這一篇文章有點長，但是很值得學習的好文，在此與大家分享。
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主題類別：程式交易
主題： 樞紐點區間當沖交易(1分K)
作者：Roger Ho
內文介紹：
利用前一交易日之高低收，計算出樞紐點(P)。
樞紐點以上有四個壓力點(FirstR, SecondR, ThirdR, FourthR)，以下有四個支撐點(FirstS, SecondS, ThirdS, FourthS)，壓力與壓力之間有個次壓力點(P1st, P1st2nd, P2nd3rd, P3rd4th)，同樣，支撐與支撐之間有個次支撐點(P_1st, P1st_2nd, P2nd_3rd, P3rd_4th)。
另外計算8:50至9:00的高低收，其高與低經由
HighValue1 = LowValue + (HighValue - LowValue) * HighValuePlus;
LowValue1 = LowValue + (HighValue - LowValue) * LowValuePlus;
公式算出高與低的關鍵值，而其收會在九點後，判斷其值落在那一個區間，而在那個區間裏皆不會有任何動作，一旦向上或向下突破區間並大於HighValue1或小於LowValue1，接下來會比對量的算式（Vol1 = Average(Volume[1], VolLength);），在五分鐘內，若量沒有小於前面的算式，都不會有任何動作，同樣五分鐘又落回原區間，也不會有任何動作。
一旦上述條件成立才會有進倉動作。
此交易有設定停損和停利，並於13:30平倉。
程式碼如下：
Arrays: HoD[84](-1), LoD[84](-1), CoD[84](-1);
Inputs: maxLos(40), maxWin(270), HighValuePlus(4.5), LowValuePlus(4.5), LosAgain(40), VolLength(13), Voladd(4), VolMax1(3000), VolMax2(5000), LastPrice(200);
Variables: Check(0), Check1(0), Check2(0), Check3(0), Check4(0), Check5(0), Check6(0), VTime(0), Close1(0), Close2(0), Close3(0), Value1(0), Value11(0), Value111(0), Value2(0), Value22(0), Value222(0), HighValue(0), LowValue(0), HighValue1(0), LowValue1(0), ClosePrice(0), Value33R(0), Value22R(0), Value11R(0), Value11S(0), Value22S(0), Value33S(0), V2(0), CheckP(0), CheckP1st(0), CheckFirstR(0), Check1st2nd(0), CheckSecondR(0), Check2nd3rd(0), CheckP_1st(0), CheckFirstS(0), Check1st_2nd(0), CheckSecondS(0), Check2nd_3rd(0), ValueD1(0), ValueD2(0), ValueD3(0), ThirdR(0), P2nd3rd(0), SecondR(0), P1st2nd(0), FirstR(0), P1st(0), P(0), P_1st(0), FirstS(0), P1st_2nd(0), SecondS(0), P2nd_3rd(0), ThirdS(0), Value44(0), FourthR(0), P3rd4th(0), P3rd_4th(0), FourthS(0), CheckThirdR(0), Check3rd4th(0), CheckThirdS(0), Check3rd_4th(0), Vol1(0), VolInc(0), CheckLabel(0), VolumeCheck(0), VolumePriceH(0), VolumePriceL(0), VolumePriceO(0), VolumePriceC(0), VolumeMaxCheck(0), VolumeTotal(0), VolInc1(0), LastClose(0), LastCheckP(0), LastCheckN(0);
If DataCompression < 2 Then Begin
ValueD1 = LowD(1);
ValueD2 = HighD(1);
ValueD3 = CloseD(1);
Value44 = (ValueD1 + ValueD2 + ValueD3) / 3;
Value33R = ValueD2 + 2*(Value44 - ValueD1);
Value22R = Value44 + (ValueD2 - ValueD1);
Value11R = 2*Value44 - ValueD1;
Value11S = 2*Value44 - ValueD2;
Value22S = Value44 - (ValueD2 - ValueD1);
Value33S = ValueD1 - 2*(ValueD2 - Value44);
FourthR = Value33R + 2 * (Value33R - (Value33R + Value22R) / 2);
P3rd4th = Value33R + (Value33R - (Value33R + Value22R) / 2);
ThirdR = ValueD2 + 2*(Value44 - ValueD1);
P2nd3rd = (Value33R + Value22R) / 2;
SecondR = Value44 + (ValueD2-ValueD1);
P1st2nd = (Value22R + Value11R)/2;
FirstR = 2*Value44 - ValueD1;
P1st = (Value11R + Value44) / 2;
P = Value44;
P_1st = (Value44 + Value11S) / 2;
FirstS = 2*Value44 - ValueD2;
P1st_2nd = (Value11S + Value22S) / 2;
SecondS = Value44 - (ValueD2 - ValueD1);
P2nd_3rd = (Value33S + Value22S) / 2;
ThirdS = ValueD1 - 2*(ValueD2 - Value44);
P3rd_4th = Value33S - ((Value33S + Value22S) / 2 - Value33S);
FourthS = Value33S - 2 * ((Value33S + Value22S) / 2 - Value33S);
End;
VTime = Time;
If VTime = 0850.00 Then Begin
Close1 = (Close + Close[1] + Close[2] + Close[3] + Close[4]) / 5;
Value1 = (High + High[1] + High[2] + High[3] + High[4]) / 5;
Value2 = (Low + Low[1] + Low[2] + Low[3] + Low[4]) / 5;
End;
If VTime = 0855.00 Then Begin
Close2 = (Close[1] + Close[2] + Close[3] + Close[4] + Close) / 5;
Value11 = (High[1] + High[2] + High[3] + High[4] + High) / 5;
Value22 = (Low[1] + Low[2] + Low[3] + Low[4] + Low) / 5;
End;
If VTime = 0900.00 Then Begin
Close3 = (Close[1] + Close[2] + Close[3] + Close[4] + Close) / 5;
Value111 = (High[1] + High[2] + High[3] + High[4] + High) / 5;
Value222 = (Low[1] + Low[2] + Low[3] + Low[4] + Low) / 5;
End;
If VTime = 1345.00 Then Begin
LastClose = Close[1];
End;
Value4 = {Close1 +} Close2 + Close3;
Value5 = Value4 / 2;
HighValue = (({Value1 +} Value11 + Value111) / 2);
LowValue = (({Value2 +} Value22 + Value222) / 2);
HighValue1 = LowValue + (HighValue - LowValue) * HighValuePlus;
{HighValue1 = HighValue + (HighValue - LowValue) * HighValuePlus;}
LowValue1 = LowValue + (HighValue - LowValue) * LowValuePlus;
Vol1 = Average(Volume[1], VolLength);
If VTime > 0900.00 and VTime < 1330.00 Then Begin
If Volume > Vol1 Then Begin
Check5 = 1;
VolInc = Voladd;
End;
If Check5 = 1 Then Begin
VolInc = VolInc - 1;
End;
If VolInc = 0 Then Begin
Check5 = 0;
End;
If LastClose > Close3 + LastPrice Then Begin
LastCheckP = 1;
End;
If LastClose < Close3 - LastPrice Then Begin
LastCheckN = 1;
End;
End;
If VTime > 0900.00 and VTime < 1330.00 Then Begin
If VolumeCheck = 0 Then Begin
If Value5 < FourthR and Value5 > ThirdR and HighValue > P3rd4th {and LowValue < P3rd4th} and CheckLabel = 0 Then Begin
Check3rd4th = 1;
CheckLabel = 1;
