★雙布林通道(台指期)

《Wen外期策略團隊》

簡單利用快慢兩個不同的布林通道分別控制進出場的簡單系統，以下是台指期的測試，供讀者練習。

回測設定：

●商品：TXF@60K（修正換月價差的歷史資料）

●手續費設定：單邊500元 (來回1000元)

●回測時間：2003/1/21~2014/10/13

●其他：只測試多單。

指標：（白色是慢布林進場點，黃色為快布林出場點）



文章程式碼參考Active trader網站

Code：

vars:SlowerLB(0),FasterLB(0),LongBase(0),ShortBase(0),LongRisk(0),ShortRisk(0);

//For the Bollinger-band system (group A):


SlowerLB = 18; //(36, 72)
FasterLB = 12; //(24, 48)
LongBase = Average(Close, SlowerLB) + StdDev(Close, SlowerLB) * 2.2;
ShortBase = Average(Close, SlowerLB) - StdDev(Close, SlowerLB) * 2.2;
LongRisk = LongBase - Average(Close, FasterLB);
ShortRisk = Average(Close, FasterLB) - ShortBase;

//For the Donchian systems (group B):


{
SlowerLB = 18; //(36, 72)
FasterLB = 12; //(24, 48)
LongBase = Highest(High, SlowerLB);
ShortBase = Lowest(Low, SlowerLB);
LongRisk = LongBase - 0.5 * (Highest(High, FasterLB) + Lowest(Low, FasterLB));
ShortRisk = 0.5 * (Highest(High, FasterLB) + Lowest(Low, FasterLB)) - ShortBase;
}


//Shared code:

vars:EntryLevel(0),ExitLevel(0);
If EntriesToday(date) < +1 Then begin
EntryLevel = LongBase;
ExitLevel = LongBase - LongRisk;

end

Else begin

EntryLevel = EntryLevel[1];
ExitLevel = maxlist(LongBase - LongRisk, ExitLevel[1]);

end;

If marketposition=0 then begin
buy next bar at EntryLevel stop;
// sellshort next bar at Entrylevel stop;
end;

If marketposition=1 then begin
sell next bar at ExitLevel stop;
end;

回測結果：