2024年2月1日 星期四

★ 比特幣交易回測篇 [06]

EasyTrader 比特幣測試 06

這是一個運用 RSI 鈍化 與 一目均衡表 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,3000) ;
PL = MinList(PL,1500) ;

// ************* BreskThrough 3 Line *************
vars:Avg7(0),Avg13(0),Avg21(0),Avg60(0) ;
vars:Max3L(0),Min3L(0);

Avg7 = Average(Close,7) ;
Avg13 = Average(Close,13) ;
Avg21 = Average(Close,21) ;
Avg60 = Average(Close,60) ;

Max3L = MaxList(Avg7,Avg13,Avg21) ;
Min3L = MinList(Avg7,Avg13,Avg21) ;

// ************ RSI *****************
vars:vRSIA(0),vRSIB(0),DivRSICondA(false),DivRSICondB(false) ;
vRSIA = RSI(Close,LenA1) ;
vRSIB = RSI(Close,LenB1) ;

// ************ 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) ;
vars: CondL(false),CondS(false) ;

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) ;
CondL = Close > HighCloud and HighCloud > LowCloud ;
CondS = Close < HighCloud and HighCloud < LowCloud ;

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

if BarNumber = 1 then begin
   Buy this bar on Close ;
   Sell this bar on Close ;
end ;

// ************* Time Set Up *************
TimeOK = ((time >= 1000 and time <= 1400) or (time >= 2000 and time <= 2358)) ;

// ************* 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 = BarsSinceExit(1) > ExitLen ;

//***************** BuyPrice & ShortPrice Setup *****************
BuyPrice = Highest(High,Hbar) ;
ShortPrice = (Highest(High,Lbar)+Lowest(Low,Lbar))*0.5 ;

// ********** Main Strategy *********
// ********** Entry Method

   if EntryExitCond then begin
   if MP <> 1 and Low Cross over HighCloud and HighCloud > LowCloud and HighCloud > Avg60 then 
      buy ("LE_MoKu7") LotNum Contracts next bar at Market ;
   if MP <> -1 and High Cross under HighCloud and HighCloud < LowCloud and HighCloud < Avg60 then 
      sellshort ("SE_MoKu7") LotNum Contracts next bar at Market ;   
   end ;  

   if EntryExitCond then begin
   if MP <> 1 and Countif(vRSIA > MaxList(HighBand*4,65),8) >= 4 and Close < BuyPrice then 
      Buy ("LE_RSI3") LotNum Contracts next bar at BuyPrice stop ;
   if MP <> -1 and Countif(vRSIB < MinList(LowBand*4,35),8) >= 4 and Close > ShortPrice then 
      SellShort ("SE_RSI3") 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 ;

end ;

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







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