标题：[交易系统]恒温器策略
runmode:0;
input:bollingerlengths(50);
input:trendliqlength(50);
input:numstddevs(2);
input:swingprcnt1(0.5);
input:swingprcnt2(0.75);
input:atrlength(10);
input:swingtrendswitch(20);
variable:swing=false;
cmival:=abs(close-ref(close,30))/(hhv(high,30),1)-llv(low,30);
buyeasierday:=0;
selleasierday:=0;
trendlokbuy:=ma(low,3);
trendloksell:=ma(high,3);
keyofday:=(high+low+close)/3;
if close>keyofday then
selleasierday:=1;
else
buyeasierday:=1;
atr:=ma(tr,atrlength);
if ref(buyeasierday,1)=1 then begin
swingbuypt:=open+swingprcnt1*atr;
swingsellpt:=open-swingprcnt2*atr;
end
if ref(selleasierday,1)=1 then begin
swingbuypt:=open+swingprcnt2*atr;
swingsellpt:=open-swingprcnt1*atr;
end
swingbuypt:=max(swingbuypt,trendlokbuy);
swingsellpt:=min(swingsellpt,trendloksell);
ma1:=ma(close,trendliqlength);
mid:=ma(close,bollingerlengths);
trendbuypt:=mid+numstddevs*std(close,bollingerlengths);
trendsellpt:=mid-numstddevs*std(close,bollingerlengths);
if cmival<swingtrendswitch then begin
if holding=0 then begin
if high>=swingbuypt then begin
buy(1,1,limitr,max(open,swingbuypt));
swing:=true;
end
end
if holding=0 then begin
if low<=swingsellpt then begin
buyshort(1,1,limitr,min(open,swingsellpt));
swing:=true;
end
end
if holding>0 then begin
if low<=swingsellpt then begin
sell(1,holding,limitr,min(open,swingsellpt));
buyshort(1,1,limitr,min(open,swingsellpt));
swing:=true;
end
end
if holding<0 then begin
if high>=swingbuypt then begin
sellshort(1,holding,limitr,max(open,swingbuypt));
buy(1,1,limitr,max(open,swingbuypt));
swing:=true;
end
end
end else begin
swingprotstop:=3*atr;
if holding=0 then begin
if high>=trendbuypt then begin
buy(1,1,limitr,max(open,trendbuypt));
swing:=false;
end
end
if holding=0 then begin
if low<=trendsellpt then begin
buyshort(1,1,limitr,min(open,trendsellpt));
swing:=false;
end
end
if holding>0 then begin
if swing then begin
if low<=enterprice-swingprotstop then
sell(1,holding,limitr,min(open,enterprice-swingprotstop));
end else begin
if low<=ma1 then
sell(1,holding,limitr,min(open,ma1));
end
end
if holding<0 then begin
if swing then begin
if high>=enterprice+swingprotstop then
sellshort(1,holding,limitr,max(open,enterprice+swingprotstop));
end else begin
if high>=ma1 then
sellshort(1,holding,limitr,max(open,ma1));
end
end
end
盈亏:asset-50000,noaxis,colorred,linethick2;