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模型策略源碼:
runmode:0;
input:period(100,5,100,5);
variable:myasset=30000;
entertime:=time>=092500 and time<=145500;
exittime:=time>=150000;
buycond:=entertime and ref(cross(close,ma(close,period)),1);
buyprice:=open;
buyshortcond:=entertime and ref(cross(ma(close,period),close),1);
buyshortprice:=open;
if holding=0 and buycond then begin
buy(1,1,limitr,buyprice);
end
if holding=0 and buyshortcond then begin
buyshort(1,1,limitr,buyshortprice);
end
if holding>0 and exittime then begin
sell(1,holding,limitr,close);
end
if holding<0 and exittime then begin
sellshort(1,holding,limitr,close);
end
if exittime then
myasset:=asset;
資產:myasset,noaxis,colormagenta;
次數:totaltrade,linethick0;
收益:(myasset-30000)/30000,linethick0;
勝率:percentwin,linethick0;
出擊:totaltrade/(count(date<>ref(date,1),0)+1),linethick0;
連虧:maxseqloss,linethick0;
連贏:maxseqwin,linethick0;
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源碼解析:
輸出RUNMODE:0
輸出 INPUT:周期
輸出 VARIABLE:MYASSET=30000
ENTERTIME賦值:TIME>=092500 AND TIME<=145500
EXITTIME賦值:TIME>=150000
BUYCOND賦值:ENTERTIME AND 昨日收盤價上穿收盤價的周期日簡單移動平均
BUYPRICE賦值:開盤價
BUYSHORTCOND賦值:ENTERTIME AND 昨日收盤價的周期日簡單移動平均上穿收盤價
BUYSHORTPRICE賦值:開盤價
邏輯判斷 HOLDING=0 AND BUYCOND THEN BEGIN BUY(1,1,LIMITR,BUYPRICE)
END 邏輯判斷 HOLDING=0 AND BUYSHORTCOND THEN BEGIN BUYSHORT(1,1,LIMITR,BUYSHORTPRICE)
END 邏輯判斷 HOLDING>0 AND EXITTIME THEN BEGIN SELL(1,HOLDING,LIMITR,收盤價)
END 邏輯判斷 HOLDING<0 AND EXITTIME THEN BEGIN SELLSHORT(1,HOLDING,LIMITR,收盤價)
MYASSET賦值:ASSET
輸出 資產:MYASSET,NOAXIS,畫洋紅色
輸出 次數:TOTALTRADE,線寬為0
輸出 收益:(MYASSET-30000)/30000,線寬為0
輸出 勝率:PERCENTWIN,線寬為0
輸出 出擊:TOTALTRADE/(統計0日中滿足DATE<>REF(日期,1)的天數+1),線寬為0
輸出 連虧:MAXSEQLOSS,線寬為0
輸出 連贏:MAXSEQWIN,線寬為0