主题：[交易系统]均值回归

 

input:n(5,1,10,1);

atr:ma(high-low,n);

 

 

runmode:0;

entertime:=time>=091500 and time<=145500;
exittime:=time>=150000;

atr:="assit.atr#day";

dist:=barslast(date<>ref(date,1))+1;
hh:=ref(hhv(high,dist),1);
ll:=ref(llv(low,dist),1);

buycond:=entertime and low<=hh-atr-mindiff;
buyprice:=hh-atr-mindiff;

buyshortcond:=entertime and high>=ll+atr+mindiff;
buyshortprice:=ll+atr+mindiff;

if holding=0 then begin
 if buycond then
  buy(1,1,limitr,buyprice);
end

if holding=0 then begin
 if buyshortcond then
  buyshort(1,1,limitr,buyshortprice);
end

if holding>0 then begin
 if exittime then
  sell(1,holding,limitr,close);
end

if holding<0 then begin
 if exittime then
  sellshort(1,holding,limitr,close);
end

收益:(asset-30000)/30000,noaxis,colormagenta;
次数:totaltrade,linethick0;
胜率:percentwin,linethick0;
连亏:maxseqloss,linethick0;
连赢:maxseqwin,linethick0;