博客测试文章

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二级标题

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public static List<int[]> 峰谷反做(string solName, bool history, int bLot, double minMove, int startI,
            List<Bar> bars, bool arbi, string strgName, Dictionary<string, Prm> prms, ref SigData sigData, ref string error)
        {
            #region //读取参数
            int barsN = bars.Count;
            if (arbi) minMove = 1;
            double X = doubleParam("X", strgName, prms, ref error); if (error == null) return null; //上下多少点截单（<=0时无效）
            if (X <= 0)
            {
                error += "峰谷反做策略的X必须大于0";
                return null;
            }
            double Q = doubleParam("Q", strgName, prms, ref error, 1.6); if (error == null) return null; //硬止损是X的多少倍（<=0时，没有硬止损）
            int 盘口差跳数 = intParam("盘口差跳数", strgName, prms, ref error, 1); if (error == null) return null; //盘口差跳数
            int 清仓时间 = intParam("清仓时间", strgName, prms, ref error, -1); if (error == null) return null;
            //在测试中，当前K线起始时间小于此值，下一根K线起始时间达到此值或下一根K线起始日期大于当前K线起始日期时，当前K线清仓并不再下单，但下一根K线会恢复下单权限
            //在实盘中，当前K线起始时间小于此值、当前tick时间达到此值时，清仓，当前K线清仓并不再下单，但下一根K线会恢复下单权限
            //例如，中国大陆期货1分钟K线，如果打算隔夜清仓，可把清仓时间设为145950，否则设为-1
            #endregion
            #region //测试
            List<int[]> newSigIJs = new List<int[]>();
            bool isTick = false; //此策略不用于tick周期
            int progressBarMax = 0;
            if (history)
            {
                progressBarMax = callback.getProgressBarMax();
                callback.setProgressBarMax(barsN);
                callback.setProgress(0);
            }
            for (int i = startI; i < barsN; i++)
            {
                #region //每根K线的基本操作
                if (history && i % 1000 == 0)
                {
                    callback.setProgressBarText("方案【" + solName + "】生成信号，遍历第" + (i + 1).ToString() + "根K线（共" + barsN.ToString() + "根）");
                    callback.setProgress(i + 1);
                }
                string info = String.Empty; string Info = String.Empty;
                bool barStart = false; //是否首次访问i号K线
                if (i > StrgMng.getLastBarI(sigData))
                {
                    barStart = true;
                    StrgMng.setLastBarI(ref sigData, i);
                }
                int date = bars[i].date; double time = bars[i].time;
                double C = bars[i].C; double O = bars[i].O;
                double H = bars[i].H; double L = bars[i].L;
                double lastC = i - 1 >= 0 ? bars[i - 1].C : O; double lastO = i - 1 >= 0 ? bars[i - 1].O : O;
                double lastH = i - 1 >= 0 ? bars[i - 1].H : O; double lastL = i - 1 >= 0 ? bars[i - 1].L : O;
                //double lastLastC = i - 2 >= 0 ? bars[i - 2].C : lastO; double lastLastO = i - 2 >= 0 ? bars[i - 2].O : lastO;
                //double lastLastH = i - 2 >= 0 ? bars[i - 2].H : lastO; double lastLastL = i - 2 >= 0 ? bars[i - 2].L : lastO;
                //double lastLastLastC = i - 3 >= 0 ? bars[i - 3].C : lastLastO; double lastLastLastO = i - 3 >= 0 ? bars[i - 3].O : lastLastO;
                //double lastLastLastLastC = i - 4 >= 0 ? bars[i - 4].C : lastLastLastO; double lastLastLastLastO = i - 4 >= 0 ? bars[i - 4].O : lastLastLastO;
                if (barStart) updateSuperWave(i, C, O, lastC, lastH, lastL, isTick, minMove, ref sigData, ref info);
                //在每根K线的开头更新波峰波谷（在此策略的sigData中，superH表示波峰，superL表示波谷）
                #endregion
                #region //判断转势
                int lastTrend = sigData.superTrend;
                double turnLine = Double.MinValue; //假如在当前K线转势，转势线的价格是多少
                bool turnUp = false; //当前K线是否发生了向上转势
                bool turnDown = false; //当前K线是否发生了向下转势
                if (i > StrgMng.getSuperTurnI(sigData))
                {
                    if (sigData.superTrend == 0) //尚无趋势时如何定趋势
                    {
                        sigData.backShortLine = sigData.superL.price + X;
                        sigData.backBuyLine = sigData.superH.price - X;
                        turnLine = sigData.backShortLine;
                        if (H > turnLine)
                        {
                            turnUp = true;
                        }
                        else
                        {
                            turnLine = sigData.backBuyLine;
                            if (L < turnLine) turnDown = true;
                        }
                    }
                    else if (sigData.superTrend < 0) //趋势向下时如何向上转势
                    {
                        turnLine = sigData.superL.price + X;
                        sigData.backShortLine = turnLine;
                        if (!turnUp && H > turnLine) turnUp = true;
                    }
                    else //if (sigData.superTrend > 0) //趋势向上时如何向下转势
                    {
                        turnLine = sigData.superH.price - X;
                        sigData.backBuyLine = turnLine;
