tag:blogger.com,1999:blog-2484416548844160292024-03-21T06:21:56.572-07:00程式交易快譯通服務項目:MultiCharts優惠/程式交易教學課程講座大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.comBlogger130125tag:blogger.com,1999:blog-248441654884416029.post-3727788609582924002021-01-07T07:27:00.003-08:002021-01-07T07:30:11.502-08:00[置頂] 如何入門程式交易,MultiCharts學習地圖<p> <span style="font-size: x-large;">想學MultiCharts/程式交易的新同學們,以下學習地圖供參考:</span></p><br /><span style="font-size: large;"><br /></span><span style="color: white; font-size: x-large;"><b style="background-color: #351c75;"> 1.MultiChrts軟體安裝設定 </b></span><br /><span style="color: #444444;"><br /></span><span style="color: #cc0000; font-size: large;">-工欲善其事,必先利其器,透過詳細的步驟解說,先把工作平台給搞定-</span><br /><ul><li><span style="font-size: large;"><a href="http://seekingalpha-tainan.blogspot.tw/p/multicharts.html">MultiCharts申購與安裝(影片)</a></span></li><li><a href="https://www.pfcf.com.tw/software/detail/2589" target="_blank"><span style="font-size: large;">MultuCharts基礎操作教學</span></a></li><li><span style="font-size: large;"><a href="http://seekingalpha-tainan.blogspot.tw/p/multicharts.html">MultiCharts自動下單設定</a></span></li><li><span style="font-size: large;"><a href="http://seekingalpha-tainan.blogspot.tw/p/multicharts.html">MultiCharts交易海期、股票期貨、選擇權如何設定</a></span></li><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.tw/p/multicharts.html">常見問題與解決辦法</a></span></li><li><a href="http://seekingalpha-tainan.blogspot.tw/p/multicharts.html"><span style="font-size: large;">MultiCharts其他功能</span></a></li></ul><span style="font-size: large;"><br /></span><span style="color: white; font-size: x-large;"><b style="background-color: #351c75;"> 2.MultiCharts程式語言(PowerLanguage) </b></span><br /><span style="color: #444444;"><br /></span><span style="color: #cc0000; font-size: large;">-學習把交易邏輯用語法表達出來,即使從零開始沒有程式背景也可以學-</span><br /><ul><li><span style="font-size: large;"><a href="http://seekingalpha-tainan.blogspot.tw/p/powerlanguage.html">PowerLanguage從零開始</a></span></li><li><a href="http://seekingalpha-tainan.blogspot.tw/p/powerlanguage.html"><span style="font-size: large;">寫交易訊號</span></a></li><li><a href="http://seekingalpha-tainan.blogspot.tw/p/powerlanguage.html"><span style="font-size: large;">策略回測與最佳化</span></a></li><li><a href="http://seekingalpha-tainan.blogspot.tw/p/powerlanguage.html"><span style="font-size: large;">寫技術指標</span></a></li><li><a href="http://seekingalpha-tainan.blogspot.tw/p/powerlanguage.html"><span style="font-size: large;">其他進階應用</span></a></li></ul><span style="font-size: large;"><br /></span><span style="color: white; font-size: x-large;"><b style="background-color: #351c75;"> 3.開發交易策略、回測及參數最佳化 </b></span><br /><span style="color: #444444; font-size: small;"><br /></span><span style="color: #cc0000; font-size: large;">-從經典策略觀摩開始,到建立自己的策略如何回測與參數調整,逐步邁向上線實戰-</span><br /><ul><li><a href="http://seekingalpha-tainan.blogspot.tw/p/blog-page_9.html"><span style="font-size: large;">各</span><span style="font-size: large;">種經典指標策略解析與觀摩</span></a></li><li><a href="http://seekingalpha-tainan.blogspot.tw/2017/06/optimization.html"><span style="font-size: large;">如何操作參數最佳化</span></a></li></ul><span style="font-size: large;"><br /></span><span style="color: white; font-size: x-large;"><b style="background-color: #351c75;"> 4.資金管理 </b></span><br /><span style="font-size: large;"><span style="color: #0b5394; font-size: medium;"><span style="color: #444444; font-size: x-small;"><br /></span></span><span style="color: #cc0000; font-size: large;"><span style="font-size: large;">-資金管理是程式交易要成功的最後一哩路</span></span></span><br /><ul><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/blog-page_26.html">資金管理基本觀念</a></span></li><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/blog-page_26.html">出場與加減碼</a></span></li><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/blog-page_26.html">投資組合,多商品多策略</a></span></li></ul><br /><b style="background-color: #351c75; color: white; font-size: xx-large;"> 5.MultiCharts常見疑難雜症Q&A </b><br /><br /><ul><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/multichartsq.html">行情報價問題</a></span></li><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/multichartsq.html">下單問題</a></span></li><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/multichartsq.html">指標與訊號問題</a></span></li><li><span style="font-size: large;"><a href="https://seekingalpha-tainan.blogspot.com/p/multichartsq.html">其他各種疑難雜症</a></span></li></ul><div><br /><br /><br /><div style="text-align: center;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></div><div style="text-align: center;"><a href="http://bmf448.pixnet.net/album/photo/319869037-7il1hul7br.png"><img src="https://pic.pimg.tw/bmf448/1486439216-3544954103.png?v=1486439233" /></a></div><div style="text-align: center;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></div><div style="text-align: center;">(點擊上方圖示)</div></div>大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-21631193774983078972021-01-07T07:09:00.009-08:002021-01-07T07:20:20.192-08:00指標與K線堆疊在主圖,但兩者位置對不起來?<p><span style="font-size: large;">如下圖,自己寫了一個通道指標,放到線圖上,用跩曳方式把指標堆疊到主圖,卻發現怎麼通道指標畫的位置跟K線價格有所出入:</span></p><div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEircAOVtLn9w4FhJN8i85wyCi8UiDbazW_75NCZzf0c9xQerl5YVjEFMNzH06MX_n1mpt0HATCHZzJvnZ9eXkUrUMQzPWkMXi34ARrAjwdRtMpUuf_MiFLGkCPerhFOnYyUWfnpXlfV095v/s596/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010806.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="596" data-original-width="504" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEircAOVtLn9w4FhJN8i85wyCi8UiDbazW_75NCZzf0c9xQerl5YVjEFMNzH06MX_n1mpt0HATCHZzJvnZ9eXkUrUMQzPWkMXi34ARrAjwdRtMpUuf_MiFLGkCPerhFOnYyUWfnpXlfV095v/s16000/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010806.png" /></span></a></div><span style="font-size: large;"><br /><span><a name='more'></a></span></span><div class="separator" style="clear: both; text-align: left;"><span style="font-size: x-large;">修正方式就是進入指標設定,將該指標的「座標」設定為「和商品一致」,步驟如下:</span></div><div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiZAAbDf2Kh26BulquMNcjWjlgzGBFDTvPzg0q8z-Z_Sa47y-zkDQ7SbRFpL1_BJu-OmLwu3n2gZmfyGW0gxEyr7QK4NjaCQ3bKiBqCJQuXwlcai5QwZLLHqjxTKRuNWgDdjXPQQ-KxJksW/s553/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010802.png" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="322" data-original-width="553" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiZAAbDf2Kh26BulquMNcjWjlgzGBFDTvPzg0q8z-Z_Sa47y-zkDQ7SbRFpL1_BJu-OmLwu3n2gZmfyGW0gxEyr7QK4NjaCQ3bKiBqCJQuXwlcai5QwZLLHqjxTKRuNWgDdjXPQQ-KxJksW/s16000/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010802.png" /></span></a></div><span style="font-size: large;"><br /></span><div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbXE_qbQXluiAsd-9SGp9Zwbvw8AISJ0UcfMfwHMyJi3w_2cWoFxw2y1zl1-Zi4fqkUDAq4upD4C6D9gfjXqJzIeVEdclmSmXKHhd58Wwf1EGRZxm7MfyQhvaOu5rP1IAwcupun-aOA-_s/s548/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010803.png" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="288" data-original-width="548" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbXE_qbQXluiAsd-9SGp9Zwbvw8AISJ0UcfMfwHMyJi3w_2cWoFxw2y1zl1-Zi4fqkUDAq4upD4C6D9gfjXqJzIeVEdclmSmXKHhd58Wwf1EGRZxm7MfyQhvaOu5rP1IAwcupun-aOA-_s/s16000/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010803.png" /></span></a></div><span style="font-size: large;"><br /></span><div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8hjJVl8FImzj4by3VUTb6awSNYmqb2qp0nQxTOtkj96Did-mMzCqaG9NbS6cAMTmDwf8S3oyjLWMhXJqAvKrIWRE0bvikdoPS_Kt08P2elDmcW2rcRjv7ROErgIjKCeNOSDH7mhVzMHWw/s567/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010804.png" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="567" data-original-width="493" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj8hjJVl8FImzj4by3VUTb6awSNYmqb2qp0nQxTOtkj96Did-mMzCqaG9NbS6cAMTmDwf8S3oyjLWMhXJqAvKrIWRE0bvikdoPS_Kt08P2elDmcW2rcRjv7ROErgIjKCeNOSDH7mhVzMHWw/s16000/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010804.png" /></span></a></div><span style="font-size: large;"><br /></span><p><span style="font-size: large;">完成以上設定,並建議設為預設值,我們的高低通道指標就可以正確標示,與價格一致:</span></p><div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjnGkE4_F024jVCPRIEWrZhNrLxoxHB85u9TJ4gZlC6b-RZyo_Ww3uYEklxfJCJ-XAhCd7ITBFlFkZETMkUa_ZS6iXMGn_bMKttFtxGCdI2NKCvta0FUvfkfthyphenhyphenbeAp3cfYiDLNyLUUggPA/s488/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010807.png" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="286" data-original-width="488" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjnGkE4_F024jVCPRIEWrZhNrLxoxHB85u9TJ4gZlC6b-RZyo_Ww3uYEklxfJCJ-XAhCd7ITBFlFkZETMkUa_ZS6iXMGn_bMKttFtxGCdI2NKCvta0FUvfkfthyphenhyphenbeAp3cfYiDLNyLUUggPA/s16000/Multicharts_%25E6%258C%2587%25E6%25A8%2599%25E4%25BD%258D%25E7%25BD%25AE_2021010807.png" /></span></a></div><span style="font-size: large;"><br /></span><div class="separator" style="clear: both; text-align: center;"><span style="font-size: large;"><br /></span></div><span style="font-size: large;"><br /></span><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; font-size: 13px; text-align: center;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></div><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; font-size: 13px; text-align: center;"><a href="http://bmf448.pixnet.net/album/photo/319869037-7il1hul7br.png" style="color: #4d469c; text-decoration-line: none;"><img src="https://pic.pimg.tw/bmf448/1486439216-3544954103.png?v=1486439233" style="background: transparent; border-radius: 0px; border: 1px solid transparent; box-shadow: rgba(0, 0, 0, 0.2) 0px 0px 0px; padding: 8px; position: relative;" /></a></div><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; font-size: 13px; text-align: center;"><a href="https://line.me/R/ti/p/%40ccx0954j" style="color: #4d469c; text-decoration-line: none;"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" style="background: transparent; border-radius: 0px; border: 1px solid transparent; box-shadow: rgba(0, 0, 0, 0.2) 0px 0px 0px; padding: 8px; position: relative;" /></a></div><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; font-size: 13px; text-align: center;">(點擊上方圖示)</div><p><span style="font-size: large;"><br /></span></p><p></p><div class="separator" style="clear: both; text-align: center;"><span style="font-size: large;"><br /></span></div><span style="font-size: large;"><br /><br /></span><p></p><span style="font-size: large;"><span><!--more--></span><span><!--more--></span><span><!--more--></span><span><!--more--></span><span><!--more--></span><span><!--more--></span></span>大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-60352978339997717372020-12-01T08:33:00.007-08:002020-12-01T08:51:58.415-08:00讀書心得:交易創造自己的聖盃(Trade Your Way to Financial Freedom )<p style="text-align: center;"><span style="font-size: large;">交易創造自己的聖盃(Trade Your Way to Financial Freedom )</span></p><div class="separator" style="clear: both; text-align: center;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjc4oqZz0XGoFS5qtBZB4SqapwjdWTP4FiGj8D12DwUbi59EBgF19S8Nm7SSxci-lgKvxhnPA3f7N3z7cFMv_NXb4_JSmGbVFK6UbS6zJgZY6f-v3z92TVrgCf9L8jeGhMaceY7ShSwKqkf/s640/%25E4%25BA%25A4%25E6%2598%2593%25E5%2589%25B5%25E9%2580%25A0%25E8%2587%25AA%25E5%25B7%25B1%25E7%259A%2584%25E8%2581%2596%25E7%259B%2583_2020120101.png" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="640" data-original-width="459" height="320" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjc4oqZz0XGoFS5qtBZB4SqapwjdWTP4FiGj8D12DwUbi59EBgF19S8Nm7SSxci-lgKvxhnPA3f7N3z7cFMv_NXb4_JSmGbVFK6UbS6zJgZY6f-v3z92TVrgCf9L8jeGhMaceY7ShSwKqkf/s320/%25E4%25BA%25A4%25E6%2598%2593%25E5%2589%25B5%25E9%2580%25A0%25E8%2587%25AA%25E5%25B7%25B1%25E7%259A%2584%25E8%2581%2596%25E7%259B%2583_2020120101.png" /></span></a></div><span style="font-size: large;"><br /></span><p style="text-align: center;"><span style="font-size: large;">作者: Van K. Tharp</span></p><p style="text-align: center;"><span style="font-size: large;">出版社:寰宇</span></p><p><span style="font-size: large;"><br /></span></p><p><span style="font-size: large;">這本書推薦所有打算認真投入期貨市場的朋友都要看。內容先不說,光是這位作者的作品就都該拜讀:</span></p><p><span style="font-size: large;">作者簡介:凡.沙普博士(Van K. Tharp, Ph.D.)</span></p><p><span style="font-size: large;"></span></p><a name='more'></a><p></p><p><span style="font-size: large;">國際著名的投資顧問與交易訓練專家,也是沙普機構(Van Tharp Institute)的創辦人。他在交易、投資方面的著作頗為豐富,包括幾本暢銷書在內:《運用電子當日沖銷交易取得財務自由》(Financial Freedom through Electronic Day Trading)與《資產生財,富足有道!》(Safe Strategies for Financial Freedom)。沙普博士經常在全球各地演講、舉辦講習會,或者協助銀行與交易機構訓練專業交易人員。他的論文也經常刊載在全國性雜誌,例如:《富比士雜誌》、《拜倫週刊》與《投資人商務日報》。</span></p><p><span style="font-size: large;"><br /></span></p><h1 style="text-align: left;"><b><span style="font-size: large;">心得一:教你設計一套交易策略所需的重要元素</span></b></h1><p><span style="font-size: large;">Volatility Breakout是一套很有名的策略,許多人靠此賺大錢,但有更多人以失敗收場,這是為什麼?因為只有單單一項進場方式並不足以發展為一個"完整"的交易系統,還必須考慮更多,例如:</span></p><p></p><ul style="text-align: left;"><li><span style="font-size: large;">如果行情反轉,該如何保護資本?</span></li><li><span style="font-size: large;">如何及何時獲利了結?</span></li><li><span style="font-size: large;">買進的部位大小?</span></li><li><span style="font-size: large;">適用哪些市場?</span></li><li><span style="font-size: large;">策略失效議題?</span></li><li><span style="font-size: large;">這套策略適合自己嗎?(最重要的議題)</span></li></ul><p></p><p><span style="font-size: large;">所有有關如何設計一套交易系統,這些重要題目,都在本書一一提出觀點,並針對常見(經典)的做法/策略進行介紹與評論。</span></p><p><span style="font-size: large;"><br /></span></p><h1 style="text-align: left;"><span style="font-size: large;"><b>心得二:強調出場的重要性</b></span></h1><p><span style="font-size: large;">在第十一章如何獲利了結中,除了強調出場之重要且常被忽略,更介紹了幾種常用的出場模型(方法)。值得一提,作者非常強調交易的"心理"層面,認為交易三個層面及其比重:心理(60%)、部位大小Position Sizing(30%)、系統(10%),在出場方式中,作者特別提到認同心理出場的必要性,心理出場取決於交易者的狀態,與市場行情無關,這個觀點在別處比較少看到,但很務實。</span></p><span><span style="font-size: large;"><div style="-en-clipboard: true;"><div>此外,書中提到進場邏輯單純性,但可搭配多個出場點的觀點,也非常值得程式交易者設計系統時來參考:「交易系統的設計應採用單純的概念。我們之所以強調單純性,因為這代表系統是建構在"了解"的基礎上,而非最佳化,"單純"的交易系統可以適用許多不同的市場或工具。我們雖然強調單純,但交易系統仍可以設計多個出場點,這是兩個互不衝突的概念,單純性是交易系統之所以能夠有效的必要條件,多重出場點則是滿足交易目標的必要條件。出場點雖然有很多個,但每個出場點都可以源自簡單的概念。」例如一進場後為了不被掃停損,停損設寬一點,開始獲利後,啟用SAR移動停損,獲利超過4R後把停損設緊一點。</div><div><br /></div><div><br /></div><div><b>心得三:交易系統與R倍數分配</b></div><div><br /></div></div><div>作者提出R概念(R為起始風險,以N倍R來表示期望報酬),用來一致化表達不同交易系統。任何交易系統都取決於其R倍數分配的性質。這個分配所彰顯的,有就是系統期望報酬(R的平均數)、分配的性質,以及該系統給你的交易機會。交易系統就是具備某些性質的R倍數分配!事實上,當你取得某交易系統的時候,應該要設法了解其R倍數分配的狀況,如此一來,才是真正了解該系統。