金字塔MACD动量突破交易系统[金字塔模型]

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模型策略源码：runmode:0; input:p(26,20,100,8); input:s(12,5,40,4); input:m(9,2,60,6); variable:myasset=300000; diff:=ema(close,s)-ema(close,p); dea:=ema(diff,m); macd:=2*(diff-dea); entertime:=time>=091000 and time<=145500; exittime:=time>=150000; buycond:=ref(cross(macd,0),1); sellcond:=ref(cross(0,macd),1); if holding=0 then begin if buycond then buy(1,1,limitr,open); end if holding=0 then begin if sellcond then buyshort(1,1,limitr,open); end if holding>0 then begin if exittime then sell(1,holding,limitr,close); if sellcond then begin sell(1,holding,limitr,open),orderqueue; buyshort(1,1,limitr,open),orderqueue; end end if holding<0 then begin if exittime then sellshort(1,holding,limitr,close); if buycond then begin sellshort(1,holding,limitr,open),orderqueue; buy(1,1,limitr,open),orderqueue; end end if exittime then myasset:=asset; 收益:myasset,noaxis,colormagenta; 次数:totaltrade,linethick0; 胜率:percentwin,linethick0; 连亏:maxseqloss,linethick0; 连赢:maxseqwin,linethick0;
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源码解析：

输出RUNMODE:0
输出INPUT:P(26,20,100,8)
输出INPUT:S(12,5,40,4)
输出INPUT:M(9,2,60,6)
输出VARIABLE:MYASSET=300000
DIFF赋值:收盘价的S日指数移动平均-收盘价的P日指数移动平均
DEA赋值:DIFF的M日指数移动平均
MACD赋值:2*(DIFF-DEA)
ENTERTIME赋值:时间>=091000 AND 时间<=145500
EXITTIME赋值:时间>=150000
BUYCOND赋值:昨日MACD上穿0
SELLCOND赋值:昨日0上穿MACD
逻辑判断 HOLDING=0 THEN BEGIN 逻辑判断 BUYCOND THEN  BUY(1,1,LIMITR,开盘价)
ENDIF HOLDING=0 THEN BEGIN 逻辑判断 SELLCOND THEN  BUYSHORT(1,1,LIMITR,开盘价)
ENDIF HOLDING>0 THEN BEGIN 逻辑判断 EXITTIME THEN  SELL(1,HOLDING,LIMITR,收盘价)
  逻辑判断 SELLCOND THEN BEGIN  SELL(1,HOLDING,LIMITR,开盘价),ORDERQUEUE
  BUYSHORT(1,1,LIMITR,开盘价),ORDERQUEUE
 END ENDIF HOLDING<0 THEN BEGIN 逻辑判断 EXITTIME THEN  SELLSHORT(1,HOLDING,LIMITR,收盘价)
   逻辑判断 BUYCOND THEN BEGIN  SELLSHORT(1,HOLDING,LIMITR,开盘价),ORDERQUEUE
  BUY(1,1,LIMITR,开盘价),ORDERQUEUE
MYASSET赋值:ASSET
输出 收益:MYASSET,NOAXIS,画洋红色
输出次数:TOTALTRADE,线宽为0
输出胜率:PERCENTWIN,线宽为0
输出连亏:MAXSEQLOSS,线宽为0
输出连赢:MAXSEQWIN,线宽为0