文华财经T8自动化交易程序策略模型指标公式源码

发布于:2024-06-28 ⋅ 阅读:(19) ⋅ 点赞:(0)

文华财经T8自动化交易程序策略模型指标公式源码:

//定义变量
//资金管理与仓位控制
8CS:=INITMONEY;//初始资金
8QY:=MONEYTOT;//实际权益
8QY1:=MIN(MA(8QY,5*R),MA(8QY,2*R));
FXBL:=N1;
DBKS:8QY1*N1;//计算单笔允许亏损额度
BZDKS:=MAX(AA-BB,N*1T)*UNIT;
SZDKS:=MAX(BB-AA,N*1T)*UNIT;
BKKK:=DBKS/BZDKS;
SKKK:=DBKS/SZDKS;//计算手数
BKK:=IF(BKKK>=0.8,ROUND(BKKK,0),1);
SKK:=IF(SKKK>=0.8,ROUND(SKKK,0),1);
BKS:IF(X=0,1,IF(BKK>1&&((CJ&&(CLOSEMINUTE<120))||TNUMSEQWIN>5),ROUND(BKK/2,0),BKK));//确定开多仓手数
SKS:IF(X=0,1,IF(SKK>1&&((CJ&&(CLOSEMINUTE<120))||TNUMSEQWIN>5),ROUND(SKK/2,0),SKK));//确定开空仓手数
//持仓成本计算
BARSBK1:=IFELSE(BARSBK>=1,BARSBK,0);
BARSSK1:=IFELSE(BARSSK>=1,BARSSK,0);
BARSBP1:=IFELSE(BARSBP>=1,BARSBP,0);
BARSSP1:=IFELSE(BARSSP>=1,BARSSP,0);
BKJJ0:LOOP2(ISLASTBK&&COUNTSIG(LOWER_LONG,BARSBK+1)=0,LONG_AVPRICE ,LOOP2(ISLASTBK&&REF(VALUEWHEN(BKVOL<>REF(BKVOL,1),BKVOL<REF(BKVOL,1)),BARSBK1+1)&&BARSBK>BARSBK1&&COUNTSIG(LOWER_LONG,BARSBK+1)>0,(REF(LONG_AVPRICE,BARSSP1+1)*REF(BKVOL,BARSBK1+1)+BKPRICE*REF(BKVOL,BARSBK-1))/BKVOL,REF(BKJJ0,BARSBK1))),NODRAW;//向上取数据合约整数BK均价
SKJJ0:LOOP2(ISLASTSK&&COUNTSIG(LOWER_SHORT,BARSSK+1)=0,SHORT_AVPRICE,LOOP2(ISLASTSK&&REF(VALUEWHEN(SKVOL<>REF(SKVOL,1),SKVOL<REF(SKVOL,1)),BARSSK1+1)&&BARSSK>BARSSK1&&COUNTSIG(LOWER_SHORT,BARSSK+1)>0,(REF(SHORT_AVPRICE,BARSBP1+1)*REF(SKVOL,BARSSK1+1)+SKPRICE*REF(SKVOL,BARSSK-1))/SKVOL,REF(SKJJ0,BARSSK1))),NODRAW;//向下取数据合约整数SK均价
//开仓指令
ISLASTBK=0&&BKVOL=0&&BB1&&C<=BKJJ,BK;//开多指令
ISLASTSK=0&&SKVOL=0&&SS1&&C>=SKJJ,SK;//开空指令
//平仓指令
//通用清仓条件
QQ01:=(BKVOL>0||ISLASTBK)&&BARSBK1>0&&QB1;
QQ02:=(SKVOL>0||ISLASTSK)&&BARSSK1>0&&QS1;
QQ11:=(BKVOL>0||ISLASTBK)&&BARSBK1>0&&QB2;
QQ12:=(SKVOL>0||ISLASTSK)&&BARSSK1>0&&QS2;
QQ21:=(BKVOL>0||ISLASTBK)&&BARSBK1>0&&QB3;
QQ22:=(SKVOL>0||ISLASTSK)&&BARSSK1>0&&QS3;
//清仓指令
QQ01||QQ02,SP;
QQ11||QQ12,SP;
QQ21||QQ22,SP;
QQ01||QQ02,SP;
QQ11||QQ12,SP;
QQ21||QQ22,SP;
//平仓
(BKVOL>0||ISLASTBK)&&PB1,SP;
(SKVOL>0||ISLASTSK)&&PS1,BP;
(BKVOL>0||ISLASTBK)&&PB2,SP;
(SKVOL>0||ISLASTSK)&&PS2,BP;
(BKVOL>0||ISLASTBK)&&PB3,SP;
(SKVOL>0||ISLASTSK)&&PS3,BP;
//止盈减仓
ISLASTBK&&BKVOL>0&&ZYB1,LOWER_LONG(BKVOL*IF(BKVOL>WW,2/3,1/2));
ISLASTSK&&SKVOL>0&&ZYS1,LOWER_SHORT(SKVOL*IF(SKVOL>WW,2/3,1/2));
ISLASTBK&&BKVOL>0&&ZYB2,LOWER_LONG(BKVOL*1/2);
ISLASTSK&&SKVOL>0&&ZYS2,LOWER_SHORT(SKVOL*1/2);
BKVOL>0&&VALUEWHEN(BKVOL<>REF(BKVOL,1),BKVOL<REF(BKVOL,1))&&ZYB3,SP;
SKVOL>0&&VALUEWHEN(SKVOL<>REF(SKVOL,1),SKVOL<REF(SKVOL,1))&&ZYS3,BP;
(BKVOL>0||ISLASTBK)&&ZYB4,SP;
(SKVOL>0||ISLASTSK)&&ZYS4,BP;
//信号执行
T_COMMAND(IF(ISLASTBK=0&&BKVOL=0&&BB1&&C<=BKJJ,BKS,IF(ISLASTSK=0&&SKVOL=0&&SS1&&C>=SKJJ,SKS,NULL)));
SETSIGPRICETYPE(BK,CMPETITV_ORDER,CANCEL_ORDER);
SETSIGPRICETYPE(SK,CMPETITV_ORDER,CANCEL_ORDER);
TRACING_ORDER(BP,PASSIVE_ORDER,60);
TRACING_ORDER(SP,PASSIVE_ORDER,60);
AUTOFILTER;