//------------------------------------------------------------------------
// 簡稱: TurtleTrader
// 名稱: 海龜交易系統
// 類別: 交易指令
// 類型: 其他
// 輸出: 
//------------------------------------------------------------------------

Params
    Numeric RiskRatio(1);                   // % Risk Per N ( 0 - 100)
    Numeric ATRLength(20);                  // 平均波動周期 ATR Length
    Numeric boLength(20);                   // 短周期 BreakOut Length
    Numeric fsLength(55);                   // 長周期 FailSafe Length
    Numeric teLength(10);                   // 離市周期 Trailing Exit Length
    Bool LastProfitableTradeFilter(True);   // 使用入市過濾條件
Vars
 Numeric MinPoint;                       // 最小變動單位
 NumericSeries AvgTR;      // ATR
    Numeric N;                              // N 值
    Numeric TotalEquity;                    // 按最新收盤價計算出的總資產
    Numeric TurtleUnits;                    // 交易單位
    NumericSeries DonchianHi;              // 唐奇安通道上軌，延后1個Bar
    NumericSeries DonchianLo;              // 唐奇安通道下軌，延后1個Bar
    NumericSeries fsDonchianHi;            // 唐奇安通道上軌，延后1個Bar，長周期
    NumericSeries fsDonchianLo;            // 唐奇安通道下軌，延后1個Bar，長周期
    Numeric ExitHighestPrice;               // 離市時判斷需要的N周期最高價
    Numeric ExitLowestPrice;                // 離市時判斷需要的N周期最低價
    Numeric myEntryPrice;                   // 開倉價格
    Numeric myExitPrice;                    // 平倉價格
    Bool SendOrderThisBar(False);          // 當前Bar有過交易
 NumericSeries preEntryPrice(0);       // 前一次開倉的價格，存放到全局變量0號位置
 BoolSeries PreBreakoutFailure(false); // 前一次突破是否失敗
Begin
    If(BarStatus == 0)
    {
  preEntryPrice = InvalidNumeric;
  PreBreakoutFailure = false;
 }Else
 {
  preEntryPrice = preEntryPrice[1];
        PreBreakoutFailure = PreBreakoutFailure[1];
    }

 MinPoint = MinMove*PriceScale;
    AvgTR = XAverage(TrueRange,ATRLength);
 N = AvgTR[1];
    TotalEquity = CurrentCapital()+ Abs(CurrentContracts()*Close*ContractUnit()*BigPointValue()*MarginRatio());
    TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue());
    TurtleUnits = IntPart(TurtleUnits); // 對小數取整

    DonchianHi = HighestFC(High[1],boLength);
    DonchianLo = LowestFC(Low[1],boLength);

 fsDonchianHi = HighestFC(High[1],fsLength);
    fsDonchianLo = LowestFC(Low[1],fsLength);

 Commentary("N="+Text(N));
 Commentary("preEntryPrice="+Text(preEntryPrice));
 Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False"));
 
    // 當不使用過濾條件，或者使用過濾條件并且條件為PreBreakoutFailure為True進行后續操作
    If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure)))
    {
        // 突破開倉
        If(CrossOver(High,DonchianHi) && TurtleUnits >= 1)
        {
            // 開倉價格取突破上軌+一個價位和最高價之間的較小值，這樣能更接近真實情況，并能盡量保證成交
            myEntryPrice = min(high,DonchianHi + MinPoint);
            myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
   preEntryPrice = myEntryPrice;
            Buy(TurtleUnits,myEntryPrice);
   SendOrderThisBar = True;
   PreBreakoutFailure = False;
        }

        If(CrossUnder(Low,DonchianLo) && TurtleUnits >= 1)
        {
            // 開倉價格取突破下軌-一個價位和最低價之間的較大值，這樣能更接近真實情況，并能盡量保證成交
            myEntryPrice = max(low,DonchianLo - MinPoint);
            myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的時候用開盤價代替
            preEntryPrice = myEntryPrice;
            SendOrderThisBar = True;
            SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統來自智冠豐銀www.fxsola.com
   SendOrderThisBar = True;
   PreBreakoutFailure = False;//sg 
        }
    }

    // 長周期突破開倉 Failsafe Breakout point
    If(MarketPosition == 0)
    {
  Commentary("fsDfont-family: 宋體; font-size: 12px;">  Commentary("fsDfont-family: 宋體; font-size: 12px;">    If(MarketPosition == 1) // 有多倉的情況
    {
        // 求出持多倉時離市的條件比較值
        ExitLowestPrice = Lowest(Low[1],teLength);
  Commentary("ExitLowestPrice="+Text(ExitLowestPrice));
        If(Low < ExitLowestPrice)
        {
            myExitPrice = max(Low,ExitLowestPrice - MinPoint);
   myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
            Sell(0,myExitPrice);    // 數量用0的情況下將全部平倉
        }Else
        {
            If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
            {
                If(Open >= preEntryPrice + 0.5*N) // 如果開盤就超過設定的1/2N,則直接用開盤價增倉。
                {
                    myEntryPrice = Open;
     preEntryPrice = myEntryPrice;
                    Buy(TurtleUnits,myEntryPrice);
     SendOrderThisBar = True;
                }

                while(High >= preEntryPrice + 0.5*N) // 以最高價為標準，判斷能進行幾次增倉
                {
                    myEntryPrice = preEntryPrice + 0.5 * N;
                    preEntryPrice = myEntryPrice;
                    Buy(TurtleUnits,myEntryPrice);
     SendOrderThisBar = True;     
                }
            }
   
            // 止損指令
   If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // 加倉Bar不止損
   {
    myExitPrice = preEntryPrice - 2 * N;
    Sell(0,myExitPrice); // 數量用0的情況下將全部平倉
    PreBreakoutFailure = True;
   }
        }
    }Else If(MarketPosition ==-1) // 有空倉的情況
    {
        // 求出持空倉時離市的條件比較值
        ExitHighestPrice = Highest(High[1],teLength);
  Commentary("ExitHighestPrice="+Text(ExitHighestPrice));
        If(High > ExitHighestPrice)
        {
            myExitPrice = Min(High,ExitHighestPrice + MinPoint);
   myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的時候用開盤價代替
            BuyToCover(0,myExitPrice);    // 數量用0的情況下將全部平倉
        }Else
        {
            If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1)
            {
                If(Open <= preEntryPrice - 0.5*N) // 如果開盤就超過設定的1/2N,則直接用開盤價增倉。
                {
                    myEntryPrice = Open;
     preEntryPrice = myEntryPrice;
                    SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統來自智冠豐銀www.fxsola.com

     SendOrderThisBar = True;
                }

                while(Low <= preEntryPrice - 0.5*N) // 以最低價為標準，判斷能進行幾次增倉
                {
                    myEntryPrice = preEntryPrice - 0.5 * N;
                    preEntryPrice = myEntryPrice;
                    SellShort(TurtleUnits,myEntryPrice);
     SendOrderThisBar = True;
                }
            }

            // 止損指令
   If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // 加倉Bar不止損
   {
    myExitPrice = preEntryPrice + 2 * N;
    BuyToCover(0,myExitPrice); // 數量用0的情況下將全部平倉
    PreBreakoutFailure = True;
   }
        }
    }
End