Params
//此处添加参数
Numeric k1(0.3); //不对称区间参数
Numeric k2(0.2); //不对称区间参数
Numeric ExitOnCloseMine(14.58); //清仓时间
Numeric N(3);
Numeric lots(1);
Numeric danger(-1750);
Numeric profit(2150);
Numeric thred_short(500);
Numeric thred_long(500);
//Numeric ni_target(500);
//Numeric shun_target(500);
Numeric up_count(1);
//Numeric down_count(2);
Numeric color_aver(86450);
Numeric color_nolong(3000);
Numeric color_short(4000);
Numeric today_stop(-2000);
Vars
//此处添加变量
Series<Numeric> upband; //通道上轨变量
Series<Numeric> dnband; //通道下轨变量
Global Numeric HH;
Global Numeric HC;
Global Numeric LC;
Global Numeric LL;
Global Numeric range1;
Global Numeric longPosition(0);
Global Numeric shortPosition(0);
Series<Numeric> LongMA; //长周期均线变量
Global Numeric sumVolumeWeightedPrice (0);
Global Numeric sumVolume(0);
Global Numeric sign_ni(0);
Global Numeric p_stop(0);
Global Numeric total_loss(0);
Global Numeric high_profit(0);
Global Numeric close_position(0);
Global Numeric need_plus(0);
Global Numeric short_build(0);
Global Numeric long_build(0);
Global Numeric count_close(0);
Global Numeric Open_bar(0);
Global Numeric market_count(0);
Global Numeric kui_count(0);
Defs
Events
//此处实现事件函数
//初始化事件函数，策略运行期间，首先运行且只有一次，应用在订阅数据等操作
OnInit()
{
}
OnBarClose(ArrayRef<Integer> indexs)
{
// 累加加权价格和成交量
sumVolumeWeightedPrice = sumVolumeWeightedPrice + close * vol;
sumVolume = sumVolume + vol;
// 计算 VWMA
if (sumVolume > 0)
LongMA = sumVolumeWeightedPrice / sumVolume;
// 计算移动平均线
PlotNumeric(MA, LongMA);
If( Time >= ExitOnCloseMine / 100)
{
Sell(0,Close);
BuyToCover(0,Close);
longPosition = 0;
shortPosition = 0;
}
If( data1.Close < LongMA)
{
count_close = count_close + 1;
}
Else If(data1.Close > LongMA)
{
count_close = 0;
}
//止损
If(MarketPosition == -1)
{
If((short_build - Close[1])*lots < danger)
{
total_loss = total_loss + (short_build - Close[1])*lots;
BuyToCover(shortposition , Close);
shortposition = 0;
kui_count = kui_count + 1;
If(sign_ni == 0)
{
sign_ni = 1;
}
}
}
Else If(MarketPosition == 1)
{
If((Close[1] - long_build)*lots < danger)
{
total_loss = total_loss + (Close[1] - long_build)*lots;
Sell(longposition , Close);
longposition = 0;
kui_count = kui_count + 1;
If(sign_ni == 0)
{
sign_ni = 1;
}
}
}
//有色网均价比较
//若持多仓，并且建仓价格在有色网均价之上，并且当前在亏损，则等到价格降到有色网均价之下时止损
If(Time < ExitOnCloseMine / 100 && time > 0.09 ){
If( MarketPosition == 1 )
{
If((Close < color_aver) && (Close[1] - long_build) < 0 && long_build > color_aver && market_count == 1)
{
Sell(longPosition,Close);
longPosition = 0;
total_loss = total_loss + (Close[1] - long_build) * lots;
kui_count = kui_count + 1;
If(sign_ni == 0)
{
sign_ni = 1;
}
}
}
//若持空仓，并且建仓价格在有色网均价之下，并且当前在亏损，则等到价格涨到有色网均价之上时止损
If( MarketPosition == -1)
{
If(short_build < color_aver && (short_build - Close[1]) < 0 && Close > color_aver && market_count == 1)
{
BuyToCover(shortPosition,Close);
shortPosition = 0;
total_loss = total_loss + (short_build - Close[1]) * lots;
