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模型策略源碼：input:P(26,20,100,8); input:S(12,5,40,4); input:B1(26,5,300,30); input:B2(2,0.1,10,1); input:N2(10,1,120,12); input:N3(20,1,200,20); input:N4(60,1,200,20); ma2:=ma(c,n2); ma3:=ma(c,n3); ma4:=ma(c,n4); MID := MA(CLOSE,B1); UPPER:= MID + B2*STD(CLOSE,B1); LOWER:= MID - B2*STD(CLOSE,B1),colorred; diff := EMA(CLOSE,S) - EMA(CLOSE,P); variable:vmin = 091500;//用于隔夜高開(kāi)或低開(kāi)時(shí)間差 if (abs(o-ref(c,1))>=20*MINDIFF AND time>090000 and time<090400) then vmin := 093000; //開(kāi)多倉(cāng)條件： BOPEON1:=c>upper and diff>0 and c>o and c>ma4 AND HOLDING=0 AND time>vmin AND time<150000; //平多倉(cāng)條件： bline:=IF(holding>0,HHV(HIGH,TYPEBAR(1,1))-110*mindiff,l-110*mindiff);//多單移動(dòng)止損線(xiàn) PARTLINE( holding>0, bline, colorrgb(255,0,0)); BLIQCON:= (holding>0 and cross(ma3,ma2)) or (holding>0 and bline>c); //開(kāi)空倉(cāng)條件： SOPCON1:=c<lower and diff<0 and c<o and c<ma4 AND HOLDING=0 AND time>vmin AND time<150000; //平空倉(cāng)條件： sline:=IF(holding<0,LLV(LOW,TYPEBAR(1,3))+110*mindiff,h+110*mindiff);//空單移動(dòng)止損線(xiàn) PARTLINE(holding<0, sline, colorrgb(0,255,0)); SLIQCON:= (holding<0 and cross(ma2,ma3)) or (holding<0 and sline<c); buy(BOPEON1,1,market); sell(BLIQCON,holding,market); buyshort(SOPCON1,1,market); sellshort(SLIQCON,holding,market); //收盤(pán)前平倉(cāng) sell(time>151000 and holding>0,holding,market); sellshort(time>151000 and holding<0,holding,market); 可用現(xiàn)金:CASH(0),LINETHICK0; 持倉(cāng):HOLDING,LINETHICK0; 資產(chǎn):ASSET,LINETHICK0;
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