[TB源码] 期货软件TB系统源代码解读系列73-恒温器系统

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做空代码及结果如下：

1. Params
   
2. 
   
3. Numeric swingTrendSwitch(20);
   
4. 
   
5. Numeric swingPrcnt1(0.50);
   
6. 
   
7. Numeric swingPrcnt2(0.75);
   
8. 
   
9. Numeric atrLength(10);
   
10. 
    
11. Numeric bollingerLengths(50);
    
12. 
    
13. Numeric numStdDevs(2);
    
14. 
    
15. Numeric trendLiqLength(50);
    
16. 
    
17. Numeric Lots(0);
    
18. 
    
19. Vars
    
20. 
    
21. NumericSeries cmiVal(0);
    
22. 
    
23. BoolSeries buyEasierDay(False);
    
24. 
    
25. BoolSeries sellEasierDay(False);
    
26. 
    
27. NumericSeries myATR(0);
    
28. 
    
29. NumericSeries MidLine(0);
    
30. 
    
31. Numeric Band(0);
    
32. 
    
33. NumericSeries upBand(0);
    
34. 
    
35. NumericSeries dnBand(0);
    
36. 
    
37. NumericSeries trendLokBuy(0);
    
38. 
    
39. NumericSeries trendLokSell(0);
    
40. 
    
41. NumericSeries keyOfDay(0);
    
42. 
    
43. NumericSeries swingBuyPt(0);
    
44. 
    
45. NumericSeries swingSellPt(0);
    
46. 
    
47. NumericSeries trendBuyPt(0);
    
48. 
    
49. NumericSeries trendSellPt(0);
    
50. 
    
51. NumericSeries swingProtStop(0);
    
52. 
    
53. NumericSeries trendProtStop(0);
    
54. 
    
55. BoolSeries swingEntry(False);
    
56. 
    
57. Begin
    
58. 
    
59. If(!CallAuctionFilter()) Return;
    
60. 
    
61. cmiVal = Abs(Close - Close[29])/(Highest(High,30) - Lowest(Low,30))*100;
    
62. 
    
63. trendLokBuy = Average(Low,3);
    
64. 
    
65. trendLokSell= Average(High,3);
    
66. 
    
67. keyOfDay = (High + Low + Close)/3;
    
68. 
    
69. buyEasierDay = False;
    
70. 
    
71. sellEasierDay = False;
    
72. 
    
73. If(Close[1] > keyOfDay[1]) sellEasierDay = True;
    
74. 
    
75. If(Close[1] <= keyOfDay[1]) buyEasierDay = True;
    
76. 
    
77. myATR = AvgTrueRange(atrLength);
    
78. 
    
79. If(buyEasierDay == True)
    
80. 
    
81. {
    
82. 
    
83. swingBuyPt = Open + swingPrcnt1*myATR[1];
    
84. 
    
85. swingSellPt = Open - swingPrcnt2*myATR[1];
    
86. 
    
87. }
    
88. 
    
89. If(sellEasierDay == True)
    
90. 
    
91. {
    
92. 
    
93. swingBuyPt = Open + swingPrcnt2*myATR[1];
    
94. 
    
95. swingSellPt = Open - swingPrcnt1*myATR[1];
    
96. 
    
97. }
    
98. 
    
99. swingBuyPt = Max(swingBuyPt,trendLokBuy[1]);
    
100. 
     
101. swingSellPt = Min(swingSellPt,trendLokSell[1]);
     
102. 
     
103. MidLine = AverageFC(Close,bollingerLengths);
     
104. 
     
105. Band = StandardDev(Close,bollingerLengths,2);
     
106. 
     
107. upBand = MidLine + numStdDevs*Band;
     
108. 
     
109. dnBand = MidLine - numStdDevs*Band;
     
110. 
     
111. trendBuyPt = upBand;
     
112. 
     
113. trendSellPt = dnBand;
     
114. 
     
115. If(cmiVal[1] < swingTrendSwitch)
     
116. 
     
117. {
     
118. 
     
119. If(MarketPosition != -1 And Low <= swingSellPt)
     
120. 
     
121. {
     
122. 
     
123. SellShort(Lots,Min(Open,swingSellPt));
     
124. 
     
125. swingEntry = True;
     
126. 
     
127. }
     
128. 
     
129. If(MarketPosition == -1 And BarsSinceEntry >= 1 And High >= swingBuyPt)
     
130. 
     
131. {
     
132. 
     
133. BuyToCover(0,Max(Open,swingBuyPt));
     
134. 
     
135. swingEntry = False;
     
136. 
     
137. }
     
138. 
     
139. }
     
140. 
     
141. swingProtStop = 3*myATR;
     
142. 
     
143. trendProtStop = Average(Close,trendLiqLength);
     
144. 
     
145. If(cmiVal[1] >= swingTrendSwitch)
     
146. 
     
147. {
     
148. 
     
149. If(swingEntry == True)
     
150. 
     
151. {
     
152. 
     
153. If(MarketPosition == -1 And BarsSinceEntry >= 1 And High >= (EntryPrice + swingProtStop[1]))
     
154. 
     
155. {
     
156. 
     
157. BuyToCover(0,Max(Open,EntryPrice + swingProtStop[1]));
     
158. 
     
159. swingEntry = False;
     
160. 
     
161. }
     
162. 
     
163. }
     
164. 
     
165. If(swingEntry == False)
     
166. 
     
167. {
     
168. 
     
169. If(MarketPosition != -1 And BarsSinceExit >= 1 And Low <= trendSellPt[1])
     
170. 
     
171. {
     
172. 
     
173. SellShort(Lots,Min(Open,trendSellPt[1]));
     
174. 
     
175. }
     
176. 
     
177. If(MarketPosition == -1 And BarsSinceEntry >= 1 And High >= Min(trendBuyPt[1],trendProtStop[1]))
     
178. 
     
179. {
     
180. 
     
181. BuyToCover(0,Max(Open,Min(trendBuyPt[1],trendProtStop[1])));
     
182. 
     
183. }
     
184. 
     
185. }
     
186. 
     
187. }
     
188. 
     
189. End

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2020-12-6 10:19

骄天龙

谢谢楼主！新年快乐！

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