Turtle Trader海龟交易法则 程序化交易系统 交易开拓者必学源码

Turtle Trader海龟交易法则 程序化交易系统 交易开拓者必学源码 //------------------------------------------------------------------------ // ?ò?Æ: TurtleTrader // Ãû?Æ: º??ê??Ò×ϵÍ? // Àà?ð: ??Ê?Ó?Óà // ÀàÐÍ: ÄÚ??Ó?Óà //------------------------------------------------------------------------ Params Numeric RiskRatio(1); // % Risk Per N ( 0 - 100) Numeric ATRLength(20); // Æ??ù????ÖÜÆÚ ATR Length Numeric boLength(20); // ?ÌÖÜÆÚ BreakOut Length Numeric fsLength(55); // ??ÖÜÆÚ FailSafe Length Numeric teLength(10); // ÀëÊÐÖÜÆÚ Trailing Exit Length Bool LastProfitableTradeFilter(True); // Ê?ÓÃÈëÊÐ?ýÂËÌõ?þ Vars Numeric MinPoint; // ×îÐ??ä??µ?Î? NumericSeries AvgTR; // ATR Numeric N; // N Öµ Numeric TotalEquity; // ??×îÐÂÊÕÅÌ?Û?ÆËã?öµÄ×Ü×Ê?ú Numeric TurtleUnits; // ??Ò×µ?Î? NumericSeries DonchianHi; // ÌÆÆæ??Í?µÀÉÏ?ì??ÑÓºó1?öBar NumericSeries DonchianLo; // ÌÆÆæ??Í?µÀÏÂ?ì??ÑÓºó1?öBar NumericSeries fsDonchianHi; // ÌÆÆæ??Í?µÀÉÏ?ì??ÑÓºó1?öBar????ÖÜÆÚ NumericSeries fsDonchianLo; // ÌÆÆæ??Í?µÀÏÂ?ì??ÑÓºó1?öBar????ÖÜÆÚ Numeric ExitHighestPrice; // ÀëÊÐÊ?ÅÐ?ÏÐèÒªµÄNÖÜÆÚ×î?ß?Û Numeric ExitLowestPrice; // ÀëÊÐÊ?ÅÐ?ÏÐèÒªµÄNÖÜÆÚ×îµÍ?Û Numeric myEntryPrice; // ?ª?Ö?Û?ñ Numeric myExitPrice; // Æ??Ö?Û?ñ Bool SendOrderThisBar(False); // µ?Ç?BarÓÐ?ý??Ò× NumericSeries preEntryPrice(0); // Ç?Ò??Î?ª?ÖµÄ?Û?ñ BoolSeries PreBreakoutFailure(false); // Ç?Ò??ÎÍ?ÆÆÊÇ?ñÊ??Ü Begin If(BarStatus == 0) { preEntryPrice = InvalidNumeric; PreBreakoutFailure = false; } MinPoint = MinMove*PriceScale; AvgTR = XAverage(TrueRange,ATRLength); N = AvgTR[1]; TotalEquity = Portfolio_CurrentCapital() + Portfolio_UsedMargin(); TurtleUnits = (TotalEquity*RiskRatio/100) /(N * ContractUnit()*BigPointValue()); TurtleUnits = IntPart(TurtleUnits); // ?ÔÐ?ÊýÈ?Õû DonchianHi = HighestFC(High[1],boLength); DonchianLo = LowestFC(Low[1],boLength); fsDonchianHi = HighestFC(High[1],fsLength); fsDonchianLo = LowestFC(Low[1],fsLength); ExitLowestPrice = LowestFC(Low[1],teLength); ExitHighestPrice = HighestFC(High[1],teLength); Commentary("N="+Text(N)); Commentary("preEntryPrice="+Text(preEntryPrice)); Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False")); // µ???Ê?ÓÃ?ýÂËÌõ?þ???òÕßÊ?ÓÃ?ýÂËÌõ?þ??ÇÒÌõ?þΪPreBreakoutFailureΪTr ue?øÐкóÐø?Ù×? If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure))) { // Í?ÆÆ?ª?Ö If(High > DonchianHi && TurtleUnits >= 1) { // ?ª?Ö?Û?ñÈ?Í?ÆÆÉÏ?ì+Ò??ö?ÛÎ?ºÍ×î?ß?ÛÖ??äµÄ?ÏÐ?Öµ??ÕâÑùÄÜ?ü?Ó?üÕæ浂 é?ö????ÄÜ??Á???Ö??É?? myEntryPrice = min(high,DonchianHi + MinPoint); myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // ?óÌø?ÕµÄÊ?ºòÓÃ?ªÅÌ?Û?úÌæ preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; } If(Low < DonchianLo && TurtleUnits >= 1) { // ?ª?Ö?Û?ñÈ?Í?ÆÆÏÂ?ì-Ò??ö?ÛÎ?ºÍ×îµÍ?ÛÖ??äµÄ?Ï?óÖµ??ÕâÑùÄÜ?ü?Ó?üÕæʵÇé?ö????ÄÜ??Á???Ö??É?? myEntryPrice = max(low,DonchianLo - MinPoint); myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // ?óÌø?ÕµÄÊ?ºòÓÃ?ªÅÌ?Û?úÌæ preEntryPrice = myEntryPrice; SendOrderThisBar = True; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; } } // ??ÖÜÆÚÍ?ÆÆ?ª?