End;
If Value5 < P3rd4th and Value5 > P2nd3rd and HighValue > ThirdR {and LowValue < ThirdR} and CheckLabel = 0 Then Begin
CheckThirdR = 1;
CheckLabel = 1;
End;
If Value5 < ThirdR and Value5 > SecondR and HighValue > P2nd3rd {and LowValue < P2nd3rd} and CheckLabel = 0 Then Begin
Check2nd3rd = 1;
CheckLabel = 1;
End;
If Value5 < P2nd3rd and Value5 > P1st2nd and HighValue > SecondR {and LowValue < SecondR} and CheckLabel = 0 Then Begin
CheckSecondR = 1;
CheckLabel = 1;
End;
If Value5 < SecondR and Value5 > FirstR and HighValue > P1st2nd {and LowValue < P1st2nd} and CheckLabel = 0 Then Begin
Check1st2nd = 1;
CheckLabel = 1;
End;
If Value5 < P1st2nd and Value5 > P1st and HighValue > FirstR {and LowValue < FirstR} and CheckLabel = 0 Then Begin
CheckFirstR = 1;
CheckLabel = 1;
End;
If Value5 < FirstR and Value5 > P and HighValue > P1st {and LowValue < P1st} and CheckLabel = 0 Then Begin
CheckP1st = 1;
CheckLabel = 1;
End;
If Value5 < P1st and Value5 > P_1st and HighValue > P {and LowValue < P} and CheckLabel = 0 Then Begin
CheckP = 1;
CheckLabel = 1;
End;
If Value5 < P and Value5 > FirstS and HighValue > P_1st {and LowValue < P_1st} and CheckLabel = 0 Then Begin
CheckP_1st = 1;
CheckLabel = 1;
End;
If Value5 < P_1st and Value5 > P1st_2nd and HighValue > FirstS {and LowValue < FirstS} and CheckLabel = 0 Then Begin
CheckFirstS = 1;
CheckLabel = 1;
End;
If Value5 < FirstS and Value5 > SecondS and HighValue > P1st_2nd {and LowValue < P1st_2nd} and CheckLabel = 0 Then Begin
Check1st_2nd = 1;
CheckLabel = 1;
End;
If Value5 < P1st_2nd and Value5 > P2nd_3rd and HighValue > SecondS {and LowValue < SecondS} and CheckLabel = 0 Then Begin
CheckSecondS = 1;
CheckLabel = 1;
End;
If Value5 < SecondS and Value5 > ThirdS and HighValue > P2nd_3rd {and LowValue < P2nd_3rd} and CheckLabel = 0 Then Begin
Check2nd_3rd = 1;
CheckLabel = 1;
End;
If Value5 < P2nd_3rd and Value5 > P3rd_4th and HighValue > ThirdS {and LowValue < ThirdS} and CheckLabel = 0 Then Begin
CheckThirdS = 1;
CheckLabel = 1;
End;
If Value5 < ThirdS and Value5 > FourthS and HighValue > P3rd_4th {and LowValue < P3rd_4th} and CheckLabel = 0 Then Begin
Check3rd_4th = 1;
CheckLabel = 1;
End;
End;
If Volume[1] > VolMax1 Then Begin
VolumeCheck = 1;
{VolumeTotal = Volume[1];}
VolInc1 = 5;
VolumePriceH = High[1];
VolumePriceL = Low[1];
VolumePriceO = Open[1];
VolumePriceC = Close[1];
Condition1 = False;
Condition2 = False;
End;
If VTime > 0900.00 and VTime < 1330.00 and VolumeCheck = 1 Then Begin
{If Volume > Vol1 Then Begin
Check5 = 1;
VolInc = Voladd;
End;}
If VolumeCheck = 1 Then Begin
VolInc1 = VolInc1 - 1;
VolumeTotal = VolumeTotal + Volume[1];
If VolumePriceH < High[1] Then Begin
VolumePriceH = High[1];
End;
If VolumePriceL > Low[1] Then Begin
VolumePriceL = Low[1];
End;
End;
If VolInc1 = 0 and VolumeTotal < VolMax2 Then Begin
VolumeCheck = 0;
End;
If VolInc1 = 0 and VolumeTotal > VolMax2 Then Begin
VolumeCheck = 2;
End;
End;
If VolumeCheck = 2 Then Begin
If Open[1] < Close[1] Then Begin
If VolumePriceH < FourthR and VolumePriceH > ThirdR and CheckLabel = 0 Then Begin
Check3rd4th = 1;
CheckLabel = 1;
End;
If VolumePriceH < P3rd4th and VolumePriceH > P2nd3rd and CheckLabel = 0 Then Begin
CheckThirdR = 1;
CheckLabel = 1;
End;
If VolumePriceH < ThirdR and VolumePriceH > SecondR and CheckLabel = 0 Then Begin
Check2nd3rd = 1;
CheckLabel = 1;
End;
If VolumePriceH < P2nd3rd and VolumePriceH > P1st2nd and CheckLabel = 0 Then Begin
CheckSecondR = 1;
CheckLabel = 1;
End;
If VolumePriceH < SecondR and VolumePriceH > FirstR and CheckLabel = 0 Then Begin
Check1st2nd = 1;
CheckLabel = 1;
End;
If VolumePriceH < P1st2nd and VolumePriceH > P1st and CheckLabel = 0 Then Begin
CheckFirstR = 1;
CheckLabel = 1;
End;
If VolumePriceH < FirstR and VolumePriceH > P and CheckLabel = 0 Then Begin
CheckP1st = 1;
CheckLabel = 1;
End;
If VolumePriceH < P1st and VolumePriceH > P_1st and CheckLabel = 0 Then Begin
CheckP = 1;
CheckLabel = 1;
End;
If VolumePriceH < P and VolumePriceH > FirstS and CheckLabel = 0 Then Begin
CheckP_1st = 1;
CheckLabel = 1;
End;
If VolumePriceH < P_1st and VolumePriceH > P1st_2nd and CheckLabel = 0 Then Begin
CheckFirstS = 1;
CheckLabel = 1;
End;
If VolumePriceH < FirstS and VolumePriceH > SecondS and CheckLabel = 0 Then Begin
Check1st_2nd = 1;
CheckLabel = 1;
End;
If VolumePriceH < P1st_2nd and VolumePriceH > P2nd_3rd and CheckLabel = 0 Then Begin
CheckSecondS = 1;
CheckLabel = 1;
End;
If VolumePriceH < SecondS and VolumePriceH > ThirdS and CheckLabel = 0 Then Begin
Check2nd_3rd = 1;
CheckLabel = 1;
End;
If VolumePriceH < P2nd_3rd and VolumePriceH > P3rd_4th and CheckLabel = 0 Then Begin
CheckThirdS = 1;
CheckLabel = 1;
End;
If VolumePriceH < ThirdS and VolumePriceH > FourthS and CheckLabel = 0 Then Begin
Check3rd_4th = 1;
CheckLabel = 1;
