海龟交易系统-EasyLanguage版

input: InitialBalance(500000),loss(2),win(4); vars: N(0), StopLoss(0), DV(0),canMakeIn(False),avgAtr(0),avgAtrLen(10), AccountBalance(0),system(0), DollarRisk(0),AvgEtyPrice(0), LTT(0), Tracker(0), LastTrade(-1),myprofit(0), HBP(0), LBP(0), Ndays(20); array:EtyPrice_L1[3](0),EtyPrice_S1[3](0),EtyPrice_L2[3](0),EtyPrice_S2[3](0); /// Turtle 20-Day Breakout ////////////////////////////////////// if marketposition=0 then begin N = ATR(Ndays); DV = N*BigPointValue; AccountBalance = InitialBalance + netprofit; DollarRisk = AccountBalance * 0.01; LTT = IntPortion(DollarRisk/DV); StopLoss = 2 * DV * LTT; HBP=0;LBP=0; if LastTrade = -1 then begin buy("b-20-1") LTT shares next bar highest(h,20) or higher; EtyPrice_L1[0]= highest(h,20); buy("b-20-2") LTT shares next bar highest(h,20) + (0.5*N) or higher; EtyPrice_L1[1]= highest(h,20) + (0.5*N); buy("b-20-3") LTT shares next bar highest(h,20) + (1.0*N) or higher; EtyPrice_L1[2]= highest(h,20) + (1.0*N); buy("b-20-4") LTT shares next bar highest(h,20) + (1.5*N) or higher; EtyPrice_L1[3]= highest(h,20) + (1.5*N); sellshort("s-20-1") LTT shares next bar lowest(l,20) or lower; EtyPrice_S1[0]= lowest(l,20); sellshort("s-20-2") LTT shares next bar lowest(l,20) - (0.5*N) or lower; EtyPrice_S1[1]= lowest(l,20) - (0.5*N); sellshort("s-20-3") LTT shares next bar lowest(l,20) - (1.0*N) or lower; EtyPrice_S1[2]= lowest(l,20) - (1.0*N); sellshort("s-20-4") LTT shares next bar lowest(l,20) - (1.5*N) or lower; EtyPrice_S1[3]= lowest(l,20) - (1.5*N); system=1; end; if LastTrade = 1 then begin buy("b-55-1") LTT shares next bar highest(h,55) or higher; EtyPrice_L2[0]= highest(h,55); buy("b-55-2") LTT shares next bar highest(h,55) + (0.5*N) or higher; EtyPrice_L2[1]= highest(h,55)+ (0.5*N); buy("b-55-3") LTT shares next bar highest(h,55) + (1.0*N) or higher; EtyPrice_L2[2]= highest(h,55)+ (1.0*N); buy("b-55-4") LTT shares next bar highest(h,55) + (1.5*N) or higher; EtyPrice_L2[3]= highest(h,55)+ (1.5*N); sellshort("s-55-1") LTT shares next bar lowest(l,55) or lower; EtyPrice_S2[0]= lowest(l,55); sellshort("s-55-2") LTT shares next bar lowest(l,55) - (0.5*N) or lower; EtyPrice_S2[1]= lowest(l,55)- (0.5*N) ; sellshort("s-55-3") LTT shares next bar lowest(l,55) - (1.0*N) or lower; EtyPrice_S2[2]= lowest(l,55)- (1.0*N) ; sellshort("s-55-4") LTT shares next bar lowest(l,55) - (1.5*N) or lower; EtyPrice_S2[3]= lowest(l,55)- (1.5*N) ; system=2; end; end; // PREVIOUS TRADE TRACKER if HBP = 0 and LBP=0 and h > highest(h,19)[1] then begin Tracker = 1; HBP = h; LBP = 0; end; if HBP=0 and LBP = 0 and l < lowest(l,19)[1] then begin Tracker = -1; LBP = l ; HBP = 0; end; if Tracker = 1 then begin if l < HBP - (loss*N) then LastTrade = -1; if h > HBP + (win*N) then LastTrade = 1; end; if Tracker = -1 then begin if h > LBP + (loss*N) then LastTrade = -1; if l < LBP - (win*N) then