EasyTrader TestNo 019
參考文章 國外知名指標 Dual Thrust 交易模型
// 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) ;
//計算布林通道
// ************ BollingerBand *****************
vars:BBUP(0),BBDN(0),BBRange(0),BBLen(0) ;
BBLen = MaxList(LenA2,LenB2) ;
BBUP = BollingerBand(Close,BBLen,2) ;
BBDN = BollingerBand(Close,BBLen,-2) ;
BBRange = BBUP-BBDN ;
//計算 CDP
// ************ CDP *****************
vars:CDP(0),AH(0),NH(0),NL(0),AL(0),CDPrange(0),CrossA(false),CrossB(false),TH1(0),TL1(0),TH2(0),TL2(0) ;
if Date <> Date[1] then begin
CDP = (HighD(1)+LowD(1)+2*CloseD(1))/4;
AH = CDP + (HighD(1) - LowD(1));
NH = CDP*2 - LowD(1);
NL = 2*CDP - HighD(1);
AL = CDP - (HighD(1) - LowD(1));
end ;
//計算一目均衡表價格
// ************ Ichimoku Sanjin Syytem *****************
Vars: ShortTerm(9),MidTerm(26),LongTerm(52);
Vars: ConvertLine(0),BaseLine(0),AheadLine1(0),AheadLine2(0),BehindLine(0),HighCloud(0),LowCloud(0),Cloud(0) ;
Vars: BaseCond(false),ConvertCond(false),C_over_B(0),C_Under_B(0),H_Over_L(0),H_Under_L(0),Thick(100) ;
ShortTerm = LenA1 ;
if ShortTerm <= 8 then ShortTerm = 8
else if ShortTerm >= 20 then ShortTerm = 20 ;
MidTerm = ShortTerm*3 ;
LongTerm = ShortTerm*6 ;
ConvertLine = (highest(high,ShortTerm) + Lowest(Low,ShortTerm))/2 ;
BaseLine = (highest(high,MidTerm) + Lowest(Low,MidTerm))/2 ;
AheadLine1 = (ConvertLine + BaseLine)/2 ;
AheadLine2 = (highest(high,LongTerm) + Lowest(Low,LongTerm))/2 ;
BehindLine = Close ;
C_over_B = _BarsLast(ConvertLine cross over BaseLine) ;
C_Under_B = _BarsLast(ConvertLine cross under BaseLine) ;
HighCloud = AheadLine1[MidTerm] ;
LowCloud = AheadLine2[MidTerm] ;
Cloud = AbsValue(HighCloud-LowCloud) ;
H_Over_L = _BarsLast(HighCloud cross over LowCloud) ;
H_under_L = _BarsLast(HighCloud cross under LowCloud) ;
//計算日內動量價格
// ********** Intraday IMI *********
vars:CandleBarNo(0),CandleHL(0),SumBar(0),SumIMI(0),IMI(0),IMIPlus(0),Strength(0);
CandleBarNo = MaxList(IntPortion(BarPass*1.6),25) ;
CandleHL = Highest(High,CandleBarNo)-Lowest(Low,CandleBarNo) ;
SumBar = Summation(AbsValue(Close-Open),CandleBarNo) ;
if SumBar <> 0 then IMI = (Summation(iff(Close > Open ,Close-Open,0),CandleBarNo)/SumBar)*100 ;
SumIMI = Summation(AbsValue(IMI-50),CandleBarNo) ;
IMIPlus = Summation(iff((IMI-50)>0,(IMI-50),0),CandleBarNo) ;
if SumIMI <> 0 then Strength = IMIPlus/SumIMI * 100 ;
if BarNumber = 1 then begin
Buy this bar on Close ;
Sell this bar on Close ;
end ;
// ************* Time Set Up *************
TimeOK = ((time >= 1000 and time <= 2000)) ;
// ************* Entry/Exit Condition Set Up *************
EntryExitCond = EntriesToday(Date)=0 ;
//***************** BuyPrice & ShortPrice Setup *****************
BuyPrice = LowCloud ;
ShortPrice = (OpenW(0)+CloseW(1))*0.5 ;
// ********** Main Strategy *********
// ********** Entry Method
//計算 Dual Thrust 價格區間
vars:Mday(2),NDay(2),K1(0.56),K2(0.34);