End;
End;
If Open[1] > Close[1] Then Begin
If VolumePriceL < FourthR and VolumePriceL > ThirdR and CheckLabel = 0 Then Begin
Check3rd4th = 1;
CheckLabel = 1;
End;
If VolumePriceL < P3rd4th and VolumePriceL > P2nd3rd and CheckLabel = 0 Then Begin
CheckThirdR = 1;
CheckLabel = 1;
End;
If VolumePriceL < ThirdR and VolumePriceL > SecondR and CheckLabel = 0 Then Begin
Check2nd3rd = 1;
CheckLabel = 1;
End;
If VolumePriceL < P2nd3rd and VolumePriceL > P1st2nd and CheckLabel = 0 Then Begin
CheckSecondR = 1;
CheckLabel = 1;
End;
If VolumePriceL < SecondR and VolumePriceL > FirstR and CheckLabel = 0 Then Begin
Check1st2nd = 1;
CheckLabel = 1;
End;
If VolumePriceL < P1st2nd and VolumePriceL > P1st and CheckLabel = 0 Then Begin
CheckFirstR = 1;
CheckLabel = 1;
End;
If VolumePriceL < FirstR and VolumePriceL > P and CheckLabel = 0 Then Begin
CheckP1st = 1;
CheckLabel = 1;
End;
If VolumePriceL < P1st and VolumePriceL > P_1st and CheckLabel = 0 Then Begin
CheckP = 1;
CheckLabel = 1;
End;
If VolumePriceL < P and VolumePriceL > FirstS and CheckLabel = 0 Then Begin
CheckP_1st = 1;
CheckLabel = 1;
End;
If VolumePriceL < P_1st and VolumePriceL > P1st_2nd and CheckLabel = 0 Then Begin
CheckFirstS = 1;
CheckLabel = 1;
End;
If VolumePriceL < FirstS and VolumePriceL > SecondS and CheckLabel = 0 Then Begin
Check1st_2nd = 1;
CheckLabel = 1;
End;
If VolumePriceL < P1st_2nd and VolumePriceL > P2nd_3rd and CheckLabel = 0 Then Begin
CheckSecondS = 1;
CheckLabel = 1;
End;
If VolumePriceL < SecondS and VolumePriceL > ThirdS and CheckLabel = 0 Then Begin
Check2nd_3rd = 1;
CheckLabel = 1;
End;
If VolumePriceL < P2nd_3rd and VolumePriceL > P3rd_4th and CheckLabel = 0 Then Begin
CheckThirdS = 1;
CheckLabel = 1;
End;
If VolumePriceL < ThirdS and VolumePriceL > FourthS and CheckLabel = 0 Then Begin
Check3rd_4th = 1;
CheckLabel = 1;
End;
End;
End;
End;
If VolumeCheck = 0 Then Begin
If Check3rd4th = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > FourthR;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < ThirdR;
End;
If CheckThirdR = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P3rd4th;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P2nd3rd;
End;
If Check2nd3rd = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > ThirdR;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < SecondR;
End;
If CheckSecondR = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P2nd3rd;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P1st2nd;
End;
If Check1st2nd = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > SecondR;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < FirstR;
End;
If CheckFirstR = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P1st2nd;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P1st;
End;
If CheckP1st = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > FirstR;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P;
End;
If CheckP = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P1st;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P_1st;
End;
If CheckP_1st = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < FirstS;
End;
If CheckFirstS = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P_1st;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P1st_2nd;
End;
If Check1st_2nd = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > FirstS;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < SecondS;
End;
If CheckSecondS = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P1st_2nd;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P2nd_3rd;
End;
If Check2nd_3rd = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > SecondS;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < ThirdS;
End;
If CheckThirdS = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > P2nd_3rd;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < P3rd_4th;
End;
If Check3rd_4th = 1 Then Begin
Condition1 = Close[1] > Value5 and Close[1] > HighValue1 and Close[1] > ThirdS;
Condition2 = Close[1] < Value5 and Close[1] < LowValue1 and Close[1] < FourthS;
End;
End;
If VolumeCheck =2 Then Begin
If VolumePriceO < VolumePriceC Then Begin
If Check3rd4th = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > FourthR;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < ThirdR;
End;
If CheckThirdR = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P3rd4th;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P2nd3rd;
End;
If Check2nd3rd = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > ThirdR;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < SecondR;
End;
If CheckSecondR = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P2nd3rd;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P1st2nd;
End;
