★ 比特幣交易回測篇 [05]

EasyTrader 比特幣測試 05

這是一個運用 CDP 與 凱特通道 作為進出邏輯的交易策略

// Public Variable

vars:MP(0),PF(0),PL(0),LotNum(1),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 ;

PF = MinList(PF,2700) ;

PL = MinList(PL,1350) ;

// ************ 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 ; 

CDPrange = HighD(1) - LowD(1) ;

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

Vars:DayLong(5),DayShort(5),DH(0),DL(0),HLDay(0),DCount(0),DayBox33(0),DayBox67(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 ;

if DataCompression > 1 then begin

   Condition1 = Close > Open and Open > Close[1] ;

   Condition2 = Close < Open and Open < Close[1] ;

end else begin

   Condition1 = Close > OpenD(0) and OpenD(0) > CloseD(1) ;

   Condition2 = Close < OpenD(0) and OpenD(0) < CloseD(1) ;

end;

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

if LE01 = 5 then TimeOK = True ;

// ************* 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

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

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

   LossCond = MoneyLoss or LossCount ;

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

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

   ProfitCond = MoneyProfit or ProfitCount ;

end else begin

   LossCond = true ;

   ProfitCond = true ;

end ;   

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

EntryExitCond = TimeOK and BarsSinceExit(1) > ExitLen ;

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

BuyPrice = Maxlist(HighD(0),HighD(1),HighD(2))-Range*0.5 ;

ShortPrice = DL ;

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

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

// ******** CDP Entry ***********

   if EntryExitCond then begin

   if MP <> 1 and Close > Cdp and Close < NH and Condition1 then 

      Buy ("LE_CDP4") LotNum Contracts next bar at DH stop ;

   if MP <> -1 and Close < Cdp and Close > NL and Condition2 then 

      SellShort ("SE_CDP4") LotNum Contracts next bar at DL stop ;

   end ;

// ******** Keltner Entry ***********

vars:KeltnerL(0),KeltnerS(0),KAvgL(0),KAvgS(0) ;

KAvgL = Average(TypicalPrice,LenA1) ;

KAvgS = Average(TypicalPrice,LenB1) ;

KeltnerL = KavgL+AvgTrueRange(LenA1)*FracA ;

KeltnerS = KavgS-AvgTrueRange(LenB1)*FracB ;

   if TimeOK then begin

   if MP <> 1 and MRO(High Cross over KeltnerL,NBarL,1) > 0 and Close < BuyPrice then 

      Buy ("LE_KeltnerAT") LotNum Contracts next bar at BuyPrice stop;

   if MP <> -1 and MRO(Low Cross under KeltnerS,NBarS,1) > 0 and Close > ShortPrice then 

      SellShort ("SE_KeltnerAT") LotNum Contracts next bar at ShortPrice stop;

   end ;

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

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

   All Contracts 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)) 

   All Contracts 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 ;

比特幣  留倉 交易週期 2017/6/1 ~ 2024 交易成本 交易量*0.1%