相關標簽:日內交易策略，黃金外匯日內交易策略，日內期貨交易 策略，期貨日內超級短線交易，日內短線期貨交易系統(tǒng)，股指期貨日內交易系統(tǒng)，頂?shù)棕斏袢諆冉灰紫到y(tǒng)，日內五分鐘交易系統(tǒng)，哈里的日內策略，

模型策略源碼：runmode:0; input:waitperiodmins(30); input:inittradesendtime(143000); input:liqrevendtime(110000); input:thrustprcnt1(0.3); input:thrustprcnt2(0.6); input:breakoutprcnt(0.25); input:failedbreakoutprcnt(0.25); input:protstopprcnt1(0.25); input:protstopprcnt2(0.15); input:protstopamt(3); input:breakevenprcnt(0.5); input:avgrnglength(10); input:avgoclength(10); variable:averagerange=0; variable:averageocrange=0; variable:cantrade=0; variable:buyeasierday=false; variable:selleasierday=false; variable:buybopoint=0; variable:sellbopoint=0; variable:longbreakpt=0; variable:shortbreakpt=0; variable:longfbopoint=0; variable:shortfbopoint=0; variable:barcount=0; variable:intrahigh=0; variable:intralow=999999; variable:buystoday=0; variable:sellstoday=0; variable:currtrdtype=0; variable:longliqpoint=0; variable:shortliqpoint=0; variable:yesterdayocrrange=0; variable:intratradehigh=0; variable:intratradelow=999999; //來源 m.kzuj.com.cn m1:=ref(ma(callstock(stklabel,vthigh,6,0)-callstock(stklabel,vtlow,6,0),10),1); m2:=ref(ma(abs(callstock(stklabel,vtopen,6,0)-callstock(stklabel,vtclose,6,0)),10),1); m3:=ref(llv(low,3),1); m4:=ref(hhv(high,3),1); if date>ref(date,1) then begin averagerange:=m1; yesterdayocrrange:=abs(open-close); averageocrange:=m2; cantrade:=0; if yesterdayocrrange<0.85*averageocrange then cantrade:=1; buyeasierday:=false; selleasierday:=false; if callstock(stklabel,vtclose,6,-1)<=callstock(stklabel,vtclose,6,-2) then buyeasierday:=true; if callstock(stklabel,vtclose,6,-1)>callstock(stklabel,vtclose,6,-2) then selleasierday:=true; if buyeasierday then begin buybopoint:=callstock(stklabel,vtopen,6,0)+thrustprcnt1*averagerange; sellbopoint:=callstock(stklabel,vtopen,6,0)-thrustprcnt2*averagerange; end if selleasierday then begin sellbopoint:=callstock(stklabel,vtopen,6,0)-thrustprcnt1*averagerange; buybopoint:=callstock(stklabel,vtopen,6,0)+thrustprcnt2*averagerange; end longbreakpt:=callstock(stklabel,vthigh,6,-1)+breakoutprcnt*averagerange; shortbreakpt:=callstock(stklabel,vtlow,6,-1)-breakoutprcnt*averagerange; shortfbopoint:=callstock(stklabel,vthigh,6,-1)-failedbreakoutprcnt*averagerange; longfbopoint:=callstock(stklabel,vtlow,6,-1)+failedbreakoutprcnt*averagerange; barcount:=0; intrahigh:=0; intralow:=999999; buystoday:=0; sellstoday:=0; currtrdtype:=0; end if high>intrahigh then intrahigh:=high; if low<intralow then intralow:=low; barcount:=barcount+1; if barcount>waitperiodmins/datatype and cantrade=1 then begin if holding=0 then begin intratradehigh:=0; intratradelow:=999999; end if holding>0 then begin intratradehigh:=max(intratradehigh,high); buystoday:=1; end if holding<0 then begin intratradelow:=min(intratradelow,low); sellstoday:=1; end if buystoday=0 and time<inittradesendtime then LBreakOut:buy(1,1,stop,buybopoint); if