就是愛現 ~ 程式交易: 台指期全時段交易回測篇 [8]

EasyTrader TestNo 008

// Public Variable
vars:MP(0),PF(0),PL(0),DayLast(1345),NightLast(0500),BuyPrice(0),ShortPrice(0),BasePF(150),BasePL(100),FilterA(0),FilterB(0) ;
vars:BarPass(5),HLRange(0),WinPoint(0),HBarPos(0),LBarPos(0),ExitH(0),ExitL(0),TimeOK(false),EntryExitCond(false),SelectNo(0) ;

//****************** Basic Setup ****************************************
MP = MarketPosition ;
if MP <> 0 then Begin
PF = EntryPrice*TradeProfit ;
PL = EntryPrice*TradeStopLoss ;
end else begin
PF = AvgPrice*TradeProfit ;
PL = AvgPrice*TradeStopLoss ;
end ;

// 依據目前指數來設定最大停利與停損點數
if Close > 10000 then begin
BasePF = BasePF+IntPortion((Close-10000)/1000)*30 ;
BasePF = MinList(BasePF,450) ;
BasePL = BasePL+IntPortion((Close-10000)/1000)*15 ;
BasePL = MinList(BasePL,225) ;
end ;

PF = MinList(PF,BasePF) ;
PL = MinList(PL,BasePL)*iff(CurrentContracts=1,1,0.67) ;

//計算近期高低點
// ************ High/Low data *****************
BarPass = MaxList(HBar,LBar) ;
HLRange = Highest(High,BarPass)-Lowest(Low,BarPass) ;
if MP <> 0 then WinPoint = MaxPositionProfit/BigPointValue else WinPoint = 0 ;
HBarPos = HighestBar(High,HBar) ;
LBarPos = LowestBar(Low,LBar) ;

// ************* Time Set Up *************

TimeOK = True ;

// ************* Entry/Exit Condition Set Up *************
EntryExitCond = BarsSinceExit(1) > MinList(LenA1,LenB1) ;

Larry Williams 另一種價格波動策略(開盤價+ 前三日最大波動區間的百分比)

原文的邏輯為：
1.當日低點與前三日高點價差(動能)
2.前一日高點與三日前低點價差 ,兩者取其大作為波動範圍的參考,再乘上一百分比加上隔日開盤價就成為買賣訊號上下通道

// ********** Main Strategy *********
{ for Larry Day High/Low box }
vars:TempA(0),TempB(0),Energy(0) ;

//1.當日低點與前三日高點價差(動能)
TempA = AbsValue(HighD(3)-LowD(0)) ;

//2.前一日高點與三日前低點價差
TempB = AbsValue(HighD(1)-LowD(3)) ;

//兩者取其大作為波動範圍的參考
Energy = MaxList(TempA,TempB) ;

if TimeOK then begin

//在下根K棒開盤價加上波動範圍比例進場做多
if MP <> 1 then Buy ("MQS14_LE4T") next bar at Open next bar + MaxList(EnErgy*FracA/6,21) stop ;

//在下根K棒開盤價減去波動範圍比例進場做空
if MP <> -1 then SellShort ("MQS14_SE4T") next bar at Open next bar - MaxList(EnErgy*FracB/6,34) stop ;
end ;

//基本停利停損出場
// ************* Base Exit *************
if MP > 0 then Sell ("PL1_"+NumtoStr(PL,0)) next bar at EntryPrice-PL stop ;
if MP > 0 then Sell ("PF1_"+NumtoStr(PF,0)) next bar at EntryPrice+PF limit ;
if MP < 0 then BuytoCover ("PL2_"+NumtoStr(PL,0)) next bar at EntryPrice+PL stop ;
if MP < 0 then BuytoCover ("PF2_"+NumtoStr(PF,0)) next bar at EntryPrice-PF limit ;

//進場後多單獲利小於預期則平倉出場或空單虧損大於預期則反手做多

if MP > 0 and (BarsSinceEntry >= 300/Barinterval and MaxPositionprofit/currentcontracts < 5000)
then Sell ("WrongEntryL13") next bar at Close stop ;
if MP < 0 and (BarsSinceEntry <= 300/Barinterval and maxpositionloss/currentcontracts < -20000)
then buy ("WrongEntryS14") next bar at Close stop ;

// ************* Rev Lower Low & Higher High Exit *************
vars:BaseBar(5),var01(0),var02(0),Var03(0),Var04(0) ;

if EntriesToday(Date) = 0 then Begin

//持有多單，當收盤價小於均線，跌破最近兩日最低價均值一段距離後則反手做空
if MP > 0 then Begin
var01 = (LowD(1)+LowD(0))*0.5-AvgTrueRange(BaseBar)*1.618 ;
var02 = LowSinceEntry ;
if Close < xAverage(Close,LenA2) and Close > var01 then
SellShort ("rLX_HL1") next bar at var01 stop ;

{ if HBarPos<=BaseBar and Countif(Low<=Low[1],BaseBar)> BaseBar*0.5 and Close > var02 then
SellShort ("rLX_HL2") next bar at var02 stop ; }
end ;

//持有空單，當收盤價大於均線，突破最近兩日最高價均值一段距離後則反手做多
if MP < 0 then Begin
var03 = (HighD(1)+HighD(0))*0.5+AvgTrueRange(BaseBar)*1.618 ;
var04 = HighSinceEntry ;
if Close > xAverage(Close,LenB2) and Close < Var03 then
Buy ("rSX_HL1") next bar at Var03 stop ;

//持有空單，近低點反彈連續過高，則反手做多

if LBarPos<=BaseBar and Countif(High>=High[1],BaseBar)> BaseBar*0.5 and Close < Var04 then
Buy ("rSX_HL2") next bar at Var04 stop ;
end ;
end ;

// ************* Rev EntryPrice PullBack *************

//多單進場一段時間收盤價低於進場價格一段距離後反手做空
if MP > 0 and BarsSinceEntry > NBarL then
SellShort ("rLX_EntPricePB") next bar at EntryPrice - MaxList(FracA*AvgTrueRange(BarPass),100) stop;

//空單進場一段時間收盤價高於進場價格一段距離後反手做多
if MP < 0 and BarsSinceEntry > NBarS then
Buy ("rSX_EntPricePB") next bar at EntryPrice + MaxList(FracB*AvgTrueRange(BarPass),100) stop;

//結算日出場
if _IsSettlementDay and time >= CalcTime(1300,-1*BarInterVal) and Time <= 1330 then begin
if MP > 0 then Sell ("LX_Bal") next bar at market ;
if MP < 0 then BuyToCover ("SX_Bal") next bar at market ;
end;

台指期留倉交易週期 2018/1/1 ~ 2022/12/31 交易成本 1200