If Check1st2nd = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > SecondR;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < FirstR;
End;
If CheckFirstR = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P1st2nd;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P1st;
End;
If CheckP1st = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > FirstR;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P;
End;
If CheckP = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P1st;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P_1st;
End;
If CheckP_1st = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < FirstS;
End;
If CheckFirstS = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P_1st;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P1st_2nd;
End;
If Check1st_2nd = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > FirstS;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < SecondS;
End;
If CheckSecondS = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P1st_2nd;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P2nd_3rd;
End;
If Check2nd_3rd = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > SecondS;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < ThirdS;
End;
If CheckThirdS = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > P2nd_3rd;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < P3rd_4th;
End;
If Check3rd_4th = 1 Then Begin
Condition1 = Close[1] > VolumePriceH and Close[1] > HighValue1 and Close[1] > ThirdS;
Condition2 = Close[1] < VolumePriceH and Close[1] < LowValue1 and Close[1] < FourthS;
End;
End;
If VolumePriceO > VolumePriceC Then Begin
If Check3rd4th = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > FourthR;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < ThirdR;
End;
If CheckThirdR = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P3rd4th;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P2nd3rd;
End;
If Check2nd3rd = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > ThirdR;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < SecondR;
End;
If CheckSecondR = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P2nd3rd;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P1st2nd;
End;
If Check1st2nd = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > SecondR;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < FirstR;
End;
If CheckFirstR = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P1st2nd;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P1st;
End;
If CheckP1st = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > FirstR;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P;
End;
If CheckP = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P1st;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P_1st;
End;
If CheckP_1st = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < FirstS;
End;
If CheckFirstS = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P_1st;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P1st_2nd;
End;
If Check1st_2nd = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > FirstS;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < SecondS;
End;
If CheckSecondS = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P1st_2nd;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P2nd_3rd;
End;
If Check2nd_3rd = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > SecondS;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < ThirdS;
End;
If CheckThirdS = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > P2nd_3rd;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < P3rd_4th;
End;
If Check3rd_4th = 1 Then Begin
Condition1 = Close[1] > VolumePriceL and Close[1] > HighValue1 and Close[1] > ThirdS;
Condition2 = Close[1] < VolumePriceL and Close[1] < LowValue1 and Close[1] < FourthS;
End;
End;
End;
If Condition1 Then Begin
If (Time > 0900.00) AND (Time < 1315.00) AND (Check5 = 0) AND (Check = 0) AND LastCheckP = 0 Then Begin
Buy ("Buy") Next bar at market;
Check = 1;
Check1 = 1;
ClosePrice = Close;
CheckLabel = 0;
End;
End;
If Condition2 Then Begin
If (Time > 0900.00) AND (Time < 1315.00) AND (Check5 = 0) AND (Check = 0) AND LastCheckN = 0 Then Begin
Sell ("Sell") Next bar at market;
Check = -1;
Check1 = -1;
ClosePrice = Close;
CheckLabel = 0;
End;
End;
If Condition1 Then Begin
If (Time > 0900.00) AND (Time < 1315.00) AND (Check5 = 0) AND (Check = -1) Then Begin
Buy ("Buy1") Next bar at market;
Check = 1;
Check1 = 1;
ClosePrice = Close;
CheckLabel = 0;
End;
End;
If Condition2 Then Begin
If (Time > 0900.00) AND (Time < 1315.00) AND (Check5 = 0) AND (Check = 1) Then Begin
Sell ("Sell1") Next bar at market;
Check = -1;
Check1 = -1;
ClosePrice = Close;
CheckLabel = 0;
End;
End;
If Check = 1 AND Time = 1330.00 Then Begin
Exitlong ("BuyOver") This bar on Close;
Check = 0;
Check1 = 0;
