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模型策略源碼：INPUT:NMIN(39,10,60,10); //設(shè)置參數(shù)時(shí)間 INPUT:NOFFSET(20,2,50,2); //設(shè)置參數(shù)滑點(diǎn) INPUT:LOTS(1,1,100,1); //設(shè)置參數(shù)倉(cāng)位 INPUT:STOPSET(50,50,100,10); //設(shè)置參數(shù)止損 VARIABLE:FLAG=0; //用于限制開倉(cāng)次數(shù) VARIABLE:STOP_P=0; //用于變動(dòng)止損 CYC:=BARSLAST(DATE>REF(DATE,1))+1; //統(tǒng)計(jì)日內(nèi)K線數(shù)// m.kzuj.com.cn HH:=VALUEWHEN(TIME<=91500+NMIN*100,HHV(H,CYC)); {在從開盤到設(shè)定時(shí)間(默認(rèn)參數(shù)開盤39分)內(nèi)保存當(dāng)天最高價(jià)} LL:=VALUEWHEN(TIME<=91500+NMIN*100,LLV(L,CYC)); {在從開盤到設(shè)定時(shí)間(默認(rèn)參數(shù)開盤39分)內(nèi)保存當(dāng)天最低價(jià) // m.kzuj.com.cn } IF HIGH > HH AND HOLDING<=0 AND FLAG<>1 THEN {如果最高價(jià)突破設(shè)定時(shí)間內(nèi)的前高加設(shè)定偏移并且目前沒有多單,那么} BEGIN MYPRICE: = HH + NOFFSET*MINDIFF; {預(yù)設(shè)進(jìn)場(chǎng)價(jià).既等于設(shè)定時(shí)間內(nèi)的前高加設(shè)定偏移} IF C >= MYPRICE THEN BEGIN MYPRICE: = C; FLAG:=1; SELLSHORT(HOLDING<0,0,LIMITR,MYPRICE); {如果有空單先平} BUY(HOLDING=0,LOTS,LIMITR,MYPRICE); {如果沒有多單則以開盤價(jià)開多LOTS手 } IF C<=HH-STOPSET*MINDIFF THEN SELL(HOLDING>0,0,LIMITR,C-NOFFSET*MINDIFF); // m.kzuj.com.cn IF C>=HH+STOPSET*MINDIFF THEN STOP_P:=4; IF C<=HH+STOP_P*MINDIFF THEN SELL(HOLDING>0,0,LIMITR,C-NOFFSET*MINDIFF); IF C>=HH*1.03 THEN SELL(HOLDING>0,0,LIMITR,C-NOFFSET*MINDIFF); END END IF LOW <= LL AND HOLDING>=0 AND FLAG<>3 THEN {以下開空部分同上,只不過方向相反} BEGIN MYPRICE: = LL - NOFFSET*MINDIFF; IF C <= MYPRICE THEN BEGIN MYPRICE: = C; FLAG:=3; SELL(HOLDING>0,0,LIMITR,MYPRICE); BUYSHORT(HOLDING=0,LOTS,LIMITR,MYPRICE); IF C>=LL+STOPSET*MINDIFF THEN SELLSHORT(HOLDING<0,0,LIMITR,C+NOFFSET*MINDIFF); IF C<=LL-STOPSET*MINDIFF THEN STOP_P:=4; IF C>=LL-STOP_P*MINDIFF THEN SELLSHORT(HOLDING<0,0,LIMITR,C+NOFFSET*MINDIFF); IF C<=LL*0.97 THEN SELLSHORT(HOLDING<0,0,LIMITR,C+NOFFSET*MINDIFF); END END IF TIME >= 151000 THEN {收盤平倉(cāng)} BEGIN SELL(HOLDING>0,0,LIMITR,C-NOFFSET*MINDIFF); // m.kzuj.com.cn SELLSHORT(HOLDING<0,0,LIMITR,C+NOFFSET*MINDIFF); END
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