                        if (!turnDown && L < turnLine) turnDown = true;
                    }
                }
                if (turnUp) //向上转势后更新相关变量
                {
                    bool up = true; string signText = String.Empty;
                    superTurn(up, isTick, i, bars, i, turnLine, signText, minMove, ref sigData, ref Info);
                }
                else if (turnDown) //向下转势后更新相关变量
                {
                    bool up = false; string signText = String.Empty;
                    superTurn(up, isTick, i, bars, i, turnLine, signText, minMove, ref sigData, ref Info);
                }
                #endregion
                #region //交易
                #region //隔夜清仓
                if (清仓时间 >= 0)
                {
                    if (barStart && StrgMng.getForbidden(sigData)) StrgMng.setForbidden(ref sigData, false);
                    if (history)
                    {
                        int nextBarDate = 0; double nextBarTime = -1;
                        if (i < barsN - 1)
                        {
                            Bar nextBar = bars[i + 1];
                            nextBarDate = nextBar.date; nextBarTime = nextBar.time;
                        }
                        bool needClear = false;
                        if (time < 清仓时间)
                        {
                            if (nextBarDate > 0 && nextBarTime >= 0)
                            {
                                if (nextBarDate > date) needClear = true;
                                else if (nextBarTime >= 清仓时间) needClear = true;
                            }
                            else
                            {
                                needClear = true;
                            }
                        }
                        if (needClear && !StrgMng.getForbidden(sigData))
                        {
                            StrgMng.setForbidden(ref sigData, true);
                            if (sigData.shortVol > 0)
                            {
                                double tradablePrice = Num.formatPrice(C + 盘口差跳数 * minMove, minMove, 1);
                                Cover(i, date, time, sigData.shortVol, tradablePrice, "隔夜平", false, ref sigData, ref newSigIJs);
                            }
                            if (sigData.longVol > 0)
                            {
                                double tradablePrice = Num.formatPrice(C - 盘口差跳数 * minMove, minMove, -1);
                                Sell(i, date, time, sigData.longVol, tradablePrice, "隔夜平", false, ref sigData, ref newSigIJs);
                            }
                        }
                    }
                    else
                    {
                        if (!StrgMng.getForbidden(sigData) && time < 清仓时间 && Num.getTime() >= 清仓时间)
                        {
                            StrgMng.setForbidden(ref sigData, true);
                            if (sigData.shortVol > 0)
                            {
                                double tradablePrice = Num.formatPrice(C + 盘口差跳数 * minMove, minMove, 1);
                                Cover(i, date, time, sigData.shortVol, tradablePrice, "隔夜平", false, ref sigData, ref newSigIJs);
                            }
                            else if (sigData.longVol > 0)
                            {
                                double tradablePrice = Num.formatPrice(C - 盘口差跳数 * minMove, minMove, -1);
                                Sell(i, date, time, sigData.longVol, tradablePrice, "隔夜平", false, ref sigData, ref newSigIJs);
                            }
                        }
                    }
                }
                #endregion
                #region //其他
                if (turnUp) //向上转势时
                {
                    bool B = false;
                    峰谷反做下单(B, turnLine, i, O, date, time, 盘口差跳数, minMove, bLot, X, Q, ref sigData, ref newSigIJs);
                }
                else if (turnDown) //向下转势时
                {
                    bool B = true;
                    峰谷反做下单(B, turnLine, i, O, date, time, 盘口差跳数, minMove, bLot, X, Q, ref sigData, ref newSigIJs);
                }
                bool 倒N形出场 = false; bool 继承开仓标记 = true; bool 改开仓标记 = false; bool 标平仓性质 = true;
                double 保本比例 = 0; double ATR = StrgMng.errorIndValue;
                List<int[]> closedOpenSigIJs = close(bars, i, 盘口差跳数, minMove, ATR, 保本比例, 0, 倒N形出场, 继承开仓标记, 改开仓标记, 标平仓性质, ref sigData, ref newSigIJs);
                if (history) closeBeforeGap(i, minMove, bars, ref sigData, ref newSigIJs); //在回测中，在更换主力合约的大跳空之前清仓
                #endregion
                #endregion
                setBarInfo(i, info, Info, ref sigData);
            }
            if (history)
            {
                callback.setProgressBarMax(progressBarMax);
                callback.setProgress(0);
            }
            return newSigIJs;
            #endregion
        }