Check2 = 0;
Check3 = 0;
Check4 = 0;
Check5 = 0;
Check6 = 0;
End;
If Check = -1 AND Time = 1330.00 Then Begin
Exitshort ("SellOver") This bar on Close;
Check = 0;
Check1 = 0;
Check2 = 0;
Check3 = 0;
Check4 = 0;
Check5 = 0;
Check6 = 0;
End;
If Time = 1330.00 Then Begin
{Check = 0;}
Condition1 = False;
Condition2 = False;
Value1 = 0;
Value2 = 0;
Value4 = 0;
Value5 = 0;
Value11 = 0;
Value22 = 0;
Value111 = 0;
Value222 = 0;
HighValue = 0;
LowValue = 0;
Value33R = 0;
Value22R = 0;
Value11R = 0;
Value11S = 0;
Value22S = 0;
Value33S = 0;
Value44 = 0;
V2 = 0;
CheckP = 0;
CheckP1st = 0;
CheckFirstR = 0;
Check1st2nd = 0;
CheckSecondR = 0;
Check2nd3rd = 0;
CheckP_1st = 0;
CheckFirstS = 0;
Check1st_2nd = 0;
CheckSecondS = 0;
Check2nd_3rd = 0;
ValueD1 = 0;
ValueD2 = 0;
ValueD3 = 0;
ThirdR = 0;
P2nd3rd = 0;
SecondR = 0;
P1st2nd = 0;
FirstR = 0;
P1st = 0;
P = 0;
P_1st = 0;
FirstS = 0;
P1st_2nd = 0;
SecondS = 0;
P2nd_3rd = 0;
ThirdS = 0;
FourthR = 0;
P3rd4th = 0;
P3rd_4th = 0;
FourthS = 0;
CheckThirdR = 0;
Check3rd4th = 0;
CheckThirdS = 0;
Check3rd_4th = 0;
VolInc = 0;
CheckLabel = 0;
VolumeCheck = 0;
VolumePriceH = 0;
VolumePriceL = 0;
VolumePriceO = 0;
VolumePriceC = 0;
VolumeMaxCheck = 0;
VolumeTotal = 0;
VolInc1 = 0;
LastCheckP = 0;
LastCheckN = 0;
End;
if BarsSinceEntry(0) > 0 and CurrentContracts >= 1 then Begin
SetStopLoss(maxLos*200);
SetProfitTarget(maxWin*200);
end;
if BarsSinceEntry(0) > 0 and CurrentContracts <= 1 then Begin
SetStopLoss(maxLos*200);
SetProfitTarget(maxWin*200);
end;
|
TradeStation Strategy Performance Report |
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TradeStation Strategy Performance Report - Money1.7 TXF-1M.TXT-1 min. (2001/1/2-2012/12/28) |
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Performance Summary: All Trades |
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Total Net Profit |
$3,324,600.00 |
|
Open position P/L |
$0.00 |
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Gross Profit |
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$12,306,000.00 |
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Gross Loss |
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($8,981,400.00) |
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|
Total # of trades |
2,657 |
|
Percent profitable |
46.93% |
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Number winning trades |
1,247 |
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Number losing trades |
1,410 |
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Largest winning trade |
$53,200.00 |
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Largest losing trade |
($11,200.00) |
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Average winning trade |
$9,868.48 |
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Average losing trade |
($6,369.79) |
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Ratio avg win/avg loss |
1.55 |
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Avg trade (win & loss) |
$1,251.26 |
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Max consec. Winners |
8 |
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Max consec. losers |
14 |
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Avg # bars in winners |
190 |
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Avg # bars in losers |
115 |
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Max intraday drawdown |
($168,800.00) |
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Profit Factor |
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1.37 |
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Max # contracts held |
1 |
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Account size required |
$168,800.00 |
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Return on account |
1969.55% |
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Performance Summary: Long Trades |
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Total Net Profit |
$1,340,200.00 |
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Open position P/L |
$0.00 |
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Gross Profit |
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$6,580,000.00 |
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Gross Loss |
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($5,239,800.00) |
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Total # of trades |
1,498 |
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Percent profitable |
46.40% |
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Number winning trades |
695 |
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Number losing trades |
803 |
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Largest winning trade |
$53,200.00 |
