平仓改成全平 (文华财经)

VARIABLE:MYCLOSE:=0,J:=0,AVGMYCLOSE:=0;

VARIABLE:UPTREND:=0,DNTREND:=0,SIGNALFLAG:=0,BUYSETUP:=0,SELLSETUP:=0;

VARIABLE:LOWERBAND:=0,EXITBAND_K:=0,UPPERBAND:=0,EXITBAND_D:=0;

VARIABLE:HIGHERAFTERENTRY:=0,LOWERAFTERENTRY:=0;

VARIABLE:DLIQPOINT:0,KLIQPOINT:0,LIQKA:=0;

FASTMA:=22;       //MACD短周期值

LENGTH:=20; //日线周期均线计算范围； 

EATRPCNT:=13;   //入场通道波动率过滤数值

XATRPCNT:=13;   //出场通道波动率过滤数值

TRS:=2800; //移动止损止盈幅度

FUND:=30000; //单品种投入资金

//跨周期定义

IF DATE<>REF(DATE,1) THEN BEGIN

MYCLOSE:=MYCLOSE+REF(C,1);//每天第一根K线获取上一根的收盘价保存及累加；

J:=J+1;//计数保存了多少日；

END

IF  J=LENGTH THEN BEGIN

AVGMYCLOSE:=MYCLOSE/LENGTH;//计算跨周期的均线值

MYCLOSE:=0;//计算完毕后归零；

J:=0;//计算完毕后归零；

END

TR : MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));//求最高价减去最低价，一个周期前的收盘价减去最高价的绝对值，一个周期前的收盘价减去最低价的绝对值，这三个值中的最大值

LOTS:=MAX(1,INTPART(FUND/(OPEN*UNIT*0.1)));//计算开仓手数

MACDLINE:= EMA( CLOSE, FASTMA ) - EMA( CLOSE, FASTMA*2 ) ; //计算MACD快线

SIGNALLINE:= EMA( MACDLINE, FASTMA*4 );            //计算MACD慢线               

AATR:=MA(TR,FASTMA*2);                      //计算ATR波动率                  

ZEROLINE:=0;                      //零轴                                 

CON1:= CROSS(SIGNALLINE,ZEROLINE);              //慢线上穿零轴                 

 

IF  CON1  THEN BEGIN //当慢线上穿零轴时候,定义为多头趋势

UPTREND:=1;

DNTREND:=0;

SIGNALFLAG:=0;

SELLSETUP:=0;

END

CON2:= CROSS(ZEROLINE,SIGNALLINE);                                 //慢线下穿零轴

IF CON2  THEN BEGIN     //当慢线下穿零轴时候,定义为空头趋势

DNTREND:=1;

SIGNALFLAG:=0;

UPTREND:=0;

BUYSETUP:=0;

END 

IF DNTREND = 1 THEN BEGIN 

IF SIGNALFLAG = 0 THEN BEGIN         //空头趋势时记录当前最低价以及设置入场条件

SELLSETUP:= 1;

END

END 

IF UPTREND = 1 THEN BEGIN //多头趋势时记录当前最低价以及设置入场条件

IF SIGNALFLAG = 0 THEN BEGIN

BUYSETUP:= 1;

END

END

IF REF(SELLSETUP,1) = 1 AND REF(SELLSETUP,2) = 0 THEN BEGIN // 满足入场条件设定入场价格以及出场价格

LOWERBAND:= REF(L,1) - (EATRPCNT * REF(AATR,1));

EXITBAND_K:= REF(H,1) + (XATRPCNT * REF(AATR,1));

END

IF REF(BUYSETUP,1) = 1 AND REF(BUYSETUP,2) = 0 THEN BEGIN     // 满足入场条件设定入场价格以及出场价格

UPPERBAND:= REF(H,1) + (EATRPCNT * REF(AATR,1)) ;                

EXITBAND_D:= REF(L,1) - (XATRPCNT * REF(AATR,1)) ;

END

//??????