</div><div><br /></div><div><br /></div><div><b>心得四:部位大小設計(Position Sizing)</b></div><div><br /></div><div>Tharp對於所謂資金管理的定義很嚴格(狹義),就是單單指部位大小管理(position sizing),分散投資這些都不算。一個正報酬的賭局為什麼不同人玩出的結果不同,關鍵就在position sizing。本書簡單介紹了四種模型:每固定金額支持1單位部位、相等價值單位模型、百分率風險模型、價波動百分率模型。Tharp是一位目前還活耀的投顧名師,position sizing算是他的招牌,他的這本Definitive Guide to Position Sizing在Amazon要價269美金!絕活功夫,可見一班!</div><div><br /></div><div><br /></div><div><b>結論:必讀,且須反覆細讀。</b></div><div><br /></div><div><br style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif;" /><br style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif;" /><br style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif;" /><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; text-align: center;"><span style="color: #cc0000;"><b>歡迎加入LINE@</b></span></div><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; text-align: center;"><a href="http://bmf448.pixnet.net/album/photo/319869037-7il1hul7br.png" style="color: #4d469c; text-decoration-line: none;"><img src="https://pic.pimg.tw/bmf448/1486439216-3544954103.png?v=1486439233" style="background: transparent; border-radius: 0px; border: 1px solid transparent; box-shadow: rgba(0, 0, 0, 0.2) 0px 0px 0px; padding: 8px; position: relative;" /></a></div><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; text-align: center;"><a href="https://line.me/R/ti/p/%40ccx0954j" style="color: #4d469c; text-decoration-line: none;"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" style="background: transparent; border-radius: 0px; border: 1px solid transparent; box-shadow: rgba(0, 0, 0, 0.2) 0px 0px 0px; padding: 8px; position: relative;" /></a></div><div style="background-color: white; color: #444444; font-family: Arial, Tahoma, Helvetica, FreeSans, sans-serif; text-align: center;">(點擊上方圖示)</div></div></span></span>大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-72066034345578411592020-07-10T20:54:00.002-07:002020-07-20T07:25:10.347-07:00【MultiCharts】唐奇安通道突破系統(Donchians Channel Breakout System)<span style="font-size: large;">著名的<a href="https://seekingalpha-tainan.blogspot.com/2015/12/blog-post.html">海龜交易故事</a>,據稱採用唐奇安通道突破系統(Donchians Channel Breakout System)為基礎,搭上成套的資金管理與加減碼機制,演出市場傳奇故事。唐奇安通道突破系統是簡單的突破系統,非常適合交易新手練習,從中再發展出不同交易策略。</span><br />
<span style="font-size: large;"><br /></span>
<br />
<a name='more'></a><span style="font-size: large;">唐奇安通道突破系統也可以稱為高低通道系統,它背後的邏輯為,所謂的多頭波段就是「一高還有一高高」,反之空頭就是「一低還有一低低」。我喜歡用HHLL來為這系統取名,因為它只用到兩個函式就搞定:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><b>Highest(High,Len)</b>:取最近幾根K棒高點(High)中最高者</span><br />
<span style="font-size: large;"><b>Lowest(Low, Len)</b>:取最近幾根K棒低點(Low)中最低者</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">畫成通道指標,語法如下:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">=======================================</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><i>Inputs:Len(5);</i></span><br />
<i><span style="font-size: large;"><br /></span>
<span style="font-size: large;">plot1(Highest(High,Len));</span></i><br />
<span style="font-size: large;"><i>plot1(Lowest(Low, Len));</i></span><br />
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<span style="font-size: large;">=======================================</span><br />
<span style="font-size: large;"><br /></span>
<br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjbKPQbU6YPUn5cCkLTEwUgJK0pSwEntYPcsToRCeuQEFdN_Euh8I-nSRZv0IaTBi8ERwC3MRs4fzq_0NrKxZKQwD880-wufjSPCaS9-TZxarRox7JmGhQTDIWt6aAtfCVtYOy8HjUU-hUP/s1600/HHLL_2020071101.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="352" data-original-width="611" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjbKPQbU6YPUn5cCkLTEwUgJK0pSwEntYPcsToRCeuQEFdN_Euh8I-nSRZv0IaTBi8ERwC3MRs4fzq_0NrKxZKQwD880-wufjSPCaS9-TZxarRox7JmGhQTDIWt6aAtfCVtYOy8HjUU-hUP/s1600/HHLL_2020071101.jpg" /></span></a></div>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">轉成交易策略則為:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">=======================================</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><i>Inputs:Len(5);</i></span><br />
<span style="font-size: large;"><i>vars:HH(0),LL(0);</i></span><br />
<i><span style="font-size: large;"><br /></span>
<span style="font-size: large;">HH=Highest(High,Len);</span></i><br />
<span style="font-size: large;"><i>LL=Lowest(Low, Len);</i></span><br />
<i><span style="font-size: large;"><br /></span>
<span style="font-size: large;">if marketposition<>1 and close cross over HH then Buy next bar at market;</span></i><br />
<span style="font-size: large;"><i>if marketposition<>1 and close cross below LL then SellShort next bar at market;</i></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">=======================================</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">唐奇安通道突破系統大概是最簡單的通道系統,後來也發展出許多進階的策略,例如<a href="https://seekingalpha-tainan.blogspot.com/2017/08/dynamic-breakout-systemdbs.html">DBS(Dynamic Breakout System)</a>等等。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">通道系統是相當簡單入門的交易系統,缺點是勝率偏低,連續虧損也驚人,在Van K. Tharp的【Trade Your Way to Financial Freedom(交易創造自己的聖盃)】一書中,作者建議要改善通道系統可搭配採用某種價格序列的進場架構(也就是在突破訊號前價格先發生某種特定現象)。舉例,通道突破前,價格波棟率顯著下降,或是選擇的標的股票呈現相關強勢等。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">海龜們能透過唐奇安通道獲利還須其他加減碼的配合,所以此系統固然簡單,但要真正上線交易仍需有其他調整或配套(坊間還有針對這個策略反過來操作的,稱為</span><a href="https://www.whselfinvest.com/en-lu/trading-platform/free-trading-strategies/tradingsystem/38-turtle-soup" style="font-size: x-large;" target="_blank">烏龜湯策略Turtle Soup</a><span style="font-size: large;">)。不過作為新手入門算是蠻不錯的學習範例。</span><br />
<span style="font-size: large;"><br /></span>
<br />大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-61884289558734766282020-03-04T09:29:00.000-08:002020-03-04T09:40:42.048-08:00如何在MultiCharts設定DDE(適用券商版)<span style="font-size: large;">有些價格資料資訊源沒有提供,例如只提供期貨報價卻沒有現貨報價,預算考量可以使用免費的DDE來當作資訊源(缺點是無法回補歷史資料以及相對容易漏Tick),本文說明如何在MultiCharts設定DDE報價。</span><br />
<span style="font-size: large;"></span><br />
<a name='more'></a><br />
<span style="font-size: large;"><b>步驟一:開啟提供DDE報價軟體</b></span><br />
<span style="font-size: large;">首先要開啟有提供DDE功能的報價軟體,以<a href="https://www.pfcf.com.tw/software/detail/301" target="_blank">統eVIP全球版</a>為例,該功能位於:功能列>客戶服務>DDE EXCEL,如下圖所示:</span><span style="font-size: large;"> </span><br />
<span style="font-size: large;"></span>
<div class="separator" style="clear: both; text-align: center;">
<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgjiLuftysskW0n9NgCtxBgmNHGyfCQC_S6xS0RTTUDTusJOsGcNq6vqV7BU2uurit-FU7UrDQvJrehkBi-WI81pB0Nym5AuMKUaqtsD8K2YqcrHDmVhyN7XN_13xCPjeek-CzwqwMgaSx-/s1600/Multicharts_DDE_2020030501.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="236" data-original-width="560" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgjiLuftysskW0n9NgCtxBgmNHGyfCQC_S6xS0RTTUDTusJOsGcNq6vqV7BU2uurit-FU7UrDQvJrehkBi-WI81pB0Nym5AuMKUaqtsD8K2YqcrHDmVhyN7XN_13xCPjeek-CzwqwMgaSx-/s1600/Multicharts_DDE_2020030501.jpg" /></a></span></div>
<br />
<span style="font-size: large;">選擇需要的報價商品跟報價項目,如下圖所示我們找的是加權指數,選好後按右下角「傳送至Excel鈕」:</span><span style="font-size: large;"> </span><br />
<span style="font-size: large;"></span>
<div class="separator" style="clear: both; text-align: center;">
<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiE7WoDbiKwwYvciP5dX8HpwFhhZ9FjMy-0N6_OKrNFe-AdHpg9cYFGr5C-8LmJCEUEhKYapQe37L6NYcx6sMzyOK1z9ogZ6vSAMVGn9_MBn0esZ4hNoDYCUchl-5b9JSUhcqEXweLNdCSs/s1600/Multicharts_DDE_2020030502.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="428" data-original-width="559" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiE7WoDbiKwwYvciP5dX8HpwFhhZ9FjMy-0N6_OKrNFe-AdHpg9cYFGr5C-8LmJCEUEhKYapQe37L6NYcx6sMzyOK1z9ogZ6vSAMVGn9_MBn0esZ4hNoDYCUchl-5b9JSUhcqEXweLNdCSs/s1600/Multicharts_DDE_2020030502.jpg" /></a></span></div>
<br />
<span style="font-size: large;">接著會自動開啟一張EXCEL試算表,如無法打開請去EXCEL設定安全性,如果還是打不開也沒關係,只要把代碼記住後面也可以完成設定。如下圖所示,在盤中你可以看到報價會跳動,這個就是早年資訊源還不發達時(TS2000或MC6.0的時代)我們接報價方式。查看所需報價項目的儲存格內公式,如下圖所示,成交價為=PS|KS!'001.124',把這串公式COPY下來。</span><br />
<span style="font-size: large;"></span><br />
<div class="separator" style="clear: both; text-align: center;">
<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjWk12-oqf6VEt-d3UiP4Jtl7nXUHlbusxfXMVwuI9D3B-dujgKwKLQHzSJrFUULjHBsWmPNFSovT998dbewdKI_giX6Rek22Vf3VyjEmJLytiCbHKV5oYgjtiY92AlFteiCy3bVZ4OrMIu/s1600/Multicharts_DDE_2020030503.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="225" data-original-width="557" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjWk12-oqf6VEt-d3UiP4Jtl7nXUHlbusxfXMVwuI9D3B-dujgKwKLQHzSJrFUULjHBsWmPNFSovT998dbewdKI_giX6Rek22Vf3VyjEmJLytiCbHKV5oYgjtiY92AlFteiCy3bVZ4OrMIu/s1600/Multicharts_DDE_2020030503.jpg" /></a></span></div>
<br />
<span style="font-size: large;"><b>步驟二:券商版MC需先解鎖其他資訊源</b></span><br />
<span style="font-size: large;">券商版MC的資訊源預設只有券商報價一項,解鎖後才能有其他選擇。解鎖方法很簡單,安裝目錄裡就有個檔案直接執行(以系統管理者身分執行)就可以,以32位元統一期貨MC為例:C:\President\President MultiCharts\DataUpdater.exe。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><b>步驟三:設定QuoteManager資訊源—Universal DDE</b></span><br />
<span style="font-size: large;">如下圖打開QuoteManager,工具>數據源>找到Universal DDE>設定:</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvvGZw1Q9zjnVx0B16DnuoT_Yl1H6tyoPC-A1gbswOlAgGe7ip3JbBfsP2coKoFMbWLGV7JPa7x_KwUIwTTkTQTkix9DWd20Br7v_vanHD0kaBz38eyyhDTSDosYNrA68qk2N9UHnaM3lv/s1600/Multicharts_DDE_2020030504.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="389" data-original-width="559" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgvvGZw1Q9zjnVx0B16DnuoT_Yl1H6tyoPC-A1gbswOlAgGe7ip3JbBfsP2coKoFMbWLGV7JPa7x_KwUIwTTkTQTkix9DWd20Br7v_vanHD0kaBz38eyyhDTSDosYNrA68qk2N9UHnaM3lv/s1600/Multicharts_DDE_2020030504.jpg" /></a></div>
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<span style="font-size: large;">設定畫面如下,「模組」一欄,名稱可以自己取;最重要就是設定「成交價」一欄,這邊再回憶一下剛剛我們COPY的加權指數DDE公式為「=PS|KS!'001.124'」,其實拆解DDE的公式主要就是以兩個符號「|」、「!」來區隔成三段,其中「PS」、「KS」各自有其代表資訊定義,而最後面的「'001.124'」就是商品報價代碼,回到下圖的Universal設定畫面,「成交價」一欄我們輸入「=PS|KS!*」,以萬用符號「*」來取代商品報價代碼這段,其用意就是之後要用DDE為資訊源的商品,只要商品代碼(Symbol Name)取名為DDE之商品報價代碼就可以被認定。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgmcZBJ9TgLloSlysKmB3U2rIletucTN4HUeZU4TJMLM7KkaEsE1OwGqt3R1_U2OBaxH-lon26QSD_8Y-xCwDhHKfd-LMTmutTL-pnBICFED7rsEvsDc9Dw9l_JGiKplleIHZjoWA_SnchX/s1600/Multicharts_DDE_2020030505.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="507" data-original-width="468" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgmcZBJ9TgLloSlysKmB3U2rIletucTN4HUeZU4TJMLM7KkaEsE1OwGqt3R1_U2OBaxH-lon26QSD_8Y-xCwDhHKfd-LMTmutTL-pnBICFED7rsEvsDc9Dw9l_JGiKplleIHZjoWA_SnchX/s1600/Multicharts_DDE_2020030505.jpg" /></a></div>
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<b><span style="font-size: large;"> </span><span style="font-size: large;">步驟四:在QuoteManager新增商品</span></b><br />
<span style="font-size: large;">打開QuoteManager新增商品加權指數,商品>新增商品>手動。設定資訊源為Universal DDE,商品代碼則輸入「'001.124'」。至於商品設定部分主要就是交易時間要設對。</span><br />
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi3CKY2V3ONOtICNOP_-GKoqxjvEtodY0PoVHVUC7eKZV1_xJBpJPutzxBYmg7Q6hZ7Ye2XHI1xtg0Ff9I4RL0nLn8bysoXlu42X2cqGjLkLQGLKw-ZfblkTVAYy8N3wdAnIBCM-UpWDtBP/s1600/Multicharts_DDE_2020030506.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="415" data-original-width="558" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi3CKY2V3ONOtICNOP_-GKoqxjvEtodY0PoVHVUC7eKZV1_xJBpJPutzxBYmg7Q6hZ7Ye2XHI1xtg0Ff9I4RL0nLn8bysoXlu42X2cqGjLkLQGLKw-ZfblkTVAYy8N3wdAnIBCM-UpWDtBP/s1600/Multicharts_DDE_2020030506.jpg" /></a></span></div>
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh0K-3I2ZObFYQO5RSMZ7Nfe1TvtiJdqjPmWwU6CJ1n0BSjZ7zMkvIGVe0vwdlhSCSkjCZ5jWxAmOs0uMapgs0LIS0DM_7a08fIXY2kpMQ9OOrJisdOrW8nogLYh4dhh0OgSKt67ytixkRR/s1600/Multicharts_DDE_2020030507.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="542" data-original-width="484" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh0K-3I2ZObFYQO5RSMZ7Nfe1TvtiJdqjPmWwU6CJ1n0BSjZ7zMkvIGVe0vwdlhSCSkjCZ5jWxAmOs0uMapgs0LIS0DM_7a08fIXY2kpMQ9OOrJisdOrW8nogLYh4dhh0OgSKt67ytixkRR/s1600/Multicharts_DDE_2020030507.jpg" /></a></span></div>
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhzWibhEUNXwWV8sMgmxXtrXl1yr8qpepQg9hnAznj_DvgVTqhlG7WnzOZ9n9xdkQ-9aVOkodtezx56-2NOEMuYaBRZQRuRG32Rr5hbZmdoG6AhLQyf02B8AJYyZKVfMdEO-RhOF7Qn5eOw/s1600/Multicharts_DDE_2020030508.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="536" data-original-width="480" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhzWibhEUNXwWV8sMgmxXtrXl1yr8qpepQg9hnAznj_DvgVTqhlG7WnzOZ9n9xdkQ-9aVOkodtezx56-2NOEMuYaBRZQRuRG32Rr5hbZmdoG6AhLQyf02B8AJYyZKVfMdEO-RhOF7Qn5eOw/s1600/Multicharts_DDE_2020030508.jpg" /></a></span></div>
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<span style="font-size: large;"><b>步驟五:開啟新增之商品圖表-加權指數</b></span></div>
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<span style="font-size: large;">如下圖,開啟圖表時商品資訊源要選「Universal DDE」,就可以找到剛剛設好的加權指數。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh3jl5XJCYCXC0DkaB8hWdRBBiXG9LVIDD9-Lf__o0GJY_9ld0iCtNAvmGa30gZxJFGFUwSS1UIkkG6upTSrcfO5-OXUf2OBuvEO8EjZ2iWNnTb2-1W6XqtK7P_Doe_2H6DpJ1_20Uvk_dx/s1600/Multicharts_DDE_2020030509.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="376" data-original-width="500" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh3jl5XJCYCXC0DkaB8hWdRBBiXG9LVIDD9-Lf__o0GJY_9ld0iCtNAvmGa30gZxJFGFUwSS1UIkkG6upTSrcfO5-OXUf2OBuvEO8EjZ2iWNnTb2-1W6XqtK7P_Doe_2H6DpJ1_20Uvk_dx/s1600/Multicharts_DDE_2020030509.jpg" /></a></div>
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<span style="font-size: large;"><b>結論</b></span><br />
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<span style="font-size: large;">DDE是比較舊的技術,效能較差,最重要的是不能回補資料,不過仍有其用途。除了本文教的設定方式,另外有另一種方式是將DDE報價先傳到EXCEL上,再設到QM,有興趣的讀者可以自行在網路搜尋相關教學文。</span><br />
<br />大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-7975116262773653742020-02-28T07:58:00.001-08:002020-02-28T14:47:32.055-08:00多空策略分開獨立開發<span style="font-size: large;">終於等到你…2020年二月底,空頭看起來可以破涕為笑了…</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjfcT77cQ5kUHv3op4r9G8Mnc6qR_gc4LPmKZrRQBJ_-2OAhekVjUZIkhu38gZkta-l5htvE_ZLCml7VSvYA4bDUxcrP-FPuZyflIIZBdXlzNpm9EfDM2lvdCz5lBthct4BFal2Dk50LGlv/s1600/multicharts_%25E5%25A4%259A%25E7%25A9%25BA%25E7%25AD%2596%25E7%2595%25A5%25E5%2588%2586%25E9%2596%258B%25E5%25AF%25AB2020022801.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="237" data-original-width="549" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjfcT77cQ5kUHv3op4r9G8Mnc6qR_gc4LPmKZrRQBJ_-2OAhekVjUZIkhu38gZkta-l5htvE_ZLCml7VSvYA4bDUxcrP-FPuZyflIIZBdXlzNpm9EfDM2lvdCz5lBthct4BFal2Dk50LGlv/s1600/multicharts_%25E5%25A4%259A%25E7%25A9%25BA%25E7%25AD%2596%25E7%2595%25A5%25E5%2588%2586%25E9%2596%258B%25E5%25AF%25AB2020022801.jpg" /></a></div>
