[TS源码] 我们的 "涡轮增压罗素日间交易系统 "需要调整吗？【原文+程式码】

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11

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1. inputs: atrLen(10),stopAmtPoints(10.00),offSetAmt(.2),profitObj1(5),endTradeTime(1530);
   
2. 
   
3. vars: atrAmt(0),smallRange(false),canBuy(true),canSell(true),stb(0),sts(0),tkpS(0),tkpL(0),yesTrueRange(0); vars: buysToday(0),sellsToday(0),j(0),longLossPt(0),shortLossPt(0);
   
4. 
   
5. {Plot on 5 minute day session - programmed by George Pruitt}
   
6. {I used the OpenD(),HighD(),LowD(),CloseD() functions to get the prior day’s highs and lows and closes }
   
7. 
   
8. value1 = 0;
   
9. 
   
10. for j = 1 to atrLen begin
    
11. value1 = value1 + maxList(closeD(j+1),highD(j)) - minList(closeD(j+1),lowD(j));
    
12. end;
    
13. 
    
14. atrAmt = value1/atrLen;
    
15. 
    
16. yesTrueRange = maxList(closeD(2),highD(1)) - minList(closeD(2),lowD(1));
    
17. smallRange = yesTrueRange < atrAmt;
    
18. 
    
19. if(date<>date[1]) then // first bar of the day begin
    
20. canBuy = false;
    
21. canSell = false;
    
22. buysToday = 0;
    
23. sellsToday = 0;
    
24. end;
    
25. 
    
26. if marketPosition = 1 then buysToday = 1; // if we already bot then no more buys
    
27. if marketPosition =-1 then sellsToday = 1;
    
28. 
    
29. stb = openD(0) + offSetAmt * atrAmt;
    
30. sts = openD(0) - offSetAmt * atrAmt;
    
31. 
    
32. if(closeD(1)>=closeD(2) and smallRange) then canBuy = true;
    
33. if(closeD(1)<closeD(2) and smallRange) then canSell = true;
    
34. 
    
35. if(canBuy and buysToday = 0 and time < endTradeTime) then buy(“SFOBuy”) 2 contracts next bar stb stop;
    
36. if(canSell and sellsToday = 0 and time < endTradeTime ) then sellShort(“SFOSell”) 2 contracts next bar sts stop;
    
37. 
    
38. if currentContracts = 2 and marketPosition = 1 and highD(0) > entryPrice + profitObj1 then sell(“LongProf1”) 1 contract next bar at highD(0) - 5 stop;
    
39. if currentContracts = 2 and marketPosition =-1 and lowD(0) < entryPrice - profitObj1 then buyToCover(“ShrtProf1”) 1 contract next bar at lowD(0) + 5 stop;
    
40. 
    
41. if currentContracts = 1 then sell(“L-BreakEven”) next bar at entryPrice stop;
    
42. if currentContracts = 1 then buyToCover(“S-BreakEven”) next bar at entryPrice stop;
    
43. 
    
44. if marketPosition = 1 then sell(“MM-L-Out”) next bar at entryPrice - stopAmtPoints stop;
    
45. if marketPosition =-1 then buyToCover(“MM-S-Out”) next bar at entryPrice + stopAmtPoints stop; setExitOnClose;

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