★旗型交易策略(含程式碼)

《Wen外期策略團隊》

     旗型(Flag)與三角旗型(Pennant)一直以來都是可靠的中繼型態，代表的是是主要上漲或下跌趨勢的短暫停頓。旗形走勢的型態就像一面掛在旗桿頂上的旗幟，這型態通常在急速而又大幅的市場波動中出現，股價經過一連串緊密的短期波動後，形成一個稍徽與原來趨勢呈相反方向傾斜的長方形，這就是旗形走勢。

     以下提供一個國外論壇關於旗型(Flag)的策略，可以看一下外國人如何描述旗型以及利用旗型發展交易策略

[程式碼]

INPUT:

MAXFLDUR(15), //Max Flag Duration

FLAGMIN(2.5), // Max Atr in lowest point in flag

PX(23), //Max Pole Duration.

UPT1BARS(70), // Bars for Uptrend leading to flag

POLEMIN(5.5), //Min ATR Height of the pole

LBF(50), // Min distance between flags

ATRmin(5),// Min volatility change

K(1.2), //Profit Target constant

timeexit(100), //Time exit bars

ATRLL(3),BSEMIN(5), // Stop loss below flag

ATRTRAIL(3),TRAILBARS(5), // Trailing stop parameters

BSEINACT(70),ATRINACT(4); // Inactivity exit parameter

vars:X1(0),X2(0),LRSX2(0),LRSX1(0),POLE(0),ptarget(0),BSE(0),TOP(0),BOTTOM(0),X3(0),L3(0),Y23(0),FLAGBOT(0),UPT1(0),LF(0),TARGETPER(0);

// FLAG CALCULATION

X1=HighestBar(C,MAXFLDUR)[2];//FLAG DURATION EX POLETOP

X2=X1+1; // FLAG DURATION INCLUDING POLE TOP

LF=LOWEST(C,X2);

TOP=Highest(C,X2)[2];

X2=IFF(LINEARREGSLOPE(C,X1)[1]<0 AND TOP-LF<flagmin*AvgTrueRange(40),X1+1,100);

IF X2>2 AND X2<=MAXFLDUR THEN begin //LIMITS FLAG DURATION

        Y23=LOWestBar(C,PX+X2); // POLE BOTTOM BAR

        BOTTOM=LOWEST(C,(PX+X2));// POLE BOTTOM

        POLE=TOP-BOTTOM;

IF TOP-BOTTOM>POLEMIN*AvgTrueRange(40) AND Y23>X2

        THEN BEGIN

                TOP=Highest(C,X2)[2];

                FLAGBOT=LOWEST(C,X2);

                UPT1=BOTTOM-LOWEST(L,UPT1BARS); // UPTREND LEADING TO FLAG

                LRSX1=LINEARREGSLOPE(C,X1)*100;//SLOPE IN FLAG

                LRSX2=LINEARREGSLOPE(C,X1-1)[2]*100; //SLOPE IN FLAG BEFORE BREAKOUT

               

Condition1 =TOP-LF<flagmin*AvgTrueRange(40) AND (LRSX1<0 OR LRSX2<0); // LIMITS FLAG SLOPE BETWEEN 0 AND -3 ATR

Condition2=POLE>POLEMIN*AvgTrueRange(40) ; // LIMITS MINPOLE HEIGHT

Condition3= UPT1>0; // UPTREND LEADING TO FLAG

Condition4=(barssinceexit(1)=0 or barssinceexit(1)>LBF) ; // LIMITS DISTANCE BETWEEN SUCCESIVE FLAGS

Condition5= (AvgTrueRange(40)/AvgTrueRange(40)[Y23]-1)*100>ATRmin; // VOLATILITY

If MARKETPOSITION=0 AND CONDITION1 AND CONDITION2 AND CONDITION3 and condition4 and condition5

THEN BEGIN

Buy("Flag") NEXT BAR AT HIGHEST(C,X1) STOP;

END;END;END;

{EXIT CONDITIONS}

if MARKETPOSITION =1 THEN BEGIN

        BSE=BARSSINCEENTRY;

        X3=HighestBar(C,MAXFLDUR)[BSE+2]-BSE+1;

        TOP=Highest(C,X3)[BSE+1];

        BOTTOM=LOWEST(C,(PX+X3))[BSE+1];

        POLE=(TOP-BOTTOM)/(BOTTOM+.0001)*100;

        targetPER=K*POLE;

        ptarget=(1+TARGETPER/100)*ENTRYPRICE;

        L3=LOWEST(L,X3)[BSE];

// PROFIT TARGET

 If C>=ptarget then SELL ("pTARGET") THIS bar at CLOSE;

// STOP

IF BSE>BSEMIN THEN SELL ("UNDER FLAG") NEXT bar at L3-ATRLL*AvgTrueRange(40) STOP;

//TRAILING STOP

IF C<HIGHEST(C,TRAILBARS)-ATRTRAIL*AvgTrueRange(40)

THEN SELL("TRAIL") NEXT BAR AT MARKET;

// INACTIVITY EXIT

IF BSE>BSEINACT AND C<ENTRYPRICE+ATRINACT*AvgTrueRange(40)THEN SELL("INACTIVITY") NEXT BAR AT MARKET;

// TIME EXIT

If BSE>timeexit

 then SELL("TIME") next bar at open;

END;

以下為台指期(TXF1-15K)回測



以下為德國DAX指數(DAX-15K)回測

後記：

型態似乎很難用簡單的方式完整描述。例如常見的M頭及W底，到底要往前追溯幾根K線才比較好呢？ 參數要設定多少較佳？程式碼寫得長，島狀過度最佳化的疑慮就會出現。