Ö Failsafe Breakout point If(MarketPosition == 0) { Commentary("fsDonchianHi="+Text(fsDonchianHi)); If(High > fsDonchianHi && TurtleUnits >= 1) { // ?ª?Ö?Û?ñÈ?Í?ÆÆÉÏ?ì+Ò??ö?ÛÎ?ºÍ×î?ß?ÛÖ??äµÄ?ÏÐ?Öµ??ÕâÑùÄÜ?ü?Ó?üÕæʵÇé?ö????ÄÜ??Á???Ö??É?? myEntryPrice = min(high,fsDonchianHi + MinPoint); myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // ?óÌø?ÕµÄÊ?ºòÓÃ?ªÅÌ?Û?úÌæ preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; } Commentary("fsDonchianLo="+Text(fsDonchianLo)); If(Low < fsDonchianLo && TurtleUnits >= 1) { // ?ª?Ö?Û?ñÈ?Í?ÆÆÏÂ?ì-Ò??ö?ÛÎ?ºÍ×îµÍ?ÛÖ??äµÄ?Ï?óÖµ??ÕâÑùÄÜ?ü?Ó?üÕæʵÇé?ö????ÄÜ??Á???Ö??É?? myEntryPrice = max(low,fsDonchianLo - MinPoint); myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // ?óÌø?ÕµÄÊ?ºòÓÃ?ªÅÌ?Û?úÌæ preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; } } If(MarketPosition == 1) // ÓÐ?à?ÖµÄÇé?ö { Commentary("ExitLowestPrice="+Text(ExitLowestPrice)); If(Low < ExitLowestPrice) { myExitPrice = max(Low,ExitLowestPrice - MinPoint); myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // ?óÌø?ÕµÄÊ?ºòÓÃ?ªÅÌ?Û?úÌæ Sell(0,myExitPrice); // ÊýÁ?ÓÃ0µÄÇé?öÏÂ??È???Æ??Ö }Else { If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1) { If(Open >= preEntryPrice + 0.5*N) // Èç?û?ªÅÌ?Í???ýÉè??µÄ1/2N,ÔòÖ??ÓÓÃ?ªÅÌ?ÛÔö?Ö?? { myEntryPrice = Open; preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } while(High >= preEntryPrice + 0.5*N) // ÒÔ×î?ß?ÛΪ?ê×???ÅÐ?ÏÄÜ?øÐÐ???ÎÔö?Ö { myEntryPrice = preEntryPrice + 0.5 * N; preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } } // Ö?ËðÖ?Áî If(Low <= preEntryPrice - 2 * N && SendOrderThisBar == false) // ?Ó?ÖBar??Ö?Ëð { myExitPrice = preEntryPrice - 2 * N; Sell(0,myExitPrice); // ÊýÁ?ÓÃ0µÄÇé?öÏÂ??È???Æ??Ö PreBreakoutFailure = True; } } }Else If(MarketPosition ==-1) // ÓÐ?Õ?ÖµÄÇé?ö { // Çó?ö?Ö?Õ?ÖÊ?ÀëÊеÄÌõ?þ?È?ÏÖµ Commentary("ExitHighestPrice="+Text(ExitHighestPrice)); If(High > ExitHighestPrice) { myExitPrice = Min(High,ExitHighestPrice + MinPoint); myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // ?óÌø?ÕµÄÊ?ºòÓÃ?ªÅÌ?Û?úÌæ BuyToCover(0,myExitPrice); // ÊýÁ?ÓÃ0µÄÇé?öÏÂ??È???Æ??Ö }Else { If(preEntryPrice!=InvalidNumeric && TurtleUnits >= 1) { If(Open <= preEntryPrice - 0.5*N) // Èç?û?ªÅÌ?Í???ýÉè??µÄ1/2N,ÔòÖ??ÓÓÃ?ªÅÌ?ÛÔö?Ö?? { myEntryPrice = Open; preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } while(Low <= preEntryPrice - 0.5*N) // ÒÔ×îµÍ?ÛΪ?ê×???ÅÐ?ÏÄÜ?øÐÐ???ÎÔö?Ö { myEntryPrice = preEntryPrice - 0.5 * N; preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; } } // Ö?ËðÖ?Áî If(High >= preEntryPrice + 2 * N &&SendOrderThisBar==false) // ?Ó?ÖBar??Ö?Ëð { myExitPrice = preEntryPrice + 2 * N; BuyToCover(0,myExitPrice); // ÊýÁ?ÓÃ0µÄÇé?öÏÂ??È???Æ??Ö PreBreakoutFailure = True; } } } End //---------------------------------------------------------------- -------- // ?àÒë?æ?? GS2010.12.08 // ?æÈ?ËùÓÐ TradeBlazer Software 2003?,2010 // ?ü?ÄÉùÃ? TradeBlazer Software??Áô?ÔTradeBlazerÆ? // Ì?Ã?Ò??æ??µÄTradeBlazer??Ê?ÐÞ?ĺÍÖØÐ?µÄÈ?Àû //---------------------------------------------------------------- --------