data have;
input obs close   MA    own    buy   sell;
datalines;
1  99.98 1000000 0 0 0
2  104.39 1000000 0 0 0
3  109.13 1000000 0 0 0
4  114.55 1000000 0 0 0
5  120.25 109.66 1 1 0
6  125.27 114.718 1 0 0
7  125.28 118.896 1 0 0
8  126.45 122.36 1 0 0
9  127.61 124.972 1 0 0
10  128.84 126.69 1 0 0
11  130.14 127.664 1 0 0
12  131.44 128.896 1 0 0
;
run;

data result;
  set have;
if obs<5 then money=100;
retain last_money;
lag_money=lag(money);
lag_close=lag(close);
lag_own=lag(own);
if lag_money ne . then last_money=lag_money;
if obs>=5 and buy=1 then money=last_money;
if obs>=5 and sell=1 then money=last_money*close/lag_close;
if obs>=5 and buy=0 and sell=0 and lag_own=1 then money=last_money*close/lag_close;
if obs>=5 and buy=0 and sell=0 and lag_own=0 then money=last_money;
last_money=money;
drop lag: last:;
run;

2# pobel
经检验，您的编程过程是完全正确的！感谢您不厌其烦的两次赐教，受益匪浅啊！