sellstoday=0 and time<inittradesendtime then SBreakout:sellshort(1,1,stop,sellbopoint); if intrahigh>longbreakpt and sellstoday=0 and time<inittradesendtime then SfailedBO:sellshort(1,1,stop,shortfbopoint); if intralow<shortbreakpt and buystoday=0 and time<inittradesendtime then BfeiledBO:buy(1,1,stop,longfbopoint); if holding>0 then begin longliqpoint:=enterprice-protstopprcnt1*averagerange; longliqpoint:=min(longliqpoint,enterprice-protstopamt); if ref(holding,1)<0 and enterbars>=1 and ref(high,1)>=shortliqpoint and shortliqpoint<shortfbopoint then currtrdtype:=-2; if currtrdtype=-2 then begin longliqpoint:=enterprice-protstopprcnt2*averagerange; longliqpoint:=min(longliqpoint,enterprice-protstopamt); end if intratradehigh>=enterprice+breakevenprcnt*averagerange then longliqpoint:=enterprice; if time>=inittradesendtime then longliqpoint:=max(longliqpoint,m3); if time<liqrevendtime and sellstoday=0 and longliqpoint<>enterprice and enterbars>=4 then begin LongLiqRev:sellshort(1,1,stop,longliqpoint); end else begin LongLiq:sell(1,1,stop,longliqpoint); end end if holding<0 then begin shortliqpoint:=enterprice+protstopprcnt1*averagerange; shortliqpoint:=max(shortliqpoint,enterprice+protstopamt); if ref(holding,1)<0 and enterbars>=1 and ref(low,1)<longliqpoint and longliqpoint>longfbopoint then currtrdtype:=2; if currtrdtype=2 then begin shortliqpoint:=enterprice+protstopprcnt2*averagerange; shortliqpoint:=max(shortliqpoint,enterprice+protstopamt); end if intratradelow<=enterprice-breakevenprcnt*averagerange then shortliqpoint:=enterprice; if time>=inittradesendtime then shortliqpoint:=min(shortliqpoint,m4); if time<liqrevendtime and buystoday=0 and shortliqpoint<>enterprice and enterbars>=4 then begin ShortLiqRev:buy(1,1,stop,shortliqpoint); end else begin ShortLiq:sellshort(1,1,stop,shortliqpoint); end end end if time>=closetime(0) then begin sell(1,holding,limitr,close); sellshort(1,holding,limitr,close); end 盈虧:asset-500000,noaxis,coloryellow,linethick2;
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源碼解析:

輸出RUNMODE:0
輸出INPUT:WAITPERIODMINS(30)
輸出INPUT:INITTRADESENDTIME(143000)
輸出INPUT:LIQREVENDTIME(110000)
輸出INPUT:THRUSTPRCNT1(0.3)
輸出INPUT:THRUSTPRCNT2(0.6)
輸出INPUT:BREAKOUTPRCNT(0.25)
輸出INPUT:FAILEDBREAKOUTPRCNT(0.25)
輸出INPUT:PROTSTOPPRCNT1(0.25)
輸出INPUT:PROTSTOPPRCNT2(0.15)
輸出INPUT:PROTSTOPAMT(3)
輸出INPUT:BREAKEVENPRCNT(0.5)
輸出INPUT:AVGRNGLENGTH(10)
輸出INPUT:AVGOCLENGTH(10)
輸出VARIABLE:AVERAGERANGE=0
輸出VARIABLE:AVERAGEOCRANGE=0
輸出VARIABLE:CANTRADE=0
輸出VARIABLE:BUYEASIERDAY=FALSE
輸出VARIABLE:SELLEASIERDAY=FALSE
輸出VARIABLE:BUYBOPOINT=0
輸出VARIABLE:SELLBOPOINT=0
輸出VARIABLE:LONGBREAKPT=0
輸出VARIABLE:SHORTBREAKPT=0
輸出VARIABLE:LONGFBOPOINT=0
輸出VARIABLE:SHORTFBOPOINT=0
輸出VARIABLE:BARCOUNT=0
輸出VARIABLE:INTRAHIGH=0
輸出VARIABLE:INTRALOW=999999
輸出VARIABLE:BUYSTODAY=0
輸出VARIABLE:SELLSTODAY=0
輸出VARIABLE:CURRTRDTYPE=0
輸出VARIABLE:LONGLIQPOINT=0
輸出VARIABLE:SHORTLIQPOINT=0
