程式交易≠Holy Grail

今天在原文舊書中看到一個跟成交量有關的交易策略Volume-weighted strategy，有需要成交量來寫策略的人可以參考邏輯。

ps: 我自己沒測試過，只單純覺得成交量的算法簡單易懂。

Vars:

MaLen(9),

AvgVolume(0),

Turbo(0),

InvTurbo(0),

MaWeight(0),

TurboMA(0);

AvgVolume = Average(V, MaLen);

Turbo = (AvgVolume - Lowest(AvgVolume, MaLen)) / (Highest(AvgVolume, MaLen) - Lowest(AvgVolume, Malen));

InvTurbo = 1 - Turbo;

If MaLen > 2 Then MaWeight = (2 / (1 + MaLen)) Else MaWeight = 0.67;

TurboMA = TurboMA * InvTurbo + AvgPrice * Turbo;

If Date < 1000401 Then Begin

If MarketPosition = 0 and C < TurboMA and TurboMA < TurboMA [1] Then

Buy Tomorrow on Highest(High, 2) Stop;

End;

If MarketPosition = 1 and C < TurboMA Then Begin

ExitLong on Close;

ExitLong Tomorrow on EntryPrice * 0.96 Stop;

End;

If Date >= 1000401 Then Begin

If MarketPosition = 0 and C > TurboMA and TurboMA > TurboMA [1] Then

Sell Tomorrow on Lowest(Low, 2) Stop;

End;

If MarketPosition = -1 and C > TurboMA Then Begin

ExitShort on Close;

ExitShort Tomorrow on EntryPrice * 1.04 Stop;

End;