幽靈交易者系統(tǒng)（TB版）

幽靈交易者系統(tǒng)（TB版）一、系統(tǒng)概述幽靈交易者系統(tǒng)是一個(gè)基于TB平臺(tái)的交易策略系統(tǒng)，主要通過指數(shù)平均線、RSI指標(biāo)和唐奇安通道等技術(shù)分析工具進(jìn)行交易決策。系統(tǒng)分為做多信號(hào)和做空信號(hào)兩部分，各自包含明確的入場(chǎng)和出場(chǎng)條件。二、系統(tǒng)要素兩條指數(shù)平均線：短期指數(shù)平均線（FastLength，默認(rèn)值9）長(zhǎng)期指數(shù)平均線（SlowLength，默認(rèn)值19）RSI指標(biāo)：計(jì)算RSI所用的周期（Length，默認(rèn)值9）超賣閾值（OverSold，默認(rèn)值30）超買閾值（OverBought，默認(rèn)值70）唐奇安通道：上軌（ExitHiBand，通過Highest函數(shù)計(jì)算最近20個(gè)最高價(jià)）下軌（ExitLoBand，通過Lowest函數(shù)計(jì)算最近20個(gè)最低價(jià)）三、入場(chǎng)條件做多信號(hào)：模擬交易產(chǎn)生一次虧損短期均線在長(zhǎng)期均線之上RSI低于超買值創(chuàng)新高做空信號(hào)：模擬交易產(chǎn)生一次虧損（根據(jù)邏輯推斷，做空也應(yīng)遵循此條件）短期均線在長(zhǎng)期均線之下RSI高于超賣值創(chuàng)新低四、出場(chǎng)條件持有多單時(shí)：價(jià)格小于唐奇安通道下軌，則平多單持有空單時(shí)：價(jià)格大于唐奇安通道上軌，則平空單五、代碼解讀參數(shù)定義：系統(tǒng)通過Params部分定義了多個(gè)數(shù)值型參數(shù)，包括指數(shù)平均線的周期、RSI計(jì)算周期、超買超賣閾值以及交易手?jǐn)?shù)等。變量定義：Vars部分定義了多個(gè)數(shù)值序列變量和數(shù)值變量，用于存儲(chǔ)計(jì)算過程中的中間值和最終結(jié)果，如指數(shù)平均線值、RSI值、唐奇安通道上下軌、進(jìn)場(chǎng)價(jià)格、出場(chǎng)價(jià)格、利潤(rùn)以及多空狀態(tài)等。計(jì)算邏輯：首先，系統(tǒng)通過Xaverage函數(shù)計(jì)算短期和長(zhǎng)期指數(shù)平均線。接著，根據(jù)當(dāng)前K線的位置計(jì)算RSI相關(guān)指標(biāo)（NetChgAvg和TotChgAvg），進(jìn)而得到RSI值。然后，通過Highest和Lowest函數(shù)計(jì)算唐奇安通道的上軌和下軌。最后，根據(jù)多空狀態(tài)和價(jià)格條件執(zhí)行入場(chǎng)或出場(chǎng)操作。交易執(zhí)行：在滿足入場(chǎng)條件時(shí)，系統(tǒng)會(huì)根據(jù)利潤(rùn)狀態(tài)決定是否開倉(cāng)。在滿足出場(chǎng)條件時(shí)，系統(tǒng)執(zhí)行平倉(cāng)操作，并計(jì)算利潤(rùn)。六、策略說明系統(tǒng)采用了一種模擬交易產(chǎn)生一次虧損后才啟動(dòng)真實(shí)下單交易的策略，旨在通過模擬交易測(cè)試市場(chǎng)條件，提高真實(shí)交易的準(zhǔn)確性和盈利能力。同時(shí)，系統(tǒng)結(jié)合了多種技術(shù)分析工具，形成了較為完整的交易決策體系。做多信號(hào)代碼：ParamsNumericFastLength(9);NumericSlowLength(19);NumericLength(9);NumericOverSold(30);NumericOverBought(70);NumericLots(0);VarsNumericSeriesAvgValue1;NumericSeriesAvgValue2;NumericSeriesNetChgAvg(0);NumericSeriesTotChgAvg(0);NumericSF(0);NumericChange(0);NumericChgRatio(0);NumericSeriesRSIValue;NumericSeriesExitHiBand(0);NumericSeriesExitLoBand(0);NumericSeriesmyEntryPrice(0);NumericSeriesmyExitPrice(0);NumericSeriesmyProfit(0);NumericSeriesmyPosition(0);BeginIf(!CallAuctionFilter())Return;AvgValue1=Xaverage(Close,FastLength);AvgValue2=Xaverage(Close,SlowLength);//計(jì)算RSIIf(CurrentBar<=Length-1){NetChgAvg=(Close-Close[Length])/Length;TotChgAvg=Average(Abs(Close-Close[1]),Length);}Else{SF=1/Length;Change=Close-Close[1];NetChgAvg=NetChgAvg[1]