原版海龜策略（TB版）

原版海龜策略（TB版）策略信號代碼：ParamsNumericCapital(1000000);//初始資金;NumericDateStart(20120101);//此日的開盤將資金初始化為Capital;NumericDirection(0);//多空信號過濾條件,值為0不過濾,值為1只做多,值為1只做空;NumericRiskRatio(1);//%RiskPerN(0-100)NumericLengthAtr(20);//平均波動周期ATRLengthNumericLengthFast(20);//短周期BreakOutLengthNumericLengthSlow(55);//長周期FailSafeLengthNumericLengthExit(10);//離市周期TrailingExitLengthBoolLastProfitableTradeFilter(True);//使用入市過濾條件VarsNumericMinPoint;//最小變動單位NumericSeriesN;//N值NumericSeriesTotalEquity;//按最新收盤價計算出的總資產(chǎn)NumericSeriesTurtleUnits;//交易單位NumericSeriesDonchianFastUpper;//短周期唐奇安通道上軌,長度LengthFast;NumericSeriesDonchianFastLower;//短周期唐奇安通道下軌,長度LengthFast;NumericSeriesDonchianSlowUpper;//長周期唐奇安通道上軌,長度LengthSlow;NumericSeriesDonchianSlowLower;//長周期唐奇安通道下軌,長度LengthSlow;NumericSeriesDonchianExitUpper;//離市時判斷需要的N周期最高價,長度LengthExit;NumericSeriesDonchianExitLower;//離市時判斷需要的N周期最低價,長度LengthExit;NumericSeriesMyPrice;NumericSeriesMyExitPrice;//平倉價格NumericSeriespreEntryPrice(0);//前一次開倉的價格BoolSeriesPreBreakoutFailure(false);//前一次突破是否失敗BoolSendOrderThisBar(False);//當(dāng)前Bar有過交易NumericSeriesAtrAve;//記錄日線級別長度為lengthAtr的平均真實(shí)波幅;NumericSeriesDayHigh;//一天中的最高價;NumericSeriesDayLow;//一天中的最低價;Numerici;//循環(huán)計算所需指針;NumericSeriesAtr(0);//當(dāng)天的ATRNumericAtrIndex(0);//存儲真實(shí)波幅的全局變量的環(huán)的索引值;NumericSeriesDayCount(0);//交易日數(shù);NumericSeriesCloseD_1;//上一個交易日收盤價,過度CloseD(1);NumericSeriesMyBarsSinceToday;//過度BarsSinceToday;NumericSeriesCapitalCurrent;//調(diào)整資產(chǎn)規(guī)模后的最新資產(chǎn);NumericSeriesCapitalPeak;//調(diào)整資產(chǎn)規(guī)模后的最新資產(chǎn)峰值;NumericSeriesProfitClosing;//平倉盈虧;NumericSeriesLotsTotal(0);//持倉手?jǐn)?shù);NumericSeriesMyAvgEntryPrice;//持倉均價;NumericSeriesTimesOverWeight(0);//加倉次數(shù)記錄;BeginMinPoint=MinMove*PriceScale;MyBarsSinceToday=BarsSinceToday;CloseD_1=CloseD(1);if(BarsSinceToday==0){DayCount=DayCount+1;//記錄交易日數(shù);DayHigh=High;DayLow=Low;//從第二個交易日開始記錄;if(DayCount>=2){//前一日真實(shí)波幅;Atr=max(max(Abs(DayHigh[1]-CloseD_1),Abs(DayLow[1]-CloseD_1)),DayHigh[1]-DayLow[1]);//存儲前一天的Atr到全局變量環(huán)0-19;AtrIndex=(DayCount-2)%LengthAtr;SetGlobalVar(AtrIndex,Atr[1]);}//從第LengthAtr+1個交易日開始計算;if(DayCount>=LengthAtr+1){//計算日線級別長度為LengthAtr的平均真實(shí)波幅;AtrAve=0;fori=0toLengthAtr-1{AtrAve=AtrAve+getGlobalVar(i);}AtrAve=AtrAve/LengthAtr;N=IntPart(AtrAve);DonchianFastUpper=Highest(DayHigh[1],(LengthAtr-0.1)*(MyBarsSinceToday[1]+1));DonchianFastLower=Lowest(DayLow[1],(LengthAtr-0.1)*(MyBarsSinceToday[1]+1));DonchianSlowUpper=Highest(DayHigh[1],(LengthSlow-0.1)*(MyBarsSinceToday[1]+1));DonchianSlowLower=Lowest(DayLow[1],(LengthSlow-0.1)*(MyBarsSinceToday[1]+1));DonchianExitUpper=Highest(DayHigh[1],(LengthExit-0.1)*(MyBarsSinceToday[1]));DonchianExitLower=Lowest(DayLow[1],(LengthExit-0.1)*(MyBarsSinceToday[1]));}//資產(chǎn)規(guī)模調(diào)整;//如果有設(shè)置初始本金的開始時間;if(Date==DateStartandDateStart!=0andDate!