海龟交易法则及头寸

 

VARIABLE:dayCount=1,PositionCount=1,SellSign=0; 
VARIABLE:EntAndExitSign=1,EntPoint=0,ExitPoint=0; 
VARIABLE:N=0; 

MA1:MA(C,5);
MA3:MA(C,10);

M:=MA(TR,20); 
BUYHHV:=HHV(H,20);
SELLLLV:=LLV(L,10);

ss:n,linethick0;

IF BARPOS>=21 THEN BEGIN 
IF BARPOS=21 THEN 
N:=M;
IF DayCount=6 OR BARPOS=21 THEN BEGIN{5天调整N值} 
N:=(19*N+TR)/20;{计算N值} 
DayCount:=2;
END 
DayCount:=DayCount+1; 
EntPoint:=ENTERBARS+1; 
IF EntPoint=EntAndExitSign THEN BEGIN{说明STOP指令买进头寸成功} 
PositionCount:=PositionCount+1;{头寸计数} 
SellSign:=True;{开始以STOP卖出，如果达到指定的价格} 
END 
IF PositionCount=1 THEN BEGIN{第一头寸} 
HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模} 
开1:BUY(H>=BUYHHV,HOW,MARKET);{在20日新高STOP指令买进} 
END 
IF PositionCount=2 THEN BEGIN{如到第二头寸} 
HOW:=CASH(0)*0.01/N;{波动性百分比决定头寸规模} 
开2:BUY(H>=ENTERPRICE+0.5*N,HOW,MARKET);{在上头寸(即第一头寸)+0.5个N以STOP指令买进} 
END 
IF PositionCount=3 THEN BEGIN{如到第三头寸} 
HOW:=CASH(0)*0.01/N; 
开3:BUY(H>=ENTERPRICE+0.5*N,HOW,MARKET);{在上头寸(即第二头寸)+0.5个N以STOP指令买进} 
END 
IF PositionCount=4 THEN BEGIN 
HOW:=CASH(0)*0.01/N; 
开4:BUY(H>=ENTERPRICE+0.5*N,HOW,MARKET); 
END 
IF SellSign=True THEN BEGIN 
    ExitPoint:=EXITBARS+1; 
    IF ExitPoint=EntAndExitSign THEN BEGIN {说明卖出成功} 
       PositionCount:=1;{头寸计算复原} 
       SellSign:=False; 
    END
    IF ENTERPRICE-2*N then SELL(L<=SELLLLV,100%,MARKET);{退出离盈利头寸} 
    ELSE 
    SELL(L<=ENTERPRICE-2*N,100%,MARKET);{退出亏损头寸} 
    END 
END;

转载于:https://www.cnblogs.com/TivonStone/archive/2012/07/30/2615958.html