程式交易 - 停損後是新的開始 - 實例篇

這篇是延續之前那篇所提到的東西…在這邊直接舉個例子給各位看囉…所謂停損後是新的開始的意思就是…停損後，就當作當天已經結束了…從下一根 k 線開始…又把它當做是新的一天…這有什麼用呢？首先…先看看下圖當作例子吧…


這是個很簡單的策略…把開盤價上下各抓一個 range 出來…然後，突破作多、跌破作空…圖中兩條黑橫線就是多點和空點…只要盤勢往上走並突破後…就買進；如果買進後跌至停損點就停損。

在停損之後下一根 k 線的開盤價，當成是新的一天開盤…接著再用這個開盤價算出新的多點和空點…很簡單吧…這麼簡單的東西會有什麼好績效嗎？



想當然爾…沒有多好…不過交易次數倒還滿高的…我的手續費可是來回設二千啊…每次省個八百下來的話…獲利可以提升六十幾萬…應該算是很不錯了吧…而且程式還沒設定停利機制…也許加個停利會更好也說不定…

所以…想法不要太複雜…往簡單的方向走說不定會有更好的成績出來…程式碼就開放給大家玩玩囉。


vars:topen(0),openhigh(0), openlow(0), count(0), stoploss(30), hlrange(80);

if date[0] <> date[1] then begin
topen = 0;
openhigh = 0;
openlow = 0;
count = 0;
end;

if time = 0850.00 then begin
topen = opend(0);
openhigh = topen + hlrange;
openlow = topen - hlrange;
end;

if count = 0 and marketposition = 0 and time < 1330.00 and time > 0850.00 and high > openhigh then begin
buy ("b1") next bar at market;
count = 1;
end;
if count = 0 and marketposition = 0 and time < 1330.00 and time > 0850.00 and low < openlow then begin
sell ("s1") next bar at market;
count = 1;
end;

if marketposition > 0 then
exitlong next bar at entryprice(0)-stoploss stop;
if marketposition < 0 then
exitshort next bar at entryprice(0)+stoploss stop;

if marketposition = 0 and count = 1 and barssinceexit(0) = 1 then begin
topen = open;
openhigh = topen + hlrange;
openlow = topen - hlrange;
count = 0;
end;

if marketposition > 0 and time = 1340.00 then begin
exitlong next bar at market;
end;
if marketposition < 0 and time = 1340.00 then begin
exitshort next bar at market;
end;