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模型策略源碼：
 

VARIABLE: MAE=0，MFE=0;

INPUT:DAYLONG(40,4,400,4);//DAYLONG個(gè)周期后平倉(cāng)

//簡(jiǎn)單模型

UP:HHV(H,40);
LONG:=REF(UP,1);

IF HOLDING＜＞0 THEN
BEGIN
IF ENTERBARS＞=DAYLONG AND HOLDING＞0 THEN SELL(1,1,thisclose);
END

 //程序化交易 m.kzuj.com.cn

ELSE THEN
BEGIN
IF H＞=LONG AND HOLDING=0 THEN BUY(1,1,STOPR,LONG);
END

//開(kāi)始取MAE和MFE

IF REF(HOLDING,1)=0 THEN GOTO DONE;
PP:=OPENPROFIT,LINETHICK0;
浮動(dòng)盈虧:PP,LINETHICK0;

IF PP＞0 AND HOLDING＜＞0 THEN
BEGIN
IF PP＞MAE THEN MAE:=PP;
END

ELSE THEN
BEGIN
IF PP＜MFE THEN MFE:=PP;
END

//程序化交易 m.kzuj.com.cn
DONE@ AA:=IFELSE(EXITBARS=0,MAE,0),LINETHICK0;
BB:=IFELSE(EXITBARS=0,MFE,0),LINETHICK0;
當(dāng)筆交易MAE:AA,LINETHICK0;
當(dāng)筆交易MFE:BB,LINETHICK0;

IF EXITBARS=0 THEN
BEGIN
MAE:=0;
MFE:=0;
END
SMAE:=SUM(AA,0),LINETHICK0;
SMFE:=SUM(BB,0),LINETHICK0;
RATIO:=ABS(SMAE/SMFE),LINETHICK0;
MAE/MFE比率:RATIO,NODRAW,COLORRED;
//TT:TOTALTRADE,LINETHICK0;
//SS:SUM(RATIO,0),LINETHICK0;
//ARATIO:SS/TT,LINETHICK0;

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源碼解析：

輸出VARIABLE: MAE=0，MFE=0
輸出 INPUT:DAYLONG(40,4,400,4)
輸出//DAYLONG個(gè)周期后平倉(cāng) //簡(jiǎn)單模型 UP:40日內(nèi)最高價(jià)的最高值
LONG賦值:昨日UP
 邏輯判斷 HOLDING＜＞0 THEN BEGIN 邏輯判斷 ENTERBARS＞=DAYLONG AND HOLDING＞0 THEN SELL(1,1,THISCLOSE)
 END ELSE THEN BEGIN 邏輯判斷 H＞=LONG AND HOLDING=0 THEN BUY(1,1,STOPR,LONG)
 END //開(kāi)始取MAE和MFE 邏輯判斷 昨日HOLDING=0 THEN GOTO DONE
PP賦值:OPENPROFIT,線寬為0
輸出 浮動(dòng)盈虧:PP,線寬為0
MAE賦值:PP
MFE賦值:PP
AA賦值:IFELSE(EXITBARS=0,MAE,0),線寬為0
BB賦值:IFELSE(EXITBARS=0,MFE,0),線寬為0
輸出 當(dāng)筆交易MAE:AA,線寬為0
輸出 當(dāng)筆交易MFE:BB,線寬為0
MAE賦值:0
MFE賦值:0
SMAE賦值:AA的歷史累和,線寬為0
SMFE賦值:BB的歷史累和,線寬為0
RATIO賦值:SMAE/SMFE的絕對(duì)值,線寬為0
輸出 MAE/MFE比率:RATIO,NODRAW,畫紅色
輸出 //TT:TOTALTRADE,線寬為0
輸出 //SS:RATIO的歷史累和,線寬為0
輸出 //ARATIO:SS/TT,線寬為0