海龜法則策略（MC版）

海龜法則策略（MC版）一、海龜交易法基礎(chǔ)資金管理：采用波動(dòng)幅度（ATR）管理資金。入市信號(hào)：多頭：當(dāng)價(jià)格超過(guò)20日高點(diǎn)時(shí)，入市做多?？疹^：當(dāng)價(jià)格跌破20日低點(diǎn)時(shí)，入市做空。二、增倉(cāng)法則初始建倉(cāng)：入市時(shí)，只建立一個(gè)單位的頭寸。加倉(cāng)條件：在建立頭寸之后，以0.5ATR的間隔增加頭寸，直到達(dá)到最大許可建倉(cāng)單位數(shù)（LTT）。三、離場(chǎng)法則清倉(cāng)條件：對(duì)于多頭頭寸，當(dāng)價(jià)格跌破10日低點(diǎn)時(shí)清倉(cāng)。對(duì)于空頭頭寸，當(dāng)價(jià)格超過(guò)10日高點(diǎn)時(shí)清倉(cāng)。四、止損法則最大止損風(fēng)險(xiǎn)：任何一筆交易的風(fēng)險(xiǎn)不超過(guò)2%。止損點(diǎn)設(shè)置：初始止損點(diǎn)設(shè)置在價(jià)格波動(dòng)2ATR的位置。每次加倉(cāng)后，之前建倉(cāng)頭寸的止損點(diǎn)均向加倉(cāng)點(diǎn)位移動(dòng)0.5ATR，以保證全部頭寸的風(fēng)險(xiǎn)最小。五、代碼邏輯概覽輸入?yún)?shù)：ATRlen:計(jì)算ATR的周期長(zhǎng)度（20）Flen:計(jì)算20日高點(diǎn)和低點(diǎn)的周期長(zhǎng)度（20）LTT:最大交易單位數(shù)Percent:增倉(cāng)時(shí)每次增加的頭寸比例（0.5）StopATRCnt:止損時(shí)使用的ATR倍數(shù)（2）主要變量：Myfhigh:20日高點(diǎn)Myflow:20日低點(diǎn)mp:市場(chǎng)位置（多頭或空頭）Myatr:計(jì)算得到的ATR值StopPrice:止損價(jià)格AveragePrice:持倉(cāng)均價(jià)邏輯流程：初始化：計(jì)算ATR值，檢查市場(chǎng)位置。入場(chǎng)：根據(jù)20日高點(diǎn)和低點(diǎn)決定買(mǎi)賣(mài)。增倉(cāng)：在已有頭寸基礎(chǔ)上，根據(jù)市場(chǎng)位置和ATR值增加頭寸。止損：根據(jù)市場(chǎng)位置和ATR值設(shè)置止損價(jià)格，并隨著加倉(cāng)移動(dòng)止損點(diǎn)。離場(chǎng)：根據(jù)10日突破法則清倉(cāng)。策略代碼注解：輸入?yún)?shù)

ATRlen

:計(jì)算ATR的周期長(zhǎng)度，這里設(shè)為20。

Flen

:計(jì)算20日高點(diǎn)和低點(diǎn)的周期長(zhǎng)度，這里也設(shè)為20。

LTT

:最大交易單位數(shù)。

Percent

:增倉(cāng)時(shí)每次增加的頭寸比例，這里設(shè)為0.5。

StopATRCnt

:止損時(shí)使用的ATR倍數(shù)，這里設(shè)為2。變量定義

Myfhigh

:20日高點(diǎn)。

Myflow

:20日低點(diǎn)。

mp

:市場(chǎng)位置（多頭或空頭）。

Myatr

:計(jì)算得到的ATR值。

StopPrice

:止損價(jià)格。

AveragePrice

:持倉(cāng)均價(jià)。初始化操作在每次交易開(kāi)始時(shí)，計(jì)算ATR值，并檢查市場(chǎng)位置。日志打印打印當(dāng)前日期、時(shí)間、價(jià)格、買(mǎi)賣(mài)價(jià)、當(dāng)前K線索引、ATR值、市場(chǎng)位置、合約數(shù)、各頭寸的入場(chǎng)價(jià)格。入場(chǎng)邏輯當(dāng)市場(chǎng)位置為0（無(wú)持倉(cāng)）時(shí)，計(jì)算20日高點(diǎn)和低點(diǎn)。如果價(jià)格超過(guò)20日高點(diǎn)，則買(mǎi)入（做多）。如果價(jià)格跌破20日低點(diǎn)，則賣(mài)出（做空）。增倉(cāng)邏輯當(dāng)當(dāng)前合約數(shù)等于

