量化经典 Dual Thrust交易系统源代码及改进模型源代码.doc

dual thrust系统原形Inputs: K1(.5),K2(.5),Mday(1),Nday(1);Vars: BuyRange(0), SellRange(0);Vars: BuyTrig(0),SellTrig(0);Vars: HH(0),LL(0),HC(0),LC(0);If CurrentBar 1 Then BeginHH = Highest(High,Mday);HC = Highest(Close,Mday);LL = Lowest(Low,Mday);LC = Lowest(Close,Mday);If (HH - LC) = (HC - LL) Then BeginSellRange = HH - LC;End Else BeginSellRange = HC - LL;End;HH = Highest(High,Nday);HC = Highest(Close,Nday);LL = Lowest(Low,Nday);LC = Lowest(Close,Nday);If (HH - LC) = (HC - LL) Then BeginBuyRange = HH - LC;End Else BeginBuyRange = HC - LL;End;BuyTrig = K1*BuyRange;SellTrig = K2*SellRange;If MarketPosition = 0 Then BeginBuy at Open of next bar + BuyTrig Stop;Sell at Open of next bar - SellTrig Stop;End;If MarketPosition = -1 Then BeginBuy at Open of next bar + Buytrig Stop;End;If MarketPosition = 1 Then BeginSell at Open of next bar - SellTrig Stop;End;ParamsNumeric K1(0.5);Numeric K2(0.5);Numeric Mday(1);Numeric Nday(1);Numeric lots(1);Numeric offset(0);VarsNumeric BuyRange(0);Numeric SellRange(0);Numeric BuyTrig(0);Numeric SellTrig(0);Numeric HH;Numeric LL;Numeric HC;Numeric LC;Numeric i_offset;Numeric BuyPosition;Numeric SellPosition;BeginIf(CurrentBar 44*Max(Mday,Nday)/使用的是5分钟周期，其它的周期自己做相应修改 i_offset = offset*MinMove*PriceScale; HH = Highest(HighD(1),Mday); HC = Highest(CloseD(1),Mday); LL = Lowest(LowD(1),Mday); LC = Lowest(CloseD(1),Mday); If(HH - LC) = (HC - LL) SellRange = HH - LC; Else SellRange = HC - LL; HH = Highest(HighD(1),Nday); HC = Highest(CloseD(1),Nday); LL = Lowest(LowD(1),Nday); LC = Lowest(CloseD(1),Nday); If(HH - LC) = (HC - LL) BuyRange = HH - LC; Else BuyRange = HC - LL; BuyTrig = K1*BuyRange; SellTrig = K2*SellRange; BuyPosition = OpenD(0)+BuyTrig; SellPosition = OpenD(0)-SellTrig; PlotNumeric(BuyPosition,BuyPosition); PlotNumeric(SellPosition,SellPosition); If(Market