台指期全時段交易回測篇 [17]

EasyTrader TestNo 017

參考文章 最高價與最低價的交易策略

// 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 ;

// 依據目前指數來設定最大停利與停損點數

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) ;

Avg60 = Average(Close,60) ;

//計算近日高點

// ************ for Day High/Low box *****************

Vars:DayLong(5),DayShort(5),DH(0),DL(0),HLDay(0),DCount(0) ;

DH = 近日高點;

DL = 近日低點 ;

//計算一目均衡表的區間價格

// ************ 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) ;

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) ;

//計算前日波動範圍

// ************ Volatility ExPansion System  *****************

vars: VED(1),DBody(1) ;

VED = HighD(1)-LowD(1) ;

if absvalue(CloseD(1)-OpenD(1)) <> 0 and VED <> 0 then DBody = absvalue(CloseD(1)-OpenD(1))/VED ;

if BarNumber = 1 then begin

   Buy this bar on Close ;

   Sell this bar on Close ;

end ;

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

TimeOK = True ;

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

EntryExitCond = EntriesToday(Date)=0 ;

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

BuyPrice = DH  ;

ShortPrice = DL ;

   

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

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

vars:BuyPoint(0),SellPoint(99999),HLRed(false),HLGreen(false);

if date <> date[1] then begin

   HLRed = false ;

   HLGreen = false ;

   BuyPoint = 0 ;

   SellPoint = 99999 ;

end else begin

//多單進場條件 - 當日高低波動範圍大於當日開盤價一定比例且紅K

   HLRed = (HighD(0) - lowD(0)) >= MaxList((RatioS/500)*OpenD(0),100) and CloseD(0) - OpenD(0) > 0 ;

//空單進場條件 - 當日高低波動範圍大於當日開盤價一定比例且黑K

   HLGreen = (HighD(0) - lowD(0)) >= MaxList((RatioL/500)*OpenD(0),100) and CloseD(0) - OpenD(0) < 0 ;

   if HLGreen then BuyPoint = HighD(0) ;

   if HLRed then SellPoint = LowD(0);

end ;

   if EntryExitCond then begin

//符合多單進場條件，收盤價突破設定價位作多

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

      Buy ("LE_HLValue3") next bar at BuyPrice stop ;

//符合空單進場條件，收盤價跌破設定價位作空

   if MP <> -1 and HLGreen and Close > ShortPrice then 

      SellShort ("SE_HLValue3") 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 ;

//進場後空單部位虧損大於預期則反手做多

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

      then buy ("WrongEntryS8") next bar at Close stop ;

//持有空單，前一日波動範圍小於150，K棒實體比例大於 0.65，收盤價突破設定價位反手做多

   if MP < 0 and VED < 150 and DBody > 0.65 and Close < BuyPrice then

      Buy ("rSX_VED1T") next bar at BuyPrice stop ;

//持有多單，前一日波動範圍小於150，K棒實體比例大於 0.65，收盤價跌破設定價位反手做空

   if MP > 0 and VED < 150 and DBody > 0.65 and Close > ShortPrice then 

      SellShort ("rLX_VED1T") next bar at ShortPrice stop ;

//持有空單，收盤價突破雲層上界，且雲層上界大於60均線，突破當根K棒高點反手做多

   if MP < 0 and Close Cross over HighCloud and HighCloud > LowCloud and HighCloud > Avg60 then  Buy ("rSX_MoKu6") next bar at High Stop ;

/持有多單，收盤價跌破雲層下界，且雲層下界小於60均線，跌破當根K棒低點反手做空

   if MP > 0 and Close Cross under HighCloud and HighCloud < LowCloud and HighCloud < Avg60 then  SellShort ("rLX_MoKu6") next bar at Low 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