=Date[1]){CapitalCurrent=Capital;//調(diào)整資產(chǎn)規(guī)模后的最新資產(chǎn);Commentary("標(biāo)識:第99行");}//如果沒有設(shè)置初始本金的開始時間;elseif(DateStart==0or(BarStatus==0andDate>DateStart)){CapitalCurrent=Capital;Commentary("標(biāo)識:第105行");}CapitalPeak=Max(Max(Capital,CapitalCurrent[1]),CapitalCurrent+ProfitClosing);//調(diào)整資產(chǎn)規(guī)模后的最新資產(chǎn)峰值;//標(biāo)準(zhǔn)單位頭寸=(最新資產(chǎn)*風(fēng)險比例)/價值波動率TurtleUnits=(CapitalCurrent*RiskRatio/100)/(N*ContractUnit()*BigPointValue());TurtleUnits=IntPart(TurtleUnits);//對小數(shù)取整//PlotString("Units","Units="+Text(TurtleUnits),High+(High-Low),white);//PlotString("N","N="+Text(N),Low-(High-Low)/2,white);}Else{DayHigh=Max(DayHigh,High);DayLow=Min(DayLow,Low);}If(MarketPosition==0andTurtleUnits>=1andDonchianFastUpper>0){//首次入市1:帶過濾條件的,如果過濾條件為真,則需要前一筆交易是否是突破失敗;if(LastProfitableTradeFilter==falseOrPreBreakoutFailure){//開多1:突破短周期唐奇安通道上軌;If(High>DonchianFastUpperandDirection!=-1){MyPrice=Max(Open,DonchianFastUpper)+MinPoint;preEntryPrice=MyPrice;Buy(TurtleUnits,MyPrice);MyExitPrice=MyPrice-2*N;SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=TurtleUnits;TimesOverWeight=1;}//開空1:突破短周期唐奇安通道下軌;if(Low<DonchianFastLowerandDirection!=1){MyPrice=Min(Open,DonchianFastLower)-MinPoint;preEntryPrice=MyPrice;SellShort(TurtleUnits,MyPrice);MyExitPrice=MyPrice+2*N;SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=TurtleUnits;TimesOverWeight=1;}}//首次入市2:過濾條件之外的,長周期唐奇安通道突破開倉;//開多2:突破長周期唐奇安通道上軌;else{if(CrossOver(High,DonchianSlowUpper)andDirection!=-1){MyPrice=Max(Open,DonchianSlowUpper)+MinPoint;preEntryPrice=MyPrice;Buy(TurtleUnits,MyPrice);MyExitPrice=MyPrice-2*N;SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=TurtleUnits;TimesOverWeight=1;}//開空2:突破長周期唐奇安通道下軌;if(CrossUnder(Low,DonchianSlowLower)andDirection!=1){MyPrice=Min(Open,DonchianSlowLower)+MinPoint;preEntryPrice=MyPrice;SellShort(TurtleUnits,MyPrice);MyExitPrice=MyPrice+2*N;SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=TurtleUnits;TimesOverWeight=1;}}}//當(dāng)持有多單;if(MarketPosition==1andTimesOverWeight>0){//離市:價格反向穿越離市的唐奇安通道;if(CrossUnder(Low,DonchianExitLower)){MyPrice=Min(Open,DonchianExitLower)-MinPoint;Sell(0,MyPrice);PreBreakoutFailure=False;//假突破值為假;//PlotBool("突破",PreBreakoutFailure,High,white);ProfitClosing=(MyPrice-MyAvgEntryPrice)*LotsTotal*ContractUnit()*BigPointValue();CapitalCurrent=CapitalCurrent+ProfitClosing;TimesOverWeight=0;LotsTotal=0;}Else{//加倉:如果開盤價就大于最近一次開倉價+0.5*N,則以開盤價發(fā)單;if(Open>LastEntryPrice+0.5*NandTurtleUnits>=1andTimesOverWeight<4){MyPrice=Open;preEntryPrice=MyPrice;Buy(TurtleUnits,MyPrice);SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=LotsTotal+TurtleUnits;TimesOverWeight=TimesOverWeight+1;}//以最高價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉while(High>=preEntryPrice+0.5*NandTimesOverWeight<4){MyPrice=preEntryPrice+0.5*N;preEntryPrice=MyPrice;Buy(TurtleUnits,MyPrice);SendOrderThisBar=True;