R-BREAK策略.doc

R-Breaker是个经典的具有长生命周期的日内模型。曾14年排名Future Trust杂志年度前10最赚钱的策略。 类型：日内趋势追踪+反转策略周期：1分钟、5分钟此主题相关图片如下：r-breaker.jpg主要的思想依据上图为：根据前一个交易日的收盘价、最高价和最低价数据通过一定方式计算出六个价位，从大到小依次为：突破买入价（Bbreak)、观察卖出价(Ssetup)、反转卖出价(Senter)、反转买入价(Benter)、观察买入价(Bsetup)、突破卖出价(Sbreak)。以此来形成当前交易日盘中交易的触发条件。这里，通过对计算方式的调整。可以调节六个价格间的距离。交易规则：反转:持多单，当日内最高价超过观察卖出价后，盘中价格出现回落，且进一步跌破反转卖出价构成的支撑线时，采取反转策略，即在该点位反手做空；持空单，当日内最低价低于观察买入价后，盘中价格出现反弹，且进一步超过反转买入价构成的阻力线时，采取反转策略，即在该点位反手做多；突破:在空仓的情况下，如果盘中价格超过突破买入价，则采取趋势策略，即在该点位开仓做多；在空仓的情况下，如果盘中价格跌破突破卖出价，则采取趋势策略，即在该点位开仓做空；代码：/策略:R-Breaker/类型:日内/修订时间:2012.11.1/Designed By Rogarzinput:ss(1,1,100,10);手数:=ss;n:=barslast(dateref(date,1);昨高:=callstock(stklabel,vthigh,6,-1);/昨高昨低:=callstock(stklabel,vtlow,6,-1);/昨低昨收:=callstock(stklabel,vtclose,6,-1);/昨收a:=hhv(h,n+1);b:=llv(l,n+1);if N=1 then begin今高:=a;/今高今低:=b;/今低end观察卖出价:昨高+0.35*(昨收-昨低);/ssetup反转卖出价:(1.07/2)*(昨高+昨低)-0.07*昨低;/senter反转买入价:(1.07/2)*(昨高+昨低)-0.07*昨高;/benter观察买入价:昨低-0.35*(昨高-昨收);/bsetup突破买入价:(观察卖出价+0.25*(观察卖出价-观察买入价);/bbreeak突破卖出价:观察买入价-0.25*(观察卖出价-观察买入价);/sbreak/条件空仓做多条件:=c突破买入价 and holding=0;空仓做空条件:=c0 and 今高观察卖出价 and c反转卖出价;空单反转条件:=holding0 and 今低反转买入价;/交易系统if time=092000 and time=151000 then begin收盘平多:sell(1,手数,market);收盘平空:sellshort(1,手数,market);end这个策略之前在论坛中有发不过。Z7C9版:/bbs/dispbbs.asp?BoardID=10&ID=9038&skin=0Jinzhe版:/bbs/dispbbs.asp?BoardID=11&ID=8909&skin=0这个策略参照国外的经验较适用于股指，在商品上的表现一般，所以此处收盘我以股指为例。我写这个版本，主要是为了做个可读性强的范例。代码忠于策略本身的思想，没有设置止盈止损，各位可自行添加。其他考虑不周，或有错的地方。还请各位指教。/参数版/策略:R-Breaker/类型:日内/修订时间:2012.11.1/Designed By Rogarzinput:ss(1,1,100,10),n1(0.35,0.1,1,0.05),n2(0.07,0.01,0.1,0.01),n3(0.25,0.01,1,0.05);手数:=ss;n:=barslast(dateref(date,1);昨高:=callstock(stklabel,vthigh,6,-1);/昨高昨低:=callstock(stklabel,vtlow,6,-1);/昨低昨收:=callstock(stklabel,vtclose,6,-1);/昨收a:=hhv(h,n+1);b:=llv(l,n+1);if N=1 then begin今高:=a;/今高今低:=b;/今低end观察卖出价:昨高+n1*(昨收-昨低);/ssetup反转卖出价:(1+n2/2)*(昨高+昨低)-n2*昨低;/senter反转买入价:(1+n2/2)*(昨高+昨低)-n2*昨高;/benter观察买入价:昨低-n1*(昨高-昨收);/bsetup突破买入价:(观察卖出价+n3*(观察卖出价-观察买入价);/bbreeak突破卖出价:观察买入价-n3*(观察卖出价-观察买入价);/sbreak/条件空仓做多条件:=c突破买入价 and holding=0;空仓做空条件:=c0 and 今高观察卖出价 and c反转卖出价;空单反转条件:=holding0 and 今低反转买入价;/交易系统if time=092000 and time=151000 then