K線型態的轉折應用 [程式碼]

EasyTrader ArtNo 234

日前 Wen大的部落格放了一篇有關型態的交易策略，整個程式內容還蠻多的，相信不少讀者也是花了一些時間作研究，從內容來看，這是一個在KD指標與價格轉折點之間找背離，作為進出場的依據，不過對台指期來說原始策略的績效普通，因此趁著假日作了一點研究，以下為我的處理方式
1.將屬於型態部份先分離出來,去掉一些不必要的程式碼並作成指標觀察

比較特別得是這裡使用的轉折計算方式並非內建函數 SwingHigh/SwingHighBar, SwingLow/SwingLowBar 以K棒根數作判斷 ,它是以轉折點的百分比作判斷

以下是策略程式裡分析出來的指標程式碼
input:swing(2.0);
vars:pcswing(0),last(0),curhigh(0),curlow(0),swhigh(0),swlow(0),swhigh1(0),swlow1(0),
highbar(0),highbar1(0),lowbar(0),lowbar1(0),chighbar(0),clowbar(0),xhigh(0),xlow(0),xclose(0);

pcswing = swing/100.;  { 這是轉折的百分比}
xclose = close;
xhigh = high;
xlow = low;

{ SWINGS: INITIALIZE MOST RECENT HIGH AND LOW }
if currentbar = 1 then begin
{ Initialize curhigh and curlow }
curhigh = xhigh; {current high price}
curlow = xlow; {current low price}
end;

{ SEARCH FOR A NEW HIGH }
if last<>1 then begin
if xhigh > curhigh then begin
curhigh = xhigh; {save values at new high}
chighbar = currentbar;
end;
if xlow < curhigh - curhigh*pcswing then begin
last = 1; {last high fixed}
swhigh1 = swhigh; {previous high}
highbar1 = highbar;
swhigh = curhigh; {new verified high}
highbar = chighbar;
curlow = xlow; {initialize new lows}
clowbar = currentbar;
end;
end;

{ SEARCH FOR A NEW LOW }
if last <> -1 then begin
if xlow < curlow then begin
curlow = xlow; {save values at new lows}
clowbar = currentbar;
end;

if xhigh > curlow + curlow*pcswing then begin
last = -1;
swlow1 = swlow;
lowbar1 = lowbar;
swlow = curlow;
lowbar = clowbar;
curhigh = xhigh; {initialize current high}
chighbar = currentbar;
end;
end;

Plot1[currentbar - highbar](SwHigh*(1+PcSwing/8),"SWH1") ;
Plot2[currentbar - Lowbar](SWLow*(1-PcSwing/8),"SWL1") ;

2.策略修改與測試

我依據它的邏輯設定

• 當轉折高點往下跌某個百分比為作空進場價 Value1 = Swhigh*(1-SellTrig)
• 當轉折低點往上漲某個百分比為作多進場價 Value2 = Swlow*(1+BuyTrig)

設計了兩個不同進場方式並搭配常用的出場規則作測試
策略 A
  if MP <> 1 and Close[1] < Value2 then Buy next bar at Value2 stop ;
  if MP <> -1 and Close[1] > Value1 then Sell next bar at Value1 stop ;
台指期 日K 留倉 交易期間 2004/11/1 ~ 2014/10/31 交易成本 1200

策略B
  if MP = 0 then Buy next bar at Value2 stop ;
  if MP = 0 then Sell next bar at Value1 stop ;
台指期 60分K 留倉 交易期間 2004/11/1 ~ 2014/10/31 交易成本 1200

看起來利用型態的轉折也是有不錯的績效喔

MagicQS144