kui_count = kui_count + 1;
If(sign_ni == 0)
{
sign_ni = 1;
}
}
}
}
//若当天亏损到达2000，则当天停止交易
If(kui_count == 2)
{
p_stop = 1;
}
//止盈
If(MarketPosition == -1 && (short_build - Close[1])*lots >= high_profit)
{
high_profit = (short_build - Close[1])*lots;
close_position = high_profit * 0.6;
Commentary(Text(close_position));
}
Else If(MarketPosition == 1 && (Close[1] - long_build)*lots >= high_profit)
{
high_profit = (Close[1] - long_build)*lots;
close_position = high_profit * 0.6;
Commentary(Text(close_position));
}
/*
If(PositionProfit >= high_profit)
{
high_profit = PositionProfit;
close_position = high_profit * 0.6;
}
*/
//Commentary(long_build: + Text((short_build - Close[1])*lots));
Commentary(close_position: + Text(close_position));
If(MarketPosition == -1)
{
If((short_build - Close[1])*lots < close_position && close_position > 0 && (short_build - Close[1]) > 0 )
{
If((short_build - Close[1])*lots < 2400)
{
//Commentary(进来前(short_build - Close[1])*lots： + Text((short_build - Close[1])*lots));
//Commentary(进来前close_position： + Text(close_position));
BuyToCover(shortposition , Close);
shortposition = 0;
high_profit = profit;
If(sign_ni == 1)
{
need_plus = 1;
}
Else If(Open_bar > 6000 && sign_ni == 0)
{
sign_ni = 1;
}
}
Else If((short_build - Close[1])*lots >= 2400)
{
//Commentary(修改(short_build - Close[1])*lots： + Text((short_build - Close[1])*lots));
//Commentary(修改close_position： + Text(close_position));
close_position = high_profit * 0.4;
Commentary(Text(close_position));
}
//Commentary(出来后(short_build - Close[1])*lots： + Text((short_build - Close[1])*lots));
//Commentary(出来后close_position： + Text(close_position));
}
}
Else If(MarketPosition == 1)
{
If((Close[1] - long_build)*lots < close_position && close_position > 0 && (Close[1] - long_build) > 0)
{
If((Close[1] - long_build)*lots < 2400)
{
//Commentary(进入前(Close[1] - long_build)*lots： + Text((Close[1] - long_build)*lots));
//Commentary(进入前close_position： + Text(close_position));
Sell(longposition , Close);
longposition = 0;
high_profit = profit;
If(sign_ni == 1)
{
need_plus = 1;
}
}
Else If((Close[1] - long_build)*lots >= 2400)
{
//Commentary(修改(Close[1] - long_build)*lots： + Text((Close[1] - long_build)*lots));
//Commentary(修改close_position： + Text(close_position));
close_position = high_profit * 0.4;
Commentary(Text(close_position));
}
//Commentary(出去后(Close[1] - long_build)*lots： + Text((Close[1] - long_build)*lots));
// Commentary(出去后close_position： + Text(close_position));
}
}
Commentary(Close MarketPosition:+ Text(MarketPosition));
}
OnBarOpen(ArrayRef<Integer> indexs)
{
Commentary(open MarketPosition:+ Text(MarketPosition));
If(p_stop == 0)
{
//逆势
If(Time < ExitOnCloseMine / 100 && time > 0.0905 && sign_ni == 0 )
{
//开空仓