LastTrade = 1; end; ////jia cang system 1 if LastTrade=-1 and marketposition=1 then begin if currentshares=LTT then begin buy("b-20-2.") LTT shares next bar EtyPrice_L1[1] or higher; buy("b-20-3.") LTT shares next bar EtyPrice_L1[2] or higher; buy("b-20-4.") LTT shares next bar EtyPrice_L1[3] or higher; end; if currentshares=2*LTT then begin buy("b-20-3..") LTT shares next bar EtyPrice_L1[2] or higher; buy("b-20-4..") LTT shares next bar EtyPrice_L1[3] or higher; end; if currentshares=3*LTT then buy("b-20-4...") LTT shares next bar EtyPrice_L1[3] or higher; end; if LastTrade=-1 and marketposition=-1 then begin if currentshares=LTT then begin sellshort("s-20-2.") LTT shares next bar EtyPrice_S1[1] stop; sellshort("s-20-3.") LTT shares next bar EtyPrice_S1[2] stop; sellshort("s-20-4.") LTT shares next bar EtyPrice_S1[3] stop; end; if currentshares=2*LTT then begin sellshort("s-20-3..") LTT shares next bar EtyPrice_S1[2] stop; sellshort("s-20-4..") LTT shares next bar EtyPrice_S1[3] stop; end; if currentshares=3*LTT then sellshort("s-20-4...") LTT shares next bar EtyPrice_S1[3] stop; end; ////jia cang system 2 if LastTrade=1 and marketposition=1 then begin if currentshares=LTT then begin buy("b-55-2.") LTT shares next bar EtyPrice_L2[1] stop; buy("b-55-3.") LTT shares next bar EtyPrice_L2[2] stop; buy("b-55-4.") LTT shares next bar EtyPrice_L2[3] stop; end; if currentshares=2*LTT then begin buy("b-55-3..") LTT shares next bar EtyPrice_L2[2] stop; buy("b-55-4..") LTT shares next bar EtyPrice_L2[3] stop; end; if currentshares=3*LTT then buy("b-55-4...") LTT shares next bar EtyPrice_L2[3] stop; end; if LastTrade=1 and marketposition=-1 then begin if currentshares=LTT then begin sellshort("s-55-2.") LTT shares next bar EtyPrice_S2[1] stop; sellshort("s-55-3.") LTT shares next bar EtyPrice_S2[2] stop; sellshort("s-55-4.") LTT shares next bar EtyPrice_S2[3] stop; end; if currentshares=2*LTT then begin sellshort("s-55-3..") LTT shares next bar EtyPrice_S2[2] stop; sellshort("s-55-4..") LTT shares next bar EtyPrice_S2[3] stop; end; if currentshares=3*LTT then sellshort("s-55-4...") LTT shares next bar EtyPrice_S2[3] stop; end; // STOPS if currentshares = LTT then StopLoss = 2.0* DV * LTT ; if currentshares = (2 * LTT) then StopLoss = 3.5* DV * LTT ; if currentshares = (3 * LTT) then StopLoss = 4.5* DV * LTT ; if currentshares = (4 * LTT) then StopLoss = 5.0* DV * LTT ; setstoploss (stoploss); print(date,"LTT:",LTT,"shares:",currentshares,"stop:",StopLoss,"DV:",DV); //out system if system=1 then begin if marketposition=1 then sell("20_L-exit") next bar Lowest(l,10) stop; if marketposition=-1 then buytocover("20_S-exit") next bar Highest(h,10) stop; end; if system=2 then begin if marketposition=1 then sell("55_L-exit") next bar Lowest(l,20) stop; if marketposition=-1 then buytocover("55_S-exit")next bar Highest(h,20) stop; end;