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