Ape Research 林培勝的交易研究: 3月 2010

2010年3月16日星期二

背離的完整程式範例 CCI Divergence Strategy

接續上一篇文章 Macd 背離的程式碼，上一篇是一個指標，可以在發生背離的時候自動在圖上面標示出來，現在我們來把它實做成一個完整的程式，而且把 Macd 改成 CCI，在盤整或震盪的時候，可以抓到很不錯的交易機會。

上面是一個台指五分鐘圖的訊號範例，以那天來說算是不錯，下面是原始碼有興趣的可以繼續研究，Tradestation 8 和 MultiCharts 都適用。

inputs:   
 CCILength( 14 ) , 
 Strength( 5 ),  
 Length( 90 ) , 
 PlotSeries( 1 ) ;  // 1 for Plot Series Stream 1, 2 for Plot Series Stream 2 
 
variables: 
 CCIVal( 0 ) , 
 BullDivergence( False ), 
 BearDivergence( False ), 
 oSw1Series1( 0 ),  
 oSw1Series2( 0 ),  
 oSw2Series1( 0 ),  
 oSw2Series2( 0 ),  
 oSw1Series3( 0 ),  
 oSw1Series4( 0 ),  
 oSw2Series3( 0 ),  
 oSw2Series4( 0 ),  
 oSw1BarSeries1( 0 ) ,  
 oSw1BarSeries2( 0 ) ,  
 oSw2BarSeries1( 0 ) ,  
 oSw2BarSeries2( 0 ) ,  
 oSw1BarSeries3( 0 ) ,  
 oSw1BarSeries4( 0 ) ,  
 oSw2BarSeries3( 0 ) ,  
 oSw2BarSeries4( 0 ) ,  
 HiLo( 0 ) , { pass in 1 for BearishDiv (based on SwingHighs), -1 for  
       BullishDiv (based on SwingLows) } 
 TL_IDBull( 0 ) , 
 TL_IDBear( 0 ) ; 
 
CCIVal = CCI( CCILength ) ;  
 
HiLo = 1 ; 
//Most recent Price Pivot High 
Value1 = Pivot( High, Length, Strength, Strength, 1, HiLo, oSw1Series1, oSw1BarSeries1 ) ; 
//Most recent MACDDiff Pivot High 
Value2 = Pivot( CCIVal, Length, Strength, Strength, 1, HiLo, oSw1Series2, oSw1BarSeries2 ) ; 
//Second most recent Price Pivot High 
Value3 = Pivot( High, Length, Strength, Strength, 2, HiLo, oSw2Series1, oSw2BarSeries1 ) ; 
//Second most recent MACDDiff Pivot High 
Value4 = Pivot( CCIVal, Length, Strength, Strength, 2, HiLo, oSw2Series2, oSw2BarSeries2 ) ; 
 
HiLo = - 1 ; 
//Most recent Price Pivot Low 
Value5 = Pivot( Low, Length, Strength, Strength, 1, HiLo, oSw1Series3, oSw1BarSeries3 ) ; 
//Most recent MACDDiff Pivot Low 
Value6 = Pivot( CCIVal, Length, Strength, Strength, 1, HiLo, oSw1Series4, oSw1BarSeries4 ) ; 
//Second most recent Price Pivot Low 
Value7 = Pivot( Low, Length, Strength, Strength, 2, HiLo, oSw2Series3, oSw2BarSeries3 ) ; 
//Second most recent MACDDiff Pivot Low 
Value8 = Pivot( CCIVal, Length, Strength, Strength, 2, HiLo, oSw2Series4, oSw2BarSeries4 ) ; 
 
 
 
if  Value3 = 1 { pivot found; this automatically implies that Value1 also 1 } 
 and Value4 = 1 { pivot found; this automatically implies that Value2 also 1 } and  
 ( oSw1Series1 > oSw2Series1 and oSw1Series2 < oSw2Series2 ) and 
 AbsValue( oSw2BarSeries1 - oSw2BarSeries2) <= 5 then 
  BearDivergence = True  
 else  
  BearDivergence = False ; 
 
if  Value7 = 1 { pivot found; this automatically implies that Value5 also 1 } 
 and Value8 = 1 { pivot found; this automatically implies that Value6 also 1 } and  
 ( oSw1Series3 < oSw2Series3 and oSw1Series4 > oSw2Series4 ) and 
 AbsValue( oSw2BarSeries3 - oSw2BarSeries4) <= 5 then 
  BullDivergence = True  
 else  
  BullDivergence = False ; 
 
   
if bulldivergence=true and ccival < 0 then 
 buy next bar at market; 
 
 
if BearDivergence = true and ccival > 0 then 
 sell short next bar at market;

原始的文章出處在 Tradestation 官方的討論區 https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=40715

2010年3月10日星期三

盈透證券 Interactive Brokers 免費試用

IB盈透證券的優點我想你從網路上已經看到很多了，總結就是

超低交易手續費 - 比本土券商拿到的成本還便宜
全球的市場 - 你想得到的都有，你想不到的也有
最先進的網路交易軟體 - 包含了程式交易的API
便宜的換匯成本 - 對於時常在多市場快速轉移資金很重要

他的交易軟體叫做 TWS，Windows跟Mac,Unix的平台都有，而且是多國語言有中文繁體。

網路上很少人談到他們有提供試用帳號，如果你對這個券商有興趣，可不用大費周章的先開戶匯款，軟體先下載來試用看看網路交易平台可以做到多麼先進，下載連結 http://www.interactivebrokers.com.hk/cn/p.php?f=tws&ib_entity=cn ，用demo的帳號密碼登入就可以馬上使用了。