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//------------------------------------------------------------------------
// 簡稱: TurtleTrader
// 名稱: 海龜交易系統(tǒng)
// 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(jià)計(jì)算出的總資產(chǎn)
Numeric TurtleUnits; // 交易單位
NumericSeries DonchianHi; // 唐奇安通道上軌，延后1個(gè)Bar
NumericSeries DonchianLo; // 唐奇安通道下軌，延后1個(gè)Bar
NumericSeries fsDonchianHi; // 唐奇安通道上軌，延后1個(gè)Bar，長周期
NumericSeries fsDonchianLo; // 唐奇安通道下軌，延后1個(gè)Bar，長周期
Numeric ExitHighestPrice; // 離市時(shí)判斷需要的N周期最高價(jià)
Numeric ExitLowestPrice; // 離市時(shí)判斷需要的N周期最低價(jià)
Numeric myEntryPrice; // 開倉價(jià)格
Numeric myExitPrice; // 平倉價(jià)格
Bool SendOrderThisBar(False); // 當(dāng)前Bar有過交易
NumericSeries preEntryPrice(0); // 前一次開倉的價(jià)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(shù)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(dāng)不使用過濾條件，或者使用過濾條件并且條件為PreBreakoutFailure為True進(jìn)行后續(xù)操作
If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure)))
{
// 突破開倉
If(CrossOver(High,DonchianHi) && TurtleUnits >= 1)
{
// 開倉價(jià)格取突破上軌+一個(gè)價(jià)位和最高價(jià)之間的較小值，這樣能更接近真實(shí)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(shí)候用開盤價(jià)代替
preEntryPrice = myEntryPrice;
Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
PreBreakoutFailure = False;
}
If(CrossUnder(Low,DonchianLo) && TurtleUnits >= 1)
{
// 開倉價(jià)格取突破下軌-一個(gè)價(jià)位和最低價(jià)之間的較大值，這樣能更接近真實(shí)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(shí)候用開盤價(jià)代替
preEntryPrice = myEntryPrice;
SendOrderThisBar = True;
SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統(tǒng)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(shí)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(shí)候用開盤價(jià)代替
Sell(0,myExitPrice); // 數(shù)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(shè)定的1/2N,則直接用開盤價(jià)增倉。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
Buy(TurtleUnits,myEntryPrice);
SendOrderThisBar = True;
}
while(High >= preEntryPrice + 0.5*N) // 以最高價(jià)為標(biāo)準(zhǔn)，判斷能進(jìn)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(shù)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(shí)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(shí)候用開盤價(jià)代替
BuyToCover(0,myExitPrice); // 數(shù)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(shè)定的1/2N,則直接用開盤價(jià)增倉。
{
myEntryPrice = Open;
preEntryPrice = myEntryPrice;
SellShort(TurtleUnits,myEntryPrice);//本海龜交易系統(tǒng)來自智冠豐銀www.fxsola.com
SendOrderThisBar = True;
}
while(Low <= preEntryPrice - 0.5*N) // 以最低價(jià)為標(biāo)準(zhǔn)，判斷能進(jìn)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(shù)量用0的情況下將全部平倉
PreBreakoutFailure = True;
}
}
}
End