程式交易 - HTS 多週期指標寫法(以基本KD為例)

在 HTS 上如果需要完成多週期的策略，例如 30 分鐘抓 60 分鐘的資料等…通常會遇到不少問題…今天動手寫了個 KD 的指標出來…是在 30 分鐘內去把 60 分鐘的 KD 指標畫出來的程式…過程中遇到許多的困難…所以真的有興趣寫多週期的可能需要好好研究一下這個程式了。

首先是指標的程式碼，先把基本的 KD 指標給大家看一下…也就是原本的程式：

Parameters : HighLowTerm(9), OverSold(20), OverBought(80)
Variable : Factor(1/3)

Value1 = VALUE1[1] + (Factor * (FastK(High, Low, Close, HighLowTerm) - VALUE1[1]))
Value2 = 2/3*Value2[1]+Value1*1/3

DrawBase1( OverBought, "Over Bought", DarkGray )
DrawBase2( OverSold, "Over Sold", DarkGray )
Draw2( Round( Value2,2), "Slow %D", Blue)
Draw1( Round( Value1,2), "Slow %K", Red)


接下來…就是利用上面的 KD 指標來完成 30 分線內抓 60 分資料並畫出的程式碼：


Parameters : HighLowTerm(9), OverSold(20), OverBought(80)
Variable : Factor(1/3)

vars:high1(0), high2(0), high3(0), high4(0), high5(0), high6(0), high7(0), high8(0), high9(0)
vars:low1(0), low2(0), low3(0), low4(0), low5(0), low6(0), low7(0), low8(0), low9(0)

Condition1 = time = 94500 or time = 104500 or time = 114500 or time = 124500 or time = 134500

if Condition1 then
high9 = maxlist(high[16], high[17])
high8 = maxlist(high[14], high[15])
high7 = maxlist(high[12], high[13])
high6 = maxlist(high[10], high[11])
high5 = maxlist(high[8], high[9])
high4 = maxlist(high[6], high[7])
high3 = maxlist(high[4], high[5])
high2 = maxlist(high[2], high[3])
high1 = maxlist(high, high[1])

low9 = minlist(low[16], low[17])
low8 = minlist(low[14], low[15])
low7 = minlist(low[12], low[13])
low6 = minlist(low[10], low[11])
low5 = minlist(low[8], low[9])
low4 = minlist(low[6], low[7])
low3 = minlist(low[4], low[5])
low2 = minlist(low[2], low[3])
low1 = minlist(low, low[1])

Value1 = minlist(low9, low8, low7, low6, low5, low4, low3, low2, low1)
Value2 = maxlist(high9, high8, high7, high6, high5, high4, high3, high2, high1) - Value1
Value3 = Close

Value4 = Value4[2] + (Factor * (((Value3 - Value1) / Value2 * 100) - Value4[2]))
Value5 = 2/3 * Value5[2] + Value4 * 1/3
end if

DrawBase2( OverBought, "Over Bought", DarkGray )
DrawBase1( OverSold, "Over Sold", DarkGray )
Draw2( Round( Value5,2), "Slow %D-60", Blue)
Draw1( Round( Value4,2), "Slow %K-60", Red)



完成後的圖會長這樣：



我想整個轉換過程並算不上容易…首先必需去研究指標用到的函式有哪些…再去看每個函式的運算過程…接下來再依照運算過程會使用到的資料去想辦法存到一個正確的值。

HTS 的 highest, lowest 的問題非常嚴重…能不用就不要用…所以我都改用 maxlist 和 minlist…再來就是依照時間的週期去定下 condition。

還好 KD 還算簡單…如果是 MACD 的話，還是轉用 TradeStation 會簡單一點。