSE<REF(OPEN,2) and CLOSE<REF(CLOSE,1) and CLOSE<REF(CLOSE,2) and CLOSE<MA1;//最新价低于前两个周期的开盘价和收盘价。

{开多}ENTERLONG:long and VAR9>VARA and CLOSE>=SARLINE and ADX>30 and CLOSE>OPEN,TFILTER;
{平多}EXITLONG:short and VAR9<=VARA and CLOSE<SARLINE and ADX<80 and CLOSE<OPEN,TFILTER;
{开空}ENTERSHORT:short and VAR9<=VARA and CLOSE<SARLINE and ADX<80 and CLOSE<OPEN ,TFILTER ;
{平空}EXITSHORT:long and VAR9>VARA and CLOSE>=SARLINE and ADX>30 and CLOSE>OPEN ,TFILTER;

5楼

fly 发表于：2011/5/30 11:04:55

如果是想实现止损止盈,那就需要标准版及其以上

以下以高级图表程序化交易-----标准版功能,为例说明

//K线走完模式，逐K线模式
variable:maxprofit=0;//有仓位时最大获利幅度

VAR6:=(2*CLOSE+HIGH+OPEN+LOW)/8;

VAR7:=LLV(LOW,12);

VAR8:=HHV(HIGH,20);

VAR9:=EMA((VAR6-VAR7)/(VAR8-VAR7)*150,13);

VARA:=EMA(0.667*REF(VAR9,1)+0.333*VAR9,2);

SARLINE:=ABS(SAR(3,0.01,0.1));

T:=SUM(MAX(MAX(HIGH-LOW,ABS(HIGH-REF(CLOSE,1))),ABS(LOW-REF(CLOSE,1))),6);

HD:=HIGH-REF(HIGH,1);

LD:=REF(LOW,1)-LOW;

DMP:=SUM(IF(HD>0 and HD>LD,HD,0),6);

DMM:=SUM(IF(LD>0 and LD>HD,LD,0),6);

PDI:=DMP*100/T;

MDI:=DMM*100/T,;

ADX:=MA(ABS(MDI-PDI)/(MDI+PDI)*150,20),COLORRED;

ADXR:=(ADX+REF(ADX,14))/2,COLORGREEN;

MA10:=EMA(CLOSE,11);

MA1:=MA(CLOSE,5);

if long and VAR9>VARA and CLOSE>=SARLINE and ADX>30 and CLOSE>OPEN then
begin
sellshort(holding<0,1,market);
buy(holding=0,1,market);
maxprofit:=0;
end

if short and VAR9<=VARA and CLOSE<SARLINE and ADX<80 and CLOSE<OPEN then
begin
sell(holding>0,1,market);
buyshort(holding=0,1,market);
maxprofit:=0;
end

//判断当前持仓状态下的最大盈利
win:=0;
win2:=0;

if holding > 0 and enterbars > 0 then
begin
win:=(c-enterprice)/enterprice*100; //记录最大盈利
if win > maxprofit then
maxprofit:=win;

win2:=(maxprofit-win)/maxprofit*100; //最大盈利后的回调幅度
end

if holding < 0 and enterbars > 0 then
begin
win:=(enterprice-c)/enterprice*100; //记录最大盈利
if win > maxprofit then
maxprofit:=win;

win2:=(maxprofit-win)/maxprofit*100; //最大盈利后的回调幅度
end

//亏损达到30个点---30个最小变动价位，自动止损;
SELL((ENTERPRICE-c)>=30*mindiff and holding>0,0,MARKET);
SELLSHORT((c-ENTERPRICE)>=30*mindiff and holding<0,0,MARKET);

//当开仓后，盈利达到40到100点时，回撤80%，平仓;
if c-enterprice>40*mindiff and c-enterprice<100*mindiff and holding>0 then
begin
SELL(win2 >= 80, 0,market);
end
if enterprice-c>40*mindiff and enterprice-c<100*mindiff and holding<0 then
begin
SELL(win2 >= 80, 0,market);
end

//开仓后，盈利达到100点以上时，回撤30%，平仓。
if c-enterprice>=100*mindiff and holding>0 then
begin
SELL(win2 >= 30, 0,market);
end
if enterprice-c>=100*mindiff and holding<0 then
begin
SELL(win2 >= 30, 0,market);
end

6楼

fly 发表于：2011/5/30 11:11:18

如果是想信号出现持续"w"秒再发委托的话,得是专业版.