vars:HH(0),HC(0),LC(0),LL(0),SellRange(0),BuyRange(0),Count(0) ,BuyTrig(0),SellTrig(0) ;
Mday = IntPortion(LenA1/5)+1 ;
Nday = IntPortion(LenB1/5)+1 ;
K1 = FracA*0.5 ;
K2 = FracB*0.5 ;
If CurrentBar > 1 Then Begin
HH = HighD(1);
HC = CloseD(1);
LL = LowD(1);
LC = CloseD(1);
For Count = 1 to Mday Begin
HH = iff(HighD(Count) > HH ,HighD(Count) , HH);
HC = iff(CloseD(Count) > HC ,CloseD(Count) , HC);
LL = iff(LowD(Count) < LL ,LowD(Count) , LL);
LC = iff(CloseD(Count) < LC ,CloseD(Count) , LC);;
End ;
If (HH - LC) >= (HC - LL) Then Begin
SellRange = HH - LC;
End Else Begin
SellRange = HC - LL;
End;
HH = HighD(1);
HC = CloseD(1);
LL = LowD(1);
LC = CloseD(1);
For Count = 1 to Nday Begin
HH = iff(HighD(Count) > HH ,HighD(Count) , HH);
HC = iff(CloseD(Count) > HC ,CloseD(Count) , HC);
LL = iff(LowD(Count) < LL ,LowD(Count) , LL);
LC = iff(CloseD(Count) < LC ,CloseD(Count) , LC);;
End ;
If (HH - LC) >= (HC - LL) Then Begin
BuyRange = HH - LC;
End Else Begin
BuyRange = HC - LL;
End;
End;
//買方震盪價
BuyTrig = K1*BuyRange;
賣方震盪價
SellTrig = K2*SellRange;
if EntryExitCond then begin
//最高價大於 布林通道上界值 收盤價突破當日開盤價+買方震盪價 進場做多
if MP <> 1 and High > BBUP and Close < OpenD(0)+BuyTrig then
Buy ("LE_Dual_4") next bar at OpenD(0)+BuyTrig stop ;
//最低價小於 布林通道下界值 收盤價跌破當日開盤價-賣方震盪價 進場做空
if MP <> -1 and Low < BBDn and Close > OpenD(0)-SellTrig then
SellShort ("SE_Dual_4") next bar at OpenD(0)-SellTrig stop ;
end ;
if TimeOK then begin
//最高價大於 AH 值 收盤價突破設定價位+買方震盪價 進場做多
if MP <> 1 and High > AH and Close < BuyPrice+BuyTrig then
Buy ("LE_Dual_10T") next bar at BuyPrice+BuyTrig stop ;
//最低價小於 AL 值 收盤價跌破設定價位-賣方震盪價 進場做空
if MP <> -1 and Low < AL and Close > ShortPrice-SellTrig then
SellShort ("SE_Dual_10T") next bar at ShortPrice-SellTrig stop ;
end ;
//基本停利+移動停損出場
// ************* Base Exit *************
if MP > 0 then Sell ("PL1_"+NumtoStr(PL,0)) next bar at HighSinceEntry-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 LowSinceEntry+PL stop ;
if MP < 0 then BuytoCover ("PF2_"+NumtoStr(PF,0)) next bar at EntryPrice-PF limit ;
//進場後空單部位獲利小於預期則反手做多，多單部位獲利小於預期則平倉
if MP > 0 and (BarsSinceEntry >= 300/Barinterval and MaxPositionprofit/currentcontracts < 5000)
then Sell ("WrongEntryL9") next bar at Close stop ;
if MP < 0 and (BarsSinceEntry >= 300/Barinterval and MaxPositionprofit/currentcontracts < 5000)
then Buy ("WrongEntryS9") next bar at Close stop ;
// ****** Intraday Momentum Index
// 空單部位 且日內動量強度大於 50 突破設定價位平倉
if MP < 0 and Strength > MaxList(HighBand*4,50) and Close < BuyPrice then
buytocover ("SX_IMI") next bar at BuyPrice stop ;
/ 多單部位 且日內動量強度小於 50 跌破設定價位平倉
if MP > 0 and Strength < MinList(LowBand*4,50) and Close > ShortPrice and CandleHL < 100 then
Sell ("LX_IMI") next bar at ShortPrice 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
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