期货软件TB系统源代码解：幽灵交易者交易策略

策略说明:

模拟交易产生一次亏损后才启动真实下单交易。

系统要素:

1、两条指数平均线

2、RSI指标

3、唐奇安通道

入场条件:

1、模拟交易产生一次亏损、短期均线在长期均线之上、RSI低于超买值、创新高，则开多单

2、模拟交易产生一次亏损、短期均线在长期均线之下、RSI高于超卖值、创新低，则开空单

出场条件:

1、持有多单时小于唐奇安通道下轨，平多单

2、持有空单时大于唐奇安通道上轨，平空单

做多代码及解读如下：

Params

Numeric FastLength(9); // 声明数值参数FastLength，初值9，即短期指数平均线参数。//

Numeric SlowLength(19); // 声明数值参数SlowLength，初值19，即长期指数平均线参数。//

Numeric Length(9); // 声明数值参数Length，初值9，即RSI参数。//

Numeric OverSold(30); // 声明数值参数OverSold，初值30，即超卖。//

Numeric OverBought(70); // 声明数值参数OverBought，初值70，即超买。//

Numeric Lots(0); // 声明数值参数Lots，初值0，即交易手数设置。//

Vars

NumericSeries AvgValue1; // 声明数值序列变量AvgValue1，即短期指数平均线 。//

NumericSeries AvgValue2; // 声明数值序列变量AvgValue2，即长期指数平均线。//

NumericSeries NetChgAvg(0);//声明数值序列变量NetChgAvg，初值0。//

NumericSeries TotChgAvg(0);//声明数值序列变量TotChgAvg，初值0.//

Numeric SF(0);//声明数值变量SF，初值0.//

Numeric Change(0); //声明数值变量Change，初值0.//

Numeric ChgRatio(0);//声明数值变量ChgRatio，初值0.//

NumericSeries RSIValue; // 声明数值序列变量RSIValue，即RSI指标。//

NumericSeries ExitHiBand(0); // 声明数值序列变量ExitHiBand，初值0，唐奇安通道上轨。//

NumericSeries ExitLoBand(0); //声明数值序列变量ExitLoBand，初值0， 唐奇安通道下轨。//

NumericSeries myEntryPrice(0); //声明数值序列变量myEntryPrice，初值0， 进场价格。//

NumericSeries myExitPrice(0); // 声明数值序列变量myExitPrice，初值0，出场价格。//

NumericSeries myProfit(0); // 声明数值序列变量myProfit，初值0，即利润。//

NumericSeries myPosition(0); // 声明数值序列变量myPosition，初值0，即多空标志。//

Begin

If(!CallAuctionFilter()) Return;// 集合竞价和小节休息过滤。//

AvgValue1 = Xaverage(Close,FastLength);// 计算短期指数平均线，即把收盘价与周期9返回函数Xaverage求值。//

AvgValue2 = Xaverage(Close,SlowLength);//同理，计算长期指数平均线参数。//

// 计算RSI。//

If(CurrentBar <= Length - 1)//假如当前索引k线数位值小于等于周期8（9-1）的。//

{

NetChgAvg = (Close - Close[Length])/Length;//代入相应数值计算，即得NetChgAvg = （close - close[9]）/ 9的。//

TotChgAvg = Average(Abs(Close - Close[1]),Length);//先算绝对值函数Abs里的，再把绝对值与周期9返回均值函数Average求均值，最后赋值给变量TotChgAvg。//