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Largest losing trade |
($11,200.00) |
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Average winning trade |
$9,467.63 |
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Average losing trade |
($6,525.28) |
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Ratio avg win/avg loss |
1.45 |
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Avg trade (win & loss) |
$894.66 |
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Max consec. Winners |
9 |
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Max consec. losers |
8 |
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Avg # bars in winners |
193 |
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Avg # bars in losers |
114 |
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Max intraday drawdown |
($202,000.00) |
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Profit Factor |
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1.26 |
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Max # contracts held |
1 |
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Account size required |
$202,000.00 |
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Return on account |
663.47% |
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Performance Summary: Short Trades |
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Total Net Profit |
$1,984,400.00 |
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Open position P/L |
$0.00 |
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Gross Profit |
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$5,726,000.00 |
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Gross Loss |
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($3,741,600.00) |
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Total # of trades |
1,159 |
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Percent profitable |
47.63% |
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Number winning trades |
552 |
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Number losing trades |
607 |
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Largest winning trade |
$53,200.00 |
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Largest losing trade |
($9,200.00) |
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Average winning trade |
$10,373.19 |
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Average losing trade |
($6,164.09) |
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Ratio avg win/avg loss |
1.68 |
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Avg trade (win & loss) |
$1,712.17 |
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Max consec. Winners |
6 |
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Max consec. losers |
10 |
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Avg # bars in winners |
188 |
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Avg # bars in losers |
118 |
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Max intraday drawdown |
($140,800.00) |
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Profit Factor |
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1.53 |
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Max # contracts held |
1 |
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Account size required |
$140,800.00 |
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Return on account |
1409.38% |
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TradeStation Strategy Performance Report |
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Annual Trading Summary |
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Annual Analysis (Mark-To-Market): |
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Period |
Net Profit |
% Gain |
Profit Factor |
# Trades |
% Profitable |
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YTD |
$0.00 |
N/A |
N/A |
0 |
N/A |
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12 month |
$22,800.00 |
0.67% |
1.04 |
186 |
45.16% |
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12 |
$14,000.00 |
0.41% |
1.02 |
199 |
45.23% |
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11 |
$35,600.00 |
1.05% |
1.04 |
215 |
43.72% |
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10 |
($28,600.00) |
(0.84%) |
0.96 |
230 |
43.48% |
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09 |
$208,600.00 |
6.53% |
1.25 |
211 |
43.13% |
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08 |
$756,000.00 |
31.00% |
1.81 |
227 |
48.90% |
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07 |
$113,200.00 |
4.87% |
1.12 |
241 |
39.42% |
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06 |
$155,600.00 |
7.17% |
1.22 |
224 |
44.20% |
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05 |