if ((Close[1] > (LongMA + thred_short) && shortPosition == 0 && longPosition == 0) Or (Close[1] > (color_aver + color_short) && shortPosition == 0 && longPosition == 0) Or (count_close >= 6000 && shortPosition == 0 && longPosition == 0))
{
SellShort(lots, Open);
short_build = Open;
shortPosition = shortPosition + lots;
Open_bar = count_close;
close_position = 0;
market_count = market_count + 1;
}
//开多仓
else if (Close[1] < (LongMA - thred_long) && longPosition == 0 && shortPosition == 0 && Close[1] < (color_aver + color_nolong) && count_close <5000)
{
Buy(lots, Open);
long_build = Open;
longPosition = longPosition + lots;
close_position = 0;
market_count = market_count + 1;
}
}
//顺势
Else If(Time < ExitOnCloseMine / 100 && Time > 0.09 && sign_ni == 1 && MarketPosition == 0)
{
If(need_plus == 0)
{
If(Close[1] > LongMA && Close[1] > upband )
{
Commentary(MarketPosition:+ Text(MarketPosition));
Buy(lots , Open);
//Commentary(buy MarketPosition:+ Text(MarketPosition));
//Commentary(顺势开多单);
long_build = Open;
longPosition = longPosition + lots;
market_count = market_count + 1;
}
Else If(Close[1] < LongMA && Close[1] < dnband )
{
SellShort(lots , Open);
Commentary(顺势开空单);
short_build = Open;
shortPosition = shortPosition + lots;
market_count = market_count + 1;
}
}
Else If(need_plus == 1)
{
If( Close[1] > (color_aver + color_nolong))
{
sign_ni = 0;
}
If(Close[1] < (color_aver + color_short))
{
sign_ni = 0;
}
}
}
}
}
OnBar(ArrayRef<Integer> indexs)
{
if (TrueDate(0) <> TrueDate(1))
{
// 重置累加器
sumVolumeWeightedPrice = 0.0;
sumVolume = 0.0;
sign_ni = 0;
p_stop = 0;
total_loss = 0;
high_profit = profit;
close_position =0;
need_plus = 0;
count_close = 0;
market_count = 0;
kui_count = 0;
//short_build = 0;
//long_build = 0;
}
HH=data1.HighD(N); //N日前的高点
LL=data1.LowD(N); //N日前的低点
HC = data1.CloseD(N);
LC = data1.OpenD(N);
range1 = Max(HH - LC, HC - LL );
upband = data1.OpenD(0) + range1 * k1;
dnband = data1.OpenD(0) - range1 * k2;
data0.PlotNumeric(upband：, upband);
data0.PlotNumeric(dnband：, dnband);
Commentary(当前盈利: + Text(PositionProfit));
Commentary(总亏损: + Text(total_loss));
Commentary(sign_ni: + Text(sign_ni));
Commentary(need_plus: + Text(need_plus));
Commentary( bar MarketPosition: + Text(MarketPosition));
//Commentary(低于均线的bar数： + Text(count_close));
//Commentary(long_build: + Text(long_build));
//Commentary(short_build: + Text(short_build));
//Commentary(多亏损： + Text((Close[1] - long_build)*lots));
//Commentary(空亏损: + Text((short_build - Close[1])*lots));
}
//当前策略退出时触发
OnExit()
{
}
我在tick数据中用marketposition作为条件判断是否入场，上图在平仓后，满足入场条件，立刻开多单，但是实盘中没有报单，我查看了onbaropen，onbarclose和onbar中的marketposition的值，同一根tick数据上的不一样，是否是这个问题，问题主要出在标红字段。
您好，代码很长，逻辑要搞清楚很费时间，对解决问题可能又没有什么直接帮助，但不看懂逻辑，直接看您说的标为顺势的代码部分，也很难看出问题，这是个矛盾。
我只能针对您说的问题回复下，OnBarOpen 、OnBar、OnBarClose不管实际顺序怎么写，用到的MarketPosition及其它变量，实际的顺序就是OnBarOpen->OnBar->OnBarClose。我做了个简化的例子测试，用tick数据运行策略，发单一切正常，MarketPosition在OnBarOpen、OnBar、OnBarClose中的值也完全正常。
至于您自己的代码为什么不正常可能还得您自己再去耐心调试了
问题主要出在标注为顺势的代码部分，请老师看看问题出在哪