取名為幽靈交易者的系統，名字霸氣，效果，大家自己測試看看了，照例還是先看策略說明吧：

策略說明:

模擬交易產生一次虧損后才啟動真實下單交易。

系統要素:

1、兩條指數平均線

2、RSI指標

3、唐奇安通道

入場條件:

1、模擬交易產生一次虧損、短期均線在長期均線之上、RSI低于超買值、創新高，則開多單

2、模擬交易產生一次虧損、短期均線在長期均線之下、RSI高于超賣值、創新低，則開空單

出場條件:

1、持有多單時小于唐奇安通道下軌，平多單

2、持有空單時大于唐奇安通道上軌，平空單

做多代碼及解讀如下：

Params

Numeric FastLength(9);// 聲明數值參數FastLength，初值9，即短期指數平均線參數。//

Numeric SlowLength(19);// 聲明數值參數SlowLength，初值19，即長期指數平均線參數。//

Numeric Length(9);// 聲明數值參數Length，初值9，即RSI參數。//

Numeric OverSold(30);// 聲明數值參數OverSold，初值30，即超賣。//

Numeric OverBought(70);// 聲明數值參數OverBought，初值70，即超買。//

Numeric Lots(0);// 聲明數值參數Lots，初值0，即交易手數設置。//

Vars

NumericSeries AvgValue1;// 聲明數值序列變量AvgValue1，即短期指數平均線?。//

NumericSeries AvgValue2;// 聲明數值序列變量AvgValue2，即長期指數平均線。//

NumericSeries NetChgAvg(0);//聲明數值序列變量NetChgAvg，初值0。//

NumericSeries TotChgAvg(0);//聲明數值序列變量TotChgAvg，初值0.//

Numeric SF(0);//聲明數值變量SF，初值0.//

Numeric Change(0);//聲明數值變量Change，初值0.//

Numeric ChgRatio(0);//聲明數值變量ChgRatio，初值0.//

NumericSeries RSIValue;// 聲明數值序列變量RSIValue，即RSI指標。//

NumericSeries ExitHiBand(0);// 聲明數值序列變量ExitHiBand，初值0，唐奇安通道上軌。//

NumericSeries ExitLoBand(0);//聲明數值序列變量ExitLoBand，初值0， 唐奇安通道下軌。//

NumericSeries myEntryPrice(0);//聲明數值序列變量myEntryPrice，初值0， 進場價格。//

NumericSeries myExitPrice(0);// 聲明數值序列變量myExitPrice，初值0，出場價格。//

NumericSeries myProfit(0);// 聲明數值序列變量myProfit，初值0，即利潤。//

NumericSeries myPosition(0);// 聲明數值序列變量myPosition，初值0，即多空標志。//

Begin

If(!CallAuctionFilter()) Return;// 集合競價和小節休息過濾。//

AvgValue1 = Xaverage(Close,FastLength);// 計算短期指數平均線，即把收盤價與周期9返回函數Xaverage求值。//

AvgValue2 = Xaverage(Close,SlowLength);//同理，計算長期指數平均線參數。//

// 計算RSI。//

If(CurrentBar <= Length - 1)//假如當前索引k線數位值小于等于周期8(9-1)的。//

{

NetChgAvg = (Close - Close[Length])/Length;//代入相應數值計算，即得NetChgAvg = (close - close[9])/ 9的。//

TotChgAvg = Average(Abs(Close - Close[1]),Length);//先算絕對值函數Abs里的，再把絕對值與周期9返回均值函數Average求均值，最后賦值給變量TotChgAvg。//