LTT

時(shí)，根據(jù)市場(chǎng)位置和ATR值增加頭寸。每次增倉(cāng)的間隔為0.5N（0.5倍ATR）。止損邏輯計(jì)算持倉(cāng)均價(jià)。根據(jù)市場(chǎng)位置和ATR值設(shè)置止損價(jià)格。每增加一次頭寸，之前的止損點(diǎn)均向加倉(cāng)點(diǎn)位移動(dòng)0.5N。離場(chǎng)邏輯使用10日突破退出法則。對(duì)于多頭頭寸，當(dāng)價(jià)格跌破10日低點(diǎn)時(shí)清倉(cāng)。對(duì)于空頭頭寸，當(dāng)價(jià)格超過(guò)10日高點(diǎn)時(shí)清倉(cāng)。代碼邏輯1.

初始化：計(jì)算ATR值，檢查市場(chǎng)位置。2.

入場(chǎng)：當(dāng)無(wú)持倉(cāng)時(shí)，根據(jù)20日高點(diǎn)和低點(diǎn)決定買(mǎi)賣(mài)。3.

增倉(cāng)：在已有頭寸基礎(chǔ)上，根據(jù)市場(chǎng)位置和ATR值增加頭寸。4.

止損：根據(jù)市場(chǎng)位置和ATR值設(shè)置止損價(jià)格。5.

