文华与开拓者通用的dual thrust系统策略源码[文华财经公式]

1. Inputs: K1(.5),K2(.5),Mday(1),Nday(1);
2. Vars: BuyRange(0), SellRange(0);
3. Vars: BuyTrig(0),SellTrig(0);
4. Vars: HH(0),LL(0),HC(0),LC(0);
5. //程序化交易 www.cxh99.com
6. If CurrentBar > 1 Then Begin
7. HH = Highest(High,Mday);
8. HC = Highest(Close,Mday);
9. LL = Lowest(Low,Mday);
10. LC = Lowest(Close,Mday);
11.  
12. If (HH - LC) >= (HC - LL) Then Begin
13. SellRange = HH - LC;
14. End Else Begin
15. SellRange = HC - LL;
16. End;
17.  
18. HH = Highest(High,Nday);
19. HC = Highest(Close,Nday);
20. LL = Lowest(Low,Nday);
21. LC = Lowest(Close,Nday);
22.  
23. If (HH - LC) >= (HC - LL) Then Begin
24. BuyRange = HH - LC;
25. End Else Begin
26. BuyRange = HC - LL;
27. End;
28.  
29. BuyTrig = K1*BuyRange;
30. SellTrig = K2*SellRange;
31.  
32. If MarketPosition = 0 Then Begin
33. Buy at Open of next bar + BuyTrig Stop;
34. Sell at Open of next bar - SellTrig Stop;
35. End;
36.  
37. If MarketPosition = -1 Then Begin
38. Buy at Open of next bar + Buytrig Stop;
39. End;
40.  
41. If MarketPosition = 1 Then Begin
42. Sell at Open of next bar - SellTrig Stop;
43. End;
44.  
45. End;

M:=1;
M1:=1;
K1:=0.5;
K2:=0.5;
N:=BARSLAST(DATE<>REF(DATE,1))+1;
OO:=VALUEWHEN(DATE<>REF(DATE,1),O);
HH1:=REF(HHV(H,N*M),N);
LL1:=REF(LLV(L,N*M),N);
HC1:=REF(HHV(C,N*M),N);
LC1:=REF(LLV(C,N*M),N);
HH2:=REF(HHV(H,N*M1),N);
LL2:=REF(LLV(L,N*M1),N);
HC2:=REF(HHV(C,N*M1),N);
LC2:=REF(LLV(C,N*M1),N);
SELLR:=IFELSE((HH1-LC1)>=(HC1-LL1),HH1-LC1,HC1-LL1);
BUYR:=IFELSE((HH2-LC2)>=(HC2-LL2),HH2-LC2,HC2-LL2);
BT:=K1*BUYR;
ST:=K2*SELLR;
BUYP:=OO+BT;
SELLP:=OO-ST;
//程序化交易 www.cxh99.com
H>=BUYP&&C>=MAX(O,BUYP),BPK;
L<=SELLP&&C<=MIN(O,SELLP),SPK;
AUTOFILTER;