金字塔趋势跟踪交易系统[金字塔模型]

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模型策略源码：input:period(60,5,120,5); input:length(20,5,40,5); input:trailingstop(3,1,6,1); variable:stopline=0; topband:=ref(hhv(high,period),1)+mindiff; botband:=ref(llv(low,20),1)-mindiff; atr:=ref(ma(tr,length),1); trailingstopnum:=trimprice(trailingstop*atr); if holding=0 then begin if barpos>period and high>=topband then buy(1,100%,limitr,close); end if holding>0 then begin if high-trailingstopnum>stopline then stopline:=high-trailingstopnum; if enterbars>=2 and low<=stopline then begin sell(1,holding,limitr,close); stopline:=0; end end partline(holding>0 and enterbars>=2,stopline,coloryellow,1); 盈亏:asset,noaxis,colormagenta; 收益:(asset-500000)/500000,linethick0; 次数:totaltrade,linethick0; 胜率:percentwin,linethick0; 连亏:maxseqloss,linethick0; 连赢:maxseqwin,linethick0;
点击复制上述代码粘贴到到公式管理器

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源码解析：

输出INPUT:周期
输出INPUT:LENGTH(20,5,40,5)
输出INPUT:TRAILINGSTOP(3,1,6,1)
输出VARIABLE:STOPLINE=0
TOPBAND赋值:昨日周期日内最高价的最高值+MINDIFF
BOTBAND赋值:昨日20日内最低价的最低值-MINDIFF
ATR赋值:昨日真实波幅的LENGTH日简单移动平均
赋值:TRIMPRICE(TRAILINGSTOP*ATR)
逻辑判断 HOLDING=0 THEN BEGIN 逻辑判断 BARPOS>周期 AND 最高价>=TOPBAND THEN  BUY(1,100%,LIMITR,收盘价)
STOPLINE赋值:最高价-TRAILINGSTOPNUM
  逻辑判断 ENTERBARS>=2 AND 最低价<=STOPLINE THEN BEGIN  SELL(1,HOLDING,LIMITR,收盘价)
STOPLINE赋值:0
 END ENDPARTLINE(HOLDING>0 AND ENTERBARS>=2,STOPLINE,画黄色,1)
输出盈亏:ASSET,NOAXIS,画洋红色
输出      收益:(ASSET-500000)/500000,线宽为0
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