信號閃現，是什么原因老師回測非常好
作者：開拓者 TB 來源：cxh99.com 發布時間：2020年12月28日
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咨詢內容：
Params
Numeric ceilingAmt(30);
? ???Numeric floorAmt(60);
? ???Numeric bolBandTrig(2);
? ?
Vars
? ???Numeric lookBackDays(20);? ?? ?? ?
? ???Numeric todayVolatility(0);
? ???Numeric yesterDayVolatility(0);
? ???Numeric deltaVolatility(0);
? ???NumericSeries buyPoint(0);
? ???NumericSeries sellPoint(0);
? ???NumericSeries longLiqPoint(0);
? ???NumericSeries shortLiqPoint(0);
? ???Numeric upBand(0);
? ???Numeric dnBand(0);
? ???Numeric MidLine(0);
? ???Numeric Band(0);
Begin
? ???todayVolatility = StandardDev(Close[1],30,1);
? ???yesterDayVolatility = StandardDev(Close[1],30,1);
? ???deltaVolatility = (todayVolatility - yesterDayVolatility)/todayVolatility;
? ???lookBackDays = lookBackDays * (1 + deltaVolatility);
? ???lookBackDays = Round(lookBackDays,0);
? ???lookBackDays = Min(lookBackDays,ceilingAmt);
? ???lookBackDays = Max(lookBackDays,floorAmt);
? ???MidLine = AverageFC(Close[1],lookBackDays);
? ???Band = StandardDev(Close[1],lookBackDays,bolBandTrig);
? ???upBand = MidLine + bolBandTrig * Band;
? ???dnBand = MidLine - bolBandTrig * Band;
? ???buyPoint = Highest(High[1],lookBackDays);
? ???sellPoint = Lowest(Low[1],lookBackDays);
? ???longLiqPoint = Average(Close[1],lookBackDays);
? ???shortLiqPoint = Average(Close[1],lookBackDays);
if(Close > upBand)??
{
? ? If(CrossOver(high,buyPoint))? ?
? ?{
? ?? ?Buy(1,max( buyPoint, Low ));
? ?}
Commentary("多頭觸發價:"+Text(buyPoint));
}
if(Close < dnBand)
{
? ? If(CrossUnder(Low,sellPoint ))
? ? {
? ?? ? SellShort(1,min( sellPoint , High ));
? ? }
Commentary("空頭觸發價:"+Text(sellPoint));
}
if(MarketPosition == 1)
{??
? ? If(CrossUnder(Low,longLiqPoint ))
? ? {
? ?? ? Sell(1,min( longLiqPoint , High ));
? ? }
Commentary("多頭退出:"+Text(longLiqPoint));
}
if(MarketPosition == -1)
{
? ? If(CrossOver(high,shortLiqPoint))? ?
? ?{
? ?? ?BuyToCover(1,max( shortLiqPoint, Low ));
? ?}
Commentary("多頭退出:"+Text(shortLiqPoint));
}
End
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