+SF*(Change-NetChgAvg[1]);TotChgAvg=TotChgAvg[1]+SF*(Abs(Change)-TotChgAvg[1]);}If(TotChgAvg<>0){ChgRatio=NetChgAvg/TotChgAvg;}Else{ChgRatio=0;}RSIValue=50*(ChgRatio+1);ExitHiBand=Highest(High,20);ExitLoBand=Lowest(Low,20);If(myPosition==1AndmyPosition[1]==1andLow<=ExitLoBand[1]){myExitPrice=Min(Open,ExitLoBand[1]);Sell(0,myExitPrice);myProfit=myExitPrice-MyEntryPrice;myPosition=0;}If(myPosition==0AndmyPosition[1]==0AndAvgValue1[1]>AvgValue2[1]AndRSIValue[1]<OverBoughtandHigh>=High[1]){myEntryPrice=Max(Open,High[1]);myPosition=1;If(myProfit<0)Buy(Lots,myEntryPrice);}End策略說明:模擬交易產(chǎn)生一次虧損后才啟動(dòng)真實(shí)下單交易。系統(tǒng)要素:1、兩條指數(shù)平均線2、RSI指標(biāo)3、唐奇安通道入場(chǎng)條件:1、模擬交易產(chǎn)生一次虧損、短期均線在長(zhǎng)期均線之上、RSI低于超買值、創(chuàng)新高，則開多單2、模擬交易產(chǎn)生一次虧損、短期均線在長(zhǎng)期均線之下、RSI高于超賣值、創(chuàng)新低，則開空單出場(chǎng)條件:1、持有多單時(shí)小于唐奇安通道下軌，平多單2、持有空單時(shí)大于唐奇安通道上軌，平空單做多代碼解讀：ParamsNumericFastLength(9);//聲明數(shù)值參數(shù)FastLength，初值9，即短期指數(shù)平均線參數(shù)。NumericSlowLength(19);//聲明數(shù)值參數(shù)SlowLength，初值19，即長(zhǎng)期指數(shù)平均線參數(shù)。NumericLength(9);//聲明數(shù)值參數(shù)Length，初值9，即RSI參數(shù)。NumericOverSold(30);//聲明數(shù)值參數(shù)OverSold，初值30，即超賣。NumericOverBought(70);//聲明數(shù)值參數(shù)OverBought，初值70，即超買。NumericLots(0);//聲明數(shù)值參數(shù)Lots，初值0，即交易手?jǐn)?shù)設(shè)置。VarsNumericSeriesAvgValue1;//聲明數(shù)值序列變量AvgValue1，即短期指數(shù)平均線。NumericSeriesAvgValue2;//聲明數(shù)值序列變量AvgValue2，即長(zhǎng)期指數(shù)平均線。NumericSeriesNetChgAvg(0);//聲明數(shù)值序列變量NetChgAvg，初值0。NumericSeriesTotChgAvg(0);//聲明數(shù)值序列變量TotChgAvg，初值0.NumericSF(0);//聲明數(shù)值變量SF，初值0.NumericChange(0);//聲明數(shù)值變量Change，初值0.NumericChgRatio(0);//聲明數(shù)值變量ChgRatio，初值0.NumericSeriesRSIValue;//聲明數(shù)值序列變量RSIValue，即RSI指標(biāo)。NumericSeriesExitHiBand(0);//聲明數(shù)值序列變量ExitHiBand，初值0，唐奇安通道上軌。NumericSeriesExitLoBand(0);//聲明數(shù)值序列變量ExitLoBand，初值0，唐奇安通道下軌。NumericSeriesmyEntryPrice(0);//聲明數(shù)值序列變量myEntryPrice，初值0，進(jìn)場(chǎng)價(jià)格。NumericSeriesmyExitPrice(0);//聲明數(shù)值序列變量myExitPrice，初值0，出場(chǎng)價(jià)格。NumericSeriesmyProfit(0);//聲明數(shù)值序列變量myProfit，初值0，即利潤(rùn)。NumericSeriesmyPosition(0);//聲明數(shù)值序列變量myPosition，初值0，即多空標(biāo)志。BeginIf(!CallAuctionFilter())Return;//集合競(jìng)價(jià)和小節(jié)休息過濾。AvgValue1=Xaverage(Close,FastLength);//計(jì)算短期指數(shù)平均線，即把收盤價(jià)與周期9返回函數(shù)Xaverage求值。AvgValue2=Xaverage(Close,SlowLength);//同理，計(jì)算長(zhǎng)期指數(shù)平均線參數(shù)。//計(jì)算RSI。