($74,800.00) |
(3.33%) |
0.87 |
218 |
41.74% |
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04 |
$425,600.00 |
23.39% |
1.67 |
213 |
48.83% |
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03 |
$344,200.00 |
23.33% |
1.63 |
208 |
50.96% |
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02 |
$696,800.00 |
89.52% |
1.96 |
228 |
49.56% |
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01 |
$678,400.00 |
678.40% |
1.81 |
243 |
51.03% |
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Annual Rolling Period Analysis (Mark-To-Market): |
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Period |
Net Profit |
% Gain |
Profit Factor |
# Trades |
% Profitable |
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12 |
$14,000.00 |
0.41% |
1.02 |
199 |
45.23% |
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11-12 |
$49,600.00 |
1.47% |
1.03 |
414 |
44.44% |
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10-12 |
$21,000.00 |
0.62% |
1.01 |
644 |
44.10% |
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09-12 |
$229,600.00 |
7.19% |
1.08 |
855 |
43.86% |
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08-12 |
$985,600.00 |
40.41% |
1.25 |
1082 |
44.92% |
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07-12 |
$1,098,800.00 |
47.24% |
1.22 |
1323 |
43.92% |
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06-12 |
$1,254,400.00 |
57.80% |
1.22 |
1547 |
43.96% |
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05-12 |
$1,179,600.00 |
52.54% |
1.19 |
1765 |
43.68% |
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04-12 |
$1,605,200.00 |
88.23% |
1.23 |
1978 |
44.24% |
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03-12 |
$1,949,400.00 |
132.14% |
1.26 |
2186 |
44.88% |
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02-12 |
$2,646,200.00 |
339.95% |
1.32 |
2414 |
45.32% |
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01-12 |
$3,324,600.00 |
3324.60% |
1.37 |
2657 |
45.84% |
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Winning Trade Analysis |
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Number of winning trades |
1247 |
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Avg. winning trade |
$9,868.48 |
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Avg. win ?1 STDEV |
$19,582.54 |
/ |
$154.43 |
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1 Std. Deviation (STDEV) |
$9,714.06 |
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Coefficient of variation |
98.44% |
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Largest profit |
$53,200.00 |
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Largest consec. profit |
$111,600.00 |
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% of Net Profit |
1.60% |
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% of Net Profit |
3.36% |
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Consecutive Winning Series Data |
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Consec. |
# of |
Average |
Average Loss |
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Winners |
Series |
Gain/Series |
Next Trade |
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1 |
350 |
$11,119.43 |
($6,694.29) |
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2 |
179 |
$19,796.65 |
($6,614.53) |
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3 |
61 |
$27,232.79 |
($7,154.10) |
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4 |
36 |
$39,538.89 |
($6,438.89) |
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5 |
12 |
$51,183.33 |
($7,683.33) |
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6 |
12 |
$64,100.00 |
($6,533.33) |
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7 |
5 |
$52,800.00 |
($7,320.00) |
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8 |
2 |
$69,300.00 |
($7,200.00) |
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Losing Trade Analysis |
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Number of losing trades |
1410 |
|
|
|
|
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Avg. losing trade |
($6,369.79) |
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Avg. loss ?1 STDEV |
($3,252.15) |
/ |
($9,487.42) |
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1 Std. Deviation (STDEV) |
$3,117.64 |
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Coefficient of variation |
48.94% |
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|
|
|
Largest loss |
($11,200.00) |
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Largest consec. loss |
($64,800.00) |
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|
% of Net Profit |
0.34% |
|
% of Net Profit |
1.95% |
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Consecutive Losing Series Data |