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=LotsTotal+TurtleUnits;TimesOverWeight=TimesOverWeight+1;}//止損:價格反向穿越最近一次開倉價格-2N;if(Low<LastEntryPrice-2*N){MyPrice=Min(Open,LastEntryPrice-2*N)-MinPoint;Sell(0,MyPrice);PreBreakoutFailure=True;//假突破值為真;//PlotBool("突破",PreBreakoutFailure,High,white);ProfitClosing=(MyPrice-MyAvgEntryPrice)*LotsTotal*ContractUnit()*BigPointValue();CapitalCurrent=CapitalCurrent+ProfitClosing;TimesOverWeight=0;LotsTotal=0;}}}//當(dāng)持有多單;if(MarketPosition==1andTimesOverWeight>0){//離市:價格反向穿越離市的唐奇安通道;if(CrossUnder(Low,DonchianExitLower)){MyPrice=Min(Open,DonchianExitLower)-MinPoint;Sell(0,MyPrice);PreBreakoutFailure=False;//假突破值為假;//PlotBool("突破",PreBreakoutFailure,High,white);ProfitClosing=(MyPrice-MyAvgEntryPrice)*LotsTotal*ContractUnit()*BigPointValue();CapitalCurrent=CapitalCurrent+ProfitClosing;TimesOverWeight=0;LotsTotal=0;}Else{//加倉:如果開盤價就大于最近一次開倉價+0.5*N,則以開盤價發(fā)單;if(Open>LastEntryPrice+0.5*NandTurtleUnits>=1andTimesOverWeight<4){MyPrice=Open;preEntryPrice=MyPrice;Buy(TurtleUnits,MyPrice);SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=LotsTotal+TurtleUnits;TimesOverWeight=TimesOverWeight+1;}//以最高價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉while(High>=preEntryPrice+0.5*NandTimesOverWeight<4){MyPrice=preEntryPrice+0.5*N;preEntryPrice=MyPrice;Buy(TurtleUnits,MyPrice);SendOrderThisBar=True;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=LotsTotal+TurtleUnits;TimesOverWeight=TimesOverWeight+1;}//止損:價格反向穿越最近一次開倉價格-2N;if(Low<LastEntryPrice-2*N){MyPrice=Min(Open,LastEntryPrice-2*N)-MinPoint;Sell(0,MyPrice);PreBreakoutFailure=True;//假突破值為真;//PlotBool("突破",PreBreakoutFailure,High,white);ProfitClosing=(MyPrice-MyAvgEntryPrice)*LotsTotal*ContractUnit()*BigPointValue();CapitalCurrent=CapitalCurrent+ProfitClosing;TimesOverWeight=0;LotsTotal=0;}}}//當(dāng)持有空單;elseif(MarketPosition==-1andTimesOverWeight>0){//離市:價格反向穿越離市的唐奇安通道;if(CrossOver(High,DonchianExitUpper)){MyPrice=Max(Open,DonchianExitUpper)+MinPoint;BuyToCover(0,MyPrice);PreBreakoutFailure=False;//假突破值為假;//PlotBool("突破",PreBreakoutFailure,High,white);ProfitClosing=(MyAvgEntryPrice-MyPrice)*LotsTotal*ContractUnit()*BigPointValue();CapitalCurrent=CapitalCurrent+ProfitClosing;TimesOverWeight=0;LotsTotal=0;}Else{//加倉:與最近一次開倉價格間隔0.5*N開倉;if(Open<LastEntryPrice-0.5*NandTurtleUnits>=1andTimesOverWeight<4){MyPrice=Open;preEntryPrice=MyPrice;SellShort(TurtleUnits,MyPrice);SendOrderThisBar=true;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=LotsTotal+TurtleUnits;TimesOverWeight=0;}//以最低價為標(biāo)準(zhǔn)，判斷能進(jìn)行幾次增倉while(Low<=preEntryPrice-0.5*NandTimesOverWeight<4){MyPrice=preEntryPrice-0.5*N;preEntryPrice=MyPrice;SellShort(TurtleUnits,MyPrice);SendOrderThisBar=True;MyAvgEntryPrice=AvgEntryPrice;LotsTotal=LotsTotal+TurtleUnits;TimesOverWeight=TimesOverWeight+1;}//止損:價格反向穿越最近一次開倉價格+2N;if(High>LastEntryPrice+2*N)