Dual Thrust策略源码发布 Michael Chalek 在80 年代开发的 Dual Thrust。[金字塔模型]

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// Dual Thrust
 //这个系统是 Michael Chalek 在80 年代开发的 Dual Thrust。
// www.gszb.com

 //1. 在今天的收盘，计算两个值： 最高价－收盘价， 和 收盘价－最低价。然后取这两个值较大的那个，乘以k值0.7。把结果称为 触发值。
//
 //2. 在明天的开盘，记录开盘价，然后在价格超过（开盘＋触发值）时马上买入，或者价格低于（开盘－触发值）时马上卖空。
 

金字塔公式 金字塔模型策略源码：

input:K1(0.5,0,2,0.1);//多头突破波动比例
input:K2(0.5,0,2,0.1);//多头突破波动比例
input:Mday(1,0,9,1);//M日期最大价差
input:Nday(1,0,9,1);//N日前最大价差
input:LOTS(1,0,9,1);

          HighD:=callstock(stklabel,vthigh,6,-1);
         LowD:=callstock(stklabel,vtlow,6,-1);
         CloseD:=callstock(stklabel,vtclose,6,-1);
         CYC:=barslast(date<>ref(date,1))+1;       
         OpenD:=valuewhen(cyc=1,open);
        
         HH:= HHV(HighD,Mday);
         HC:= HHV(CloseD,Mday);
         LL:= LLV(LowD,Mday);
         LC:= LLV(CloseD,Mday);

        SellRange:=Max(HH - LC,HC - LL);
        // www.gszb.com
         HH:=HHV(HighD,Nday);
         HC:=HHV(CloseD,Nday);
         LL:=LLV(LowD,Nday);
         LC:=LLV(CloseD,Nday);

        BuyRange:=Max(HH - LC,HC - LL);
      
        
         UpperBand: OpenD + K1*BuyRange;
         LowerBand: OpenD - K2*SellRange;

         If    (HOLDING=0) THEN BEGIN
                 If    (High>=UpperBand) THEN
                         Buy(HOLDING=0,lots,LIMITR,Max(Open,UpperBand));
               
                 If    (Low<=LowerBand) THEN
                         BuyShort(HOLDING=0,lots,LIMITR,Min(Open,LowerBand));
         END

        If    (HOLDING<0) THEN BEGIN
                 If    (High>=UpperBand) THEN BEGIN
                         SELLSHORT(HOLDING<0,lots,LIMITR,Max(Open,UpperBand));
                         Buy(HOLDING=0,lots,LIMITR,Max(Open,UpperBand));
                 END
         END

        If    (HOLDING>0) THEN BEGIN
                 If    (Low<=LowerBand) THEN BEGIN
                          Sell(holding>0,lots,limitr,Min(Open,LowerBand));
                         BuyShort(holding=0,lots,limitr,Min(Open,LowerBand));
                 END
         END
       

持仓:holding,noaxis ,linethick0 ;
盈亏:asset-1000000,noaxis,coloryellow,linethick2;