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模型策略源碼：
 

input:P(26,20,100,8);
input:S(12,5,40,4);

input:B1(26,5,300,30);
input:B2(2,0.1,10,1);

input:N2(10,1,120,12);
input:N3(20,1,200,20);
input:N4(60,1,200,20);

ma2:=ma(c,n2);
ma3:=ma(c,n3);
ma4:=ma(c,n4);

MID := MA(CLOSE,B1);
UPPER:= MID + B2*STD(CLOSE,B1);
LOWER:= MID - B2*STD(CLOSE,B1),colorred;

diff := EMA(CLOSE,S) - EMA(CLOSE,P);

variable:vmin = 090000;//用于隔夜高開或低開時(shí)間差

if (abs(o-ref(c,1))>=20*MINDIFF AND time>090000 and time<090400) then vmin := 091500;

//開多倉條件：
BOPEON1:=c>upper and diff>0 and c>o and c>ma4 AND HOLDING=0 AND time>vmin AND time<144800;

//平多倉條件：
BLIQCON:=holding>0 and cross(ma3,ma2);

//開空倉條件：
SOPCON1:=c<lower and diff<0 and c<o and c<ma4 AND HOLDING=0 AND time>vmin AND time<144800;

//平空倉條件：
SLIQCON:=holding<0 and cross(ma2,ma3);

buy(BOPEON1,1,market);
sell(BLIQCON,holding,market);
buyshort(SOPCON1,1,market);
sellshort(SLIQCON,holding,market);

//收盤前平倉
sell(time>145400 and holding>0,holding,market);
sellshort(time>145400 and holding<0,holding,market);

可用現(xiàn)金:CASH(0),LINETHICK0;
持倉:HOLDING,LINETHICK0;
資產(chǎn):ASSET,LINETHICK0;

 

 

 

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源碼解析：

MA2賦值:收盤價(jià)的N2日簡(jiǎn)單移動(dòng)平均
MA3賦值:收盤價(jià)的N3日簡(jiǎn)單移動(dòng)平均
MA4賦值:收盤價(jià)的N4日簡(jiǎn)單移動(dòng)平均
賦值: 收盤價(jià)的B1日簡(jiǎn)單移動(dòng)平均
UPPER賦值: MID + B2*收盤價(jià)的B1日估算標(biāo)準(zhǔn)差
LOWER賦值: MID - B2*收盤價(jià)的B1日估算標(biāo)準(zhǔn)差,畫紅色
賦值: 收盤價(jià)的S日指數(shù)移動(dòng)平均 - 收盤價(jià)的P日指數(shù)移動(dòng)平均
輸出VARIABLE:VMIN = 090000
賦值: 091500
EON1賦值:收盤價(jià)>UPPER AND DIFF>0 AND 收陽線AND 收盤價(jià)>MA4 AND HOLDING=0 AND 時(shí)間>VMIN AND 時(shí)間<144800
QCON賦值:HOLDING>0 AND MA3上穿MA2
CON1賦值:收盤價(jià)<LOWER AND DIFF<0 AND 收陰線AND 收盤價(jià)<MA4 AND HOLDING=0 AND 時(shí)間>VMIN AND 時(shí)間<144800
QCON賦值:HOLDING<0 AND MA2上穿MA3
BUY(BOPEON1,1,MARKET)
SELL(BLIQCON,HOLDING,MARKET)
BUYSHORT(SOPCON1,1,MARKET)
SELLSHORT(SLIQCON,HOLDING,MARKET)
//收盤前平倉SELL(時(shí)間>145400 AND HOLDING>0,HOLDING,MARKET)
SELLSHORT(時(shí)間>145400 AND HOLDING<0,HOLDING,MARKET)
輸出可用現(xiàn)金:CASH(0),線寬為0
輸出持倉:HOLDING,線寬為0
輸出資產(chǎn):ASSET,線寬為0
 //程序化交易 m.kzuj.com.cn