輸出VARIABLE:YESTERDAYOCRRANGE=0
輸出VARIABLE:INTRATRADEHIGH=0
輸出VARIABLE:INTRATRADELOW=999999
M1賦值:昨日CALLSTOCK(STKLABEL,VTHIGH,6,0)-CALLSTOCK(STKLABEL,VTLOW,6,0)的10日簡單移動平均
M2賦值:昨日CALLSTOCK(STKLABEL,VTOPEN,6,0)-CALLSTOCK(STKLABEL,VTCLOSE,6,0)的絕對值的10日簡單移動平均
M3賦值:昨日3日內最低價的最低值
M4賦值:昨日3日內最高價的最高值
AVERAGERANGE賦值:M1
GE賦值:開盤價-收盤價的絕對值
AVERAGEOCRANGE賦值:M2
CANTRADE賦值:0
CANTRADE賦值:1
BUYEASIERDAY賦值:FALSE
SELLEASIERDAY賦值:FALSE
BUYEASIERDAY賦值:TRUE
SELLEASIERDAY賦值:TRUE
BUYBOPOINT賦值:CALLSTOCK(STKLABEL,VTOPEN,6,0)+THRUSTPRCNT1*AVERAGERANGE
SELLBOPOINT賦值:CALLSTOCK(STKLABEL,VTOPEN,6,0)-THRUSTPRCNT2*AVERAGERANGE
SELLBOPOINT賦值:CALLSTOCK(STKLABEL,VTOPEN,6,0)-THRUSTPRCNT1*AVERAGERANGE
BUYBOPOINT賦值:CALLSTOCK(STKLABEL,VTOPEN,6,0)+THRUSTPRCNT2*AVERAGERANGE
LONGBREAKPT賦值:CALLSTOCK(STKLABEL,VTHIGH,6,-1)+BREAKOUTPRCNT*AVERAGERANGE
SHORTBREAKPT賦值:CALLSTOCK(STKLABEL,VTLOW,6,-1)-BREAKOUTPRCNT*AVERAGERANGE
SHORTFBOPOINT賦值:CALLSTOCK(STKLABEL,VTHIGH,6,-1)-FAILEDBREAKOUTPRCNT*AVERAGERANGE
LONGFBOPOINT賦值:CALLSTOCK(STKLABEL,VTLOW,6,-1)+FAILEDBREAKOUTPRCNT*AVERAGERANGE
BARCOUNT賦值:0
INTRAHIGH賦值:0
INTRALOW賦值:999999
BUYSTODAY賦值:0
SELLSTODAY賦值:0
CURRTRDTYPE賦值:0
INTRAHIGH賦值:最高價
INTRALOW賦值:最低價
BARCOUNT賦值:BARCOUNT+1
INTRATRADEHIGH賦值:0
INTRATRADELOW賦值:999999
INTRATRADEHIGH賦值:INTRATRADEHIGH和最高價的較大值
BUYSTODAY賦值:1
INTRATRADELOW賦值:INTRATRADELOW和最低價的較小值
SELLSTODAY賦值:1
輸出 END  邏輯判斷 BUYSTODAY=0 AND 時間<INITTRADESENDTIME THEN  LBREAKOUT:BUY(1,1,STOP,BUYBOPOINT)
輸出   邏輯判斷 SELLSTODAY=0 AND 時間<INITTRADESENDTIME THEN  SBREAKOUT:SELLSHORT(1,1,STOP,SELLBOPOINT)
輸出    邏輯判斷 INTRAHIGH>LONGBREAKPT AND SELLSTODAY=0 AND 時間<INITTRADESENDTIME THEN  SFAILEDBO:SELLSHORT(1,1,STOP,SHORTFBOPOINT)
輸出   邏輯判斷 INTRALOW<SHORTBREAKPT AND BUYSTODAY=0 AND 時間<INITTRADESENDTIME THEN  BFEILEDBO:BUY(1,1,STOP,LONGFBOPOINT)
LONGLIQPOINT賦值:ENTERPRICE-PROTSTOPPRCNT1*AVERAGERANGE
LONGLIQPOINT賦值:LONGLIQPOINT和ENTERPRICE-PROTSTOPAMT的較小值
CURRTRDTYPE賦值:-2
LONGLIQPOINT賦值:ENTERPRICE-PROTSTOPPRCNT2*AVERAGERANGE
LONGLIQPOINT賦值:LONGLIQPOINT和ENTERPRICE-PROTSTOPAMT的較小值
LONGLIQPOINT賦值:ENTERPRICE
LONGLIQPOINT賦值:LONGLIQPOINT和M3的較大值
輸出     邏輯判斷 時間<LIQREVENDTIME AND SELLSTODAY=0 AND LONGLIQPOINT<>ENTERPRICE AND ENTERBARS>=4 THEN BEGIN   LONGLIQREV:SELLSHORT(1,1,STOP,LONGLIQPOINT)
輸出  END ELSE BEGIN   LONGLIQ:SELL(1,1,STOP,LONGLIQPOINT)
SHORTLIQPOINT賦值:ENTERPRICE+PROTSTOPPRCNT1*AVERAGERANGE
SHORTLIQPOINT賦值:SHORTLIQPOINT和ENTERPRICE+PROTSTOPAMT的較大值
CURRTRDTYPE賦值:2
SHORTLIQPOINT賦值:ENTERPRICE+PROTSTOPPRCNT2*AVERAGERANGE
SHORTLIQPOINT賦值:SHORTLIQPOINT和ENTERPRICE+PROTSTOPAMT的較大值
SHORTLIQPOINT賦值:ENTERPRICE
SHORTLIQPOINT賦值:SHORTLIQPOINT和M4的較小值
輸出     邏輯判斷 時間<LIQREVENDTIME AND BUYSTODAY=0 AND SHORTLIQPOINT<>ENTERPRICE AND ENTERBARS>=4 THEN BEGIN   SHORTLIQREV:BUY(1,1,STOP,SHORTLIQPOINT)
輸出  END ELSE BEGIN   SHORTLIQ:SELLSHORT(1,1,STOP,SHORTLIQPOINT)
  END    ENDENDIF 時間>=CLOSETIME(0) THEN BEGIN SELL(1,HOLDING,LIMITR,收盤價)
 SELLSHORT(1,HOLDING,LIMITR,收盤價)
輸出END盈虧:ASSET-500000,NOAXIS,畫黃色,線寬為2