金字塔均值回归交易系统源码[金字塔模型]

相关标签:均值回归，均值回归能力，惠比特交易和配种专区，梦三国交易专区，梦三国交易专区速秒，灵缇格力交易专区，中京交易市场下载专区，古币银元交易专区，长毛德牧交易专区，

模型策略源码：input:n(5,1,10,1); atr:ma(high-low,n); runmode:0; entertime:=time>=091500 and time<=145500; exittime:=time>=150000; atr:="assit.atr#day"; dist:=barslast(date<>ref(date,1))+1; hh:=ref(hhv(high,dist),1); ll:=ref(llv(low,dist),1); buycond:=entertime and low<=hh-atr-mindiff; buyprice:=hh-atr-mindiff; buyshortcond:=entertime and high>=ll+atr+mindiff; buyshortprice:=ll+atr+mindiff; if holding=0 then begin if buycond then buy(1,1,limitr,buyprice); end if holding=0 then begin if buyshortcond then buyshort(1,1,limitr,buyshortprice); end if holding>0 then begin if exittime then sell(1,holding,limitr,close); end if holding<0 then begin if exittime then sellshort(1,holding,limitr,close); end 收益:(asset-30000)/30000,noaxis,colormagenta; 次数:totaltrade,linethick0; 胜率:percentwin,linethick0; 连亏:maxseqloss,linethick0; 连赢:maxseqwin,linethick0;
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源码解析：

输出INPUT:N(5,1,10,1)
输出真实波幅:最高价-最低价的N日简单移动平均
输出  RUNMODE:0
ENTERTIME赋值:时间>=091500 AND 时间<=145500
EXITTIME赋值:时间>=150000
ATR赋值:"ASSIT.ATR[取日线数据]"
DIST赋值:上次日期<>昨日日期距今天数+1
HH赋值:昨日DIST日内最高价的最高值
LL赋值:昨日DIST日内最低价的最低值
BUYCOND赋值:ENTERTIME AND 最低价<=HH-ATR-MINDIFF
BUYPRICE赋值:HH-ATR-MINDIFF
BUYSHORTCOND赋值:ENTERTIME AND 最高价>=LL+ATR+MINDIFF
BUYSHORTPRICE赋值:LL+ATR+MINDIFF
逻辑判断 HOLDING=0 THEN BEGIN 逻辑判断 BUYCOND THEN  BUY(1,1,LIMITR,BUYPRICE)
ENDIF HOLDING=0 THEN BEGIN 逻辑判断 BUYSHORTCOND THEN  BUYSHORT(1,1,LIMITR,BUYSHORTPRICE)
ENDIF HOLDING>0 THEN BEGIN 逻辑判断 EXITTIME THEN  SELL(1,HOLDING,LIMITR,收盘价)
ENDIF HOLDING<0 THEN BEGIN 逻辑判断 EXITTIME THEN  SELLSHORT(1,HOLDING,LIMITR,收盘价)
输出END收益:(ASSET-30000)/30000,NOAXIS,画洋红色
输出次数:TOTALTRADE,线宽为0
输出胜率:PERCENTWIN,线宽为0
输出连亏:MAXSEQLOSS,线宽为0
输出连赢:MAXSEQWIN,线宽为0