★PJK Volume策略(含程式碼)--Eagle測試版

     由好心的讀者Eagle幫大家測試PJK Volume策略於台指期，測試內容僅供大家參考，目的在於程式碼教學，請勿用於實單交易。

測試 2000 日 手續費 1200，僅提供日K回測供參考。

inputs: Period(20),ttype(1),maxdn(0),maxdvg(0),npsd(0.5),ddays(3), stoploss(50),takeprofit(100);

vars: px(0),vx(0),kvol(0),map(0),mav(0),sdiff(0),madays(0),ma(0),dvg(0),

nd(0),madiff(0),avgv(0),sdv(0),tentry(0),avg2(0),type(0),sc(0),avghl(0),signhl(0);

{Exit type = 1, On-Balance Volume

           = 2, Chiaken Volume Accumulator

   = 3, Negative Volume Index

   = 4, Positive Volume Index

   = 5  Price and Volume Trend

   = 6  Volume Oscillator (npsd used for exit level

   = 7  Volume rate of Change

   = 8  Low Volume Exit

for Entry filter use negative type}

{test exit}

type = ttype ;

if type < 0 then Begin

tentry = 1;

    type = @absvalue(ttype);

end;

{Price index}

map = @Average(Close,period) ;

if ddays < 1 then nd = 1 else nd = ddays ;

if map[nd] = 0 then px = 0 else px = (map - map[nd])*100/map[nd];

{On Balance Volume}

if type = 1 then Begin

if Close > Close[1] then Kvol = Kvol + Volume

else if Close < Close[1] then Kvol = Kvol - Volume;

end;

{Chaikin Volume Accumulator}

if type = 2  then Kvol = Kvol + (((Close - Low)/(High - Low)) - 0.5)*2*Volume ;

{Negative Volume Index}

if type = 3 then Begin

if Volume < Volume[1] then Kvol = Kvol[1] - (Close - Close[1])*Kvol/Close[1]

else if Kvol = 0 then Kvol = Volume 

else Kvol = Kvol[1] ;

end;

{Positive Volume Index}

if type = 4 then Begin

if Volume > Volume[1] then Kvol = Kvol[1] + (Close - Close[1])*Kvol[1]/Close[1]

else if Kvol = 0 then Kvol = Volume 

else Kvol = Kvol[1] ;

end;

{Price and Volume Trend}

if type = 5 then Kvol = Kvol + Volume*(Close - Close[1])/Close[1] ;

{Volume Oscillator}

if type  = 6  then Kvol = (@Average(Volume,ddays) - @Average(Volume,Period))*100/@Average(Volume,ddays);

{Volume rate of change}

if type = 7 then Begin

if Kvol = 0 then Kvol = Volume ;

if Volume[Period] = 0 then Kvol = Kvol[1] 

else Kvol = (Volume - Volume[Period])*100/Volume[Period] ;

end;

{Moving average of Price}

madays = 2*period ;

ma = @Average(Close,madays) ;

madiff = ma - ma[nd] ;

if type < 6 or type = 9 then Begin

mav = @Average(Kvol,Period) ;

if mav[nd] = 0 then vx = 0 else vx = (mav - mav[nd])*100/mav[nd] ;

sdiff = px - vx ;

{record divergence only}

if (vx * px) < 0 then dvg = sdiff else dvg = 0 ;

if madiff > 0 and madiff[1] <= 0 then Begin

exitshort at market ;

if tentry = 0 and (vx >= maxdn and @AbsValue(dvg) <= maxdvg) then

buy at market;

end;

if madiff < 0 and madiff[1] >= 0 then Begin

exitlong at market ;

if tentry = 0 and (vx >= maxdn and @AbsValue(dvg) <= maxdvg) then

sell at market ;

end;

if vx < maxdn and @AbsValue(dvg) > maxdvg then Begin

exitlong at market ;

exitshort at market ;

end;

end;

if type = 6 or type = 7 then Begin

avgv = @Average(Kvol,Period) ;

sdv = @Stddev(Kvol,Period) ;

if tentry = 0 then Begin

if (madiff > 0 and madiff[1] <= 0 ) or Kvol <= avgv - npsd*sdv then

exitshort at market ;

if (madiff < 0 and madiff[1] >= 0 ) or Kvol <= avgv - npsd*sdv then

exitlong at market ;

if (madiff > 0 and madiff[1] <= 0 ) then Buy at market ;

if (madiff < 0 and madiff[1] >= 0 ) then Sell at market ;

        end

    else Begin

if (madiff > 0 and madiff[1] <= 0 ) then exitshort at market ;

if (madiff < 0 and madiff[1] >= 0 ) then exitlong at market ;

     if (madiff > 0 and madiff[1] <= 0 ) and Kvol <= avgv - npsd*sdv then

buy at market ;

if (madiff < 0 and madiff[1] >= 0 ) and Kvol <= avgv - npsd*sdv then

sell at market ;

end;

end;

{Low Volume exit , Comparing slow and fast average}

if type = 8 then Begin

avgv = @Average(Volume,Period) ;

avg2 = @Average(Volume,ddays) ;

if tentry = 0 then begin

if (madiff > 0 and madiff[1] <= 0 ) or avg2 <= avgv*npsd then exitshort at market;

if (madiff < 0 and madiff[1] >= 0 ) or avg2 <= avgv*npsd then exitlong at market;

        if (madiff > 0 and madiff[1] <= 0 )  then buy at market;

if (madiff < 0 and madiff[1] >= 0 )  then sell at market;

     end

   else Begin

        if (madiff > 0 and madiff[1] <= 0 )  then exitshort at market;

if (madiff < 0 and madiff[1] >= 0 )  then exitlong at market;

        if (madiff > 0 and madiff[1] <= 0 ) and avg2 <= avgv*npsd then buy at market;

if (madiff < 0 and madiff[1] >= 0 ) and avg2 <= avgv*npsd then sell at market;

    end;

end;