台指期全時段交易回測篇 [31]

EasyTrader TestNo 031

參考文章 Larry Williams 終極指標 Part1

// 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3日高低區間價格

// ************3 Day High or Low *****************

vars:DayH(High),DayL(Low),DayHL(0),DayHPB(0),DayLPB(0),Day33(0),Day67(0) ;

DayH = 近日高點;

DayL = 近日低點 ;

//計算不同均線價格

// ************* BreskThrough 3 Line *************

vars:Avg7(0),Avg13(0),Avg21(0),Avg60(0) ;

Avg7 = Average(Close,7) ;

Avg13 = Average(Close,13) ;

Avg21 = Average(Close,21) ;

Avg60 = Average(Close,60) ;

//計算一目均衡表價格

// ************ Ichimoku Sanjin Syytem *****************

Vars: ShortTerm(9),MidTerm(26),LongTerm(52);

Vars: ConvertLine(0) ;

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 ;

//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 = 5 then Trend4Long = 多方趨勢 ;

if  DnTrendNo = 3 then Trend4Short = 空方趨勢 ;

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 *************

TimeOK = ((time >= 1200 and time <= 2345)) or (time >= 0300 and time <= 0500 ) ;

//進場條件

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

SelectNo = IntPortion(RatioL+0.6) ;

if SelectNo < 1 or SelectNo > 5 then SelectNo = 1 ;

if SelectNo = 5 then EntryExitCond = True ;

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

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

ShortPrice = ConvertLine ;

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

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

//計算終極指標價格

Var:FastLenUO(7),MediumRatio(4.5),SlowRatio(2.5);

Var:ShiftL(5),ShiftS(4),HLRangeL(45),HLRangeS(55) ;

Var: TL(0),BP(0),TR(0), FastAvg(0),MediumAvg(0),SlowAvg(0),MediumLenUO(0),SlowLenUO(0);

Var: FastTRSum(0),MediumTRSum(0),SlowTRSum(0),MRatio(0),SRatio(0),UO(0) ;

TL = TrueLow ;

BP = Close - TL ;

TR = TrueHigh - TrueLow ;

FastLenUO = LenA1 ;

MediumRatio = FracA ;

SlowRatio = FracB ;

if MediumRatio < 2 then MRatio = 2 ;

if SlowRatio < 2 then SRatio = 2 ;

MRatio = MediumRatio ;

SRatio = SlowRatio ;

MediumLenUO = IntPortion(FastLenUO * MRatio) ;

SlowLenUO = IntPortion(MediumLenUO * SRatio) ;

FastTRSum = Summation(TR,FastLenUO) ;

MediumTRSum = Summation(TR, MediumLenUO) ;

SlowTRSum = Summation(TR, SlowLenUO) ;

if FastTRSum <> 0 then FastAvg = Summation(BP,FastLenUO)/FastTRSum ;

if MediumTRSum <> 0 then MediumAvg = Summation(BP,MediumLenUO)/MediumTRSum ;

if SlowTRSum <> 0 then SlowAvg = Summation(BP,SlowLenUO)/SlowTRSum ;

if (SRatio*MRatio+MRatio+1) > 0 then

UO = 100*((SRatio*MRatio*FastAvg)+(MRatio*MediumAvg)+SlowAvg)/(SRatio*MRatio+MRatio+1) ;

   if EntryExitCond then begin

//終極指標大於特定數值 且自近3日高點拉回後在區間價2/3以上 則收盤價突破設定價格做多

      if MP <> 1 and UO > HighBand*4 and Close > Day67 and DayHPB > LenB1 and Close < BuyPrice then  Buy ("LE_UO6") next bar at BuyPrice stop;

//終極指標小於特定數值 且自近3日低點反彈後在區間價1/3以下 則收盤價跌破設定價格做空

      if MP <> -1 and UO < LowBand*4 and Close < Day33 and DayLPB > LenB1 and Close > ShortPrice then  SellShort ("SE_UO6") next bar at ShortPrice stop;

   end ;

   if EntryExitCond then begin

/終極指標大於特定數值 且多方趨勢 則平盤上 收盤價突破設定價格做多

      if MP <> 1 and UO > HighBand*4 and Trend4Long and Condition1 and Close < BuyPrice then 

         Buy ("LE_UO9") next bar at BuyPrice stop;

/終極指標小於特定數值 且空方趨勢 則平盤下 收盤價跌破設定價格做空

      if MP <> -1 and UO < LowBand*4 and Trend4Short and Condition2 and Close > ShortPrice then 

         SellShort ("SE_UO9") next bar at ShortPrice 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 ;

//空單部位虧損大於預期 平倉出場

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

      then buytocover ("WrongEntryS6") next bar at Close stop ;

// ************* Rev BreskThrough 3 Line *************

vars:Max3L(0),Min3L(0);

Max3L = MaxList(Avg7,Avg13,Avg21) ;

Min3L = MinList(Avg7,Avg13,Avg21) ;

//持有多單 進場大於3根K棒 且近四根K收盤價大於短中期均線 則跌破短中期均線反手作空

    if MP > 0 and Countif(Close > Max3L,4) = 4 and BarsSinceEntry >= 3 then

       SellShort ("rLX_BK3L") next bar at Min3L stop;

//持有空單 進場大於3根K棒 且近四根K收盤價小於短中期均線 則突破短中期均線反手作多

    if MP < 0 and Countif(Close < Min3L,4) = 4 and BarsSinceEntry >= 3 then

       Buy ("rSX_BK3L") next bar at Max3L 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