由好心的讀者Eagle幫大家測試PJK Volume策略於台指期，測試內容僅供大家參考，目的在於程式碼教學，請勿用於實單交易。
測試 2000 日 手續費 1200，僅提供日K回測供參考。
inputs: Period(20),ttype(1),maxdn(0),maxdvg(0),npsd(0.5),ddays(3), stoploss(50),takeprofit(100);
vars: px(0),vx(0),kvol(0),map(0),mav(0),sdiff(0),madays(0),ma(0),dvg(0),
nd(0),madiff(0),avgv(0),sdv(0),tentry(0),avg2(0),type(0),sc(0),avghl(0),signhl(0);
{Exit type = 1, On-Balance Volume
= 2, Chiaken Volume Accumulator
= 3, Negative Volume Index
= 4, Positive Volume Index
= 5 Price and Volume Trend
= 6 Volume Oscillator (npsd used for exit level
= 7 Volume rate of Change
= 8 Low Volume Exit
for Entry filter use negative type}
{test exit}
type = ttype ;
if type < 0 then Begin
tentry = 1;
type = @absvalue(ttype);
end;
{Price index}
map = @Average(Close,period) ;
if ddays < 1 then nd = 1 else nd = ddays ;
if map[nd] = 0 then px = 0 else px = (map - map[nd])*100/map[nd];
{On Balance Volume}
if type = 1 then Begin
if Close > Close[1] then Kvol = Kvol + Volume
else if Close < Close[1] then Kvol = Kvol - Volume;
end;
{Chaikin Volume Accumulator}
if type = 2 then Kvol = Kvol + (((Close - Low)/(High - Low)) - 0.5)*2*Volume ;
{Negative Volume Index}
if type = 3 then Begin
if Volume < Volume[1] then Kvol = Kvol[1] - (Close - Close[1])*Kvol/Close[1]
else if Kvol = 0 then Kvol = Volume
else Kvol = Kvol[1] ;
end;
{Positive Volume Index}
if type = 4 then Begin
if Volume > Volume[1] then Kvol = Kvol[1] + (Close - Close[1])*Kvol[1]/Close[1]
else if Kvol = 0 then Kvol = Volume
else Kvol = Kvol[1] ;
end;
{Price and Volume Trend}
if type = 5 then Kvol = Kvol + Volume*(Close - Close[1])/Close[1] ;
{Volume Oscillator}
if type = 6 then Kvol = (@Average(Volume,ddays) - @Average(Volume,Period))*100/@Average(Volume,ddays);
{Volume rate of change}
if type = 7 then Begin
if Kvol = 0 then Kvol = Volume ;
if Volume[Period] = 0 then Kvol = Kvol[1]
else Kvol = (Volume - Volume[Period])*100/Volume[Period] ;
end;
{Moving average of Price}
madays = 2*period ;
ma = @Average(Close,madays) ;
madif
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