離場(chǎng)：根據(jù)10日突破法則清倉(cāng)。本策略實(shí)現(xiàn)了海龜交易法的基本邏輯，通過(guò)計(jì)算和比較價(jià)格的移動(dòng)平均和ATR值來(lái)決定買(mǎi)賣(mài)時(shí)機(jī)和頭寸管理。策略代碼：//輸入?yún)?shù)?Input:ATRlen(20),Flen(20),LTT(10),Percent(0.5),StopATRCnt(2);//變量定義?var:Myfhigh(0),Myflow(0),mp(0),Myatr(0),StopPrice(0),AveragePrice(0);//初始化操作mp=marketposition;ifmp<>0andmp[1]=0thenbeginMyatr=AvgTrueRange(ATRlen);//計(jì)算ATRend;//打印?ifdom_isconnected=truethenbeginprint(date,"",CurrentTime_s,"PRICE=",close,"ASK1=",q_ask,"BID=",q_bid,"BarIndex=",currentbar,"ATR=",Myatr,"MP=",mp,"Cnt=",currentcontracts,"EntryPrice1=",PosTradeEntryPrice(0,0),"EntryPrice2=",PosTradeEntryPrice(0,1),"EntryPrice3=",PosTradeEntryPrice(0,2),"EntryPrice4=",PosTradeEntryPrice(0,3));endelsebeginprint(date,"",CurrentTime_s,"PRICE=",close,"ASK1=",q_ask,"BID=",q_bid,"BarIndex=",currentbar,"ATR=",Myatr,"MP=",mp,"Cnt=",currentcontracts,"EntryPrice1=",PosTradeEntryPrice(0,0),"EntryPrice2=",PosTradeEntryPrice(0,1),"EntryPrice3=",PosTradeEntryPrice(0,2),"EntryPrice4=",PosTradeEntryPrice(0,3));end;//入場(chǎng)ifmp=0thenbeginMyfhigh=Highest(high,Flen);//20日高點(diǎn)Myflow=Lowest(low,Flen);//20日低點(diǎn)buy("buy-entry")LTTsharesnextbaratMyfhighstop;sellshort("Sell-entry")LTTsharesnextbaratMyflowstop;end;//增倉(cāng)ifcurrentcontracts=LTTthenbeginifmp=1thenbeginbuy("buy-add1")LTTsharesnextbaratPosTradeEntryPrice(0,0)+(Percent*Myatr)stop;end;ifmp=-1thenbeginsellshort("Sell-add1")LTTsharesnextbaratPosTradeEntryPrice(0,0)-(Percent*Myatr)stop;end;end;ifcurrentcontracts=2*LTTthenbeginifmp=1thenbeginifPosTradeEntryPrice(0,1)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,0)+PosTradeEntryPrice(0,1))/2;StopPrice=AveragePrice+Percent*Myatr+(Percent/2)*Myatr;buy("buy-add2")LTTsharesnextbaratStopPricestop;end;ifPosTradeEntryPrice(0,1)=0thenbeginStopPrice=PosTradeEntryPrice(0,0)+Percent*Myatr+(Percent/2)*Myatr;buy("buy-add2")LTTsharesnextbaratStopPricestop;end;end;ifmp=-1thenbeginifPosTradeEntryPrice(0,1)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,0)+PosTradeEntryPrice(0,1))/2;StopPrice=AveragePrice-Percent*Myatr-(Percent/2)*Myatr;sellshort("Sell-add2")LTTsharesnextbaratStopPricestop;end;ifPosTradeEntryPrice(0,1)=0thenbeginStopPrice=PosTradeEntryPrice(0,0)-Percent*Myatr-(Percent/2)*Myatr;sellshort("Sell-add2")LTTsharesnextbaratStopPricestop;end;end;end;ifcurrentcontracts=3*LTTthenbeginifmp=1thenbeginifPosTradeEntryPrice(0,2)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,0)+PosTradeEntryPrice(0,1)+PosTradeEntryPrice(0,2))/3;StopPrice=AveragePrice+Percent*Myatr+2*(Percent/2)*Myatr;buy("buy-add3")LTTsharesnextbaratStopPricestop;end;ifPosTradeEntryPrice(0,2)=0thenbeginifPosTradeEntryPrice(0,1)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,0)+PosTradeEntryPrice(0,1))/2;StopPrice=AveragePrice+Percent*Myatr+2*(Percent/2)*Myatr;buy("buy-add3")LTTsharesnextbaratStopPricestop;end;ifPosTradeEntryPrice(0,1)=0thenbeginStopPrice=PosTradeEntryPrice(0,0)+Percent*Myatr+2*(Percent/2)*Myatr;buy("buy-add3")LTTsharesnextbaratStopPricestop;end;end;end;ifmp=-1thenbeginifPosTradeEntryPrice(0,2)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,0)+PosTradeEntryPrice(0,1)+PosTradeEntryPrice(0,2))/3;StopPrice=AveragePrice-Percent*Myatr-2*(Percent/2)*Myatr;sellshort("Sell-add3")LTTsharesnextbaratStopPricestop;end;ifPosTradeEntryPrice(0,2)=0thenbeginifPosTradeEntryPrice(0,1)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,0)+PosTradeEntryPrice(0,1))/2;StopPrice=AveragePrice-Percent*Myatr-2*(Percent/2)*Myatr;sellshort("Sell-add3")LTTsharesnextbaratStopPricestop;end;ifPosTradeEntryPrice(0,1)=0thenbeginStopPrice=PosTradeEntryPrice(0,0)-Percent*Myatr-2*(Percent/2)*Myatr;sellshort("Sell-add3")LTTsharesnextbaratStopPricestop;end;end;end;end;//止損法則//計(jì)算持倉(cāng)均價(jià)ifPosTradeEntryPrice(0,3)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,3)+PosTradeEntryPrice(0,2)+PosTradeEntryPrice(0,1)+PosTradeEntryPrice(0,0))/4;endelseifPosTradeEntryPrice(0,2)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,2)+PosTradeEntryPrice(0,1)+PosTradeEntryPrice(0,0))/3;endelseifPosTradeEntryPrice(0,1)<>0thenbeginAveragePrice=(PosTradeEntryPrice(0,1)+PosTradeEntryPrice(0,0))/2;endelseifPosTradeEntryPrice(0,0)<>0thenbeginAveragePrice=PosTradeEntryPrice(0,0);end;ifcurrentcontracts=LTTthenbeginifmp=1thenbeginsell("Sell-Stop1")allsharesnextbaratAveragePrice-StopATRCnt*Myatrstop;end;ifmp=-1thenbeginbuytocover("buy-Stop1")allsharesnextbaratAveragePrice+StopATRCnt*Myatrstop;end;end;ifcurrentcontracts=2*LTTthenbeginifmp=1thenbeginsell("Sell-Stop2")allsharesnextbaratAveragePrice-StopATRCnt*Myatrstop;end;ifmp=-1thenbeginbuytocover("buy-Stop2")allsharesnextbaratAveragePrice+StopATRCnt*Myatrstop;end;end;ifcurrentcontracts=3*LTTthenbeginifmp=1thenbeginsell("Sell-Stop3")allsharesnextbaratAveragePrice-StopATRCnt*Myatrstop;end