If(CurrentBar<=Length-1)//假如當(dāng)前索引k線數(shù)位值小于等于周期8。{NetChgAvg=(Close-Close[Length])/Length;//代入相應(yīng)數(shù)值計(jì)算，即得NetChgAvg=（close-close[9]）/9TotChgAvg=Average(Abs(Close-Close[1]),Length);//先算絕對(duì)值函數(shù)Abs里的，再把絕對(duì)值與周期9返回均值函數(shù)Average求均值，最后賦值給變量TotChgAvg。}Else//就是k線數(shù)位值大于周期8。{SF=1/Length;//代入相應(yīng)數(shù)值，即SF=1/9。Change=Close-Close[1];//同理，代入當(dāng)期k線收盤價(jià)與前一k線收盤價(jià)即可。NetChgAvg=NetChgAvg[1]+SF*(Change-NetChgAvg[1]);//代入上邊求得的相應(yīng)數(shù)值TotChgAvg=TotChgAvg[1]+SF*(Abs(Change)-TotChgAvg[1]);//同上解讀。}If(TotChgAvg<>0)//假如變量TotChgAvg不等于0{ChgRatio=NetChgAvg/TotChgAvg;//則兩變量相除}Else//等于0{ChgRatio=0;//變量ChgRatio=0}RSIValue=50*(ChgRatio+1);//指標(biāo)RSI的計(jì)算結(jié)果ExitHiBand=Highest(High,20);//唐奇安通道上軌。ExitLoBand=Lowest(Low,20);//唐奇安通道下軌。If(myPosition==1AndmyPosition[1]==1andLow<=ExitLoBand[1])//持有多單時(shí)，下破唐奇安通道下軌，平多單。{myExitPrice=Min(Open,ExitLoBand[1]);//出場(chǎng)價(jià)的計(jì)算，開盤價(jià)與前一個(gè)唐奇安通道下軌的比較，取較小值。Sell(0,myExitPrice);//平倉(cāng)。myProfit=myExitPrice-MyEntryPrice;//利潤(rùn)算法。myPosition=0;//持倉(cāng)多空標(biāo)志myPosition=0.}If(myPosition==0AndmyPosition[1]==0AndAvgValue1[1]>AvgValue2[1]AndRSIValue[1]<OverBoughtandHigh>=High[1])//模擬交易產(chǎn)生一次虧損、短期均線在長(zhǎng)期均線之上、RSI低于超買值、創(chuàng)新高，則開多單。{myEntryPrice=Max(Open,High[1]);//進(jìn)場(chǎng)價(jià)計(jì)算，即開盤價(jià)與前一個(gè)最高價(jià)的比較，取較大值。myPosition=1;//持倉(cāng)多空標(biāo)志myPosition=1.If(myProfit<0)Buy(Lots,myEntryPrice);//假如利潤(rùn)myProfit<0的，以進(jìn)場(chǎng)價(jià)開倉(cāng)。}End做空信號(hào)代碼：ParamsNumericFastLength(9);NumericSlowLength(19);NumericLength(9);NumericOverSold(30);NumericOverBought(70);NumericLots(0);VarsNumericSeriesAvgValue1;NumericSeriesAvgValue2;NumericSeriesNetChgAvg(0);NumericSeriesTotChgAvg(0);NumericSF(0);NumericChange(0);NumericChgRatio(0);NumericSeriesRSIValue;NumericSeriesExitHiBand(0);NumericSeriesExitLoBand(0);NumericSeriesmyEntryPrice(0);NumericSeriesmyExitPrice(0);NumericSeriesmyProfit(0);NumericSeriesmyPosition(0);BeginIf(!CallAuctionFilter())Return;AvgValue1=Xaverage(Close,FastLength);AvgValue2=Xaverage(Close,SlowLength);If(CurrentBar<=Length-1){NetChgAvg=(Close-Close[Length])/Length;TotChgAvg=Average(Abs(Close-Close[1]),Length);}Else{SF=1/Length;Change=Close-Close[1];NetChgAvg=NetChgAvg[1]+SF*(Change-NetChgAvg[1]);TotChgAvg=TotChgAvg[1]+SF*(Abs(Change)-TotChgAvg[1]);}If(TotChgAvg<>0){ChgRatio=NetChgAvg/TotChgAvg;}Else{ChgRatio=0;}RSIValue=50*(ChgRatio+1);ExitHiBand=Highest(High,20);ExitLoBand=Lowest(Low,20);If(myPosition==-1AndmyPosition[1]==-1andHigh>=ExitHiBand[1]){myExitPrice=Max(Open,ExitHiBand[1]);BuyToCover(0,myExitPrice);myProfit=myEntryPrice-MyExitPrice;myPosition=0;}If(myPosition==0AndmyPosition[1]==0AndAvgValue1[1]<AvgValue2[1]AndRSIValue[1]>OverSoldandLow<=Low[1]){myEntryPrice=Min(Open,Low[1]);myPosition=-1;If(myProfit<0)SellShort(Lots,myEntryPrice);}End做空代碼注解：#參數(shù)定義部分Params#定義數(shù)值型參數(shù)FastLength，初始值為9，用于短期指數(shù)平均線的計(jì)算NumericFastLength(9);#定義數(shù)值型參數(shù)SlowLength，初始值為19，用于長(zhǎng)期指數(shù)平均線的計(jì)算NumericSlowLength(19);#定義數(shù)值型參數(shù)Length，初始值為9與RSI指標(biāo)計(jì)算相關(guān)NumericLength(9);#定義數(shù)值型參數(shù)OverSold，初始值為30，超賣閾值NumericOverSold(30);#定義數(shù)值型參數(shù)OverBought，初始值為70，超買閾值NumericOverBought(70);#定義數(shù)值型參數(shù)Lots，初始值為0，用于設(shè)置交易手?jǐn)?shù)NumericLots(0);#變量定義部分Vars#定義數(shù)值序列變量AvgValue1，用于存儲(chǔ)短期指數(shù)平均線的值NumericSeriesAvgValue1;#定義數(shù)值序列變量AvgValue2，用于存儲(chǔ)長(zhǎng)期指數(shù)平均線的值NumericSeriesAvgValue2;#定義數(shù)值序列變量NetChgAvg，初始值為0NumericSeriesNetChgAvg(0);#定義數(shù)值序列變量TotChgAvg，初始值為0NumericSeriesTotChgAvg(0);#定義數(shù)值變量SF，初始值為0NumericSF(0);#定義數(shù)值變量Change，初始值為0NumericChange(0);#定義數(shù)值變量ChgRatio，初始值為0NumericChgRatio(0);#定義數(shù)值序列變量RSIValue，用于存儲(chǔ)RSI指標(biāo)的值NumericSeriesRSIValue;#定義數(shù)值序列變量ExitHiBand，初始值為0，唐奇安通道上軌NumericSeriesExitHiBand(0);#定義數(shù)值序列變量ExitLoBand，初始值為0，唐奇安通道下軌NumericSeriesExitLoBand(0);#定義數(shù)值序列變量myEntryPrice，初始值為0，進(jìn)場(chǎng)價(jià)格NumericSeriesmyEntryPrice(0);#定義數(shù)值序列變量myExitPrice，初始值為0，出場(chǎng)價(jià)格NumericSeriesmyExitPrice(0);#定義數(shù)值序列變量myProfit，初始值為0，是利潤(rùn)NumericSeriesmyProfit(0);#定義數(shù)值序列變量myPosition，初始值為0，表示多空狀態(tài)NumericSeriesmyPosition(0);Begin#如果處于集合競(jìng)價(jià)或小節(jié)休息階段，直接返回If(!CallAuctionFilter())Return;#計(jì)算短期指數(shù)平均線并賦值給AvgValue1AvgValue1=Xaverage(Close,FastLength);#計(jì)算長(zhǎng)期指數(shù)平均線并賦值給AvgValue2AvgValue2=Xaverage(Close,SlowLength);#根據(jù)當(dāng)前K線的位置計(jì)算RSI相關(guān)指標(biāo)If(CurrentBar<=Length-1){#計(jì)算NetChgAvgNetChgAvg=(Close-Close[Length])/Length;#計(jì)算TotChgAvgTotChgAvg=Average(Abs(Close-Close[1]),Length);}Else{#計(jì)算SFSF=1/Length;#計(jì)算ChangeChange=Close-Close[1];#計(jì)算NetChgAvgNetChgAvg=NetChgAvg[1]+SF*(Change-NetChgAvg[1]);#計(jì)算TotChgAvgTotChgAvg=TotChgAvg[1]