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<a name='more'></a><span style="font-size: large;">各位讀者看了這張圖會有幾個強烈的感覺,例如空頭比較好賺、緩漲急跌等等,簡單來講就是多頭與空頭的走法跟格局大為不同,這也是為什麼有經驗的交易者會建議做多策略與作空策略要分開開發。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">多空訊號分開開發,比較完整的作法是針對多頭空頭的特性重新且各自思考做多與作空的邏輯,這一點實務上有個借鏡可供參考,有些金融業自營單位,會有專門作多交易員跟專門做空交易員的配置,各自獨立運作,這個用意就是你作空交易員把空頭研究到極致,且因為不會忽多忽空,行情不對會降低操作,行情來了可以做最大發揮。(不過遇到長年的多頭,可就要看老闆有沒有遠見)</span><br />
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<span style="font-size: large;">比較簡單的作法,我們會建議至少在做多訊號與作空訊號的參數(含出場訊號參數)要分開。舉例,假設策略的出場是以簡單的移動停損出場,也就是破最近N根K的高或低就出場,這時我們可以把原本多空出場用共的參數N,改為多空分開的N與M,特別我們有用到參數最佳化功能時,這樣的設計會更為合理,且較易得到更理想的參數績效。如下範例所示:</span><br />
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<span style="font-size: large;">{多空出場共用參數N}</span><br />
<span style="font-size: large;">If marketposition=1 then sell next bar at lowest(low,N) stop;</span><br />
<span style="font-size: large;">If marketposition=-1 then buytocover next bar at highest(high,N) stop;</span><br />
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<span style="font-size: large;">{多空出場各自用參數N、M}</span><br />
<span style="font-size: large;">If marketposition=1 then sell next bar at lowest(low,N) stop;</span><br />
<span style="font-size: large;">If marketposition=-1 then buytocover next bar at highest(high,M) stop;</span><br />
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<span style="font-size: large;">從2008金融風暴至今,多頭理所當然似的走了10多年,這期間葬送了多少號稱”末日博士”或”空軍總司令”的聲名,買進持有、無腦多等作多策略最是大獲全勝,2020且看悶了多年的空軍能否揚眉吐氣,程式交易客們,你們準備好了嗎?!</span><br />
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<span style="background-color: white;"><span style="color: white; font-size: large;">pfctrade.com/VIPFutureMaster/agreement.htm</span></span><br />
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-76805047124627663102020-01-13T01:59:00.001-08:002020-06-23T19:11:20.695-07:00Touchance3.0與Multicharts自動下單設定(含看大台下小台設定)<span style="font-size: large;">使用專業版MultiCharts(以下簡稱MC)自動交易除了採用凱衛的官方資訊源及下單機外,另一個方案是Touchance(以下簡稱TC)。TC本身具有下單機與資訊源雙重功能,報價還另有海期報價,因此就性價比來講在市場上也有不少愛用者(申請統一期貨Touchance)。</span><br />
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<span style="color: white; font-size: large;"><b style="background-color: #351c75;"> Touchance一般自動下單設定 </b></span><br />
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<span style="font-size: large;">TC的自動交易設定<a href="https://www.touchance.com.tw/ext/resc/dl/TOUCHANCE_3.0_manual.pdf" target="_blank">官方操作手冊</a>有完整說明,本文把重點再跟交易人提示:</span><br />
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<span style="font-size: large;">1.<span style="white-space: pre;"> </span>安裝完TC後,在新增經紀商TC下單機,操作步驟:檔案>經紀商>設定經紀商>新增>於清單中找到Touchance。</span><br />
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtHwnR42KoViHAm77G8lNz8ZUl08Jhla_TYF1Q5YzUNcylZudXvV0aaky64UIFzpQIGxh6ktoKrdb7Gtp5QejG0gzzIi4pTognhN4TPN1kj3nFSJrCeYk2xmfQwbsoiILf0_o2RLgC850W/s1600/MultiCharts_TC2020011302.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="627" data-original-width="530" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtHwnR42KoViHAm77G8lNz8ZUl08Jhla_TYF1Q5YzUNcylZudXvV0aaky64UIFzpQIGxh6ktoKrdb7Gtp5QejG0gzzIi4pTognhN4TPN1kj3nFSJrCeYk2xmfQwbsoiILf0_o2RLgC850W/s1600/MultiCharts_TC2020011302.jpg" /></a></span></div>
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<span style="font-size: large;">2.<span style="white-space: pre;"> </span>開啟要自動交易的圖表,左上角自動交易開啟功能(AA/SA旁的下拉選單),執行「設定:XXXXXX」,如下圖所示:</span><br />
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiWDhFQL2svV0g0HaIBO96VhkKiCML_6zextNz4lmxTVEzdFSYWHONH1tKV2tcaGVqnuiE3shAS2TUOER7EYECTWRezTtZ5SpQuqhk5CQq1Z34u8LpfHmIy70azfmkMBz-0wPBYuJzoBhZ7/s1600/MultiCharts_TC2020011303.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="183" data-original-width="280" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiWDhFQL2svV0g0HaIBO96VhkKiCML_6zextNz4lmxTVEzdFSYWHONH1tKV2tcaGVqnuiE3shAS2TUOER7EYECTWRezTtZ5SpQuqhk5CQq1Z34u8LpfHmIy70azfmkMBz-0wPBYuJzoBhZ7/s1600/MultiCharts_TC2020011303.jpg" /></a></span></div>
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<span style="font-size: large;">3.MC的自動下單要設定兩部分,一個是MC自身的自動下單設定,另一個是下單機的自動下單設定。前者的設定同用凱衛下單機的來設(建議可依照下圖設定)。設完之後建議勾選「設為預設值」。另一個就是下單機TC本身的設定,一樣是在這個畫面先選擇下單經紀商,找到Touchance,然後執行「設定」。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjZbftTHiwLrXTjthyKOrPvtxFJPZyxPwul42v05CJxeb1HVgqQ5VUEeq_DJT6AU51j0CgYpY2g6a1-9COzrWg0AJTzoh5buEv406KaxvedccvnxlkmaDW9fzSgHerpPUOH7a9YcQC2SBIC/s1600/MultiCharts_TC2020011309.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="629" data-original-width="539" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjZbftTHiwLrXTjthyKOrPvtxFJPZyxPwul42v05CJxeb1HVgqQ5VUEeq_DJT6AU51j0CgYpY2g6a1-9COzrWg0AJTzoh5buEv406KaxvedccvnxlkmaDW9fzSgHerpPUOH7a9YcQC2SBIC/s1600/MultiCharts_TC2020011309.jpg" /></a></div>
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<span style="font-size: large;">4.在上一個畫面執行選擇下單經紀商(TOUCHANCE)設定,會開啟TC下單機設定畫面。TC的下單機設定如果沒有其他特別需求,只要輸入策略名稱(可以自己另外取名,這邊跟MC內的策略無關),然後其他設定都不用動直接採用預設值即可。這個設定會以市價去執行MC的訊號委託。</span><br />
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQDtfGKZRiljboT81Ac7YJsQ07a3KzSvfRqdWLFvloW8chjW5pH-h6eU8FVBSuRXynI6fWfZSYroNkAMtSp0lUjjO0_Bp0ehgxcO7ot4-Jhjba35Ul4EjhlNnvVS88Ytuh2zWu6FBqitN0/s1600/MultiCharts_TC2020011305.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="368" data-original-width="548" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiQDtfGKZRiljboT81Ac7YJsQ07a3KzSvfRqdWLFvloW8chjW5pH-h6eU8FVBSuRXynI6fWfZSYroNkAMtSp0lUjjO0_Bp0ehgxcO7ot4-Jhjba35Ul4EjhlNnvVS88Ytuh2zWu6FBqitN0/s1600/MultiCharts_TC2020011305.jpg" /></a></span></div>
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<span style="font-size: large;">以上就是可以滿足多數使用者的MC+TC的自動交易設定。</span><br />
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<span style="font-size: large;"><b style="background-color: #351c75; color: white;"> Touchance讓價單設定 </b></span><br />
<span style="font-size: large;"><br /></span><span style="font-size: large;">如果擔心滑價不想下市價單,可改用限價讓價方式下單,也就是以當下價格再讓個幾點以限價委託送出,這個設定也可以協助解決台指期市價單口數上限問題(日盤10口、夜盤5口),設定方式如下圖所示,其他設定值不變,僅改市價單委託設定,下圖之設定即市價改以讓價10個跳動點限價單送出:</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhgqIvLUp6ie_diNk8Fl4whIkDTl2GIoxmctukqqbtAcP3VnwgSZgVjxvy_vWfmVAdb82jcAUZZm3D4LqiPOLsQBGZUp_tClByxtYgVJ0b0H-7y3j1H-cLFas7az_5JPouspbk055ckfDMf/s1600/Touchance_2020062302.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="448" data-original-width="623" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhgqIvLUp6ie_diNk8Fl4whIkDTl2GIoxmctukqqbtAcP3VnwgSZgVjxvy_vWfmVAdb82jcAUZZm3D4LqiPOLsQBGZUp_tClByxtYgVJ0b0H-7y3j1H-cLFas7az_5JPouspbk055ckfDMf/s1600/Touchance_2020062302.jpg" /></a></div>
<span style="font-size: large;">提醒讓價點數不要設太小,以免遇到快市時無法成交。</span><br />
<span style="font-size: large;"><br /></span><span style="color: white; font-size: large;"><b style="background-color: #351c75;"> Touchance設定看大下小 </b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><b>1.TC下單機設定</b></span><br />
<span style="font-size: large;">如果執行看大台下小台,在TC的下單機設定中,要調整兩個地方,一個是回報商品改為「假回報」,另一個是(下單)合約代碼要指定小台(搜尋FIMTX,找到TWF.FIMTX.HOT這個商品)。如下圖所示</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgz4qoP2hGQtKQNv3vtoySWFv4DbSV1nM84UbmighC03HAaBAjbjPFZeaLoR9gkmLG1RNItlElw9T-oXLDh4H4CV0jK4qL2lM2ib5AjLhchUG7tleXhCtB-JPAiknQN-dL9gN-bN80W8QT1/s1600/MultiCharts_TC2020011306.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="376" data-original-width="548" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgz4qoP2hGQtKQNv3vtoySWFv4DbSV1nM84UbmighC03HAaBAjbjPFZeaLoR9gkmLG1RNItlElw9T-oXLDh4H4CV0jK4qL2lM2ib5AjLhchUG7tleXhCtB-JPAiknQN-dL9gN-bN80W8QT1/s1600/MultiCharts_TC2020011306.jpg" /></a></div>
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<span style="font-size: large;"><br /></span>
<span style="font-size: large;">2.每月換月要設定商品轉換(Symbol Mapping)。每月台指結算當天上午盤收盤後進行以下動作:</span><span style="font-size: large;">如下圖開啟商品轉換設定畫面,找到大台FITX商品,然後按「auto」鈕,會自動抓取正確下單月份,就可完成換月。目前TC的機制就是要手動換,請交易人自行提醒留意。</span><br />
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjhTvrxKaQLE6D-VxfCKD4udVLgWAUw9X_kCEqmtsc5xJ3f4_IpfbmO4jCsyv8bjq8vcNMlsmr3ARJQ00MIpdfesI2LhYYGKebEb-z_ZGqGHFmtRt4BGpSTXMcHAntgvhkSYEN8-blsZxB-/s1600/MultiCharts_TC2020011307.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="131" data-original-width="236" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjhTvrxKaQLE6D-VxfCKD4udVLgWAUw9X_kCEqmtsc5xJ3f4_IpfbmO4jCsyv8bjq8vcNMlsmr3ARJQ00MIpdfesI2LhYYGKebEb-z_ZGqGHFmtRt4BGpSTXMcHAntgvhkSYEN8-blsZxB-/s1600/MultiCharts_TC2020011307.jpg" /></a></span></div>
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg5ZV7umR8GGYEpitsx7YZbFZMM3K8hg6_uJ1JR2qdxIEAYjmLMdmmP-J7bK4NurLy8Dwj0k2dxa1PXYH-9pfPlxXAVV7JRQlZE4yzMMx58BxY1JJlN9woMaSAAPWaT_zGV5C86awdGYUmz/s1600/MultiCharts_TC2020011308.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="261" data-original-width="551" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg5ZV7umR8GGYEpitsx7YZbFZMM3K8hg6_uJ1JR2qdxIEAYjmLMdmmP-J7bK4NurLy8Dwj0k2dxa1PXYH-9pfPlxXAVV7JRQlZE4yzMMx58BxY1JJlN9woMaSAAPWaT_zGV5C86awdGYUmz/s1600/MultiCharts_TC2020011308.jpg" /></a></span></div>
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<span style="font-size: large;">以上兩個步驟就可以完成看大下小設定。有關TC看大下小設定也可以參考<a href="https://forum.touchance.com.tw/forum/cat/0/thread/6" target="_blank">本篇</a>。</span><br />
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-12708004568504842622020-01-12T22:26:00.002-08:002021-02-03T19:35:44.394-08:00統一API測試範例操作介紹<span style="font-size: large;">統一API為統一期貨開發之多功能API,可以串接坊間各式主流下單機(下單大師、MR下單機等等),有程式開發背景的交易人以也可以透過統一API自行開發程式交易介面(目前以C#為主)。當交易人向營業員申請統一API後,需先經過測試流程才可以開通正式權限,在統一期貨提供之統一API元件跟文件檔中,附有一個範例檔(Sample檔),交易人也可以透過此範例檔進行</span><span style="font-size: large;">簡易</span><span style="font-size: large;">測試,取得測試紀錄,流程如下:</span><br />
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<span style="font-size: large;"><b><u>步驟1</u></b>:下載統一期貨提供之統一API元件跟文件檔。需先向營業員提出申請,即可收到營業員寄出之載點。</span><br />
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<span style="font-size: large;"><b><u>步驟2</u></b>:開啟範例檔。範例檔位於PFCF_API(TEST)\API_sampleV3.0.0.8\API_Test.exe。(其中V3.0.0.8是版本編號,會變動)</span><br />
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<span style="font-size: large;"><b><u>步驟3</u></b>:以個人帳號密碼登入測試環境。帳號為含分公司代碼共11碼,密碼為帳戶電子交易密碼。測試環境IP請依營業員提供之IP輸入。登入成功後接著執行連線動作,按取「得行情連線」、「取得交易連線」、「取得帳務連線」三個鈕。在這個步驟中,要確認4個成功狀態:登入成功、行情連線成功、交易連線成功、帳務連線成功。如下圖所示:</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh3tg-Fp1w2TcYPB9ds_uCwm1byMnQzMir8gzMZCf6ORaagBtvmTmmlq4V3LC3AmGp98uVMFk4nBmEKdBRpMm2G53n2yna9atNttjv-B7T9kgMhsSstfKtVK8KGzArMWSmFKYHl_RugR3ea/s1600/MultiCharts_API2020011301.jpg" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="498" data-original-width="697" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh3tg-Fp1w2TcYPB9ds_uCwm1byMnQzMir8gzMZCf6ORaagBtvmTmmlq4V3LC3AmGp98uVMFk4nBmEKdBRpMm2G53n2yna9atNttjv-B7T9kgMhsSstfKtVK8KGzArMWSmFKYHl_RugR3ea/s1600/MultiCharts_API2020011301.jpg" /></span></a></div>
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<span style="font-size: large;"><b><u>步驟4</u></b>:切到「商品」頁籤,執行取得「商品基數」、「取得期貨商品資訊」</span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjisPnvq6_Ocsh5kazbzQ0yVZy8ELXbeRiWZu9H_N58hfEU37TcKYBxEO9islitr5aPNJVRM_a2D6Oja5IImygros3xz3c5XhU5xD2x5URxGaiYkBcvPpoyG4uHY1QbNvvXwM0Ra95vIWjR/s1600/MultiCharts_API2020011302.jpg" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="314" data-original-width="688" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjisPnvq6_Ocsh5kazbzQ0yVZy8ELXbeRiWZu9H_N58hfEU37TcKYBxEO9islitr5aPNJVRM_a2D6Oja5IImygros3xz3c5XhU5xD2x5URxGaiYkBcvPpoyG4uHY1QbNvvXwM0Ra95vIWjR/s1600/MultiCharts_API2020011302.jpg" /></span></a></div>
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<span style="font-size: large;"><b><u>步驟5</u></b>:切到「下單」頁籤,在這邊商品會預設近月商品,只要輸入買賣別、價格、口數,執行「下單」,就可以成功送出測試委託紀錄。 </span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjHceRZrtbGBW458IPDh9xlMXxAbw2V2pl9gQtrLfJbIvAsANhIEWnkYyoaW5zeG0s7kSAC29edx8-kjNilJRIz_J1t94uac409e-md-6OQxBuhULMpgGSKpNzChy3-gvqT_4-MqOkqi9BQ/s1600/MultiCharts_API2020011303.jpg" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="393" data-original-width="702" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjHceRZrtbGBW458IPDh9xlMXxAbw2V2pl9gQtrLfJbIvAsANhIEWnkYyoaW5zeG0s7kSAC29edx8-kjNilJRIz_J1t94uac409e-md-6OQxBuhULMpgGSKpNzChy3-gvqT_4-MqOkqi9BQ/s1600/MultiCharts_API2020011303.jpg" /></span></a></div>
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<span style="font-size: large;"><b><u>步驟6</u></b>:以上基本就取得測試紀錄,可即刻聯絡您的營業員。<span style="color: red;">API自動交易風險高,提醒正式上線前可以<span>自行</span>加強反覆測試。</span></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">有關統一期貨各種API介紹可參閱<a href="https://www.pfcf.com.tw/software/detail/1223" target="_blank">統一期貨官網</a>。</span></div>
大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-85548763471168634892020-01-01T21:08:00.000-08:002020-06-02T18:59:57.510-07:00統一MultiCharts優惠申購&免費程式交易/PowerLanguage教學講座<div class="separator" style="clear: both; text-align: center;">
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<span style="font-size: large;"><b>統一期貨(券商版)MultiCharts收費表:</b></span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9DtpJW4oaQQv2j2LHd5xCF2Qa2bLzKsAMg39WKzcMKpZK5QO0Ai1efmEo9mcSesxewp9Gyp6KCQmLBp1hDur7DTCQVnumM23LRTgtSpj1bRygF1ybDp66OKhTF3RbA8Wfdo6YvFLIykJ5/s1600/Multicharts_%25E6%2594%25B6%25E8%25B2%25BB%25E8%25A1%25A82019010301.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="305" data-original-width="569" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg9DtpJW4oaQQv2j2LHd5xCF2Qa2bLzKsAMg39WKzcMKpZK5QO0Ai1efmEo9mcSesxewp9Gyp6KCQmLBp1hDur7DTCQVnumM23LRTgtSpj1bRygF1ybDp66OKhTF3RbA8Wfdo6YvFLIykJ5/s1600/Multicharts_%25E6%2594%25B6%25E8%25B2%25BB%25E8%25A1%25A82019010301.jpg" /></a></div>
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(<a href="https://www.pfcf.com.tw/software/detail/2141" target="_blank">完整統一MultiCharts申購流程</a>)</div>
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<span lang="EN-US"><span style="font-size: large;"><br style="line-height: 18.48px;" /><b style="line-height: 18.48px;"><span style="font-size: large;">加入LINE@最新訊息不漏接:</span></b></span></span><br />
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<li style="margin: 0px 0px 0.25em; padding: 0px;"><span style="font-size: large;">或掃描下方QR code:</span></li>