7楼

26327756l 发表于：2011/5/30 13:48:58

请问那个回撤是什么意思计算公式是什么？

8楼

26327756l 发表于：2011/5/30 14:44:33

//不知对不对，加入了平仓参数p
input:p(1,1,100,1);
VAR6:=(2*CLOSE+HIGH+OPEN+LOW)/8;

VAR7:=LLV(LOW,12);

VAR8:=HHV(HIGH,20);

VAR9:=EMA((VAR6-VAR7)/(VAR8-VAR7)*150,13);

VARA:=EMA(0.667*REF(VAR9,1)+0.333*VAR9,2);

SARLINE:=ABS(SAR(3,0.01,0.1));

TR1:=SUM(MAX(MAX(HIGH-LOW,ABS(HIGH-REF(CLOSE,1))),ABS(LOW-REF(CLOSE,1))),6);

HD:=HIGH-REF(HIGH,1);

LD:=REF(LOW,1)-LOW;

DMP:=SUM(IFELSE(HD>0 && HD>LD,HD,0),6);

DMM:=SUM(IFELSE(LD>0 && LD>HD,LD,0),6);

PDI:=DMP*100/TR1,COLORWHITE;

MDI:=DMM*100/TR1,COLORYELLOW;

ADX:=MA(ABS(MDI-PDI)/(MDI+PDI)*150,20),COLORRED;

ADXR:=(ADX+REF(ADX,14))/2,COLORGREEN;

MA10:=EMA(CLOSE,11);

MA1:=MA(CLOSE,5);

if VAR9>VARA&&CLOSE>=SARLINE&&MA10>REF(MA10,1)&&ADX>30&&CLOSE>REF(OPEN,1)&&CLOSE>REF(OPEN,2)&&CLOSE>REF(CLOSE,1)&&CLOSE>REF(CLOSE,2)&&CLOSE>MA1&&CLOSE>OPEN then
begin
SELLSHORT(1 ,holding ,MARKET );
BUY( 1,holding ,MARKET);
end

if VAR9<=VARA&&CLOSE<SARLINE&&MA10<REF(MA10,1)&&ADX<80&&CLOSE<REF(OPEN,1)&&CLOSE<REF(OPEN,2)&&CLOSE<REF(CLOSE,1)&&CLOSE<REF(CLOSE,2)&&CLOSE<MA1&&CLOSE<OPEN then
begin
SELL(1 ,holding ,MARKET );
BUYSHORT(1 ,holding ,MARKET );
end

//判断是否亏损达到30个点，自动止损；
if enterprice-c>=30*mindiff then
begin
sell（1,holding,market）;
end
if c-enterprice>=30*mindiff then
begin
sellshort（1,holding,market）;
end
//当开仓后，盈利达到40到100点时，回撤80%，平仓
HV:=HHV(ASSET,0); //交易来最大资产

HB:=HV - ASSET; //当前的回撤

hui:HB/HV;
if c-enterprice>=40*mindiff and c-enterprice<=100*mindiff and hui>=0.8 then
begin
sell（1,p,market）;
end
if enterprice-c>=40*mindiff and enterprice-c<=100*mindiff and hui=0.8 then
begin
sellshort（1,p,market）;
end
//开仓后，盈利达到100点以上时，回撤30%，平仓
if c-enterprice>=100*mindiff and hui=0.3 then
begin
sell（1,p,market）;
end
if enterprice-c>=100*mindiff and hui=0.3 then
begin
sellshort（1,p,market）;
end

9楼

laihua111111 发表于：2011/5/30 21:03:58

我说的回撤是指：开仓后，比如多头，价格涨到100 然后反相的掉到80 就是回撤了20%

再想请教个问题，就是模型在出现开平信号后，是马上开平仓，还是延迟发单呢，如马上发单，那有时信号只出一下就会变的，会造成频繁开平仓的。

问下上面回复的：平仓参数p 指的是什么呢

[此贴子已经被作者于2011-5-30 21:16:08编辑过]

10楼

26327756l 发表于：2011/5/31 10:03:18

p是参数，手动可以设的平仓手数。默认是1手。

上面的回撤不是按照 “开仓后，比如多头，价格涨到100 然后反相的掉到80 就是回撤了20%”

而是总资产的回撤来编写的。

[此贴子已经被作者于2011-5-31 10:14:18编辑过]

共11 条记录, 每页显示 10 条, 页签: [1] [2]