台指期全時段交易回測篇 [33]

EasyTrader TestNo 033

參考文章 一個外匯交易系統 - LUXOR

// 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60根K棒區間價格

// ************Fix Length High or Low *****************

vars:FixLenH(High),FixLenL(Low),FixLenHL(0),FixLenHPB(0),FixLenLPB(0),FixLen33(0),FixLen67(0) ;

FixLenH = Highest(High,60) ;

FixLenL = Lowest(Low,60) ;

FixLenHL = FixLenH - FixLenL ;

FixLen33 = FixLenL+FixLenHL*0.33 ;

FixLen67 = FixLenL+FixLenHL*0.67 ;

FixLenHPB = _BarsLast(High = FixLenH) ;

FixLenLPB = _BarsLast(Low = FixLenL) ;

//計算近幾日區間價格

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

EntryExitCond = BarsSinceExit(1) > MinList(LenA1,LenB1) ;

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

BuyPrice = MaxList(OpenW(0),CloseW(0))+Range ;

ShortPrice = MinList(OpenW(0),CloseW(0))-Range ;

   

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

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

vars:FastLength(5),SlowLength(30) ;

Vars: Fast(0),Slow(0),GoLong(False),GoShort(False),BuyEnt(0),ShortEnt(0) ;

FastLength = MinList(LenA1,LenB1) ;

SlowLength = MaxList(LenA1,LenB1) ;

//計算快速線與慢速線

Fast = TriAverage(Close,FastLength);

Slow = TriAverage(Close,SlowLength);

//判斷做多或做空

GoLong = Fast > Slow ;

GoShort = Fast < Slow  ;

//計算多空進場價格

If Fast crosses above Slow Then

BuyEnt = High + Range ;

If Fast crosses below Slow Then

ShortEnt = Low - Range ;

   if EntryExitCond then begin

// 收盤價在區間價2/3 位階之上 且自近60根高點拉回一段時間 突破多方進場價格做多

      if MP <> 1 and GoLong and Close > FixLen67 and FixLenHPB > LenB1 and Close < BuyEnt then 

         Buy ("LE_LUX3") next bar at BuyEnt stop;

// 收盤價在區間價1/3 位階之下 且自近60根低點反彈一段時間 跌破空方進場價格做空

      if MP <> -1 and GoShort and Close < FixLen33 and FixLenLPB > LenB1 and Close > ShortEnt then  SellShort ("SE_LUX3") next bar at ShortEnt stop;

   end ;

   if EntryExitCond then begin

//判斷做多 且最高價大於近日最高價 則突破多方進場價格做多

      if MP <> 1 and GoLong and High >= DH[1] and Close < BuyEnt then 

         Buy ("LE_LUX5") next bar at BuyEnt stop;

//判斷做空 且最低價小於近日最低價 則跌破空方進場價格做空

      if MP <> -1 and GoShort and Low <= DL[1] and Close > ShortEnt then 

         SellShort ("SE_LUX5") next bar at ShortEnt 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 ;

//多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 Sell ("WrongEntryL2") next bar at Close stop ;

//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 ("WrongEntryS2") next bar at Close 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