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.comtag:blogger.com,1999:blog-248441654884416029.post-9993309049284943122019-10-06T07:15:00.000-07:002019-12-31T06:50:05.497-08:00PowerLanguage如何寫「兩條均線越來越靠近(收斂)」<span style="font-size: large;">PowerLanguage怎麼表達「兩條均線越來越靠近(收斂)」?</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">思考一:兩條均線越來越靠近,意即兩條線間距變小,間距就是兩條均線相減的值,變小就是當下的值小於前一個值,就是value1 < value1[1]。</span><br />
<span style="font-size: large;"><value1 p=""><br />
思考二:兩條均線可能短均線值大於長均線值,也可能相反,由於間距值不會是負數,所以用上計算絕對值得函式--absvalue()。<br />
<br />
所以串起來,寫成程式碼即是:<br />
<br />
value2=average(close,5);<br />
value3=average(close,20);<br />
<br />
value1 = absvalue(value2-value3);<br />
if value3 < value3[1] then ....<value1 ....="" p="" then=""></value1></value1></span><br />
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<br />大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com3tag:blogger.com,1999:blog-248441654884416029.post-70167635057222157782019-10-05T00:51:00.000-07:002019-12-31T06:50:05.244-08:00PowerLanguage如何寫「4個條件中任3個以上符合即進場」<span style="font-size: large;">有一個簡單的方法,直接用語法說明,如下:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><i>Condition1=…..</i></span><br />
<span style="font-size: large;"><i>Condition2=…..</i></span><br />
<span style="font-size: large;"><i>Condition3=…..</i></span><br />
<span style="font-size: large;"><i>Condition4=…..</i></span><br />
<i><span style="font-size: large;"><br /></span>
<span style="font-size: large;">if condition1=true then value1=1 else value1=0;</span></i><br />
<span style="font-size: large;"><i>if condition2=true then value2=1 else value1=0;</i></span><br />
<span style="font-size: large;"><i>if condition3=true then value3=1 else value1=0;</i></span><br />
<span style="font-size: large;"><i>if condition4=true then value4=1 else value1=0;</i></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><i>if value1+value2+value3+ value4>=3 then (進場)</i></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">4個條件中任3個符合即進場,重點是不限定哪3個條件符合,且4個都符合也要進場,用以上語法表達雖然感覺有點tricky,不過簡單實用,同理類推,m個條件中任n個以上符合即進場也可以比照辦理。</span><br />
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-82268563371562316482019-09-24T07:41:00.000-07:002019-12-31T06:50:05.374-08:00人類天性就是喜愛「複雜」<span style="font-family: 新細明體, serif; font-size: large;">有一個實驗是這樣的:</span><br />
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<span style="font-size: large;"><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">兩個受測者</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">與</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">被要求以試誤法</span><span lang="EN-US">(trail and error)</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">,根據螢幕提供的</span><span lang="EN-US">K</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">線型態判斷後續走勢多或空,</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">、</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">兩人彼此看不到對方,當回答正確,螢幕會出現「正確」燈號,判斷錯誤則會出現「錯誤」燈號。</span></span></div>
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<span style="font-size: large;"><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">實驗有個"壞壞的"設計,就是</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">看到的燈號是真實的,也就是</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">答對了,會如實看到「正確」的燈號,而</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">的燈號是隨機的,也就是</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">明明是答對了,但可能會看到「錯誤」的燈號。</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">和</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">被告知,他們可以從這個程序找到判斷多空的法則。但是對於</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">來講,這顯然是不可能。</span></span></div>
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<span style="font-size: large;"><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">最後,開放</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">與</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">兩人一起討論他們的判別法則。</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">解釋自己的法則,邏輯簡單且明確,而</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">的法則則顯得非常微妙與複雜,因為</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">被迫根據不一致的結論歸納判別法則。可是,</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">與</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">經過意見交換後,</span><span lang="EN-US">A</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">並不認為</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">的法則太過複雜且不合理,反而自覺自己的法則太過簡單而被</span><span lang="EN-US">B</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">複雜的程序給說服。</span></span></div>
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<span style="font-family: "新細明體" , "serif"; font-size: large; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">這個實驗的啟示是,人類就是偏愛複雜!</span></div>
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<span style="font-size: large;"><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">註:本實驗改編自</span><span lang="EN-US">Paul Watzlawick</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">於</span><span lang="EN-US">1977</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">年出版的《</span><span lang="EN-US">How Real Is Real?</span><span style="font-family: "新細明體" , "serif"; mso-ascii-font-family: Calibri; mso-ascii-theme-font: minor-latin; mso-fareast-font-family: 新細明體; mso-fareast-theme-font: minor-fareast; mso-hansi-font-family: Calibri; mso-hansi-theme-font: minor-latin;">》一書。</span></span></div>
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<br />大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-21526589969214304872019-08-20T21:43:00.000-07:002019-12-31T06:50:04.417-08:00MultiCharts如何寫KD、RSI或MACD指標背離<span style="font-size: large;">背離也算型態的一種,只要是型態屬性,在程式交易上就不太好處理,一方面程式碼不好寫,再者型態定義有主觀成分,看圖說故事,會有很多版本。不過背離在技術分析上算是很重要的一門,也是開發逆勢策略可以參考的方向,本文以KD指標為例(商品價格與K值背離),示範如何寫背離指標及相關策略。</span><br />
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<span style="font-size: large;"><b style="background-color: #cfe2f3;">首先看一下背離的定義</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">熊市背離函式(或稱空頭背離),指數創新高但指標卻未創新高,應該找點作空</span><br />
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<span style="font-size: large;">牛市背離函式(或稱多頭背離),指數創新低但指標卻未創新低,應該找點做多</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><b style="background-color: #cfe2f3;">接著我們直接看程式碼</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">============================</span><br />
<span style="font-size: large;"><i>Inputs: KSwingHength(14), Strength(1);</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>Vars : SK(0),SD(0), PriceH(0),PriceL(0), PSwingH(0), KSwingH(0), PSwingL(0), KSwingL(0), D1(0), T1(0), Price(0), PH(0), KH(0);</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>Value99 = Stochastic( H, L, C, KSwingHength, 3, 3, 1, value97, value98, SK, SD ) ;</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>Value1=SwingHigh(1, SK, Strength, Strength+1);</i></span><br />
<span style="font-size: large;"><i>Value2=SwingHigh(1, High, Strength, Strength+1);</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>if value2<>-1 then PriceH=Value2; </i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>if value1<>-1 then begin</i></span><br />
<span style="font-size: large;"><i> PSwingH = PriceH; </i></span><br />
<span style="font-size: large;"><i> KSwingH = value1; </i></span><br />
<span style="font-size: large;"><i>END;</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>If KSwingH < KSwingH[1] and PSwingH > PSwingH[1] and SK > 50 and SK < 90 then Value3=arw_new(date,time,high,True); </i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>Value11=SwingLow(1, SK, Strength, Strength+1);</i></span><br />
<span style="font-size: large;"><i>Value12=SwingLow(1, Low, Strength, Strength+1);</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>if value12<>-1 then PriceL=Value12; </i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>if value11<>-1 then begin</i></span><br />
<span style="font-size: large;"><i> PSwingL = PriceL; </i></span><br />
<span style="font-size: large;"><i> KSwingL = value11; </i></span><br />
<span style="font-size: large;"><i> END;</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>If KSwingL > KSwingL[1] and PSwingL < PSwingL[1] and SK < 50 and SK > 10 then Value13=arw_new(date,time,high,false);</i></span><br />
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<span style="font-size: large;">解說如下:</span><br />
<span style="font-size: large;">1.<span style="white-space: pre;"> </span>Value99先計算KD指標,用Stochastic函式。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">2.<span style="white-space: pre;"> </span>先處理熊市背離。Value1取K值的轉折高點,Value2取商品的轉折高點,用SwingHigh(轉折高)函式。</span><br />
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<span style="font-size: large;">3.<span style="white-space: pre;"> </span>由於價格創新高指標卻未創新高同時發生在同一K棒的機率不大,我們要比的是近期兩者的前後期轉折高有沒有出現背離,程式碼必須處理這點。我們的做法是,由於商品價格領先KD指標,所以在定義背離時機點會是,當K值發確認轉折高低於前一個轉折高當根(註),再回頭找商品價格有沒有出現最近的轉折高高於前一個轉折高。下面這段程式碼就是在處理這部分。</span><br />
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<span style="font-size: large;">if value2<>-1 then PriceH=Value2; </span><br />
<span style="font-size: large;">if value1<>-1 then begin</span><br />
<span style="font-size: large;"> PSwingH = PriceH; </span><br />
<span style="font-size: large;"> KSwingH = value1; </span><br />
<span style="font-size: large;">END;</span><br />
<span style="font-size: large;">If KSwingH< KSwingH[1] and PSwingH> PSwingH[1] and …</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">4.<span style="white-space: pre;"> </span>由於單是這樣的條件會找出許多背離(才發現電腦比肉眼精準),所以加了兩個條件,一個是K值要在50以上,因為我們預期熊市背離應發生在高檔,另外,KD值上了90以上很容易鈍化走平,形成雜訊,因此過濾掉K值在90以上者。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">5.<span style="white-space: pre;"> </span>arw_new函式則是畫箭頭。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">6.<span style="white-space: pre;"> </span>反之,牛市背離同理。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">完成後,畫在圖上如下圖所示:</span><br />
<br />
<div class="separator" style="clear: both; text-align: center;">
<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiLXjdeYjpNWWCxNxlDf8kdr4PHhIURi3-x0ifQPtQw_ctFJdQ20HGEbAPls2ut6WtS9FJmASJYSHON-OaXuA140JPyF8PeCV_KIL2SgIw3sYq2LMNZtHEQacvXEUF8A26a3a5WteodSzUX/s1600/multicharts%25E6%258C%2587%25E6%25A8%2599%25E8%2583%258C%25E9%259B%25A2_2019082101.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="455" data-original-width="531" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiLXjdeYjpNWWCxNxlDf8kdr4PHhIURi3-x0ifQPtQw_ctFJdQ20HGEbAPls2ut6WtS9FJmASJYSHON-OaXuA140JPyF8PeCV_KIL2SgIw3sYq2LMNZtHEQacvXEUF8A26a3a5WteodSzUX/s1600/multicharts%25E6%258C%2587%25E6%25A8%2599%25E8%2583%258C%25E9%259B%25A2_2019082101.jpg" /></a></span></div>
<br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">其實其實MultiCharts本身就有內建背離函式,</span><span style="font-size: large;">BullishDivergence(牛市背離)、</span><span style="font-size: large;">BearishDivergence</span><span style="font-size: large;">(熊市背離),但定義稍有不同,有興趣的讀者可以自行研究。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><b style="background-color: #cfe2f3;">結論</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">指標背離也可以形成交易策略,算是筆者看過比較優異且有邏輯的逆勢策略,如果各位讀者滿手順勢策略,卻缺少逆勢策略,建議可多加研究。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">有關指標背離的學問,老前輩Parkson研究最透徹,讀者也可以參觀他的<a href="https://blog.xuite.net/parkson/trader/33094909?fbclid=IwAR2u4YVTZWsm6toOPC2r2H6t20JAS07puLYBhrL7Ac18WgWh-fgTNdegBJ4">部落格</a>,或是他的著作「<a href="https://www.books.com.tw/products/0010512324">機械化交易新解:技術指標進化論</a>」也有深入討論。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">備註:</span><br />
<span style="font-size: large;">請注意Swing、Pivot這類函式或指標都屬於事後觀點、事後指標,詳情一樣看<a href="https://seekingalpha-tainan.blogspot.com/2016/12/pivot-highpivot-low.html">這篇</a>,所以有個觀念要釐清,確認SwingHigh成立那根K棒會在真正發生SwingHigh的那根K棒之後。</span><br />
<br />
<br />
<br />
<br />
<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-16672010082361090992019-08-15T01:50:00.000-07:002019-12-31T06:50:04.344-08:00做最壞的打算--評估績效再創新高所需時間<span style="font-size: large;">務實的程式交易者都知道,策略的好壞不在於它多能賺錢,而是它在如何挺過艱困時期,另外還有一個現實問題,就是當策略開始實單交易,先遇到賺錢行情還是虧錢行情差很大—即使最終總損益是一樣。</span><br />
<span style="font-size: large;"></span><br />
<a name='more'></a><br />
<span style="font-size: large;">下圖是一個策略的損益曲線,綠色的點是大家的最愛,代表淨值(獲利)創新高,在兩個綠點間的日子就是策略吃DD、掙扎或者是理解成沒有盈利的期間,這個期間越短越好,代表策略以越快的速度再度產出。因此我們檢視策略的優劣,績效再創新高所需時間也是值得研究的項目。</span><br />
<span style="font-size: large;"><br /></span>
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<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg2jiGI6Nyr_aubtw_sSeUOvD2sGMMxu_vv0-CEM4vJ5goxH3VlabVWZjMHyl_OUbPZTsPDlz3OgvxanlU8MdR8tfEvJiVoP6gs1HtC4Ek7tmoMbcl6iZTvBTCOKpqWSa7f1UdGaT1eZqY4/s1600/multicharts%25E6%25B7%25A8%25E5%2580%25BC%25E5%2589%25B5%25E6%2596%25B0%25E9%25AB%2598%25E6%2589%2580%25E9%259C%2580%25E6%2599%2582%25E9%2596%2593_2019081501.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="303" data-original-width="535" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEg2jiGI6Nyr_aubtw_sSeUOvD2sGMMxu_vv0-CEM4vJ5goxH3VlabVWZjMHyl_OUbPZTsPDlz3OgvxanlU8MdR8tfEvJiVoP6gs1HtC4Ek7tmoMbcl6iZTvBTCOKpqWSa7f1UdGaT1eZqY4/s1600/multicharts%25E6%25B7%25A8%25E5%2580%25BC%25E5%2589%25B5%25E6%2596%25B0%25E9%25AB%2598%25E6%2589%2580%25E9%259C%2580%25E6%2599%2582%25E9%2596%2593_2019081501.jpg" /></span></a></div>
<div class="separator" style="clear: both; text-align: center;">
</div>
<br />
<span style="font-size: large;">把下面這段程式碼直接複製到策略程式碼下方,即可在輸出區輸出相關數據(專業版MC可直接輸出到檔案):</span><br />
<div class="separator" style="clear: both; text-align: center;">
</div>
<span style="font-size: large;">=============================================</span><br />
<span style="font-size: large;"><i>vars:MaxCapital(100000),totaltr(0),BarNumofMaxP(0),BarCount(0),count(0),SumBarNumofMaxP(0),MaxBarCount(0);</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>totaltr=totaltrades;</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>if totaltr>totaltr[1] then begin</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>MaxCapital=maxlist(netprofit+1000000,MaxCapital);</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>if MaxCapital>MaxCapital[1] then begin</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>BarNumofMaxP=barnumber;</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>BarCount=BarNumofMaxP-BarNumofMaxP[1];</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>count=count+1;</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>SumBarNumofMaxP=BarCount+SumBarNumofMaxP;</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>MaxBarCount=maxlist(MaxBarCount,BarCount);</i></span><br />
<span style="white-space: pre;"><span style="font-size: large;"><i> </i></span></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>messagelog(NumToStr(date+19000000,0),",",NumToStr(time,0),",",NumToStr(MaxCapital,0),",",</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>NumToStr(totaltr,0),",",NumToStr(BarNumofMaxP,0),",",NumToStr(BarCount,0));</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>end;</i></span><br />
<span style="font-size: large;"><i>end;</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>if LastBarOnChart then begin</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>BarNumofMaxP=barnumber;</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>BarCount=BarNumofMaxP-BarNumofMaxP[1];</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>count=count+1;</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>SumBarNumofMaxP=BarCount+SumBarNumofMaxP;</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>MaxBarCount=maxlist(MaxBarCount,BarCount);</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>messagelog(NumToStr(date+19000000,0),",",NumToStr(time,0),",",NumToStr(MaxCapital,0),",",</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>NumToStr(totaltr,0),",",NumToStr(BarNumofMaxP,0),",",NumToStr(BarCount,0));</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>messagelog("The average struggle time(numbar of bars) is ",NumToStr(SumBarNumofMaxP/count,0));</i></span><br />
<span style="font-size: large;"><i><span style="white-space: pre;"> </span>messagelog("The worst struggle time(numbar of bars) is ",NumToStr(MaxBarCount,0));</i></span><br />
<span style="font-size: large;"><i>end;</i></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">=============================================</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">輸出統計資料在輸出區,如下圖所示:</span><span style="font-size: large;"> </span><br />
<span style="font-size: large;"></span><br />
<div class="separator" style="clear: both; text-align: center;">
</div>
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<div class="separator" style="clear: both; text-align: center;">
<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh0BRNXb1cK9NBKdtJJVKwKkWNIGXH3CinBBqr6oZpZ41j_tv4UxhtEoEq8sBag-hxWvOGqN1I-CpISUTFjEdItpP869LTwJE2liRMyt_WiBcYxrhE8La3n8vwAkx2R8jONJRJo0k8AOpdm/s1600/multicharts%25E6%25B7%25A8%25E5%2580%25BC%25E5%2589%25B5%25E6%2596%25B0%25E9%25AB%2598%25E6%2589%2580%25E9%259C%2580%25E6%2599%2582%25E9%2596%2593_2019081502.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="426" data-original-width="535" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh0BRNXb1cK9NBKdtJJVKwKkWNIGXH3CinBBqr6oZpZ41j_tv4UxhtEoEq8sBag-hxWvOGqN1I-CpISUTFjEdItpP869LTwJE2liRMyt_WiBcYxrhE8La3n8vwAkx2R8jONJRJo0k8AOpdm/s1600/multicharts%25E6%25B7%25A8%25E5%2580%25BC%25E5%2589%25B5%25E6%2596%25B0%25E9%25AB%2598%25E6%2589%2580%25E9%259C%2580%25E6%2599%2582%25E9%2596%2593_2019081502.jpg" /></a></span></div>
<br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">簡單解說一下程式碼與用法:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">1.MaxCapital(100000):預設值為100000元,是因為MC計算績效,預設資本為100000元,如果你改過預設值就要同步調整,連下面這行程式碼也要改:MaxCapital=maxlist(netprofit<span style="color: #cc0000;">+1000000</span>,MaxCapital);</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">2.最後這段LastBarOnChart程式碼是要把尚未創新高的現在進行式也計入,這樣統計才會正確。以上面這個例子來講,策略目前正經歷最長的吃DD期間。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">3.最後也把平均創新高所需期間以及最大創新高所需期間算出來並輸出,以K棒數表示,本例來講分別是351根K棒以及4383根K棒,可再自行換算成時間,例如台指全天盤,19根60分K為一個交易日,則本利平均再創新高所需期間為18.5個交易日。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">4.程式也輸出每一個淨值創新高(綠點)的相關資料,可匯入EXCEL(<a href="https://seekingalpha-tainan.blogspot.com/2019/08/multichartsexcel.html">教學</a>)進行進一步統計分析,例如計算中位數可能比平均值有意義。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><b>快速結論:</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">程式是無血無淚的,但交易人要承受虧損之痛、資金壓力,最難的是還不知道要熬多久。評估淨值創新高的期間,跟評估MDD一樣,都是做最壞的打算,交易人可提前評估當遇到艱困期時能否挺得過來,盡可能做好準備!不然,一進場就吃DD,信心快速崩盤…很多程式交易都是沒能度過漫漫長夜迎來黎明,從而妄斷此法行不通,這個我稱之為”不倖存者偏誤”。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
<br />
<span style="font-size: large;"><br /></span>
<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
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<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></span></div>
<span style="font-size: large;"></span><br />
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-29029574594033637032019-08-12T08:21:00.000-07:002019-12-31T06:50:04.574-08:00券商版MultiCharts如何輸出資料,匯到EXCEL做進一步統計或分析<span style="font-size: large;">我們知道專業版MC可以用Print指令將資料存到檔案,券商版MC則只能輸出到PowerLanguage Editor的輸出區,但為了進一步分析/研究資料,我們往往需要運用EXCEL做運算,本文教大家如何用券商版MC進行這個工作。</span><br />
<span style="font-size: large;"></span><br />
<a name='more'></a><br />
<span style="font-size: large;">我們以下面這個簡單範例來解說:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">=====================================</span><br />
<span style="font-size: large;"><i>input:len1(5),len2(20);</i></span><br />
<span style="font-size: large;"><i>vars:ma1(0),ma2(0);</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>ma1=average(close,len1);</i></span><br />
<span style="font-size: large;"><i>ma2=average(close,len2); </i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="font-size: large;"><i>If ma1 cross over ma2 then buy next bar at market;</i></span><br />
<span style="font-size: large;"><i>If ma1 cross below ma2 then sellshort next bar at market;</i></span><br />
<span style="font-size: large;"><i><br /></i></span>
<span style="color: blue; font-size: large;"><i>if BarNumber=1 then begin</i></span><br />
<span style="color: blue; font-size: large;"><i><span style="white-space: pre;"> </span>cleardebug;</i></span><br />
<span style="color: blue; font-size: large;"><i><span style="white-space: pre;"> </span>messagelog("Date",",","Time",",","ma1",",","ma2",",","Close");</i></span><br />
<span style="color: blue; font-size: large;"><i>end;</i></span><br />
<span style="color: blue; font-size: large;"><i>messagelog(NumToStr(date+19000000,0),",",NumToStr(time,0),",",NumToStr(ma1,0),",",NumToStr(ma2,0),",",NumToStr(close,0));</i></span><br />
<span style="font-size: large;">=====================================</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">1.<span style="white-space: pre;"> </span>Messagelog指令可以把指定的數據或資料輸出到PowerLanguage Editor的輸出區。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">2.<span style="white-space: pre;"> </span>由於輸出區的資料會累積,易造成讀取混淆,所以在第一根K棒以Cleardebug指令先把舊資料清除,另外為了讓輸出的資料好閱讀,讓輸出第一列為標題列,一樣在第一根先輸出標題內容。輸出資料都以逗號個開。</span><br />
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<span style="font-size: large;">3.<span style="white-space: pre;"> </span>接下來就是用messagelog輸出所需的資料。其中NumToStr把內容轉成文字且取整數,目的一樣是方便閱讀。其中date+19000000是把MC的日期格式轉化成看得懂的西元年月。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">把上面策略套到K線圖上,在輸出區就會輸出的資料,如下圖所示:</span><br />
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<span style="font-size: large;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjTo-1N3q2kd8iX13c6WwuRrql6RUSep2F9yUUsXx7Ur1EZakEPBO2veVnb2F4VzjNc080u-oag6TTPm7rOt8AIAzwnGjAmq4hU9HLEi6vzK02VvORljurOoX79KP1nsjZgrrxRD7JcA7Vd/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081501.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="610" data-original-width="562" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjTo-1N3q2kd8iX13c6WwuRrql6RUSep2F9yUUsXx7Ur1EZakEPBO2veVnb2F4VzjNc080u-oag6TTPm7rOt8AIAzwnGjAmq4hU9HLEi6vzK02VvORljurOoX79KP1nsjZgrrxRD7JcA7Vd/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081501.jpg" /></a></span></div>
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<span style="font-size: large;"><br /></span>
<span style="font-size: large;">接著把輸出區的資料選取(Mark起來,可按滑鼠右鍵「全選」)→複製</span><span style="font-size: large;">→</span><span style="font-size: large;">貼到空白的筆記本檔案</span><span style="font-size: large;">→</span><span style="font-size: large;">存檔。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiya64kCqZiMqi5o_98OTVnLHJa4vW2hx-7vLG149o3J_GyVQ3_Opx51OMj2XImoLSlRzOh2p530HRzJ5VXzee7Hpa-BbSJXTUA2B-p_uemX_USt2iARVY7WlGepg7UaQnVWPqVNo7H9teZ/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081502.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="465" data-original-width="543" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiya64kCqZiMqi5o_98OTVnLHJa4vW2hx-7vLG149o3J_GyVQ3_Opx51OMj2XImoLSlRzOh2p530HRzJ5VXzee7Hpa-BbSJXTUA2B-p_uemX_USt2iARVY7WlGepg7UaQnVWPqVNo7H9teZ/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081502.jpg" /></a></div>
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<span style="font-size: large;">開啟空白EXCEL,執行資料匯入(選擇「從文字檔」),依下圖所示,選擇「分隔符號」</span><span style="font-size: large;">→</span><span style="font-size: large;">「逗點」,將資料匯入EXCEL。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtfoXQjzkP2DhZWVeuhaKuc_JpmbgUphtAZjXeobmgo8igFh4apH4SAxtTRacnSaQXBLQm9ia5tw1fHZlM59DfvD_46F6eeUDjuKjBFZyAeXihzF9ipmlT2M14RTlNOK5_N4yGl0j_dN3t/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081503.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="342" data-original-width="543" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhtfoXQjzkP2DhZWVeuhaKuc_JpmbgUphtAZjXeobmgo8igFh4apH4SAxtTRacnSaQXBLQm9ia5tw1fHZlM59DfvD_46F6eeUDjuKjBFZyAeXihzF9ipmlT2M14RTlNOK5_N4yGl0j_dN3t/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081503.jpg" /></a></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1jh7_pfHGaXTXHXRGpWAti8Xad7uH0dPcLATF5jEnhkWKqBCk-dimj6HiqkwNK__pWrSDZ46DR_ifFXb_Y6oQ4OtAuqBMsEF1Ui3se9_lDVEhCrEXl1XOsYUdYho9XIpIKcXXVg3YzJWs/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081504.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="350" data-original-width="552" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi1jh7_pfHGaXTXHXRGpWAti8Xad7uH0dPcLATF5jEnhkWKqBCk-dimj6HiqkwNK__pWrSDZ46DR_ifFXb_Y6oQ4OtAuqBMsEF1Ui3se9_lDVEhCrEXl1XOsYUdYho9XIpIKcXXVg3YzJWs/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081504.jpg" /></a></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiNTWSjvYcua9TyO4qJrbwpP5fiVsIGjSQgdvML1OVcirR3JjHT3JLk6NUyDeN9IzQB43-VkvBMMTG8acURmPn27X8EzsrVOaptHRnfvO0KFat_9pJoqqBCX1FtZSzgXQHRSOuvRO_Anceg/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081505.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="350" data-original-width="553" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiNTWSjvYcua9TyO4qJrbwpP5fiVsIGjSQgdvML1OVcirR3JjHT3JLk6NUyDeN9IzQB43-VkvBMMTG8acURmPn27X8EzsrVOaptHRnfvO0KFat_9pJoqqBCX1FtZSzgXQHRSOuvRO_Anceg/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081505.jpg" /></a></div>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"> </span><span style="font-size: large;">匯入EXCEL結果如下圖所示。接下來就可以好好利用EXCEL的各項功能進行統計或分析。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEir-VGqwLKtYT6UaMrEfGGGv5-ToJiIe4e5eq6ixSMRrV_HLDgxgc03vCFsLUYvdCCs_bqdAzoAMH4R0XmOy0d0d9XOH-AC4RpB_iRTW24lHroG2oonaWyah-_M_yunASgBn5zXn0mhIsgE/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081506.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="465" data-original-width="445" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEir-VGqwLKtYT6UaMrEfGGGv5-ToJiIe4e5eq6ixSMRrV_HLDgxgc03vCFsLUYvdCCs_bqdAzoAMH4R0XmOy0d0d9XOH-AC4RpB_iRTW24lHroG2oonaWyah-_M_yunASgBn5zXn0mhIsgE/s1600/multicharts%25E8%25BC%25B8%25E5%2587%25BA%25E8%25B3%2587%25E6%2596%2599%25E5%258C%25AF%25E5%2585%25A5EXCEL_2019081506.jpg" /></a></div>
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<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
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<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-24044556657605199382019-07-30T16:34:00.001-07:002019-12-31T06:50:04.466-08:00以(Open+High+Low+Close)/4取代收盤價(Close)<span style="font-size: large;">在MultiCharts的內建指標或策略,或是傳統我們學的技術分析,指標的運算多是用「收盤價(Close)」代表每根K棒來帶入計算,但其實一根K棒上由許多價格組成,時間架構越長的K線(例如60分K)則收盤價代表性更差了,因此我們可以把其他如Open、High、Low等引用進來,改以下幾種方式來替代收盤價(Close):</span><br />
<span style="font-size: large;">1.<span style="white-space: pre;"> </span>NewClose=(Open+High+Low+Close)/4; </span><br />
<span style="font-size: large;">2.<span style="white-space: pre;"> </span>NewClose=(High-Low)/2+Low;</span><br />
<span style="font-size: large;">3.<span style="white-space: pre;"> </span>NewClose=(High+Low+Close*2)/4; //(CDP指標公式)</span><br />
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<a name='more'></a><br />
<span style="font-size: large;">然後把NewClose代進指標,我們以MACD為例:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">inputs: FastLength( 12 ), SlowLength( 26 ), MACDLength( 9 ) ;</span><br />
<span style="font-size: large;">variables: var0( 0 ), var1( 0 ), var2( 0 ),NewClose(0) ;</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">NewClose=(Open+High+Low+Close)/4;</span><br />
<span style="font-size: large;">var0 = MACD( NewClose, FastLength, SlowLength ) ;</span><br />
<span style="font-size: large;">var1 = XAverage( var0, MACDLength ) ;</span><br />
<span style="font-size: large;">var2 = var0 - var1 ;</span><br />
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<span style="font-size: large;">Plot1( var0, "MACD" ) ;</span><br />
<span style="font-size: large;">Plot2( var1, "MACDAvg" ) ;</span><br />
<span style="font-size: large;">Plot3( var2, "MACDDiff" ) ;</span><br />
<span style="font-size: large;">Plot4( 0, "ZeroLine" ) ;</span><br />
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<span style="font-size: large;">或是以RSI指標為例:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">inputs: Price( Close ), Length( 14 ), OverSold( 30 ), OverBought( 70 ), OverSColor( Cyan ), OverBColor( Red );</span><br />
<span style="font-size: large;">variables: var0( 0 ),NewClose(0) ; ;</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">NewClose=(Open+High+Low+Close)/4;</span><br />
<span style="font-size: large;">var0 = RSI( NewClose, Length ) ;</span><br />
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<span style="font-size: large;">Plot1( var0, "RSI" ) ;</span><br />
<span style="font-size: large;">Plot2( OverBought, "OverBot" ) ;</span><br />
<span style="font-size: large;">Plot3( OverSold, "OverSld" ) ;</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">理論上來講,NewClose會比單純的Close更真實反映價格,但實務上兩者產出的指標差異不大,視不同指標而定,另外也不是所有指標都適用這樣調整,例如KD指標就不適合以NewClose取代,原因是KD指標的內涵本來就是要看Close是收在近期高低區間的哪個相對位置。換句話說,要使用NewClose取代Close最重要的還是真正去理解該指標的公司跟背後邏輯,例如在我們以RSI指標是否達超買超賣(70/30)來判斷多空,可以發現在相對底部或頭部,NewClose計算出的RSI讀數會比較極端,這是因為底部常常留下影線,頭部則是上影線,由於NewClose還算進High及Low,所以在底部時NewClose會小於Close,在頭部時NewClosw會大於Close,如果掌握這樣的特性,或許可以NewClose的RSI寫出更能掌握轉折的策略。</span><br />
