海龜法則策略（MC版）

海龜法則策略（MC版）一、海龜交易法基礎資金管理：采用波動幅度（ATR）管理資金。入市信號：多頭：當價格超過20日高點時，入市做多。空頭：當價格跌破20日低點時，入市做空。二、增倉法則初始建倉：入市時，只建立一個單位的頭寸。加倉條件：在建立頭寸之后，以0.5ATR的間隔增加頭寸，直到達到最大許可建倉單位數(shù)（LTT）。三、離場法則清倉條件：對于多頭頭寸，當價格跌破10日低點時清倉。對于空頭頭寸，當價格超過10日高點時清倉。四、止損法則最大止損風險：任何一筆交易的風險不超過2%。止損點設置：初始止損點設置在價格波動2ATR的位置。每次加倉后，之前建倉頭寸的止損點均向加倉點位移動0.5ATR，以保證全部頭寸的風險最小。五、代碼邏輯概覽輸入?yún)?shù)：ATRlen:計算ATR的周期長度（20）Flen:計算20日高點和低點的周期長度（20）LTT:最大交易單位數(shù)Percent:增倉時每次增加的頭寸比例（0.5）StopATRCnt:止損時使用的ATR倍數(shù)（2）主要變量：Myfhigh:20日高點Myflow:20日低點mp:市場位置（多頭或空頭）Myatr:計算得到的ATR值StopPrice:止損價格AveragePrice:持倉均價邏輯流程：初始化：計算ATR值，檢查市場位置。入場：根據(jù)20日高點和低點決定買賣。增倉：在已有頭寸基礎上，根據(jù)市場位置和ATR值增加頭寸。止損：根據(jù)市場位置和ATR值設置止損價格，并隨著加倉移動止損點。離場：根據(jù)10日突破法則清倉。策略代碼注解：輸入?yún)?shù)

ATRlen

:計算ATR的周期長度，這里設為20。

Flen

:計算20日高點和低點的周期長度，這里也設為20。

LTT

:最大交易單位數(shù)。

Percent

:增倉時每次增加的頭寸比例，這里設為0.5。

StopATRCnt

:止損時使用的ATR倍數(shù)，這里設為2。變量定義

Myfhigh

:20日高點。

Myflow

:20日低點。

mp

:市場位置（多頭或空頭）。

Myatr

:計算得到的ATR值。

StopPrice

:止損價格。

AveragePrice

:持倉均價。初始化操作在每次交易開始時，計算ATR值，并檢查市場位置。日志打印打印當前日期、時間、價格、買賣價、當前K線索引、ATR值、市場位置、合約數(shù)、各頭寸的入場價格。入場邏輯當市場位置為0（無持倉）時，計算20日高點和低點。如果價格超過20日高點，則買入（做多）。如果價格跌破20日低點，則賣出（做空）。增倉邏輯當當前合約數(shù)等于

LTT

時，根據(jù)市場位置和ATR值增加頭寸。每次增倉的間隔為0.5N（0.5倍ATR）。止損邏輯計算持倉均價。根據(jù)市場位置和ATR值設置止損價格。每增加一次頭寸，之前的止損點均向加倉點位移動0.5N。離場邏輯使用10日突破退出法則。對于多頭頭寸，當價格跌破10日低點時清倉。對于空頭頭寸，當價格超過10日高點時清倉。代碼邏輯1.

初始化：計算ATR值，檢查市場位置。2.

入場：當無持倉時，根據(jù)20日高點和低點決定買賣。3.

增倉：在已有頭寸基礎上，根據(jù)市場位置和ATR值增加頭寸。4.

止損：根據(jù)市場位置和ATR值設置止損價格。5.

離場：根據(jù)10日突破法則清倉。本策略實現(xiàn)了海龜交易法的基本邏輯，通過計算和比較價格的移動平均和ATR值來決定買賣時機和頭寸管理。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ifmp=0thenbeginMyfhigh=Highest(high,Flen);//20日高點Myflow=Lowest(low,Flen);//20日低點buy("buy-entry")LTTsharesnextbaratMyfhighstop;sellshort("Sell-entry")LTTsharesnextbaratMyflowstop;end;//增倉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//計算持倉均價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