小S&P500 (ES)全時段交易回測篇 [02]

EasyTrader ES_Test  02

與 小S&P500 (ES) 測試 01 同樣的交易邏輯 只是沒有多空交易時間濾網 進場價格不同 也有不錯的表現

// Public Variable

vars:MP(0),PF(0),PL(0),BuyPrice(0),ShortPrice(0),BasePF(600),BasePL(300) ;

vars:BarPass(5),HLRange(0),WinPoint(0),HBarPos(0),LBarPos(0),ExitH(0),ExitL(0),TimeOK(false),EntryExitCond(false),SelectNo(0) ;

vars:jumpPoint(0) ;

jumpPoint = MinMove/PriceScale ;

//****************** Basic Setup ****************************************

PF = 6000/BigPointValue ;

PL = 1500/BigPointValue ;

//計算多空盈利點數
// ******** Long/Short win/loss point *********
WinPoint_LE = HighSinceEntry_N - EntryPrice ;
WinPoint_SE = EntryPrice - LowSinceEntry_N ;

//計算 Macd 值

// ************ Macd *****************

vars:uDif(0),uMacd(0),uOsc(0),MacdLen(0) ;

MacdLen = MaxList(LenA1,LenB1) ;

if MacdLen > 15 then MacdLen = 15 ;

uDif = Macd((High+Low+Close*2)/4,IntPortion(MacdLen*1.3),IntPortion(MacdLen*2.5)) ;

uMacd = Xaverage(uDif,MacdLen) ;

uOsc = uDif-uMacd ;

//計算 近三週高低區間價

// ************3 Week High or Low *****************

vars:WeekH(High),WeekL(Low),WeekHL(0),WeekHPB(0),WeekLPB(0),Week33(0),Week67(0) ;

WeekH = MaxList(HighW(0),HighW(1),HighW(2)) ;

WeekL = MinList(LowW(0),LowW(1),LowW(2)) ;

WeekHL = WeekH - WeekL ;

Week33 = WeekL+WeekHL*0.33 ;

Week67 = WeekL+WeekHL*0.67 ;

WeekHPB = _BarsLast(High = WeekH) ;

WeekLPB = _BarsLast(Low = WeekL) ;

//計算 動量值

// MTM

Vars:MomValue(0),MomAvg(0);

MomValue = Momentum(AvgPrice,MaxList(LenA1,LenB1));

MomAvg = XAverage(MomValue,MinList(LenA2,LenB2));

//計算 ADX值

//*********** DMI ADX setup

vars:DMIupA(0),DMIdnA(0),ADX_A(0),DMIupB(0),DMIdnB(0),ADX_B(0) ;

DMIupA = DMIPlus(LenA1) ;

DMIdnA = DMIMinus(LenA1) ;

ADX_A = ADX(LenA1) ;

//計算 彈性指數動態平均線 Vidya

//* Vidya Setup

vars:Vidya1(1),Vidya2(1) ;

Vidya1 = _SS_Vidya(LenA1,FracA) ;

Vidya2 = _SS_Vidya(LenB1,FracB) ;

//計算 5日平均振幅

vars:Day5Range(0) ;

Day5Range = ((HighD(1)-LowD(1))+(HighD(2)-LowD(2))+(HighD(3)-LowD(3))+(HighD(4)-LowD(4))+(HighD(5)-LowD(5)))/5 ;

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

TimeOK = True ;

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

 EntryExitCond = EntriesToday(Date)=0  ;

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

BuyPrice = Maxlist(OpenD(0),OpenD(1),OpenD(2))+Range*0.5 ;

ShortPrice = OpenW(0)-MaxList(TrueRange*RatioL/10,6*jumpPoint) ;

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

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

   if TimeOK then begin

// 近三根Vidya值上升 且收盤價 自近週高點拉回一段時間 且在週區間價2/3之上

則突破設定價位 做多

      if MP <> 1 and Countif(Vidya1 > Vidya1[1],3) = 3 and Close > Week67 and WeekHPB > LenB1 and Close < BuyPrice then   Buy ("LE_Vidya7T") next bar at BuyPrice stop;

// 近三根Vidya值下降 且收盤價 自近週低點反彈一段時間 且在週區間價1/3之下

則跌破設定價位 做空

      if MP <> -1 and Countif(Vidya2 < Vidya2[1],3) = 3 and Close < Week33 and WeekLPB > LenB1 and Close > ShortPrice then  SellShort ("SE_Vidya7T") next bar at ShortPrice stop;

   end ;

// ******** Mometum Entry ***********

   if EntryExitCond then begin

// ADX值小於設定值 且 Macd 上穿零軸 且 動量均值大於 0 則市價做多

    if MP <> 1 and ADX_A < NBarL and uMacd Cross over 0 and MomAvg > 0  then

       Buy ("LE_Mom01") next bar at Market ;

// ADX值小於設定值 且 Macd 下穿零軸 且 動量均值小於 0 則市價做空

    if MP <> -1 and ADX_A < NBarS and uMacd Cross under 0 and MomAvg < 0 then

       sellshort ("SE_Mom01") next bar at Market ;

   end;  

//停損及停利

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

  if MP > 0 then begin

     Sell ("LX_PF5D_"+NumtoStr(PF+Day5RAnge,0)) next bar at EntryPrice+PF+Day5RAnge limit ;

     if WinPoint_LE <= PL*1.5 then Sell ("LX_EPL"+NumtoStr(PL,0)) next bar at EntryPrice-PL stop

        else if WinPoint_LE <= PF then Sell ("LX_H2PL_"+NumtoStr(PL*2,0)) next bar at HighSinceEntry_N-PL*2 stop 

           else if WinPoint_LE > PF then Sell ("LX_PF_"+NumtoStr(WinPoint_LE*0.5,0)) 

           next bar at HighSinceEntry_N-WinPoint_LE*0.5 stop ;

  end ;      

  if MP < 0 then begin

     BuytoCover ("SX_PF5D_"+NumtoStr(PF+Day5RAnge,0)) next bar at EntryPrice-PF-Day5RAnge limit ;

     if WinPoint_SE <= PL*1.5 then BuytoCover ("SX_EPL_"+NumtoStr(PL,0)) next bar at EntryPrice+PL stop 

        else if WinPoint_SE <= PF then BuytoCover ("SX_L2PL_"+NumtoStr(PL*2,0)) next bar at LowSinceEntry_N+PL*2 stop 

           else if WinPoint_SE > PF then BuytoCover ("SX_PF_"+NumtoStr(WinPoint_SE*0.5,0)) 

           next bar at LowSinceEntry_N+WinPoint_SE*0.5 stop ;

  end ;

      

小S&P500 留倉 交易週期 2018/1/1 ~ 2024/6/30 交易成本 USD 70