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<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
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<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></span></div>
<span style="font-size: large;"></span><br />
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-64213695253108219822019-07-28T21:20:00.000-07:002019-12-31T06:50:05.159-08:00多策略下在同一期貨帳戶,倉位互相沖銷又如何?<span style="font-size: large;">程式交易最後會走到多商品多策略階段,曾遇到不少用戶,對於多策略下在同一期貨帳戶會發生不同策略訊號間多空互相沖銷的狀況,感到不能接受、無法理解,例如某甲共有兩個策略,A策略作多,之後B策略空單進場,多空沖銷後,導致整個帳戶沒有部位,這種沒有部位的狀態,會讓人覺得彷彿從未進場過,也浪費手續費。</span><br />
<span style="font-size: large;"><br /></span><span style="font-size: large;">類似少數客戶喜愛指定沖銷(交易所預設沖銷順序為先進先出),為的是讓未平倉部位的成本價”看起來”比較漂亮。其實這都只是一種錯覺,從損益跟淨值的角度來看,不管是先進先出對比指定沖銷,或是A、B策略下在同一帳戶跟各自獨立下在不同帳戶來比,兩者都是不變的,這邊有個<a href="https://www.dropbox.com/s/zgqrnw5dfmr9sch/%E5%A4%9A%E7%AD%96%E7%95%A5%E4%B8%8B%E5%9C%A8%E5%90%8C%E4%B8%80%E6%9C%9F%E8%B2%A8%E5%B8%B3%E6%88%B6%EF%BC%8C%E5%80%89%E4%BD%8D%E4%BA%92%E7%9B%B8%E6%B2%96%E9%8A%B7%E5%8F%88%E5%A6%82%E4%BD%95%EF%BC%9F.docx?dl=0">EXCEL範例</a>,有興趣的朋友可下載來模擬看看。</span><br />
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<span style="font-size: large;">其實單一帳戶交易多策略,我們首要確認以下兩件事:</span><br />
<span style="font-size: large;">1.總策略倉位=期貨帳戶總倉位</span><br />
<span style="font-size: large;">2.每個策略訊號皆正確下單</span><br />
<span style="font-size: large;">這樣就算有兩個甚至十個策略同時運行也不會有問題。</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">真的想要分開下單的朋友也不是不行,多數期貨商可接受同一人開多戶(通常有上限),但分開帳戶較適合高資金用戶,且策略間有實質差異再來區分帳戶可能也比較有意義(例如一個帳戶作波段,一個作當沖)。</span><br />
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<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="http://bmf448.pixnet.net/album/photo/319869037-7il1hul7br.png"><img src="https://pic.pimg.tw/bmf448/1486439216-3544954103.png?v=1486439233" /></a></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-3296290954201988412019-06-25T18:57:00.001-07:002020-06-23T19:11:51.003-07:00Touchance3.0安裝與測試<span style="font-size: large;">申請Touchance需完成測試流程(下測試單)才能申請正式環境交易權限。請依下列指示完成測試。</span><br />
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<a name='more'></a><br />
<span style="font-size: large;"><b>1.下載安裝Touchance3.0</b></span><br />
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<span style="font-size: large;"><b>2.以統一期貨提供之測試帳號登入</b></span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj9UKRf_pQeP9y_Kk2Ux_qw1zIts_vncmnbcfvEjO1EcX-XlOqxw6nDN8-KJQESCfHq07XkqNH6V9jjv-Ra3Ff8jVceC6epADz0xVYKHsuX7PnYn-vpbiQmTqU7FD7e_ExmKLnXvtixtFGH/s1600/Touchance_2019062601.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="508" data-original-width="295" height="320" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj9UKRf_pQeP9y_Kk2Ux_qw1zIts_vncmnbcfvEjO1EcX-XlOqxw6nDN8-KJQESCfHq07XkqNH6V9jjv-Ra3Ff8jVceC6epADz0xVYKHsuX7PnYn-vpbiQmTqU7FD7e_ExmKLnXvtixtFGH/s320/Touchance_2019062601.jpg" width="185" /></span></a></div>
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<span style="font-size: large;"><b>3.綁定個人期貨帳號</b></span><br />
<span style="font-size: large;">設定>交易連線,開啟交易連線設定視窗後,設定「綁定資金帳號」,選擇「統一期貨測試」(未來如果開始在正式環境交易,則選擇「統一期貨」選項),輸入11碼含分公司代碼的期貨帳號以及網路下單密碼。</span><br />
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<span style="font-size: large; margin-left: 1em; margin-right: 1em;"><a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjs5uW8vy6V4Od0TrlTJiKbk2UpNxio0YiT2sfMdMDoM1Fg8aXoIAu9RvQZeuZHXlYKUN1N-jopSqe5WkfxftNHImuym7t-FifSBsjhN2k1A4X9DVmEZ7pAFfjNCFVmzEvjtBW0yD2WT_M2/s1600/Touchance_2019062602.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="240" data-original-width="596" height="160" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjs5uW8vy6V4Od0TrlTJiKbk2UpNxio0YiT2sfMdMDoM1Fg8aXoIAu9RvQZeuZHXlYKUN1N-jopSqe5WkfxftNHImuym7t-FifSBsjhN2k1A4X9DVmEZ7pAFfjNCFVmzEvjtBW0yD2WT_M2/s400/Touchance_2019062602.jpg" width="400" /></a></span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEicdyR9Xthg2L5M5hChOrlgQ8I8T09_C9RSrJ19DWNbUea8q3qy0CuV0z8TYfrrLqI24o3PiH_pwy5KILQha08mkSMDPHW-m9iwFLN6gCy2K1qE7SE5jChBvzHVe2I0aeZzrVO1Jz1tmXmB/s1600/Touchance_2019062603.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="368" data-original-width="544" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEicdyR9Xthg2L5M5hChOrlgQ8I8T09_C9RSrJ19DWNbUea8q3qy0CuV0z8TYfrrLqI24o3PiH_pwy5KILQha08mkSMDPHW-m9iwFLN6gCy2K1qE7SE5jChBvzHVe2I0aeZzrVO1Jz1tmXmB/s1600/Touchance_2019062603.jpg" /></a></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjFwIu4zRBXnCuOI0tbqtCosCLFKc4EBcTVDIEHq0hE4YOLwRrUSoCFsAz2O1RMBO_Jaau-aIDamHYto5sf5TKsCqIS7ngG9eH2XAccA19Rki_RJKp524n9qjVPWhvC_SOfxDVZo3NQIgvw/s1600/Touchance_2019062603.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"></span></a></div>
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<span style="font-size: large;"><b>4.試下測試單</b></span><br />
<span style="font-size: large;">打開應用程式>報價總管,拖曳商品至下方報價區,可直接點擊下單。送出委託後,<span style="color: red;">無論回覆訊息是否委託成功(因測試環境關係,實際有成功但卻回覆失敗),皆通知營業員協助確認是否完成測試。</span></span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFRm_Csf8QOZM7NeNFZczcPBpS643MNhED3kb1rKMZSD6HLUPcbRiYdeqtkofl54YrIYkCw54HUaAf-tIGmcFkXJTp73TRkr135WAnn0nHy_ZelBO5eCNRYp1XNfoJnJhcjF-IcLSK_Kgi/s1600/Touchance_2019062606.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="400" data-original-width="570" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhFRm_Csf8QOZM7NeNFZczcPBpS643MNhED3kb1rKMZSD6HLUPcbRiYdeqtkofl54YrIYkCw54HUaAf-tIGmcFkXJTp73TRkr135WAnn0nHy_ZelBO5eCNRYp1XNfoJnJhcjF-IcLSK_Kgi/s1600/Touchance_2019062606.jpg" /></span></a></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj679zBmxSmQfHeJ-hMoKPBSnoXBFcgmAqU1JENufd6urT5KFZeyGD-5RrowvzEa8qSG2UByoL1NS7igWFvQSgQS2_ZhW3nxexiQNrQjrNF9FKVtpCMV4VNNa87RlignorFRFn59CmTZ_NU/s1600/Touchance_2019062607.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="395" data-original-width="566" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEj679zBmxSmQfHeJ-hMoKPBSnoXBFcgmAqU1JENufd6urT5KFZeyGD-5RrowvzEa8qSG2UByoL1NS7igWFvQSgQS2_ZhW3nxexiQNrQjrNF9FKVtpCMV4VNNa87RlignorFRFn59CmTZ_NU/s1600/Touchance_2019062607.jpg" /></a></div>
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<span style="font-size: large;"><b>5.完成測試。</b></span><br />
<span style="font-size: large;">測試單完成後,待營業員協助送件申請正式環境。完成後會交付新的Touchance的登入帳密,再依上述綁定資金流程選擇「統一期貨」,即可登入正式環境。用戶如有需要也可以在測試環境多測試。</span><br />
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="http://bmf448.pixnet.net/album/photo/319869037-7il1hul7br.png"><img src="https://pic.pimg.tw/bmf448/1486439216-3544954103.png?v=1486439233" /></a></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></span></div>
<span style="font-size: large;"></span><br />
<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-85912837157306304442019-04-21T02:11:00.000-07:002019-12-31T06:50:05.425-08:00【MultiCharts】如何自製「散戶指標」<span style="color: #e69138; font-size: large;"><b>散戶指標與小台指</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">「散戶指標」這個名稱有些刻薄,也可以換個講法稱為「反市場心理」,早期的「擦鞋童理論」,或是把市面投顧老師的多空看法統計編成指標,乃至當今用網路爬蟲蒐集時下最熱門的關鍵字等等,都是類似概念。本文介紹的散戶指標從小台指來切入,一般小型投資人資金有限多是操作小台,但是我們無從搜集散戶的小台留倉數據,於是換個角度,把三大法人的小台指留倉淨部位視為散戶的交易對手,也就是三大法人小台指留倉淨部位乘上負一就是散戶的留倉部位。</span><br />
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<a name='more'></a><span style="color: #e69138; font-size: large;"><b>MultiCharts/QuoteManager如何導入(匯入)外部資料</b></span><br />
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<span style="font-size: large;">有關如何設定/匯入外部請參考<a href="https://seekingalpha-tainan.blogspot.com/2017/10/multicharts.html">本篇</a>。三大法人的小台留倉歷史資料可在期交所下載(會EXCEL VBA可加快速度)或購買,有些軟體如嘉實XQ也可找得到(或透過本站<a href="https://line.me/R/ti/p/%40ccx0954j">Line@聯絡小編</a>協助)。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiqAC1rh00BCZMX_ftNtA8rlIJ8CX6mZOQUEzk3jsHVpnHz1LBot1dMu8Ts0Lxd5zDuBL9fjC0TEJkP-BrFU_uNCK6Z2GjhE8y2zOCBwGmsiTCtpL_t-NEUnbuMvTTr7BAjf_xoeUoCOk10/s1600/MultiCharts_retail2019042111.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="225" data-original-width="549" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiqAC1rh00BCZMX_ftNtA8rlIJ8CX6mZOQUEzk3jsHVpnHz1LBot1dMu8Ts0Lxd5zDuBL9fjC0TEJkP-BrFU_uNCK6Z2GjhE8y2zOCBwGmsiTCtpL_t-NEUnbuMvTTr7BAjf_xoeUoCOk10/s1600/MultiCharts_retail2019042111.jpg" /></span></a></div>
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<span style="color: #e69138; font-size: large;"><b>散戶籌碼應用</b></span><br />
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<span style="font-size: large;">實務經驗上,確實行情方向跟散戶指標是呈現反向,尤其在單邊大行情時尤為明顯,也印證一般投資人喜歡作逆勢的慣性。在應用上,散戶資料用可來作交易濾網,舉例如下:</span><br />
<span style="font-size: large;">一般用法都是以data2角色配合台指期當濾網,所以在MultiCharts上,主圖data1是台指期,data2是散戶指標(在新增完主圖商品data1後,再操作新增商品,就可以依序增加data2、data3…),接著我們就可以幫均線策略加一個濾網,設定當前散戶指標是空單只做多不做空,散戶指標是多單則只做空不做多,語法如下(文字會出現亂碼,改以貼圖呈現):</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhlc1DD7lAHQn2tXqEi8pP99Nvk6MqkDBctEGQVKHY4ZXvkPlKOO8adK6Ttp2tWLjvBJ6z3TkjrB6xEKlrvKXCFocVVWIYBQM4aRMHFe2DYf0mbpk5UxKduHu0LSKgnnG-9uwFUFwVFdRwB/s1600/MultiCharts_retail2019042112.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="136" data-original-width="641" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhlc1DD7lAHQn2tXqEi8pP99Nvk6MqkDBctEGQVKHY4ZXvkPlKOO8adK6Ttp2tWLjvBJ6z3TkjrB6xEKlrvKXCFocVVWIYBQM4aRMHFe2DYf0mbpk5UxKduHu0LSKgnnG-9uwFUFwVFdRwB/s1600/MultiCharts_retail2019042112.jpg" /></span></a></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><span style="color: #cc0000; font-size: large;"><b>歡迎加入LINE@</b></span></span></div>
<div style="font-family: "times new roman"; text-align: center;">
<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="http://bmf448.pixnet.net/album/photo/319869037-7il1hul7br.png"><img src="https://pic.pimg.tw/bmf448/1486439216-3544954103.png?v=1486439233" /></a></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;"><a href="https://line.me/R/ti/p/%40ccx0954j"><img alt="加入好友" border="0" src="https://scdn.line-apps.com/n/line_add_friends/btn/zh-Hant.png" /></a></span></div>
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<span lang="EN-US" style="background-attachment: initial; background-clip: initial; background-image: initial; background-origin: initial; background-position: initial; background-repeat: initial; background-size: initial;">(點擊上方圖示)</span></div>
大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-61853870706303856282019-04-06T11:05:00.000-07:002019-12-31T06:50:05.147-08:00存股與程式交易:存股搭配程式空單避險策略<span style="font-size: large;">股市多頭再見萬點,但不少股票族追逐名牌、殺進殺出,卻仍沒賺到錢,徒呼負負,倒是有一個族群--金融存股族,以4~6%殖利率、官股銀行穩定低風險等誘人優勢,日漸吸引大批投資人投入。隨著股市長年走多,簡單的買進持有策略比起積極主動的買賣股票,不僅不費腦筋更取得較佳的績效,看著金融存股族們在相關粉絲社團展示著積少成多的股數以及遠勝定存的報酬,都讓人感受到這些投資人們喜不自勝的心情,令我輩程式交易者又忌妒又心嚮往之。</span><br />
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<a name='more'></a><b><span style="color: #b45f06; font-size: large;">存股的盲點:居高不必思危</span></b><br />
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<span style="font-size: large;">日前看到一篇存股族提問網友貸款來存股是否划算的討論串,不禁令人擔憂投資人是否失去了居高思危的戒心,確實在目前這個價位來看,過去無論買得多高,現在都是賺錢,股市投資的中心思想就是:股市長期來看都是往上的,但所謂,天道之行,物極必反,盛極而衰,漲多也會有回檔、有空頭,甚至有股災,存股族們要去思考一個殘酷卻幾乎無可避免地處境,當投資資產連續虧損過半甚至更多時,如何還能不動搖,堅持得住?筆者以為,金融存股族最大的盲點在於,拿5%的殖利率比定存的1%,忽略了定存是無風險,而金融股,即便是官股風險(波動率)也是遠大於定存。</span><br />
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<span style="font-size: large;">2008金融風暴,許多金融股可是在一年內股價跌掉2/3,試想身在當下,要如何撐過空頭,等到長線多頭再臨?這就是凱恩斯名言:「”長期而言”,我們都死了」,要我們更多去思考現實問題。</span><br />
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<span style="color: #b45f06; font-size: large;"><b>存股進化:搭配期貨程式空單避險</b></span><br />
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<span style="font-size: large;">進入本文正題,存股是好的投資策略,該如何把風險照顧的更完美呢?搭配程式策略空單避險(只產生空單訊號),在空頭時規避系統風險,形成一個波動更低的投資組合。作法如下:</span><br />
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<span style="font-size: large;">1.<span style="white-space: pre;"> </span>既有的金融股存股買進持有不變。</span><br />
<span style="font-size: large;">2.<span style="white-space: pre;"> </span>設計一套做空的系統,沒有程式交易的投資人也不用擔心,我們可以利用技術指標來做,例如長短均線死叉等,當系統發出作空訊號,我們就建立空單部位,當系統翻多,我們就把空單出場。</span><br />
<span style="font-size: large;">3.<span style="white-space: pre;"> </span>避險的商品為金融期,用簡單的市值1:1來避險。例如金融期在1000點時(1點=2000元),1口金融期市值為1000*2000元=200萬,也就是每200萬的存股用1口金融期空單來避險。</span><br />
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<span style="font-size: large;">以下我們以2893第一金為例,回溯2003/1/2~2019/4/3,比較以下兩者的績效與風險:</span><br />
<span style="font-size: large;">1.<span style="white-space: pre;"> </span>單純買進持有第一金。於2003/1/2投入資金200萬買進第一金,爾後每年的配息都全數投入再買股。</span><br />
<span style="font-size: large;">2.<span style="white-space: pre;"> </span>避險投資組合。買進第一金同時搭配期貨程式避險空單,2003/1/2投入150萬買進第一金,一樣爾後每年的配息都全數投入再買股,另準備50萬操作金融期,我們採用各位投資人在期貨商報價軟體就有的SAR指標作空(參數不做調整),一樣合計200萬資金。</span><br />
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<span style="font-size: large;">回測績效比較如下:</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgCxWwqUIHPde0TFCyJ5uvKeFP5OEOxLgJaAIR7TBJnRmD1g43VXz8bmqy1wIP_Z-caoGSOd7NtiBjYeiPw7nBQAajn2u4UseFBrwCusTZuGhkf_O6u9NEXvFdm_KPtO4G3uVIri2DmcID8/s1600/Multicharts_%25E5%25AD%2598%25E8%2582%25A1%25E8%2588%2587%25E7%25A8%258B%25E5%25BC%258F%25E4%25BA%25A4%25E6%2598%25932019040701.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="277" data-original-width="546" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgCxWwqUIHPde0TFCyJ5uvKeFP5OEOxLgJaAIR7TBJnRmD1g43VXz8bmqy1wIP_Z-caoGSOd7NtiBjYeiPw7nBQAajn2u4UseFBrwCusTZuGhkf_O6u9NEXvFdm_KPtO4G3uVIri2DmcID8/s1600/Multicharts_%25E5%25AD%2598%25E8%2582%25A1%25E8%2588%2587%25E7%25A8%258B%25E5%25BC%258F%25E4%25BA%25A4%25E6%2598%25932019040701.jpg" /></a></div>
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<span style="font-size: large;">上表的重點在於透過程式單避險,投資風險(歷史波動率)大幅下降,也就是新投資組而其實更接近存股族「低風險」的初衷,於此同時,避險投資組合的績效也並不遜色,沒有因為避險而犧牲報酬,如果你可以設計比SAR更好的指標訊號,績效會再加分。如果讀者對波動率沒感覺,那麼從下面淨值走勢圖比較兩者最大連續虧損(都是發生在2008年金融風暴時期),單純買進股票此時已經開始虧本,而避險投資組合則因為有避險部位的獲利,即便遇到這麼嚴重的股災,整個投資組合都還沒虧本,此時,這兩個投資做法的最大分野就會出來:有避險的投資因虧損較小,你會抱得住,而另一個未避險的投資不僅獲利吐光且開始虧本,這時候天人交戰,才是真正考驗你對存股、對所謂「股市長期來看都是往上的」這個論點的信心。</span><br />
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiPN6sFQiTU1AzbX6Sw5Me0Z_my9rM5LCOkIQByGJmMWzpyoDsUIyGUVUJqb3sQYjRLalZhJlrEGqtX0M85VvCtTtBssjUifGFLxxH1xf91gJn7y1MjP5Uah1zWEtGBSd7AXI8MY40swhcp/s1600/Multicharts_%25E5%25AD%2598%25E8%2582%25A1%25E8%2588%2587%25E7%25A8%258B%25E5%25BC%258F%25E4%25BA%25A4%25E6%2598%25932019040702.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><img border="0" data-original-height="335" data-original-width="554" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiPN6sFQiTU1AzbX6Sw5Me0Z_my9rM5LCOkIQByGJmMWzpyoDsUIyGUVUJqb3sQYjRLalZhJlrEGqtX0M85VvCtTtBssjUifGFLxxH1xf91gJn7y1MjP5Uah1zWEtGBSd7AXI8MY40swhcp/s1600/Multicharts_%25E5%25AD%2598%25E8%2582%25A1%25E8%2588%2587%25E7%25A8%258B%25E5%25BC%258F%25E4%25BA%25A4%25E6%2598%25932019040702.jpg" /></a></div>
