台指期全時段交易回測篇 [36]

EasyTrader TestNo 036

參考文章 三連發交易策略 Three In a Row

 

// 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) ;

//計算近週高低點

// ************ for week High/Low box *****************

Vars:WeekLong(5),WeekShort(5),WH(0),WL(0),HLWeek(0),WCount(0),WBox33(0),WBox67(0),WBoxHPB(0),WBoxLPB(0) ;

WH = 近週高點 ;

WL = 近週低點 ;

//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 ;

UpTrend_Low = 多方趨勢 ; 

if  UpTrendNo = 2 then Trend4Long = UpTrend_Low  ;

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 >= 0900 and time <= 1200) or (time >= 2130)) ;

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

EntryExitCond = (EntriesToday(Date)=0 and ExitsToday(Date)=0) ;

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

BuyPrice = Highest(High,Hbar);

ShortPrice = WL+Range  ;

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

// ********** Entry Method  只做多

vars:TempLenA(1),TempLenB(1),ThreeLineL(false),ThreeLineS(false) ;

TempLenA = IntPortion(LenA1/2.5) ;

TempLenB = IntPortion(LenB1/2.5) ;

//做多條件

ThreeLineL = Close > Close[TempLenA] and Close[TempLenA] > Close[TempLenA*2] and Close[TempLenA*2] > Close[TempLenA*3] ;

   if TimeOK then begin

//做多條件成立 收盤價突破設定價位做多

      if MP <> 1 and ThreeLineL and Close < BuyPrice then 

         Buy ("LE_3Line1T") next bar at BuyPrice stop;

   end ;

   if EntryExitCond then begin

//做多條件成立 且多方趨勢 且在平盤上 收盤價突破設定價位做多

      if MP <> 1 and ThreeLineL and Trend4Long and Condition1 and Close < BuyPrice then 

         Buy ("LE_3Line9") next bar at BuyPrice stop;

   end ;

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 ;

//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