IF  REF(SELLSETUP,1) = 1 AND SKVOL = 0 AND REF(C,1)<AVGMYCLOSE THEN BEGIN //做空

IF  LOW <= LOWERBAND THEN BEGIN 

1,SK(LOTS);

SELLSETUP:=0;

SIGNALFLAG:=1;

HIGHERAFTERENTRY:=C;

END

END

//??????

IF  REF(BUYSETUP,1) = 1 AND BKVOL = 0 AND REF(C,1)>AVGMYCLOSE THEN BEGIN                           //做多

      IF HIGH >= UPPERBAND THEN BEGIN

1,BK(LOTS);

BUYSETUP:=0;                                        

SIGNALFLAG:=1;

LOWERAFTERENTRY:=C;

END

END

IF SKVOL>0 AND BARSSK > 0 THEN BEGIN   //持有空单时不再满足入场条件

IF HIGH>= EXITBAND_K THEN BEGIN

1,BP(LOTS);

END

END

IF BKVOL>0 AND BARSBK > 0 THEN BEGIN                          //持有多单时不再满足入场条件

IF LOW<= EXITBAND_D THEN BEGIN

1,SP(LOTS);

   

END

END

//------------------------------------------------------------------------------------------------

//记录入场后的最高价和最低价

//------------------------------------------------------------------------------------------------

CLOSELP:=REF(CLOSE,1); 

    IF SKVOL = 1 AND  BKVOL=0 THEN BEGIN

HIGHERAFTERENTRY:=MIN(HIGHERAFTERENTRY,H);

END

IF SKVOL = 1 AND  BKVOL=0 THEN BEGIN

LOWERAFTERENTRY:=LOWERAFTERENTRY;

    END

IF BKVOL =1 AND  SKVOL = 0 THEN BEGIN 

LOWERAFTERENTRY:=MAX(LOWERAFTERENTRY,L);

END 

IF BKVOL =1 AND  SKVOL = 0 THEN BEGIN

HIGHERAFTERENTRY:=HIGHERAFTERENTRY;

END

IF BKVOL > 0 OR SKVOL>0 AND BARPOS>0 THEN BEGIN

HIGHERAFTERENTRY:=MIN(HIGHERAFTERENTRY,REF(HIGH,1));

LOWERAFTERENTRY:=MAX(LOWERAFTERENTRY, REF(L,1));

END

 

  IF  SKVOL=0 AND BKVOL=0 THEN BEGIN  // 自适应参数默认值；

LIQKA:= 1;

END

IF (SKVOL>0 OR BKVOL>0) THEN BEGIN //当有持仓的情况下，LIQKA会随着持仓时间的增加而逐渐减小，即止损止盈幅度乘数的减少。

LIQKA:=LIQKA - 0.1; 

LIQKA:=MAX(LIQKA,0.5);

END

IF BKVOL>0 THEN BEGIN 

 

DLIQPOINT:= LOWERAFTERENTRY - (OPEN*TRS/1000)*LIQKA; //经过计算，这根吊灯出场线会随着持仓时间的增加变的越来越敏感；

END

IF SKVOL>0 THEN BEGIN

KLIQPOINT:= HIGHERAFTERENTRY + (OPEN*TRS/1000)*LIQKA; //经过计算，这根吊灯出场线会随着持仓时间的增加变的越来越敏感；

END

//------------------------------------------------------------------------------------------------

//跟踪止损

//------------------------------------------------------------------------------------------------

// 持有多单时 价格下破自适应出场线，平多单

  IF BKVOL >0 AND BARSBK >0   AND C <= DLIQPOINT AND REF(C,1) >= REF(DLIQPOINT,1) AND DLIQPOINT>0 THEN BEGIN

1,SP(BKVOL);

END

// 持有空单时 价格上破自适应出场线，平空单

IF SKVOL >0 AND BARSSK >0  AND C >= KLIQPOINT AND REF(C,1) <= REF(KLIQPOINT,1) AND KLIQPOINT>0 THEN BEGIN

1,BP(SKVOL);

END

TRADE_OTHER('AUTO');