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<span style="font-size: large;">讀者如有興趣,歡迎來訊索取回溯的EXCEL檔,來索取檔案的朋友我希望能給我一些回饋,幫忙檢查我的回溯方式是否有瑕疵。</span><br />
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<span style="font-size: large;">另外補充一下,有投資人會問,何必避險,空訊來了直接把股票賣掉不是更簡單?不這麼做的原因在於:</span><br />
<span style="font-size: large;">1.<span style="white-space: pre;"> </span>買賣股票的交易成本較高,用期貨避險,本身費用就較低,且透過槓桿成本又更低。</span><br />
<span style="font-size: large;">2.</span><span style="font-size: large; white-space: pre;"> </span><span style="font-size: large;">存股標的既然是挑選過的,理論上應該是優於大盤(或相關Benchmark),用指數期貨避險的另一個精神是,單純規避系統風險,長期而言個股部分相對優異表現仍可突顯出來。</span><br />
<span style="font-size: large;">3.最重要的是,股票賣了後來看它漲上去可能會手軟接不回來,這是人性問題,難解。</span><br />
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<span style="color: #b45f06; font-size: large;"><b>結論</b></span><br />
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<span style="font-size: large;">股市走了這麼多年多頭,真的很難有策略可以贏過簡單的買進持有,有人戲稱「無腦多」,反射出既忌妒又羨慕的複雜心情,無可否認存股或是價值投資都是屬「王道」等級的投資理財方式,但歷史是既戲謔又殘酷的,同樣的理念,此一時彼一時也,存股族們可有準備好空頭的考驗?</span><br />
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<span style="font-size: large;">股神李佛摩說的: 賺大錢的原因從來不是因為我的想法。賺大錢都是因為我坐得住。知道嗎?因為我坐得住!</span><br />
<span style="font-size: large;">“After spending many years in Wall Street and after making and losing millions of dollars I want to tell you this: it never was my thinking that made the big money for me. It was always my sitting. Got that? My sitting tight!- Jesse Livermore</span><br />
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<span style="font-size: large;">用期貨搭配避險,降低波動風險,可以讓你更坐得住!這個就是多空投資組合的精神奧義!</span><br />
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<span style="font-size: large;">本文方法不僅提供給存股族參考,程式交易的朋友們,不妨也把買進持有考慮進投資組合,再搭配自身善長的程式交易設計,形成另一個交易策略,不僅金融股,0050這類ETF也適合,這樣可以幫助在長線盤漲又沒行情的多頭市場裡平滑程式單的績效。</span><br />
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-22628169958113090752019-03-30T21:55:00.001-07:002019-12-31T06:50:04.442-08:00如何限制日內交易次數:EntriesToday(D) 、TotalTrades<span style="color: #e69138; font-size: large;"><b>函式:EntriesToday(D)</b></span><br />
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<span style="font-size: large;">我們要限制日內的交易次數,尤其當沖策略會派上用場,最簡單的方式是用「EntriesToday()」這個函式,其中於括弧內指定日期,可傳回該日進場的次數,例如要限制每日當沖次數不超過3次,語法舉例如下:</span><br />
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<span style="font-size: large;">If EntriesToday(Date) < 3 then begin </span><br />
<span style="font-size: large;">…(進場)</span><br />
<span style="font-size: large;">End;</span><br />
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<span style="font-size: large;">記得出場腳本要擺在上述控制外寫,以免出不了場。</span><br />
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<span style="color: #e69138; font-size: large;"><b>函式:TotalTrades</b></span><br />
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<span style="font-size: large;">EntriesToday定義的”今日”是以凌晨0:00起始計算,遇到交易時間跨日,例如台指夜盤(15:00~隔天05:00)就會遇到困擾,這個時候可以改用TotalTrades這個函式來因應。TotalTrades會回傳目前該策略總進出次數,注意是進出,而非進場,也就是進場後完成出場在TotalTrades才會算一次。接下來我們直接用一個簡單範例來示範控制台指當沖,日盤跟夜盤交易次數各不能超過3次。</span><br />
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<span style="font-size: large;"><i>inputs:Len1(5),Len2(20);</i></span><br />
<span style="font-size: large;"><i>Vars:ma1(0),ma2(0),tradequantity(0);</i></span><br />
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<span style="font-size: large;"><i>ma1=average(close,Len1);</i></span><br />
<span style="font-size: large;"><i>ma2=average(close,Len2);</i></span><br />
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<span style="font-size: large;"><i>if time=1345 then tradequantity=totaltrades;</i></span><br />
<span style="font-size: large;"><i>if time=500 then tradequantity=totaltrades;</i></span><br />
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<span style="font-size: large;"><i>If totaltrades < tradequantity + 3 and ma1 cross over ma2 then buy next bar at market;</i></span><br />
<span style="font-size: large;"><i>If totaltrades < tradequantity + 3 and ma1 cross below ma2 then sellshort next bar at market;</i></span><br />
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<span style="font-size: large;"><i>setprofittarget(4000);</i></span><br />
<span style="font-size: large;"><i>setstoploss(2000);</i></span><br />
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<span style="font-size: large;">其中,我們在上午盤最後一根K棒(time=1345)及下午盤最後一根K棒(time=500)將到當下的totaltrades儲存(更新)到自設變數tradequantity,在接下來的進場條件限制多加一條totaltrades < tradequantity + 3,如此,可以控制當totaltrades超過上一盤totaltrades逾3次就不再進場。<tradequantity font="" totaltrades=""></tradequantity></span><br />
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<br />大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-1154791192059414522019-03-30T08:52:00.000-07:002019-12-31T06:50:04.233-08:00用「斜率(LinearRegSlope)」/「角度(LinearRegAngle)」定義趨勢變化<span style="font-size: large;">有時我們看分析師的行情稿會有諸如仰角攻擊、均線走平這類的形容,確實,在MultiCharts裏用角度或斜率來定義趨勢是很直觀也容易運用的方法。</span><br />
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<span style="font-size: large;">首先讀者要稍微回憶一下中學數學--線性回歸(linear regression),可自行GOOGLE相關資料,不想花時間知其所以然,也沒關係,直接往下讀也不難上手應用。</span><br />
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<span style="font-size: large;">透過線性回歸計算,我們可以把某個區間的價格(例如過去5根K棒收盤價)計算其線性關係,如下圖所示,θ即是這條線與Y軸的角度,m斜率即是度量y與x變動比率。無論角度或斜率,在Powerlanguage都有內建函式可供直接引用計算。</span><br />
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<span style="color: #e69138; font-size: large;"><b>角度(LinearRegAngle)</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">行情強勢多頭,漲勢就會越接近90度,反之,行情重挫,下跌的角度就會接近-90度,很多人以為是要用斜率來表達價格趨勢的變化,其實用角度更為直觀。我們用LinearRegAngle這個函式可計算出角度:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">LinearRegAngle(Price, Len)</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">例如我們想表達上漲強度變強,也就是角度越來越陡,PowerLanguage我們可以這樣寫:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><i>Value1= LinearRegAngle(close, 5);</i></span><br />
<span style="font-size: large;"><i>Condition1=Value1>Value1[1];</i></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">意即,我們計算出最近5根K棒收盤價的線性角度,然後比較前一個角度,變大就代表角度變陡。因為單算收盤價的線性回歸往往變動太大反而難以定向趨勢,可以用均線來平滑取而代之,如下:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><i>Value1=Average(close,5);</i></span><br />
<span style="font-size: large;"><i>Value2= LinearRegAngle(Value1, 5);</i></span><br />
<span style="font-size: large;"><i>Condition1=Value2>Value2[1] and Value2>60;</i></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">如上,我們可以再多指定一個閥值,例如60度,角度上升且大於60度,定義出行情為強勢多頭。也有人再深入,就進到微積分的領域了。</span><br />
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<span style="font-size: large;"><br /></span>
<span style="color: #e69138; font-size: large;"><b>斜率(LinearRegSlope)</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">如前面所言,我們想表達(趨勢)斜率變陡或變平,我們其實想要的是角度而非斜率,或者說採用角度(LinearRegAngle)是比較值觀好用的,當然如果你堅持要用斜率也無不可,用法與上面角度一樣,斜率函式為:</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">LinearRegSlope(Price, Len)</span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
<span style="color: #e69138; font-size: large;"><b>結論與後記</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">其實我們都知道市場價格非線性,橫豎也回歸不出來,卻使用從線性回歸得出的角度或斜率似乎有些矛盾弔詭,不過無妨,這樣的運用提供我們一個量化且具體的數字跟邏輯,仍有其價值。在MultiCharts裏尚有Linear Reg Curve這個指標,主要是用到LinearRegValue這個函式,可以根據線性回歸公式算出目前甚至未來的”理論”價格,這類預測價格的做法,實務價值反而就不大了。</span><br />
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<span style="font-size: large;"><br /></span>
<span style="font-size: large;"><br /></span>
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<br />大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-72565871264427314502019-03-03T06:37:00.002-08:002019-12-31T06:50:05.279-08:00分批進場與分批出場<span style="font-size: large;">先建立一個觀念:把加減碼訊號分出來開發成獨立策略,再統整成一個投資組合(各訊號是獨立運行下單),往往比把多個交易訊號通通塞在單一策略裡要好,理由是分開寫可以獨立評估績效與調整,此外,合在一起寫也易發生因為語法控制不當導致訊號互相壓抑或是其他訊號不符預期的狀況。不過,還是會有需求要針對單一策略寫一些簡單的加減碼機制,介紹如下。</span><br />
<span style="font-size: large;"></span><br />
<a name='more'></a><span style="font-size: large;"><b><span style="color: #e69138;">更改「部位限制」設定值</span></b></span><br />
<span style="font-size: large;"><b><span style="color: #e69138;"><br /></span></b></span>
<span style="font-size: large;">在MultiCharts的預設值裡,交易訊號都是1口進1口出,所以如要達到分批進出,首先要去更改「部位限制」設定值,策略>屬性設定>部位限制,如下圖所示:</span><br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhiY9eniRI414b0keFnorBsUa7tmrZm25qDWMXusLa70VCLDwlId-1kIcVTogTQtlmvePehnT8xjUx_vT4kBAzhBvXqmt20UpQFePhHFDULnEgcv1n19rCgwsRtwslKkv-YcUW-lNUEl2OH/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030304.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="549" data-original-width="544" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhiY9eniRI414b0keFnorBsUa7tmrZm25qDWMXusLa70VCLDwlId-1kIcVTogTQtlmvePehnT8xjUx_vT4kBAzhBvXqmt20UpQFePhHFDULnEgcv1n19rCgwsRtwslKkv-YcUW-lNUEl2OH/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030304.jpg" /></span></a></div>
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<b><span style="color: #e69138; font-size: large;">範例程式碼1:分批進場,一次出場(面進點出)</span></b></div>
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<span style="font-size: large;"><br /></span></div>
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<span style="font-size: large;">我們以一個簡單的長短均線交叉策略為例,獲利50點加碼1口,獲利100點加碼第2口,回檔破近5根K的最高或最低點,部位全部平倉。在這裡出場指令(Sell及BuytoCover)都沒有指定口數,會執行全部平倉。</span></div>
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<span style="font-size: large;"><br /></span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjckNmhc6W_iYMHhjxKZ4t87pELsZZN_RjDnLGlwbxsnXKXx_J7GMti5yQnHinzJLmB7nTD-Qp5aFN_kTDSpIs9o5NehfI8s-MQFCzV7qV5RLCT9SaeeGqJEjlTMefMbJCRtSow8g_dLQ2C/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030301.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="361" data-original-width="461" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjckNmhc6W_iYMHhjxKZ4t87pELsZZN_RjDnLGlwbxsnXKXx_J7GMti5yQnHinzJLmB7nTD-Qp5aFN_kTDSpIs9o5NehfI8s-MQFCzV7qV5RLCT9SaeeGqJEjlTMefMbJCRtSow8g_dLQ2C/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030301.jpg" /></span></a></div>
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<span style="font-size: large;"><br /></span></div>
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<span style="font-size: large;">========================================</span></div>
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<i><span style="font-size: large;">input:len1(5),len2(20);</span></i></div>
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<i><span style="font-size: large;">vars:ma1(0),ma2(0);</span></i></div>
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<i><span style="font-size: large;">ma1=average(close,len1);</span></i></div>
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<i><span style="font-size: large;">ma2=average(close,len2);</span></i></div>
<div>
<i><span style="font-size: large;"><br /></span></i></div>
<div>
<i><span style="font-size: large;">if marketposition<>1 and ma1 cross over ma2 then buy("LE") 1 contracts next bar at market; </span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts=1 then buy("LE+1") 1 contracts next bar at entryprice+50 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts=2 then buy("LE+2") 1 contracts next bar at entryprice+100 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts>1 then Sell("L_Plus_out") next bar at lowest(Low,5) stop;</span></i></div>
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<i><span style="font-size: large;"><br /></span></i></div>
<div>
<i><span style="font-size: large;">if marketposition<>-1 and ma1 cross below ma2 then sellshort("SE") 1 contracts next bar at market;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts=1 then Sellshort("SE+1") 1 contracts next bar at entryprice-50 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts=2 then Sellshort("SE+2") 1 contracts next bar at entryprice-100 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts>1 then buytocover("S_Plus_out") next bar at highest(High,5) stop;</span></i></div>
</div>
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<span style="font-size: large;">========================================</span></div>
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<span style="font-size: large;"><br /></span></div>
<div>
<div>
<span style="font-size: large;">其中「marketposition=1 and currentcontracts=1」 表示目前部位是1口多單在倉,「marketposition=1 and currentcontracts=2」則表示目前是2口多單在倉,這樣寫法可以協助較精確控制部位,如果加碼邏輯較複雜時可派上用場,但有個缺點,就是當遇到同一根K棒同時達到獲利50及100點(同時滿足兩個加碼單的條件),但第二個加碼單會在下一根K棒才進場。</span></div>
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<span style="font-size: large;"><br /></span></div>
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<b><span style="color: #e69138; font-size: large;">範例程式碼2:分批進場,分批出場(面進面出)</span></b></div>
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<b><span style="color: #b45f06; font-size: large;"><br /></span></b></div>
<div>
<span style="font-size: large;">承上例,不同的是出場當從高點或低點回檔30點,只把加碼部位出場,這邊要就要在平倉指令(Sell及BuytoCover)後面指定平倉口數,語法為:</span></div>
<div>
<span style="font-size: large;"><br /></span></div>
<div>
<i><span style="font-size: large;">Sell N Contracts Total</span></i></div>
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<span style="font-size: large;"><br /></span></div>
<div>
<span style="font-size: large;">留意要加Total這個保留字,才能達到指定口數平倉(有沒有加「Total」差別請看附註)。此外,<span style="color: #cc0000;">也有可能部分平倉後又立刻符合加碼條件,導致馬上加碼單又進場,這個就要另外靠程式碼去細部控制了</span>。</span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhNqkYxf5-b2ZVQuH0kcxWILi-I5mDWJac0qFuAheUboZborkKY31mNWgRn5Grivml3ZFsVJC__AA9oytCe9p3_MQf858BDfiCUjJjPy6dNB7kRUSTgQUNofd5bxjo18BlN3TR62VPAkzIN/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030302.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="298" data-original-width="551" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhNqkYxf5-b2ZVQuH0kcxWILi-I5mDWJac0qFuAheUboZborkKY31mNWgRn5Grivml3ZFsVJC__AA9oytCe9p3_MQf858BDfiCUjJjPy6dNB7kRUSTgQUNofd5bxjo18BlN3TR62VPAkzIN/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030302.jpg" /></span></a></div>
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<span style="font-size: large;"><br /></span></div>
