turtle weathlab 5 代码分享

通过测试无问题。在此想感谢对海洋论坛做过贡献的所有朋友。看到坛主hylt对weathlab的介绍才开始学习wld的。在TS上花了很多时间，搞到现在rina的组合测试还没有通过。一看weathlab觉得比较适合自己（java程序员出身），语言比easylanguage严谨多了。祝大家少走弯路。

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
public class MyStrategy : WealthScript
{
double N;//art N.
double L1, S1, L2, S2, L3, S3, L4, S4;//20 day,entry price.
double SE, LE, LS, SS;//20 day,short exit,long exit,long stoploss,short stoploss.
double FU, FD;//55 day,entry price.
double Tick ;//point like MetaTrader.
protected override void Execute()
{
int ChannelUp, ChannelDn, LongExit, ShrtExit, FailsafeUp, FailsafeDn;
double BrktProf;
int LeadBars, ATRParam, LstPsExBar;
bool cond20;
ChannelUp = 20 ;
ChannelDn = 20 ;
LongExit = 10 ;
ShrtExit = 10 ;
FailsafeUp = 55 ;
FailsafeDn = 55 ;
ATRParam = 20 ;
//PlotStops();
Tick = Bars.SymbolInfo.Tick;
//PlotSeries(PricePane, Highest.Series(High, ChannelUp) >> 1, Color.Green, LineStyle.Solid, 1);
//PlotSeries(PricePane, Lowest.Series(Low, ChannelDn ) >> 1, Color.Red, LineStyle.Dotted, 1);
//PlotSeries(PricePane, Highest.Series(High, FailsafeUp) >> 1, Color.Blue, LineStyle.Dotted, 1);
//PlotSeries(PricePane, Lowest.Series(Low, FailsafeDn) >> 1, Color.Fuchsia, LineStyle.Solid, 1);
LeadBars = Math.Max(FailsafeUp, FailsafeDn);
//back test all bars.
for(int bar = LeadBars; bar < Bars.Count; bar++)
{
SE = Highest.Series(High, ShrtExit)[bar]+ Tick ;
LE = Lowest.Series(Low, LongExit)[bar]-Tick ;
N = ATR.Series(Bars,ATRParam)[bar];
if (Positions.Count == 0 )
{
L1 = Highest.Series(High, ChannelUp)[bar];
S1 = Lowest.Series(Low, ChannelDn)[bar];
L2 = L1 + 0.5 * N ;
S2 = S1 - 0.5 * N ;
L3 = L1 + 1.0 * N ;
S3 = S1 - 1.0 * N ;
L4 = L1 + 1.5 * N ;
S4 = S1 - 1.5 * N ;
BuyAtStop( bar+1,L1, "L1" );
ShortAtStop( bar+1,S1, "S1");
}
else
{
if (ActivePositions.Count==3 )
{
BuyAtStop( bar+1,L4, "L4" );
ShortAtStop( bar+1,S4, "S4");
}
if(ActivePositions.Count==2 )
{
BuyAtStop( bar+1,L3, "L3" );
ShortAtStop( bar+1,S3, "S3");
}
if (ActivePositions.Count==1 )
{
BuyAtStop( bar+1,L2, "L2" );
ShortAtStop( bar+1,S2, "S2");
}
//
if (ActivePositions.Count==0 )
{
BrktProf = 0 ;
LstPsExBar = LastPosition.ExitBar;
foreach( Position p in Positions )
if (p.ExitBar == LstPsExBar )
BrktProf += p.NetProfit;

cond20 = (BrktProf < 0 );
if (cond20 == true)
{
L1 = Highest.Series(High, ChannelUp)[bar];
S1 = Lowest.Series(Low, ChannelDn)[bar];
L2 = L1 + 0.5 * N ;
S2 = S1 - 0.5 * N ;
L3 = L1 + 1.0 * N ;
S3 = S1 - 1.0 * N ;
L4 = L1 + 1.5 * N ;
S4 = S1 - 1.5 * N ;
BuyAtStop( bar+1,L1, "L1" );
ShortAtStop( bar+1,S1, "S1"); }
else
{
FU = Highest.Series(High, FailsafeUp)[bar];
FD = Lowest.Series(Low, FailsafeDn)[bar];
L2 = FU + 0.5 * N ;
S2 = FD - 0.5 * N ;
L3 = FU + 1.0 * N ;
S3 = FD - 1.0 * N ;
L4 = FU + 1.5 * N ;
S4 = FD - 1.5 * N ;
BuyAtStop( bar+1,FU, "FU" );
ShortAtStop( bar+1,FD, "FD"); }
}
}

for(int p = ActivePositions.Count - 1; p >= 0; p--)
{
Position pos = ActivePositions[p];
if(pos.PositionType==PositionType.Long)
{
LS=pos.EntryPrice-2*N;
if( !SellAtStop( bar+1,pos, LS, "LongStop") )
SellAtStop( bar+1, pos, LE, "LongExit");
}
else
{
SS=pos.EntryPrice+2*N;
if( !CoverAtStop(bar+1, pos, SS, "ShortStop") )
CoverAtStop( bar+1, pos, SE, "ShortExit");
}
}//end of exit for.
}//end of the first for.
}//end of Execute.
}//end of public class.
}//end of namespace.

 

thanks 4 sharing!

 

thank you very much

 

谢谢，我也是java程序员出身，不过我也学过C#。