}Else//就是k线数位值大于周期8的。//

{

SF = 1/Length;//代入相应数值，即SF= 1/9 了.//

Change = Close - Close[1];//同理，代入当期k线收盘价与前一k线收盘价即可。//

NetChgAvg = NetChgAvg[1] + SF*(Change - NetChgAvg[1]);//这里也是代入上边求得的相应数值即可。//

TotChgAvg = TotChgAvg[1] + SF*(Abs(Change) - TotChgAvg[1]); //同上解读。//

}

If(TotChgAvg <> 0)//假如变量TotChgAvg不等于0.//

{

ChgRatio = NetChgAvg/TotChgAvg;//则两变量相除了。//

}Else//等于0的。//

{

ChgRatio = 0;//变量ChgRatio=0了。//

}

RSIValue = 50*(ChgRatio + 1);//指标RSI的计算结果。//

ExitHiBand = Highest(High,20); // 唐奇安通道上轨。//

ExitLoBand = Lowest(Low,20);// 唐奇安通道下轨。//

If(myPosition == 1 And myPosition[1] == 1 and Low <= ExitLoBand[1])// 持有多单时，下破唐奇安通道下轨，平多单。//

{

myExitPrice = Min(Open,ExitLoBand[1]);//出场价的计算，开盘价与前一个唐奇安通道下轨的比较，取较小值。//

Sell(0,myExitPrice);//平仓。//

myProfit = myExitPrice - MyEntryPrice;//利润算法。//

    myPosition = 0;//持仓多空标志myPosition = 0.//

}

If(myPosition == 0 And myPosition[1] == 0 And AvgValue1[1] > AvgValue2[1] And RSIValue[1] < OverBought and High >= High[1])// 模拟交易产生一次亏损、短期均线在长期均线之上、RSI低于超买值、创新高，则开多单。//

{

myEntryPrice = Max(Open,High[1]);//进场价计算，即开盘价与前一个最高价的比较，取较大值。//

myPosition = 1;//持仓多空标志myPosition = 1.//

If(myProfit < 0) Buy(Lots,myEntryPrice);//假如利润myProfit <0的，以进场价开仓。//

}

End

 

 

做空代码及结果如下：

Params

Numeric FastLength(9);

Numeric SlowLength(19);

Numeric Length(9);

Numeric OverSold(30);

Numeric OverBought(70);

Numeric Lots(0);

Vars

NumericSeries AvgValue1;  

NumericSeries AvgValue2;

NumericSeries NetChgAvg(0);

NumericSeries TotChgAvg(0);

Numeric SF(0);

Numeric Change(0);

Numeric ChgRatio(0);

NumericSeries RSIValue;

NumericSeries ExitHiBand(0);

NumericSeries ExitLoBand(0);

NumericSeries myEntryPrice(0);

NumericSeries myExitPrice(0);

NumericSeries myProfit(0);

NumericSeries myPosition(0);

Begin

If(!CallAuctionFilter()) Return;

AvgValue1 = Xaverage(Close,FastLength);

AvgValue2 = Xaverage(Close,SlowLength);

If(CurrentBar <= Length - 1)

{

NetChgAvg = (Close - Close[Length])/Length;

TotChgAvg = Average(Abs(Close - Close[1]),Length);

}Else

{

SF = 1/Length;

Change = Close - Close[1];

NetChgAvg = NetChgAvg[1] + SF*(Change - NetChgAvg[1]);

TotChgAvg = TotChgAvg[1] + SF*(Abs(Change) - TotChgAvg[1]);

}

If(TotChgAvg <> 0)

{

ChgRatio = NetChgAvg/TotChgAvg;

}Else

{

ChgRatio = 0;

}

RSIValue = 50*(ChgRatio + 1);

ExitHiBand = Highest(High,20);

ExitLoBand = Lowest(Low,20);

If(myPosition == -1 And myPosition[1] == -1 and High >= ExitHiBand[1])

{

myExitPrice = Max(Open,ExitHiBand[1]);

BuyToCover(0,myExitPrice);

myProfit = myEntryPrice - MyExitPrice;

    myPosition = 0;

}

If(myPosition == 0 And myPosition[1] == 0 And AvgValue1[1] < AvgValue2[1] And RSIValue[1] > OverSold and Low <= Low[1])

{

myEntryPrice = Min(Open,Low[1]);

myPosition = -1;

If(myProfit < 0) SellShort(Lots,myEntryPrice);

}

End