}Else//就是k線數位值大于周期8的。//

{

SF = 1/Length;//代入相應數值，即SF= 1/9 了.//

Change = Close - Close[1];//同理，代入當期k線收盤價與前一k線收盤價即可。//

NetChgAvg = NetChgAvg[1] + SF*(Change - NetChgAvg[1]);//這里也是代入上邊求得的相應數值即可。//

TotChgAvg = TotChgAvg[1] + SF*(Abs(Change) - TotChgAvg[1]);//同上解讀。//

}

If(TotChgAvg <> 0)//假如變量TotChgAvg不等于0.//

{

ChgRatio = NetChgAvg/TotChgAvg;//則兩變量相除了。//

}Else//等于0的。//

{

ChgRatio = 0;//變量ChgRatio=0了。//

}

RSIValue = 50*(ChgRatio + 1);//指標RSI的計算結果。//

ExitHiBand = Highest(High,20);// 唐奇安通道上軌。//

ExitLoBand = Lowest(Low,20);// 唐奇安通道下軌。//

If(myPosition == 1 And myPosition[1] == 1 and Low <= ExitLoBand[1])// 持有多單時，下破唐奇安通道下軌，平多單。//

{

myExitPrice = Min(Open,ExitLoBand[1]);//出場價的計算，開盤價與前一個唐奇安通道下軌的比較，取較小值。//

Sell(0,myExitPrice);//平倉。//

myProfit = myExitPrice - MyEntryPrice;//利潤算法。//

myPosition = 0;//持倉多空標志myPosition = 0.//

}

If(myPosition == 0 And myPosition[1] == 0 And AvgValue1[1] > AvgValue2[1] And RSIValue[1] < OverBought and High >= High[1])// 模擬交易產生一次虧損、短期均線在長期均線之上、RSI低于超買值、創新高，則開多單。//

{

myEntryPrice = Max(Open,High[1]);//進場價計算，即開盤價與前一個最高價的比較，取較大值。//

myPosition = 1;//持倉多空標志myPosition = 1.//

If(myProfit < 0) Buy(Lots,myEntryPrice);//假如利潤myProfit <0的，以進場價開倉。//

}

End

做空代碼及結果如下：

Params

Numeric FastLength(9);

Numeric SlowLength(19);

Numeric Length(9);

Numeric OverSold(30);

Numeric OverBought(70);

Numeric Lots(0);

Vars

NumericSeries AvgValue1;

NumericSeries AvgValue2;

NumericSeries NetChgAvg(0);

NumericSeries TotChgAvg(0);

Numeric SF(0);

Numeric Change(0);

Numeric ChgRatio(0);

NumericSeries RSIValue;

NumericSeries ExitHiBand(0);

NumericSeries ExitLoBand(0);

NumericSeries myEntryPrice(0);

NumericSeries myExitPrice(0);

NumericSeries myProfit(0);

NumericSeries myPosition(0);

Begin

If(!CallAuctionFilter()) Return;

AvgValue1 = Xaverage(Close,FastLength);

AvgValue2 = Xaverage(Close,SlowLength);

If(CurrentBar <= Length - 1)

{

NetChgAvg = (Close - Close[Length])/Length;

TotChgAvg = Average(Abs(Close - Close[1]),Length);

}Else

{

SF = 1/Length;

Change = Close - Close[1];

NetChgAvg = NetChgAvg[1] + SF*(Change - NetChgAvg[1]);

TotChgAvg = TotChgAvg[1] + SF*(Abs(Change) - TotChgAvg[1]);

}

If(TotChgAvg <> 0)

{

ChgRatio = NetChgAvg/TotChgAvg;

}Else

{

ChgRatio = 0;

}

RSIValue = 50*(ChgRatio + 1);

ExitHiBand = Highest(High,20);

ExitLoBand = Lowest(Low,20);

If(myPosition == -1 And myPosition[1] == -1 and High >= ExitHiBand[1])

{

myExitPrice = Max(Open,ExitHiBand[1]);

BuyToCover(0,myExitPrice);

myProfit = myEntryPrice - MyExitPrice;

myPosition = 0;

}

If(myPosition == 0 And myPosition[1] == 0 And AvgValue1[1] < AvgValue2[1] And RSIValue[1] > OverSold and Low <= Low[1])

{

myEntryPrice = Min(Open,Low[1]);

myPosition = -1;

If(myProfit < 0) SellShort(Lots,myEntryPrice);

}

End

總結

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