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 Length

Vars

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));

}