★ 比特幣交易回測篇 [07]

EasyTrader 比特幣測試 07

這是一個運用 CDP 與 近週高低價與 彈性係數 作為進出邏輯的交易策略

彈性指數動態平均線(VIDYA) 

// Public Variable

vars:MP(0),PF(0),PL(0),LotNum(1),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) ;

MP = MarketPosition ;

if MP <> 0 then Begin

   PF = EntryPrice*TradeProfit ;

   PL = EntryPrice*TradeStopLoss ;

end else begin

   PF = AvgPrice*TradeProfit ;

   PL = AvgPrice*TradeStopLoss ;

end ;

PF = MinList(PF,2700) ;

PL = MinList(PL,1350) ;

// ************ CDP *****************

vars:CDP(0),AH(0),NH(0),NL(0),AL(0),CDPrange(0),CrossA(false),CrossB(false),TH1(0),TL1(0),TH2(0),TL2(0) ;

if Date <> Date[1] then begin

   CDP = (HighD(1)+LowD(1)+2*CloseD(1))/4;

   AH = CDP + (HighD(1) - LowD(1));

   NH = CDP*2 - LowD(1);

   NL = 2*CDP - HighD(1);

   AL = CDP - (HighD(1) - LowD(1));

end ; 

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

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

WH = 近週高點 ;

WL = 近週低點;

// ************ 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 ;

//* Vidya Setup

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

Vidya1 = _SS_Vidya(LenA1,FracA) ;

Vidya2 = _SS_Vidya(LenB1,FracB) ;

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

if BarNumber = 1 then begin

   Buy this bar on Close ;

   Sell this bar on Close ;

end ;

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

SelectNo = IntPortion(RatioL*2+0.3) ;

if SelectNo < 1 or SelectNo > 11 then SelectNo = 1 ;

if SelectNo = 2 then EntryExitCond = EntriesToday(Date)=0  ;

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

BuyPrice = OpenD(0)+MaxList(VED*FracA/6,21) ;

ShortPrice = LowM(0)+(HighM(0)-LowM(0))*0.33  ;

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

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

   if EntryExitCond then begin

   if MP <> -1 and Close < AH and Close > NH then 

      Buy ("LE_CDP5") LotNum Contracts next bar at WH stop ;

   if MP <> -1 and Close > AL and Close < NL then 

      SellShort ("SE_CDP5") LotNum Contracts next bar at WL stop ;

   end ;

   if EntryExitCond then begin

      if MP <> 1 and Countif(Vidya1 > Vidya1[1],3) = 3 and Close > NH and Close < BuyPrice then 

         Buy ("LE_Vidya2") LotNum Contracts next bar at BuyPrice stop;

      if MP <> -1 and Countif(Vidya2 < Vidya2[1],3) = 3 and Close < NL and Close > ShortPrice then 

         SellShort ("SE_Vidya2") LotNum Contracts next bar at ShortPrice stop;

   end ;

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

if MP > 0 then Sell ("Trail_PL1_"+NumtoStr(Absvalue(EntryPrice-(HighSinceEntry-MinList(PL,PF))),2)) 

   All Contracts next bar at HighSinceEntry-MinList(PL,PF) stop ;

if MP > 0 then Sell ("PF1_"+NumtoStr(PF,0)) All Contracts next bar at EntryPrice+PF limit ;

if MP < 0 then BuytoCover ("Trail_PL2_"+NumtoStr(Absvalue(EntryPrice-(LowSinceEntry+MinList(PL,PF))),2)) 

   All Contracts next bar at LowSinceEntry+MinList(PL,PF) stop ;

if MP < 0 then BuytoCover ("PF2_"+NumtoStr(PF,0)) All Contracts next bar at EntryPrice-PF limit ;

比特幣  留倉 交易週期 2017/6/1 ~ 2024 交易成本 交易量*0.1%