程式交易≠Holy Grail

作者：Chen Peter

Adaptive price zone

使用的是平滑化的移動平均和基本的ADX指標。

當ADX value<2 且跌破70的平滑化的移動平均下線就買進。

Example:

                   買進                               賣出

賺 7400-7349 = 51點。

回測使用的是小時為區間。這策略的優點是結合兩種指標來判斷可能的超跌點。

上面的圖灰線就是上下平滑化的移動平均線。

使用amibroker code為:

SetTradeDelays(0, 0, 0, 0);

SetOption("InitialEquity", 100000);

SetOption("MaxOpenPositions",1);

SetOption("CommissionMode", 3); //count hand cost by how much future

SetOption("CommissionAmount", 100); //one future hand cost 50 dollars

SetOption("FuturesMode", 1); //

SetPositionSize(1, spsShares);

function DblSmoothEMA(price,Length)

{

period =IIf(Length < 0,1,sqrt(Length));

smooth = 2/(period+1);

returnAMA(AMA(price,smooth),smooth);

}

SetTradeDelays(0,0,0,0);

BuyPrice = C;

SellPrice = C;

price = C;

period =70;//Optimize("period",10,10,100,10);

BandPct = 2.2;//Optimize("width[%]",0.4,0.4,4,0.3);

DsEMA =DblSmoothEMA(price,period);

RangeDsEMA= DblSmoothEMA(H-L,period);

UpBand = BandPct*RangeDsEMA + DsEMA;

DnBand = DsEMA - BandPct * RangeDsEMA;

ADXThshold = 46;//Optimize("ADXThshould",2,2,50,4);

ADXLength =  2;//Optimize("ADXLength",2,2,40,4);

ADXValue = ADX(ADXLength);

Buy = ADXValue <= ADXThshold ANDLow <= DnBand;

Sell = ADXValue > ADXThshold;

Buy = ExRem(Buy,Sell);

Sell = ExRem(Sell,Buy);

Plot(C,"Price",colorBlack,styleCandle);

Plot(UpBand,"UpBand",colorLightGrey);

Plot(DnBand,"DnBand",colorLightGrey);

//Plot(Buy*shapeUpArrow,colorGreen,0,DnBand,-24);

//Plot(Sell*shapeDownArrow,colorRed,0,UpBand,-24);