相關標簽: wh3 程序化交易模型 、 期貨程序化交易模型 、 程序化交易模型收益 、 程序化交易模型源碼 、 文華程序化交易論模型 、 程序化交易論壇 、 杭州 程序化交易論壇 、 程序化交易者論壇 、 程序化交易 、

程序化交易模型源碼：
{K:10,M:5} A:=SUM( IF(CLOSE>REF(CLOSE,1), VOL/CLOSE,0), K); 當收大于昨收時成交量 / 收盤價的K周期的的總和 B:=SUM( IF(CLOSE<REF(CLOSE,1), VOL/CLOSE,0), K); 當收小于昨收時成交量 / 收盤價的K周期的的總和 D:=(A - B); {兩者之差值} G:=MA( (A-B), M); { 的均線 } CROSS(D,G),BK; {差值上穿其均線, 買開 } CROSS(G,D),SP; { 下穿 賣開} CROSS(G,D),SK; { 下穿 賣平 } CROSS(D,G),BP; { 上穿 買平 } ========================================================================= PEAKBARS(MA(CLOSE,20),10,1,0)=1,SPK; TROUGHBARS(MA(CLOSE,20),10,1,0)=1,BPK; H:=HIGH; L:=LOW; A:=IF(HIGH>=REF(HIGH,1)&&HIGH>=REF(HIGH,2)&&HIGH>=REF(HIGH,3),LOW,0); B:=IF(LOW<=REF(LOW,1)&&LOW<=REF(LOW,2)&&LOW<=REF(LOW,3),HIGH,888888); P1:=IF(A>REF(L,1),REF(L,1),0); P2:=IF(A>REF(L,2)&&A<=REF(L,1),REF(L,2),0); P3:=IF(A>REF(L,3)&&A<=REF(L,1)&&A<=REF(L,2),REF(L,3),0); P4:=IF(A>REF(L,4)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3),REF(L,4),0); P5:=IF(A>REF(L,5)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3)&&A<=REF(L,4),REF(L,5),0); P6:=IF(A>REF(L,6)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3)&&A<=REF(L,4)&&A<=REF(L,5),REF(L,6),0); P7:=IF(A>REF(L,7)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3)&&A<=REF(L,4)&&A<=REF(L,5)&&A<=REF(L,6),REF(L,7),0); P8:=IF(A>REF(L,8)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3)&&A<=REF(L,4)&&A<=REF(L,5)&&A<=REF(L,6)&&A<=REF(L,7),REF(L,8),0); P9:=IF(A>REF(L,9)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3)&&A<=REF(L,4)&&A<=REF(L,5)&&A<=REF(L,6)&&A<=REF(L,7)&&A<=REF(L,8),REF(L,9),0); P10:=IF(A>REF(L,10)&&A<=REF(L,1)&&A<=REF(L,2)&&A<=REF(L,3)&&A<=REF(L,4)&&A<=REF(L,5)&&A<=REF(L,6)&&A<=REF(L,7)&&A<=REF(L,8)&&A<=REF(L,9),REF (L,10),0); AA:=P1+P2+P3+P4+P5+P6+P7+P8+P9+P10; PP1:=IF(AA>REF(L,1),REF(L,1),0); PP2:=IF(AA>REF(L,2)&&AA<=REF(L,1),REF(L,2),0); PP3:=IF(AA>REF(L,3)&&AA<=REF(L,1)&&AA<=REF(L,2),REF(L,3),0); PP4:=IF(AA>REF(L,4)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3),REF(L,4),0); PP5:=IF(AA>REF(L,5)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3)&&AA<=REF(L,4),REF(L,5),0); PP6:=IF(AA>REF(L,6)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3)&&AA<=REF(L,4)&&AA<=REF(L,5),REF(L,6),0); PP7:=IF(AA>REF(L,7)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3)&&AA<=REF(L,4)&&AA<=REF(L,5)&&AA<=REF(L,6),REF(L,7),0); PP8:=IF(AA>REF(L,8)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3)&&AA<=REF(L,4)&&AA<=REF(L,5)&&AA<=REF(L,6)&&AA<=REF(L,7),REF(L,8),0); PP9:=IF(AA>REF(L,9)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3)&&AA<=REF(L,4)&&AA<=REF(L,5)&&AA<=REF(L,6)&&AA<=REF(L,7)&&AA<=REF(L,8),REF (L,9),0); PP10:=IF(AA>REF(L,10)&&AA<=REF(L,1)&&AA<=REF(L,2)&&AA<=REF(L,3)&&AA<=REF(L,4)&&AA<=REF(L,5)&&AA<=REF(L,6)&&AA<=REF(L,7)&&AA<=REF(L,8)&&AA<=REF (L,9),REF(L,10),0); AAA:=PP1+PP2+PP3+PP4+PP5+PP6+PP7+PP8+PP9+PP10; C:=VALUEWHEN(AAA>0,AAA); T1:=IF(B<REF(H,1),REF(H,1),0); T2:=IF(B<REF(H,2)&&B>=REF(H,1),REF(H,2),0); T3:=IF(B<REF(H,3)&&B>=REF(H,1)&&B>=REF(H,2),REF(H,3),0); T4:=IF(B<REF(H,4)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3),REF(H,4),0); T5:=IF(B<REF(H,5)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3)&&B>=REF(H,4),REF(H,5),0); T6:=IF(B<REF(H,6)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3)&&B>=REF(H,4)&&B>=REF(H,5),REF(H,6),0); T7:=IF(B<REF(H,7)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3)&&B>=REF(H,4)&&B>=REF(H,5)&&B>=REF(H,6),REF(H,7),0); T8:=IF(B<REF(H,8)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3)&&B>=REF(H,4)&&B>=REF(H,5)&&B>=REF(H,6)&&B>=REF(H,7),REF(H,8),0); T9:=IF(B<REF(H,9)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3)&&B>=REF(H,4)&&B>=REF(H,5)&&B>=REF(H,6)&&B>=REF(H,7)&&B>=REF(H,8),REF(H,9),0); T10:=IF(B<REF(H,10)&&B>=REF(H,1)&&B>=REF(H,2)&&B>=REF(H,3)&&B>=REF(H,4)&&B>=REF(H,5)&&B>=REF(H,6)&&B>=REF(H,7)&&B>=REF(H,8)&&B>=REF(H,9),REF (H,10),0); BB:=IF((T1+T2+T3+T4+T5+T6+T7+T8+T9+T10)=0,888888,T1+T2+T3+T4+T5+T6+T7+T8+T9+T10); TT1:=IF(BB<REF(H,1),REF(H,1),0); TT2:=IF(BB<REF(H,2)&&BB>=REF(H,1),REF(H,2),0); TT3:=IF(BB<REF(H,3)&&BB>=REF(H,1)&&BB>=REF(H,2),REF(H,3),0); TT4:=IF(BB<REF(H,4)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3),REF(H,4),0); TT5:=IF(BB<REF(H,5)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3)&&BB>=REF(H,4),REF(H,5),0); TT6:=IF(BB<REF(H,6)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3)&&BB>=REF(H,4)&&BB>=REF(H,5),REF(H,6),0); TT7:=IF(BB<REF(H,7)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3)&&BB>=REF(H,4)&&BB>=REF(H,5)&&BB>=REF(H,6),REF(H,7),0); TT8:=IF(BB<REF(H,8)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3)&&BB>=REF(H,4)&&BB>=REF(H,5)&&BB>=REF(H,6)&&BB>=REF(H,7),REF(H,8),0); TT9:=IF(BB<REF(H,9)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3)&&BB>=REF(H,4)&&BB>=REF(H,5)&&BB>=REF(H,6)&&BB>=REF(H,7)&&BB>=REF(H,8),REF (H,9),0); TT10:=IF(BB<REF(H,10)&&BB>=REF(H,1)&&BB>=REF(H,2)&&BB>=REF(H,3)&&BB>=REF(H,4)&&BB>=REF(H,5)&&BB>=REF(H,6)&&BB>=REF(H,7)&&BB>=REF(H,8)&&BB>=REF (H,9),REF(H,10),0); BBB:=TT1+TT2+TT3+TT4+TT5+TT6+TT7+TT8+TT9+TT10; D:=VALUEWHEN(BBB>0,BBB); UD:=IF(CLOSE>D&&REF(CLOSE,1)<=D,1,IF(CLOSE<C&&REF(CLOSE,1)>=C,-3,0)); K:=VALUEWHEN(UD<>0,UD); G:=IF(K=1,C,D); CROSS(CLOSE,REF(G,1)),BPK; CROSS(REF(G,1),CLOSE),SPK; 而效果測試中可選擇的測試價位都是當前周期的各個價位，二者的成交價差差距會比較大。（解決方法：將交易模型中的買賣條件判斷數值均替換為上一周期的數值REF（A，1）） 膠5分鐘期貨交易模型{有文華未知函數} JJ:=DMA(((((((((HIGH + LOW) + REF(HIGH,1)) + REF(LOW,1)) + REF(HIGH,2)) + REF(LOW,2)) + REF(CLOSE,1)) + CLOSE) / 8),((VOL * 240) / OPENINT)); JJ1:=EMA(JJ,7); MJ:=(((2 * (((((((HIGH + LOW) + REF(HIGH,1)) + REF(LOW,1)) + REF(HIGH,2)) + REF(LOW,2)) + REF(CLOSE,1)) + CLOSE)) / 8) - JJ1); MJ2:=FORCAST(((2 * EMA(MJ,45)) - EMA(EMA(EMA(MJ,45),45),45)),43); MJ3:=FORCAST(MJ2,145); MJ31:=EMA(EMA(EMA(MJ3,105),105),105); EXITLONG:CROSS(MJ31,JJ1); ENTERLONG:CROSS(JJ1,MJ31); {MJ未知} pp:=ma(close,26); E:=BETWEEN(ABS(CLOSE-MJ),0,10.5)&&TIME=1458; B2:=EVERY(CLOSE>PP,10)&&CLOSE-OPEN>3.5; S2:=(EVERY(CLOSE<PP,10)&&OPEN-CLOSE>3.5)||(REF(OPEN,1)-CLOSE>8.8&&CLOSE<PP&&REF(OPEN,1)>PP); B3:=CROSS(CLOSE,PP)&&CLOSE-OPEN>3.5&&TIME>0906&&TIME<1450; S3:=CROSS(PP,CLOSE)&&OPEN-CLOSE>3.5&&TIME>0906&&TIME<1450; F:=TIME<1458&&ABS(CLOSE-OPEN)>1.2; (B2||B3)&&F,BK; (S2||S3)&&F,SK; ((B2||B3)&&F)||E,BP; ((S2||S3)&&F)||E,SP; 當diff下穿dea,并且價格向下突破ema15日線，就賣平同時等價等量賣開指令， 當diff上穿dea,并且價格向上突破ema15日線，就買平同時等價等量買開指令: DIFF := EMA(CLOSE,SHORT) - EMA(CLOSE,LONG); DEA:= EMA(DIFF,M); EMA15:=EMA(CLOSE,15); DIFF>DEA&&CLOSE>EMA15,BPK; DEA>DIFF&&EMA15>CLOSE,SPK; 這樣才比較靠譜: DIFF := EMA(CLOSE,SHORT) - EMA(CLOSE,LONG); DEA:= EMA(DIFF,M); EMA15:=EMA(CLOSE,15); CROSS(DIFF,DEA)&&CLOSE>EMA15,BPK; CROSS(DEA,DIFF)&&EMA15>CLOSE,SPK; HH:=HHV(HIGH,N); LL:=LLV(LOW,N); HH1:=BARSLAST((HH > REF(HH,1))); LL1:=BARSLAST((LL < REF(LL,1))); CROSS(HH1,LL1),SPK; CROSS(LL1,HH1),BPK; VAR1:=(HHV(HIGH,8)-LLV(LOW,8)); VAR2:=(HHV(HIGH,8)-CLOSE); VAR3:=(CLOSE-LLV(LOW,8)); VAR4:=VAR2/VAR1*100-70 ; VAR5:=(CLOSE-LLV(LOW,60))/(HHV(HIGH,60)-LLV(LOW,60))*100; VAR6:=(2*CLOSE+HIGH+LOW)/4; VAR7:=SMA((VAR3/VAR1*100),3,1); VAR8:=LLV(LOW,30); VAR9:=SMA(VAR7,3,1)-SMA(VAR4,9,1); VAR10:= IF(VAR9>100,VAR9-100,0); VARA:=HHV(HIGH,30); B:=EMA((VAR6-VAR8)/(VARA-VAR8)*100,8),COLORCYAN; B1:=EMA(B,5); B-B1>0,BPK; B-B1<0,SPK; SARLINE:=ABS(SAR(3,0.01,0.1)); CLOSE>SARLINE,BPK; CLOSE<SARLINE,SPK; LC:=REF(CLOSE,1); WRSI:=SUM(MAX(CLOSE-LC,0),N)/SUM(ABS(CLOSE-LC),N)*100; (CROSS(WRSI,LL)),BK; (CROSS(LH,WRSI)),SP; VAR1:=LLV(LOW,34); VAR2:=HHV(HIGH,30); VAR3:=REF(CLOSE,1); VAR4:=EMA((CLOSE-VAR1)/(VAR2-VAR1),3)*100; ZL:=SMA(MAX(CLOSE-VAR3,0),7,1)/SMA(ABS(CLOSE-VAR3),7,1)*100; CC:=ZL; SH:=VAR4; VAR5:=(VAR4-LLV(VAR4,21))/(HHV(VAR4,21)-LLV(VAR4,21))*100; Q1:=IF(CROSS(VAR5,90) && SH<40,18,10); Q2:=IF(CROSS(ZL,12) && REF(SH,5)<20 && REF(SH,3)<20,18,10); P1:=IF(CROSS(84,ZL),82,90); P2:=IF(CROSS(84,SH),82,90); VY:=SMA((CLOSE-LLV(LOW,18))/(HHV(HIGH,18)-LLV(LOW,18))*100,5,1); L2:=SMA(0.618*REF(VY,1)+0.382*VY,3,1); L3:=MA(L2,5); L2>L3,BPK; L2<=L3,SPK; MA60:=MA(CLOSE,60); MA20:=MA(CLOSE,20); MA5:=MA(CLOSE,5); CLOSE>MA60&&CROSS(MA5,MA20)||CLOSE<MA60&&CROSS(MA5,MA20)&&TIME<1455,BPK; CLOSE>MA60&&CROSS(MA20,MA5)&&TIME<1455||CLOSE<MA60&&CROSS(MA20,MA5),SPK; CLOSE>MA60&&CROSS(MA20,MA5)&&TIME=1455,BP; CLOSE<MA60&&CROSS(MA5,MA20)&&TIME=1455,SP; 修改后再看看 MA60:=MA(CLOSE,60); MA20:=MA(CLOSE,20); MA5:=MA(CLOSE,5); CLOSE>MA60&&CROSS(MA5,MA20)||CLOSE<MA60&&CROSS(MA5,MA20)&&TIME<1455,BPK; CLOSE>MA60&&CROSS(MA20,MA5)&&TIME<1455||CLOSE<MA60&&CROSS(MA20,MA5),SPK; CLOSE>MA60&&TIME=1455,BP; CLOSE<MA60&&TIME=1455,SP; H:=VALUEWHEN(DATE<>REF(DATE,1),HIGH); CLOSE>H&&TIME>=0930,BK; CLOSE>H||TIME>=1430,BP; CLOSE<H&&TIME>=0930,SK; CLOSE<H||TIME>=1430,SP; {漂渺峰滬膠15分鐘模型} [N,1.000000,5.000000,1.000000] [M,1.000000,20.000000,14.000000] [B,1.000000,5.000000,2.000000] A:=EMA(CLOSE,N); AA:=A-REF(A,M); BB:=SMA(AA,B,2); BB>0,BPK; BB<0,SPK; WROC:=(CLOSE-REF(CLOSE,N))/REF(CLOSE,N)*100; (CROSS(WROC,0)),BK; (CROSS(0,WROC)),SP; 自適應均線的交易模型： DI:=CLOSE-REF(CLOSE,N); VO:=SUM(ABS((CLOSE-REF(CLOSE,1))),N); ER:=ABS(DI/VO); FASTSC:=2/(2 + 1); SLOWSC:=2/(30 + 1); SSC:=ER*(FASTSC-SLOWSC)+SLOWSC; CONSTANT:=SSC*SSC; AMAHIGH:REF(EMA(HIGH,N),1)+CONSTANT*(HIGH- REF(EMA(HIGH,N),1)); AMALOW:REF(EMA(LOW,N),1)+CONSTANT*(LOW- REF(EMA(LOW,N),1)); AMACLOSE:=REF(EMA(CLOSE,N),1)+CONSTANT*(CLOSE- REF(EMA(CLOSE,N),1)); LOW>AMAHIGH,BK; CLOSE<AMACLOSE,SP; HIGH<AMALOW,SK; CLOSE>AMACLOSE,BP;

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