台指期全時段交易回測篇 [27]

EasyTrader TestNo 027

參考文章  DMI趨向指標的交易模型

// 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 ;

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) ;

//計算近日高低點區間及價位

// ************ for Day High/Low box *****************

Vars:DayLong(5),DayShort(5),DH(0),DL(0),HLDay(0),DCount(0),DBox33(0),DBox67(0),DBoxHPB(0),DBoxLPB(0) ;

DH = 近日高點;

DL = 近日低點 ;

if BarNumber = 1 then begin

   Buy this bar on Close ;

   Sell this bar on Close ;

end ;

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

TimeOK = ((time >= 1000 and time <= 2100)) or (time >= 0300 and time <= 0500 ) ;

// ************* Entry/Exit Condition Set Up *************

vars:MoneyLoss(false),LossCount(false),MoneyProfit(false),ProfitCount(false),ProfitCond(false),LossCond(false),ExitLen(0) ;

if Totaltrades > 6 then begin // 交易次數大於6

//近兩次交易虧損總額超過 收盤價的 1%

   MoneyLoss = positionprofit(1)+positionprofit(2) < -1*(Close*0.01)*200 ;

//連續虧損3次

   LossCount = positionprofit(1) < 0 and positionprofit(2) < 0 and positionprofit(3) < 0 ;

//虧損條件

   LossCond = MoneyLoss or LossCount ;

//近兩次交易獲利總額超過 收盤價的 2%

   MoneyProfit = positionprofit(1)+positionprofit(2) > (Close*0.02)*200 ;

//連續獲利3次

   ProfitCount = positionprofit(1) > 0 and positionprofit(2) > 0 and positionprofit(3) > 0 ;

//獲利條件

   ProfitCond = MoneyProfit or ProfitCount ;

end else begin

   LossCond = true ;

   ProfitCond = true ;

end ;   

//計算符合上述條件出場後K棒數

ExitLen = iff(ProfitCond,1080/BarInterval,iff(LossCond,2160/BarInterval,MaxList(LenA1,LenB1))) ;

EntryExitCond = BarsSinceExit(1) > ExitLen ;

//***************** BuyPrice & ShortPrice Setup *****************

BuyPrice = HighW(0)+MaxList(TrueRange*RatioL/10,6) ;

ShortPrice = HighM(0)-MaxList(TrueRange*RatioL/10,6) ;

//判斷多空趨勢

//*********** Trend filter setup

vars:UpTrendNo(1),DnTrendNo(1),UpTrend_High(false),UpTrend_Low(false),DnTrend_High(false),DnTrend_Low(false) ;

vars:Trend4Long(false),Trend4Short(false) ;

UpTrendNo = Mod(LenA1,5)+1 ;

DnTrendNo = Mod(LenB1,5)+1 ;

if UpTrendNo = 3 then Trend4Long = 多方趨勢 ;

if DnTrendNo = 1 then Trend4Short = 空方趨勢  ;

   

// ********** Main Strategy *********

// ********** Entry Method

vars:DMIupA(0),DMIdnA(0),ADX_A(0),DMIupB(0),DMIdnB(0),ADX_B(0) ;

//計算DMI/ADX值

DMIupA = DMIPlus(LenA1) ;

DMIdnA = DMIMinus(LenA1) ;

ADX_A = ADX(LenA1) ;

DMIupB = DMIPlus(LenB1) ;

DMIdnB = DMIMinus(LenB1) ;

ADX_B = ADX(LenB1) ;

   if EntryExitCond then begin

//連續3根 DI+ 大於 DI- 則收盤價突破設定價位做多

   if MP <> 1 and Countif(DMIupA > DMIDnA,3) = 3 and Trend4Long and Close < BuyPrice then 

      Buy ("LE_DMI_9") next bar at BuyPrice Stop ;

//連續3根 DI+ 小於 DI- 且空方趨勢 則收盤價跌破設定價位做空

   if MP <> -1 and Countif(DMIupB < DMIDnB,3) = 3 and Trend4Short and Close > ShortPrice then 

      SellShort ("SE_DMI_9") next bar at ShortPrice Stop ;

   end ;

//基本停利+移動停損出場

// ************* Base Exit *************

if MP > 0 then Sell ("Trail_PL1_"+NumtoStr(Absvalue(EntryPrice-(HighSinceEntry-MinList(PL,PF))),2))  next bar at HighSinceEntry-MinList(PL,PF) stop ;

if MP > 0 then Sell ("PF1_"+NumtoStr(PF,0)) All Contracts next bar at EntryPrice+PF limit ;

if MP < 0 then BuytoCover ("Trail_PL2_"+NumtoStr(Absvalue(EntryPrice-(LowSinceEntry+MinList(PL,PF))),2))  next bar at LowSinceEntry+MinList(PL,PF) stop ;

if MP < 0 then BuytoCover ("PF2_"+NumtoStr(PF,0)) All Contracts next bar at EntryPrice-PF limit ;

//多單部位獲利小於預期 平倉出場

   if MP > 0 and (BarsSinceEntry >= 300/Barinterval and MaxPositionprofit/currentcontracts < 5000) 

      then sell ("WrongEntryL15") next bar at Close stop ;

//多單部位虧損大於預期 反手做空

   if MP > 0 and (BarsSinceEntry <= 300/Barinterval and maxpositionloss/currentcontracts < -20000)

      then sellshort ("WrongEntryL16") next bar at Close stop ;

// ************* rev N Day H/L Exit *************

// 持有空單 突破近日高點 反手做多

   if MP < 0 and Close < DH then buy ("rLX_DTrade2") next bar at DH Stop ;

// 持有多單 突破近日高點 反手做空

   if MP > 0 and Close > DL then sellshort ("rSX_DTrade2") next bar at DL 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