程式交易 - 急跌急漲突破策略

又是個隨便亂想之下的產物…想法則是突破急漲急跌就進場…至於急漲急跌怎麼定義…目前是想到一根 k 線裡面的漲跌為 1% 來當作急漲急跌…也許還可以修改吧…至於績效…實在不怎麼樣…參考看看就好…

績效如下：



程式寫法如下：

inputs:length(0.01);
vars:longline(99999), shortline(0), count(0);

if date[1] <> date[0] then begin
longline = 99999;
shortline = 0;
count = 0;
end;

if time = 900.00 then begin
for value1 = 1 to 30 begin
if absvalue(close[value1]-open[value1]) > closed(1)*length then begin
if close[value1]>open[value1] then begin
longline = close[value1];
shortline = open[value1];
end;
if close[value1] < open[value1] then begin
longline = open[value1];
shortline = close[value1];
end;
end;
end;
end;

if time > 900.00 and time < 1300.00 and count = 0 then begin
if marketposition = 0 and close cross over longline then begin
buy ("b1") next bar at market;
count = 1;
end;
if marketposition = 0 and close cross under shortline then begin
sell ("s1") next bar at market;
count = 1;
end;
end;

if marketposition > 0 then begin
exitlong next bar at longline+(longline-shortline)*2 limit;
exitlong next bar at longline-(longline-shortline)/2 stop;
end;
if marketposition < 0 then begin
exitshort next bar at shortline-(longline-shortline)*2 limit;
exitshort next bar at shortline+(longline-shortline)/2 stop;
end;

if time = 1330.00 and marketposition <> 0 then begin
exitlong next bar at market;
exitshort next bar at market;
end;