自动交易资金管理范本 海龟头寸 大智慧 分析家通用

{海龟头寸_大智慧_分析家通用公式}

VARIABLE:dayCount=1, PositionCount=1, SellSign=0;
VARIABLE:EntAndExitSign=1, EntPoint=0, ExitPoint=0;
VARIABLE:True=1, False=0, N=0;

TR:=MAX(HIGH,CLOSE[1])-MIN(LOW,CLOSE[1]);
IF BARPOS>=20 THEN BEGIN
    IF BARPOS=20 THEN
        N:=MA(TR,20);
    IF DayCount=5 OR BARPOS=20 THEN BEGIN           {5天调整N值}
        N:=(19*N+TR)/20;                            {计算N值}
        DayCount:=1;
    END

    DayCount:=DayCount+1;
    EntPoint:=ENTERBARS+1;

    IF EntPoint=EntAndExitSign THEN BEGIN           {说明STOP指令买进头寸成功}
        PositionCount:=PositionCount+1;             {头寸计数}
        SellSign:=True;                             {开始以STOP卖出，如果达到指定的价格}
    END

    IF PositionCount=1 THEN BEGIN                   {第一头寸}
        HOW:=CASH*0.01/N;                           {波动性百分比决定头寸规模}
        BUY(HOW,STOP,HHV(H,20));                    {在20日新高STOP指令买进}
    END

    IF PositionCount=2 THEN BEGIN                   {第二头寸}
        HOW:=CASH*0.01/N;                           {波动性百分比决定头寸规模}
        BUY(HOW,STOP,ENTERPRICE+0.5*N);             {在上头寸(即第一头寸)+0.5个N以STOP指令买进}
    END

    IF PositionCount=3 THEN BEGIN                   {第三头寸}
        HOW:=CASH*0.01/N;
        BUY(HOW,STOP,ENTERPRICE+0.5*N);             {在上头寸(即第二头寸)+0.5个N以STOP指令买进}
    END

    IF PositionCount=4 THEN BEGIN
        HOW:=CASH*0.01/N;
        BUY(HOW,STOP,ENTERPRICE+0.5*N);
    END

    IF SellSign=True THEN BEGIN
        ExitPoint:=EXITBARS+1;
        IF ExitPoint=EntAndExitSign THEN BEGIN      {说明卖出成功}
            PositionCount:=1;                       {头寸计算复原}
            SellSign:=False;
        END
        IF ENTERPRICE-2*N<0 THEN BEGIN
            SELL(100%,STOP,LLV(L,10));              {退出离盈利头寸}
        END
        SELL(100%,STOP,ENTERPRICE-2*N);             {退出亏损头寸}
    END
END;