台指期貨的潛規則(II) - 平均振幅比例進場(程式碼)

EasyTrader ArtNo 24

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10/16 結算日: 開放 TS2000i 程式碼學習,純研究,勿用作實單交易

inputs: TradeProfit(0.05),TradeStopLoss(0.03);
Inputs: MultBuy(2.2),MultSell(3.4),MinPL(90),TradeMovPL(180),BuyLength(12),SellLength(12);
vars: KeepPL(True),MP(0),IsBalanceDay(False);
MP = MarketPosition ;

if DAYofMonth(Date) > 14 and DAYofMonth(Date) < 22 and DAYofWeek(Date)= 3 then isBalanceDay = True else isBalanceDay =False ;

{ ----- Preparation of Trade Setup -----}

if IsBalanceDay = False then

    Buy ("VLB") Next Bar at Open Next Bar + Average(Range, BuyLength) * MultBuy Stop;

if IsBalanceDay = False then 

    Sell ("VLS") Next Bar at Open Next Bar - Average(Range, SellLength) * MultSell Stop;

{ ----- Exit of Long Trade -----}

if MP > 0 then Begin
   if MP > 0 and High > EntryPrice*(1 + TradeProfit) then

       ExitLong at EntryPrice*(1 + TradeProfit) stop;
   if MP > 0 and Low < EntryPrice*(1 - TradeStopLoss) then 

       ExitLong at EntryPrice*(1 - TradeStopLoss) stop;
   if IsBalanceDay = False and MP > 0 and KeepPL and Highest(High, BarsSinceEntry)-EntryPrice >        MinPL then Sell at Highest(High, BarsSinceEntry)-TradeMovPL Stop;
end;

{ ----- Exit of Short Trade -----}

if MP < 0 then Begin
    if MP < 0 and Low < EntryPrice*(1 - TradeProfit) then

        ExitShort at EntryPrice*(1 - TradeProfit)   stop;
    if MP < 0 and High > EntryPrice*(1+ TradeStopLoss) then

        ExitShort at EntryPrice(1 + TradeStopLoss) stop;
    if IsBalanceDay = False and MP < 0 and KeepPL and EntryPrice-(Lowest(Low, BarsSinceEntry))            > MinPL then Buy at Lowest(Low, BarsSinceEntry) + TradeMovPL Stop;
end;

{ ----- Balance on Monthly BalanceDay -----}

if IsBalanceDay then begin
   if time >= 1315 then begin
       if MP > 0 then ExitLong next bar at market ;
       if MP < 0 then ExitShort next bar at market ;
   end ;

end;