關於另一篇的回測結果（程式交易之技術分析策略探討－MACD指標），還是有差距。
設定：標的-台指、週期-15分k、時間範圍-2001/1/2~2011/8/31、平台-MC、大大附的程式只修改為mc的進出場指令、來回費用1000。
小弟的回測結果（程式應該是有1+2濾網）：
原板大的結果：
小弟用的程式碼：
- input : FMA(13),SMA(26),MMA(9);
- var : BuyFlag(false),SellFlag(false),Dif(0),xMacd(0),Dem(0);
- Dif=MACD(Close, FMA, SMA);
- Dem=XAverage(MACD(Close, FMA, SMA), MMA);
- xMacd=Dif-Dem;
- if Dif cross over Dem then begin
- BuyFlag=true;
- SellFlag=false;
- end;
- if Dif cross under Dem then begin
- SellFlag=true;
- BuyFlag=false;
- end;
- if time < iff(condition1,1315,1330) and buyflag=true and xMacd > xMacd[1] and xMacd[1] > xMacd[2] and high > lowd(0)+1.5*average(high-low,3)
- then buy next bar at highest(high,3)+1 stop;
- if time < iff(condition1,1315,1330) and sellflag=true and xMacd < xMacd[1] and xMacd[1] < xMacd[2] and low < highd(0)-1.5*average(high-low,3)
- then sellshort next bar at lowest(low,3)-1 stop;
- if marketposition>0 then sell next bar at entryprice-200 stop;
- if marketposition<0 then buytocover next bar at entryprice+200 stop;
- Condition1=(dayofweek(date)=3 and dayofmonth(date) > 14 and 22 > dayofmonth(date))
- or date=1040127
- or date=1070226
- or date=1100617
- or date=1100222;
-
- if condition1=true then begin
- if time>1314 then begin
- sell this bar on close;
- buytocover this bar on close;
- end;
- end;
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發表於 11-9-5 00:45
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