为何boLength变化对利润有影响？

照搬的海龟交易系统，signma始终为0，短周期未建仓，为何boLength变化对利润有影响？用的燃油1分钟Params Numeric boLength(13); // 短周期 BreakOut Length Numeric fsLength(2); // 长周期 FailSafe Length Numeric teLength(1); // 离市周期 Trailing Exit LengthVars Numeric MinPoint; // 最小变动单位 Numeric TurtleUnits(1); // 交易单位 Series<Numeric> DonchianHi; // 唐奇安通道上轨，延后1个Bar Series<Numeric> DonchianLo; // 唐奇安通道下轨，延后1个Bar Series<Numeric> fsDonchianHi; // 唐奇安通道上轨，延后1个Bar，长周期 Series<Numeric> fsDonchianLo; // 唐奇安通道下轨，延后1个Bar，长周期 Numeric ExitHighestPrice; // 离市时判断需要的N周期最高价 Numeric ExitLowestPrice; // 离市时判断需要的N周期最低价 Numeric myEntryPrice; // 开仓价格 Numeric myExitPrice; // 平仓价格 Bool SendOrderThisBar(False); // 当前Bar有过交易 Series<Numeric> preEntryPrice(0); // 前一次开仓的价格 Series<Bool> PreBreakoutFailure(false); // 前一次突破是否失败 Bool LastProfitableTradeFilter(True); // 使用入市过滤条件 Series<Numeric> signma;Events OnBar(ArrayRef<Integer> indexs) { If(BarStatus == 0) { preEntryPrice = InvalidNumeric; PreBreakoutFailure = false; signma =0; } MinPoint = MinMove*PriceScale; DonchianHi = HighestFC(High[1],boLength); DonchianLo = LowestFC(Low[1],boLength); fsDonchianHi = HighestFC(High[1],fsLength); fsDonchianLo = LowestFC(Low[1],fsLength); ExitLowestPrice = LowestFC(Low[1],teLength); ExitHighestPrice = HighestFC(High[1],teLength); //myma=AverageFC(Close, maLength); Commentary("preEntryPrice="+Text(preEntryPrice)); Commentary("PreBreakoutFailure="+IIFString(PreBreakoutFailure,"True","False")); // 当不使用过滤条件，或者使用过滤条件并且条件为PreBreakoutFailure为True进行后续操作 If(MarketPosition == 0 && ((!LastProfitableTradeFilter) Or (PreBreakoutFailure))) { // 突破开仓 If(High > DonchianHi ) { // 开仓价格取突破上轨+一个价位和最高价之间的较小值，这样能更接近真实情况，并能尽量保证成交 myEntryPrice = min(high,DonchianHi + MinPoint); myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替 preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; signma=signma[1]+1; } If(Low < DonchianLo ) { // 开仓价格取突破下轨-一个价位和最低价之间的较大值，这样能更接近真实情况，并能尽量保证成交 myEntryPrice = max(low,DonchianLo - MinPoint); myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替 preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; signma=signma[1]+1; } } // 长周期突破开仓 Failsafe Breakout point If(MarketPosition == 0) { Commentary("fsDonchianHi="+Text(fsDonchianHi)); If(High > fsDonchianHi ) { // 开仓价格取突破上轨+一个价位和最高价之间的较小值，这样能更接近真实情况，并能尽量保证成交 myEntryPrice = min(high,fsDonchianHi + MinPoint); myEntryPrice = IIF(myEntryPrice < Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替 preEntryPrice = myEntryPrice; Buy(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; //PlotNumeric("DonchianLo",DonchianLo); } Commentary("fsDonchianLo="+Text(fsDonchianLo)); If(Low < fsDonchianLo ) { // 开仓价格取突破下轨-一个价位和最低价之间的较大值，这样能更接近真实情况，并能尽量保证成交 myEntryPrice = max(low,fsDonchianLo - MinPoint); myEntryPrice = IIF(myEntryPrice > Open, Open,myEntryPrice); // 大跳空的时候用开盘价代替 preEntryPrice = myEntryPrice; SellShort(TurtleUnits,myEntryPrice); SendOrderThisBar = True; PreBreakoutFailure = False; //PlotNumeric("DonchianLo",DonchianLo); } } If(MarketPosition == 1 && BarsSinceEntry>1) // 有多仓的情况 { Commentary("ExitLowestPrice="+Text(ExitLowestPrice)); If(Low < ExitLowestPrice) { myExitPrice = max(Low,ExitLowestPrice - MinPoint); myExitPrice = IIF(myExitPrice > Open, Open,myExitPrice); // 大跳空的时候用开盘价代替 Sell(0,myExitPrice); // 数量用0的情况下将全部平仓 } } If(MarketPosition ==-1 && BarsSinceEntry>1) // 有空仓的情况 { // 求出持空仓时离市的条件比较值 Commentary("ExitHighestPrice="+Text(ExitHighestPrice)); If(High > ExitHighestPrice) { myExitPrice = Min(High,ExitHighestPrice + MinPoint); myExitPrice = IIF(myExitPrice < Open, Open,myExitPrice); // 大跳空的时候用开盘价代替 BuyToCover(0,myExitPrice); // 数量用0的情况下将全部平仓 } } //Commentary("signma="+IIFString(signma,"True","False")); //PlotNumeric("DonchianHi",DonchianHi); //PlotNumeric("DonchianLo",DonchianLo); Commentary("signma="+Text(signma)); }