<div>
<span style="font-size: large;">========================================</span></div>
<div>
<i><span style="font-size: large;">input:len1(5),len2(20);</span></i></div>
<div>
<i><span style="font-size: large;">vars:ma1(0),ma2(0);</span></i></div>
<div>
<i><span style="font-size: large;">ma1=average(close,len1);</span></i></div>
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<i><span style="font-size: large;">ma2=average(close,len2);</span></i></div>
<div>
<i><span style="font-size: large;"><br /></span></i></div>
<div>
<i><span style="font-size: large;">if marketposition<>1 and ma1 cross over ma2 then buy("LE") 1 contracts next bar at market; </span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts=1 then buy("LE+1") 1 contracts next bar at entryprice+50 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts=2 then buy("LE+2") 1 contracts next bar at entryprice+100 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts>1 then Sell("L_Plus_out") currentcontracts-1 contracts total next bar at lowest(Low,5) stop;</span></i></div>
<div>
<i><span style="font-size: large;"><br /></span></i></div>
<div>
<i><span style="font-size: large;">if marketposition<>-1 and ma1 cross below ma2 then sellshort("SE") 1 contracts next bar at market;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts=1 then Sellshort("SE+1") 1 contracts next bar at entryprice-50 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts=2 then Sellshort("SE+2") 1 contracts next bar at entryprice-100 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts>1 then buytocover("S_Plus_out") currentcontracts-1 contracts <span style="white-space: pre;"> </span>total next bar at highest(High,5) stop;</span></i></div>
<div>
<span style="font-size: large;">========================================</span></div>
<div>
<span style="font-size: large;"><br /></span></div>
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<b><span style="color: #e69138; font-size: large;">範例程式碼3:指定平倉</span></b></div>
<div>
<span style="font-size: large;"><br /></span></div>
<div>
<span style="font-size: large;">在MultiCharts中平倉順序是採先進先出,指定平倉可以無視進場訊平掉特定進場訊號的部位,例如我們指定平掉第2個加碼單,語法為:</span><br />
<span style="font-size: large;"><br /></span></div>
<div>
<span style="font-size: large;"><i>Sell from Entry("LE+2")</i></span></div>
<div>
<span style="font-size: large;"><br /></span></div>
<div>
<span style="font-size: large;">其中” LE+2”就是對應第二次加碼進場訊號的名稱(也可以從MC的圖上面看進出訊號連接線來比對)。一樣,<span style="color: #cc0000;">也有可能部分平倉後又立刻符合加碼條件,導致馬上加碼單又進場,這個就要另外靠程式碼去細部控制了</span>。</span></div>
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<span style="font-size: large;"><br /></span></div>
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<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEijzkHoyONCmeOqrYB4s3klU8VkmF0yKZwfwibGLzgQ9j5eV7MT7jxCusANzIIWTRchPwujRQ9tdVCW1OxxlRMnpdh8qjvH3xCVAspePz4s9U0MUtdSr6xt4WHuuveDbGS6I8mcKgYaQRVG/s1600/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030303.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="296" data-original-width="622" height="190" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEijzkHoyONCmeOqrYB4s3klU8VkmF0yKZwfwibGLzgQ9j5eV7MT7jxCusANzIIWTRchPwujRQ9tdVCW1OxxlRMnpdh8qjvH3xCVAspePz4s9U0MUtdSr6xt4WHuuveDbGS6I8mcKgYaQRVG/s400/Multicharts_%25E5%2588%2586%25E6%2589%25B9%25E9%2580%25B2%25E5%2587%25BA%25E5%25A0%25B42019030303.jpg" width="400" /></span></a></div>
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<span style="font-size: large;"><br /></span></div>
<div>
<span style="font-size: large;">========================================</span></div>
<div>
<div>
<i><span style="font-size: large;">input:len1(5),len2(20);</span></i></div>
<div>
<i><span style="font-size: large;">vars:ma1(0),ma2(0);</span></i></div>
<div>
<i><span style="font-size: large;">ma1=average(close,len1);</span></i></div>
<div>
<i><span style="font-size: large;">ma2=average(close,len2);</span></i></div>
<div>
<i><span style="font-size: large;"><br /></span></i></div>
<div>
<i><span style="font-size: large;">if marketposition<>1 and ma1 cross over ma2 then buy("LE") 1 contracts next bar at market; </span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts=1 then buy("LE+1") 1 contracts next bar at entryprice+50 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 and currentcontracts=2 then buy("LE+2") 1 contracts next bar at entryprice+100 stop;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=1 then Sell("L_Plus_out") from entry("LE+2") next bar at lowest(Low,5) stop;</span></i></div>
<div>
<i><span style="font-size: large;"><br /></span></i></div>
<div>
<i><span style="font-size: large;">if marketposition<>-1 and ma1 cross below ma2 then sellshort("SE") 1 contracts next bar at market;</span></i></div>
<div>
<i><span style="font-size: large;">if marketposition=-1 and currentcontracts=1 then Sellshort("SE+1") 1 contracts next bar at entryprice-50 stop;</span></i></div>
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<i><span style="font-size: large;">if marketposition=-1 and currentcontracts=2 then Sellshort("SE+2") 1 contracts next bar at entryprice-100 stop;</span></i></div>
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<i><span style="font-size: large;">if marketposition=-1 then buytocover("S_Plus_out") from entry("SE+2") next bar at highest(High,5) stop;</span></i></div>
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<span style="font-size: large;">========================================</span></div>
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<b><span style="color: #e69138; font-size: large;">結論</span></b></div>
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<span style="font-size: large;"><br /></span></div>
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<span style="font-size: large;">還是建議交易人把加減碼訊號分出來開發成獨立策略,再統整成一個投資組合(各訊號是獨立運行下單),如要把加減碼進出寫在同一訊號,務必檢查進出訊號是否符合預期,有沒有發生重複進出場的問題。</span></div>
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<b><span style="font-size: large;">備註:</span></b></div>
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<b><span style="font-size: large;"><br /></span></b></div>
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<span style="font-size: large;">一般我們使用出場指令(Sell及BuytoCover)都不會特意去指定平倉口數,想當然爾會以為像下面這樣寫,就是平倉2口多單的意思:</span></div>
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<span style="font-size: large;"><br /></span></div>
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<span style="font-size: large;"><i>Sell 2 Contracts<span style="white-space: pre;"> </span> </i></span></div>
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<span style="font-size: large;"><br /></span></div>
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<span style="font-size: large;">其實是大誤,細讀<a href="https://www.multicharts.com/trading-software/index.php/Sell" target="_blank">官方sell語法解釋</a>:</span></div>
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<span style="font-size: large;">Sell[("ExitLabel")] [From Entry("EntryLabel")] [TradeSize[Total]] Exit</span></div>
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<span style="font-size: large;">其中對於TradeSize 的定義:By default, the number of contracts or shares specified by the TradeSize parameter will be sold from each one of the open long entries.</span></div>
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<span style="font-size: large;"><br /></span></div>
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<span style="font-size: large;">也就是寫Sell 2 Contracts是告訴程式每個進場訊號出2口。如果目前的持倉部位是來自同一個進場訊號那就沒有問題,但如果倉位是來自不同訊號,例如2個訊號,我們就會發現出場的口數會變成4口(如果倉位小於4就會全出),就跟我們想的不一樣。因此,正確寫法應該是:</span></div>
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<span style="font-size: large;"><i>Sell 2 Contracts Total</i></span></div>
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com1tag:blogger.com,1999:blog-248441654884416029.post-1199764810481512542019-02-17T07:35:00.000-08:002019-12-31T06:50:04.245-08:00亞當理論與程式交易<span style="font-size: large;">「亞當理論」這四個字在市場算蠻常被引用出來,那倒底甚麼是亞當理論,該書第一章開門見山狂言「亞當理論會告訴交易者,市場最可能進行的方向。只要運用亞當理論的技術,交易者就可以預估並確實見到市場進行的路線」,但接著我們讀到不知所云的映象與對稱理論,難免感到失望。不過稍微了解了它的作者Wilder背景,Wilder作為一個技術分析大師最為人知(RSI、SAR等指標發明人),但其實他也是一位典型的投顧老師,包裝行銷、夸夸其談更是其專長,所以甚麼是亞當理論呢?筆者讀完真是覺得模模糊糊,</span><span style="font-size: large;">硬要一言以蔽之,就是「順勢交易」四個字而已,其內涵倒也跟程式交易不謀而合。不過公道來講,書中提到的順勢交易、要停損、接受虧損、獲利加碼等等普世觀念,對新手來講算是整理的完整,值得一看,整理摘錄在文末。</span><br />
<div class="separator" style="clear: both; text-align: center;">
<a href="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjT2rsn0iTy2ILlSBIOWeKV5LUeFPzDfA1kSshEqftFzEQFfU62Vt3r42875zxmpYjMyH32O4sS_EOhsCJUf9uDlQbP3enlS-io6qMkgA52Zsy_HqGovtplfRhO-sUmFQpoSx2OxApMNeO7/s1600/MultiCharts_%25E4%25BA%259E%25E7%2595%25B6%25E7%2590%2586%25E8%25AB%25962019021701.jpg" imageanchor="1" style="margin-left: 1em; margin-right: 1em;"><span style="font-size: large;"><img border="0" data-original-height="512" data-original-width="384" height="320" src="https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjT2rsn0iTy2ILlSBIOWeKV5LUeFPzDfA1kSshEqftFzEQFfU62Vt3r42875zxmpYjMyH32O4sS_EOhsCJUf9uDlQbP3enlS-io6qMkgA52Zsy_HqGovtplfRhO-sUmFQpoSx2OxApMNeO7/s320/MultiCharts_%25E4%25BA%259E%25E7%2595%25B6%25E7%2590%2586%25E8%25AB%25962019021701.jpg" width="240" /></span></a></div>
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<a name='more'></a><br />
<span style="font-size: large;">在第25章「何時進場交易」中,作者提示了三個進場的線索(機會),都是可以由應用到程式交易的進場策略,本文探究並找出相對應的交易策略,分享如下:</span><br />
<span style="font-size: large;"><br /></span>
<span style="color: #b45f06; font-size: large;"><b>進場線索1:突破</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">這個不用多說,是最典型的進場訊號,舉凡<a href="http://seekingalpha-tainan.blogspot.tw/2017/08/dynamic-breakout-systemdbs.html">DBS</a>、<a href="http://seekingalpha-tainan.blogspot.tw/2017/07/opening-range-breakoutorb.html">ORB</a>等等都是,這在我們部落格有許多文章介紹。</span><br />
<span style="font-size: large;"><br /></span>
<span style="color: #b45f06; font-size: large;"><b>進場線索2:趨勢改變</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">作者意指,確認趨勢的轉變而進場,型態面有例如盤整而後突破,下跌而後V轉(<a href="https://seekingalpha-tainan.blogspot.com/2016/12/pivot-highpivot-low.html">Pivot Low</a>),上漲而後A轉(<a href="https://seekingalpha-tainan.blogspot.com/2016/12/pivot-highpivot-low.html">Pivot High</a>),此外多數技術指標型的交易策略也屬此項,例如均線金叉轉死叉、SAR指標多翻空等等都是。一樣在我們的部落格多也介紹,讀者可以直接參看彙整的<a href="https://seekingalpha-tainan.blogspot.com/p/blog-page_9.html">網頁</a>。</span><br />
<span style="font-size: large;"><br /></span>
<span style="color: #b45f06; font-size: large;"><b>進場線索3:缺口或當日高低差擴大</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">作者是這樣定義的:「市場本來相當沉悶,但突然之間跳空向上(或向下),或是當日高低差顯著增加,即顯示市場已經甦醒」。之前我們有一篇<a href="https://seekingalpha-tainan.blogspot.com/2019/02/multicharts.html">突破缺口操作策略</a>,大抵也是這個概念,另外布林通道壓縮放大、Keltner Channel(MC有內建)等都屬遇此類進場邏輯。</span><br />
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<span style="font-size: large;"><br /></span>
<span style="color: #b45f06; font-size: large;"><b>附錄:摘錄「亞當理論」交易十大守則</b></span><br />
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">1.<span style="white-space: pre;"> </span>賠錢的部位絕對不要攤平。</span><br />
<span style="font-size: large;">2.<span style="white-space: pre;"> </span>進場同時設好停損。</span><br />
<span style="font-size: large;">3.<span style="white-space: pre;"> </span>除非是朝有利的方向,否則絕對不要取消或是改變停損。</span><br />
<span style="font-size: large;">4.<span style="white-space: pre;"> </span>絕對不讓小損失擴大為難以收拾的大虧損。</span><br />
<span style="font-size: large;">5.<span style="white-space: pre;"> </span>任何一筆交易或是任一天最大虧損都不可超過10%。</span><br />
<span style="font-size: large;">6.<span style="white-space: pre;"> </span>不要猜頭摸底。</span><br />
<span style="font-size: large;">7.<span style="white-space: pre;"> </span>不要逆勢操作。</span><br />
<span style="font-size: large;">8.<span style="white-space: pre;"> </span>任何一種分析都會出錯,不要偏執,保持彈性。</span><br />
<span style="font-size: large;">9.<span style="white-space: pre;"> </span>交易不順時,不妨休息。</span><br />
<span style="font-size: large;">10.<span style="white-space: pre;"> </span>認清自己。</span><br />
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大頭傑http://www.blogger.com/profile/06065007390476454970noreply@blogger.com0tag:blogger.com,1999:blog-248441654884416029.post-58861001257983341052019-02-11T21:58:00.000-08:002019-12-31T06:50:05.085-08:00範例程式碼下載(TEST)<div style="text-align: left;">
<span style="background-color: #e06666; color: white; font-size: large;"> 程式交易快譯通,快快學,慢慢想 </span></div>
<span style="font-size: large;"><br /></span>
<span style="font-size: large;">親愛的程式交易同好你們好,基於網路分享一起成長的精神,本站的範例程式碼在貼文中都有完整貼出來,但部落格(Blogger)在貼上程式碼有時會出現亂碼或短缺情況,或是網友複製貼回自己的PowerLanguge Editor會有缺漏,因此在這邊另外提供pla檔,下載後可以直接匯入PowerLanguge Editor。</span><br />
<h3 class="post-title entry-title" itemprop="name" style="background-color: white; color: #444444; font-family: arial, tahoma, helvetica, freesans, sans-serif; font-stretch: normal; line-height: normal; margin: 0px; position: relative;">
<span style="font-size: large;"><br /></span></h3>
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<h3 class="post-title entry-title" itemprop="name" style="background-color: white; color: #444444; font-family: arial, tahoma, helvetica, freesans, sans-serif; font-stretch: normal; line-height: normal; margin: 0px; position: relative;">
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<h3 class="post-title entry-title" itemprop="name" style="background-color: white; color: #444444; font-family: arial, tahoma, helvetica, freesans, sans-serif; font-stretch: normal; line-height: normal; margin: 0px; position: relative;">
<span style="font-size: large;">$ 交易濾網:利用季節特性</span></h3>
<span style="font-size: large;">程式碼下載:</span><br />
<a href="https://www.dropbox.com/s/nstlg5qz7vtnti3/Day%20of%20week%20TEST.pla?dl=0"><span style="font-size: large;">https://www.dropbox.com/s/nstlg5qz7vtnti3/Day%20of%20week%20TEST.pla?dl=0</span></a><br />
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<h3 class="post-title entry-title" itemprop="name" style="background-color: white; color: #444444; font-family: arial, tahoma, helvetica, freesans, sans-serif; font-stretch: normal; line-height: normal; margin: 0px; position: relative;">
<span style="font-size: large;">$ 突破缺口進場策略</span></h3>
<span style="font-size: large;">程式碼下載:</span><span style="font-size: large;"><a href="https://www.dropbox.com/s/gkacqqed4kmnjha/Breakaway%20Gap.pla?dl=0">https://www.dropbox.com/s/gkacqqed4kmnjha/Breakaway%20Gap.pla?dl=0</a></span><br />
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