Atr - exit trailing stop模块(公开课中atr移动止盈出场程式码)
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Atr - exit trailing stop模块(公开课中atr移动止盈出场程式码)
程式码:- Input:atrlen(30),trailatrmult(3);
- var:lexit(0),sexit(0),atr1(0),top(0),bot(0);
- atr1 = atr(atrlen);
- if barssinceentry = 0 then begin //inital high and low
- top = high;
- bot = Low;
- end;
- if high > top then top = high; //find the highest point since entry
- if Low < bot then bot = low; // find then lowest point sine entry
- if marketposition = 1 then begin // manage long position
- lexit = top - trailatrmult*atr1;
- if barssinceentry=0 and Close < lexit then sell("Atr-nextdayout") all shares next bar at Open;
- if barssinceentry>0 then begin
- sell("atr-tail-stop") all shares next bar at lexit stop;
- value1 = tl_new(date[1],time,lexit[1],date,time,lexit);
- end;
- end;
- if marketposition = -1 then begin //manage short position
- sexit = bot + trailatrmult*atr1;
- if barssinceentry=0 and Close > sexit then sell("atr-nextdayout") all shares next bar at Open;
- if barssinceentry>0 then begin
- buytocover("atr-trail-stop") all shares next bar at sexit stop;
- value1 = tl_new(date[1],time,sexit[1],date,time,sexit);
- end;
- end;
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这个是我使用的原教旨atr的写法,在MC中原也是有atr的公式的,关键字是averagetruerange. |
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