就是愛現 ~ 程式交易: 費氏數列 - 神秘的黃金比例 Part 2

2013年10月30日星期三

費氏數列 - 神秘的黃金比例 Part 2

EasyTrader ArtNo 037

接續費氏數列 - 神秘的黃金比例 Part1 , 先從日K來看

基本設定 : 台指期日K
交易策略 : 留倉
進出場規則 : Trigger 突破上限 ,在 LongEntry 買進 ,Trigger 跌破下限 ,在 ShortEntry 賣出
測試期間 : 10/25 往回 3000 日
來回成本: 1200

程式碼
input:NBar(21),UpBand(-10),DownBand(10),VRatio(0.2),FabonaciFactor(0.618) ;
Vars: LongEntry(0),ShortEntry(0),HighPoint(0),LowPoint(0),StartLong(0),StartShort(0),Trigger(0) ;

LongEntry = Highest(High,NBar)*FabonaciFactor + Lowest(Low,NBar)*(1-FabonaciFactor) ;
ShortEntry = Lowest(Low,NBar)*FabonaciFactor + Highest(High,NBar)*(1-FabonaciFactor) ;
HighPoint = close + (close - close[1])* FabonaciFactor ;
LowPoint = close - (close - close[1]) * FabonaciFactor ;

StartLong = (HighPoint - close)/(1+FabonaciFactor) + close ;
StartShort = close - (close- LowPoint)/(1+FabonaciFactor) ;

Trigger = XAverage(StartLong,8)-XAverage(StartShort,8) ;
if Trigger > UpBand then Buy ("F_LE") next bar at LongEntry stop ;
if Trigger < -DownBand then Sell ("F_SE") next bar at ShortEntry stop ;