[TS源码] R-Breaker策略[TradeStation源码]

R-Breaker策略[TradeStation源码]：

1. {R-Breaker}
   
2. {***********SystemSetup*******************
   
3. Trading between 9:15 and 14:29 ChicagoTime only
   
4. MMStop $1000
   
5. Close End of Day
   
6. 10 min Time Frame
   
7. ******************************************}
   
8. 
   
9. 
   
10. input:notbef(715),notaft(1229);
    
11. var:{input:}f1(.35),f2(0.07),f3(.25),reverse(2.00),
    
12. rangemin(1.15),xdiv(3);
    
13. 
    
14. var:ssetup(0),bsetup(0),senter(0),benter(0),bbreak(0),sbreak(0),
    
15. ltoday(0),hitoday(9999),startnow(0),div(0),
    
16. rfilter(false);
    
17. 
    
18. 
    
19. if currentbar=1 then startnow=0;
    
20. div=maxlist(xdiv,1);
    
21. if d>d[1] then begin
    
22. 
    
23. startnow=startnow+1;
    
24. 
    
25. ssetup=hitoday[1]+f1*(c[1]-ltoday[1]);
    
26. senter=((1+f2)/2)*(hitoday[1]+c[1])-(f2)*ltoday[1];
    
27. benter=((1+f2)/2)*(ltoday[1]+c[1])-(f2)*hitoday[1];
    
28. bsetup=ltoday[1]-f1*(hitoday[1]-c[1]);
    
29. bbreak=ssetup+f3*(ssetup-bsetup){(1.3625*hitoday[1]+.45*c[1])-.8125*ltoday[1]};
    
30. sbreak=bsetup-f3*(ssetup-bsetup){(1.3625*ltoday[1]+.45*c[1])-.8125*hitoday[1]};
    
31. 
    
32. hitoday=h;
    
33. ltoday=l;
    
34. 
    
35. rfilter=hitoday[1]-ltoday[1]>=rangemin;
    
36. 
    
37. end;
    
38. 
    
39. if h>hitoday then hitoday=h;
    
40. if l<ltoday then ltoday=l;
    
41. 
    
42. if t>=notbef and t<notaft and startnow>=2 and rfilter and
    
43. date>entrydate(1) then begin
    
44. 
    
45. if hitoday>=ssetup and marketposition>-1 then
    
46. SELL("Rlev SE") senter+(hitoday-ssetup)/div stop;
    
47. if ltoday<=bsetup and marketposition<1 then
    
48. BUY("Rlev LE") benter-(bsetup-ltoday)/div stop;
    
49. 
    
50. if marketposition=-1 then
    
51. BUY("RbUP LE") entryprice+reverse stop;
    
52. if marketposition=1 then
    
53. SELL("RbDN SE") entryprice-reverse stop;
    
54. 
    
55. if marketposition=0 then
    
56. BUY("Break LE") bbreak stop;
    
57. if marketposition=0 then
    
58. SELL("Break SE") sbreak stop;
    
59. 
    
60. end;
    
61. 
    
62. if t>=notaft and t<>sess1endtime then begin
    
63. 
    
64. if marketposition=-1 then
    
65. EXITSHORT("RbUP SX") entryprice+reverse stop;
    
66. if marketposition=1 then
    
67. EXITLONG("RbDN LX") entryprice-reverse stop;
    
68. 
    
69. EXITSHORT("Late SX") h+.05 stop;
    
70. EXITLONG("Late LX") l-.05 stop;
    
71. END;

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