begin收盘平多:sell(1,手数,market);收盘平空:sellshort(1,手数,market);end1、runmode:0;input:notbef(090000);input:notaft(145500);input:f1(0.35);input:f2(0.07);input:f3(0.25);input:myreverse(1);input:rangemin(0.2);input:xdiv(3);variable:ssetup=0;variable:bsetup=0;variable:senter=0;variable:benter=0;variable:bbreak=0;variable:sbreak=0;variable:ltoday=0;variable:hitoday=999999;variable:startnow=0;variable:div=0;variable:rfilter=false;i_reverse:=myreverse*(callstock(stklabel,vtopen,6,0)/100);i_rangemin:=rangemin*(callstock(stklabel,vtopen,6,0)/100);if barpos=1 then beginstartnow:=0;div:=max(xdiv,1);endhh:=ref(hitoday,1);cc:=ref(close,1);ll:=ref(ltoday,1);if dateref(date,1) then beginstartnow:=startnow+1;ssetup:=hh+f1*(cc-ll);senter:=(1+f2)/2)*(hh+cc)-f2*ll;benter:=(1+f2)/2)*(ll+cc)-f2*hh;bsetup:=ll-f1*(hh-cc);bbreak:=ssetup+f3*(ssetup-bsetup);sbreak:=bsetup-f3*(ssetup-bsetup);hitoday:=high;ltoday:=low;rfilter:=hh-cc=rangemin;endif highhitoday then hitoday:=high;if low=notbef and time=2 and rfilter then beginif hitoday=ssetup and holding=0 then beginif low=senter+(hitoday-ssetup)/div then beginsell(1,holding,limitr,senter+(hitoday-ssetup)/div);sellshort(1,1,limitr,senter+(hitoday-ssetup)/div);end endif ltoday=bsetup and holding=benter-(bsetup-ltoday)/div then beginif high=benter-(bsetup-ltoday)/div then beginsellshort(1,holding,limitr,benter-(bsetup-ltoday)/div);buy(1,1,limitr,benter-(bsetup-ltoday)/div);endendendif holding=i_reverse thensellshort(1,enterprice+i_reverse);endif holding0 then beginif enterprice-low=i_reverse thensell(1,enterprice-i_reverse);endif holding=0 then beginif high=bbreak thenbuy(1,bbreak);endif holding=0 then beginif low=notaft then beginif holding0 thensell(1,holding,limitr,open); end盈亏:asset-500000,noaxis,coloryellow,linethick2;2、n:=barslast(dateref(date,1);zg:valuewhen(dateref(date,1),ref(hhv(h,n+1),1);/昨高zd:valuewhen(dateref(date,1),ref(llv(l,n+1),1);/昨低zs:valuewhen(dateref(date,1),ref(c,1);/昨收jg:hhv(h,n+1);/今高jd:llv(l,n+1);/今低ssetup:=zg+0.35*(zs-zd);/中轨上顶部区间senter:=(1.07/2)*(zg+zd)-0.07*zd;benter:=(1.07/2)*(zg+zd)-0.07*zg;zgsqj:=senter+(zg-ssetup)/3;/中轨上区间zgxqj:=benter-(ssetup-zd)/3;/中轨下区间bsetup:=zd-0.35*(zg-zs);bbreak:=(ssetup+0.25*(ssetup-bsetup);/上轨sbreak:=bsetup-0.25*(ssetup-bsetup);/下轨if cross( c,bbreak ) then buy(holding=0,1,thi