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||
|
Consec. |
# of |
Average |
Average Gain |
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|
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|
|
Losers |
Series |
Loss/Series |
Next Trade |
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|
1 |
307 |
($6,777.85) |
$10,225.49 |
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|
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2 |
169 |
($13,344.38) |
$11,573.96 |
|
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|
|
|
|
3 |
84 |
($18,478.57) |
$9,071.43 |
|
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|
|
|
|
4 |
52 |
($24,761.54) |
$8,930.77 |
|
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|
|
|
|
5 |
20 |
($32,120.00) |
$11,530.00 |
|
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|
|
|
|
6 |
8 |
($39,825.00) |
$7,050.00 |
|
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|
|
|
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7 |
7 |
($45,685.71) |
$7,542.86 |
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|
8 |
3 |
($44,400.00) |
$9,466.67 |
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9 |
4 |
($49,450.00) |
$2,250.00 |
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10 |
2 |
($44,500.00) |
$6,400.00 |
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11 |
0 |
$0.00 |
$0.00 |
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12 |
0 |
$0.00 |
$0.00 |
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13 |
0 |
$0.00 |
$0.00 |
|
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14 |
2 |
($52,400.00) |
$11,200.00 |
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TradeStation Strategy Performance Report |
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Settings |
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Initial Capital |
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$100,000.00 |
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Commission |
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$800.00 |
|
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Slippage |
|
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$0.00 |
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Interest Rate |
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5.00% |
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Version Type |
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Intra-Day |
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Version Number |
|
2000.00 |
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|
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Symbol |
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|
TXF-1M.TXT |
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Description |
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Compression |
|
1 min. |
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|
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Start Date |
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|
2001/1/2 |
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End Date |
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|
2012/12/28 |
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Display Periods |
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40 |
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Number of Standard Deviations |
1 |
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Strategy Inputs |
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Money17_maxLos |
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40 |
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Money17_maxWin |
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270 |
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Money17_HighValuePlus |
4.5 |
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Money17_LowValuePlus |
4.5 |
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Money17_LosAgain |
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40 |
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Money17_VolLength |
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13 |
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Money17_Voladd |
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4 |
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Money17_VolMax1 |
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3000 |
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Money17_VolMax2 |
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5000 |
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Money17_LastPrice |
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200 |
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