★多空區間振幅策略程式碼

     《Wen外期策略團隊》

     從海外找到一個簡單又可以學到東西的策略程式碼。策略的想法很單純，統計過去一段時間的漲跌狀況，分成兩類，只要是上漲的日K線，歸類為「多方振幅」；如果收跌，就歸類為「空方振幅」。 進場條件為，當過去一段時間的「多方振幅」大於「空方振幅」時，就在下一根開盤價買進，反之就放空(但要注意多空的條件有些許不對稱)。出場則是利用計算出來的振幅設定停損和停利點。
     在此就不貼上這個策略的回測績效了（當然是因為績效不好），主要是讓大家看一下語法，刺激一下右半腦。

程式碼

Inputs: Len(63);

Vars: PointRange(0), SumPosRange(0), SumNegRange(0), AvePosRange(0), AveNegRange(0);

PointRange = High - Low;

If Close > Close[1] Then

SumPosRange = SumPosRange * (Len - 1) / Len + PointRange;

If Close < Close[1] Then

SumNegRange = SumNegRange * (Len - 1) / Len + PointRange;

AvePosRange = SumPosRange / Len;

AveNegRange = SumNegRange / Len;

{Buy/sell statements to use in system only}

{This identifies the up trend}

If AvePosRange > AveNegRange and MarketPosition = 0 Then

Buy next bar at O;

If AvePosRange < AveNegRange Then

Sell ("Down Trend") next bar at Open;

{This identifies the down trend}

If AveNegRange > AvePosRange * 1.06 and AveNegRange >= AveNegRange[1] and AvePosRange < AvePosRange[1] and MarketPosition = 0 Then

Sellshort next bar at Open;

If AveNegRange < AvePosRange * 1.06 Then

Buytocover ("Up Trend") next bar at Open;

{This is the short-term trading rules within the up trend}

If BarsSinceEntry >=1 Then Begin

Sell ("Loss Long") next bar at EntryPrice - AveNegRange stop;

Sell ("Trail Long") next bar at Open - AveNegRange stop;

Sell ("Profit Long 2") next bar at Open + 3*AvePosRange limit;

Sell ("Profit Long 1") next bar at EntryPrice + 6*AvePosRange limit;

End;

{This is the short-term trading rules within the down trend}

If BarsSinceEntry >=1 Then Begin

Buytocover ("Loss Short") next bar at EntryPrice + AvePosRange stop;

Buytocover ("Trail Short") next bar at Open + AvePosRange stop;

Buytocover ("Profit Short 2") next bar at Open - 2*AveNegRange limit;

Buytocover ("Profit Short 1") next bar at EntryPrice - 4*AveNegRange limit;

End;