以下内容为程序代码:

1 //------------------------------------------------------------------------
2 // 简称: ATRbreak
3 // 名称: ATRbreak
4 // 类别: 公式应用
5 // 类型: 用户应用
6 // 输出:
7 //------------------------------------------------------------------------
8
9
10
11 // 基于开盘价的日内ATR区间突破
12 // 期指IF888 五分钟周期
13
14
15 Params
16 Numeric Mult(4);
17 Numeric Length(30);
18 Numeric ExitOnCloseMins(15.10);
19 Numeric StopPercent(0.5);
20
21 Vars
22 Numeric DayOpen;
23 Numeric UpperBand;
24 Numeric LowerBand;
25 Numeric MyPrice;
26 Numeric myExitPrice;
27 NumericSeries EntryLots;
28 NumericSeries ATRValue;
29
30
31 Begin
32 ATRValue=AvgTrueRange(Length);
33
34 DayOpen=OpenD(0);
35 UpperBand=DayOpen+ATRValue[1]*Mult;
36 LowerBand=DayOpen-ATRValue[1]*Mult;
37 EntryLots=IntPart(Portfolio_CurrentCapital*0.3/(Close*ContractUnit*BigPointValue*MarginRatio));
38
39 If(MarketPosition!=1 && High＞=UpperBand && Time＜ExitOnCloseMins/100)
40 {
41 MyPrice=UpperBand;
42 If(Open＞MyPrice) Myprice=Open;
43 Buy(1,MyPrice);
44 Return;
45 }
46
47 If(MarketPosition!=-1 && Low＜=LowerBand && Time＜ExitOnCloseMins/100)
48 {MyPrice=LowerBand;
49 If(Open＜MyPrice) Myprice=Open;
50 SellShort(1,MyPrice);
51 Return;
52 }
53
54
55 If(MarketPosition==1)
56 {
57 If(Low＜AvgEntryPrice*(1-StopPercent/100))
58 {
59 myExitPrice=AvgEntryPrice*(1-StopPercent/100);
60 myExitPrice=Min(Open,myExitPrice);
61 Sell(0,myExitPrice);
62 }
63 }
64
65 If(MarketPosition==-1)
66 {
67 If(High＞AvgEntryPrice*(1+StopPercent/100))
68 {
69 myExitPrice=AvgEntryPrice*(1+StopPercent/100);
70 myExitPrice=Max(Open,myExitPrice);
71 BuyToCover(0,myExitPrice);
72 }
73 }
74
75 If(Time＞=ExitonCloseMins/100)
76 {
77 Sell(0,Open);
78 BuyToCover(0,Open);
79 }
80
81 End
82
83