EasyTrader ArtNo 136
依據商品價格真實區間的波動作進場依據的策略,在很多網路上的資料都有介紹,本篇單純將 TS內建的 ATR進場與出場邏輯組合作一歷史回測參考inputs: ExitType(1),TradeProfit(0.05),TradeStopLoss(0.03),NBarL(2),NBarS(2);
vars: IsBalanceDay(False),MP(0),PF(0),PL(0);
MP = MarketPosition ;
if DAYofMonth(Date) > 14 and DAYofMonth(Date) < 22 and DAYofWeek(Date)= 3 then isBalanceDay = True else isBalanceDay =False ;
PF= AvgPrice*TradeProfit ;
PL = AvgPrice*TradeStopLoss ;
{ 內建 ATR 進場 }
{*******************************************************************
Description : Volatility Long Entry
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: VtyPercent_LE(.75),BarLE(5);
If MarketPosition <> 1 Then Buy ("Vty_LE") Next Bar at Close + (VtyPercent_LE * AvgTrueRange(BarLE)) Stop;
{*******************************************************************
Description : Volatility Short Entry
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: VtyPercent_SE(.75),BarSE(5);
If MarketPosition <> -1 Then Sell ("Vty_SE") Next Bar at Close - (VtyPercent_SE * AvgTrueRange(BarSE)) Stop;
{ 內建 ATR 出場 }
if ExitType = 1 then Begin
{*******************************************************************
Description : ATR Trailing Stop Long Exit
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: ATRs_L(3);
Variables: PosHigh(0), ATRVal_L(0);
ATRVal_L = AvgTrueRange(10) * ATRs_L;
If BarsSinceEntry = 0 Then PosHigh = High;
If MarketPosition = 1 Then Begin
If High > PosHigh Then PosHigh = High;
ExitLong ("ATR") Next Bar at PosHigh - ATRVal_L Stop;
End else ExitLong ("ATR eb") Next bar at High - ATRVal_L Stop;
{*******************************************************************
Description : ATR Trailing Stop Short Exit
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: ATRs_S(3);
Variables: PosLow(0), ATRVal_S(0);
ATRVal_S = AvgTrueRange(10) * ATRs_S;
If BarsSinceEntry = 0 Then PosLow = Low;
If MarketPosition = -1 Then Begin
If Low < PosLow Then PosLow = Low;
ExitShort ("ATR_1") Next Bar at PosLow + ATRVal_S Stop;
End else ExitShort ("ATR_1 eb") Next bar at Low + ATRVal_S Stop;
end;
{ 內建固定K棒離場 }
if ExitType = 2 then Begin
{*******************************************************************
Description : Fixed Bar Exit Long Exit
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: Length_LX(5);
If BarsSinceEntry = Length_LX Then
ExitLong ("FxBr_LX") This Bar on Close;
{*******************************************************************
Description : Fixed Bar Exit (Short Exit)
Provided By : Omega Research, Inc. (c) Copyright 1999
********************************************************************}
Inputs: Length_SX(5);
If BarsSinceEntry = Length_SX Then
ExitShort ("FxBr_SX") This Bar on Close;
end;
if IsBalanceDay then setExitonClose ;
[台指期 日K 留倉 2004/3/31 ~ 2014/3/31 交易成本 1200 ]
ATR 追蹤出場
另一個為固定K棒數離場
基本上大的趨勢都能掌握住
MagicQS058
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