如何用AmiBroker做績效回測(作者 michael-knight)

生猛海鮮 · 發表於 09-12-15 19:38

哇靠，寫蝦米，看攏某。

綠茶妹 · 發表於 09-12-15 20:21

希望能有更多AB達人，
才能讓高手不寂寞。
michael大真是太神了。

hkcarnby · 發表於 09-12-25 18:14

網上有沒有利佛摩操盤手法的ab程式?

綠茶妹 · 發表於 09-12-26 20:07

李佛摩爾用突破法，
請問有詳細的公式嗎？
這樣子才能轉成AB程式。

TrendRover · 發表於 10-1-5 21:45

回復 36# 綠茶妹

Livermore-strategy-TS-code.rar (25.95 KB, 下載次數: 523)
從海洋 Multichart ZONE copy paste a doc file .

只有TS CODE 不知這是不是LIVERMORE 精神還沒詳細讀CODE.

我不太熟AB CODING 就靠你們了 .
這些日子 AB C# RE OQ MC 在一個月內 SURVEY 完眼睛都快更老花了
AB manual 是K 不下了晚個幾個月再回頭 K
以前對 MC 觀念是 BUG 一堆 ( SOMEBODY POST in forum somewhere )
不知現在是否依然故我　？？

綠茶妹 · 發表於 10-1-5 21:54

本帖最後由綠茶妹於 10-1-5 09:55 PM 編輯

謝謝分享！
ab的範例我覺得不夠多，
尤其是交易策略的部份。
我現在看到的afl程式都只是單一的程式，有點像畫圖功能。
但是自動回測的範例好少。

hkcarnby · 發表於 10-1-5 23:06

這個file黃金鼠大大懂不懂轉成ab?

黃金鼠 · 發表於 10-1-6 12:53

耳朵好癢，有人叫我。
我不會轉成AB。我會看圖說故事。
下面註解的中文字是我寫的。

{
{這種符號是註解}
Livermore Market Method Signal
Ref[1]: Chapters VIII & IX of "How to Trade in Stocks", Jesse L. Livermore
v1 ghkramer - 5Oct03
v1.1 ghkramer - 11Oct03, Added switch to deactive Rule 10 logic
===============
Program Overview
This program classifies price action into the following states based upon
rules in Ref[1]:
- Up Trend
- Natural Rally
- Secondary Rally
- Down Trend
- Natural Reaction
- Secondary Reaction
State change is determined by a user specified threshold of price change.
The program also determines a number of pivot points:
- Peak Up Trend Price
- Peak Natural Rally Price
- Bottom Down Trend Price
- Bottom Natural Reaction Price
- Key Price (requires two stocks, i.e., 2 or more data streams (Rule 7), not yet implemented)
This program may be used as a basis for a number of studies:
- trend paint bars,
- pivot price indicator lines
- strategies (trend following and/or breakout/breakdown)
For a detailed explanation of the system see Ref[1].
This program reflects the author's interpretation of Livermore's writing.
There is no guarantee the this program accurately or fully incorporates
Livermore's Market Key system.
}
input: PtsPctATR(0), Threshold(6), ATRLength(14), TradeTrends(1);
{輸入變成有4個，要最佳化時可以用這個變數來跑。}
{ PtsPctATR: 0 for Threshold in points,
1 for Threshold in Percent
2 for Threshold in multiples of ATR
Threshold: in Points (if PtsPct = 0)
in Percent (if PtsPct = 1)
in ATR Multiples (if PtsPct = 2)
ATRLength(14) : only used when PtsPctATR = 2
TradeTrends: 1 = Trade Up and Down Trends only
0 = Long for Up Trends and Rallies, Short for Dn Trends and Reactions
Note: Livermore's system used a threshold of 6 points for stocks priced over $30.
This is the default (PtsPctATR = 0, Threshold = 6).
}
var:
{內部變數}
SecondaryRally(0), NaturalRally(0), UpTrend(0),
SecondaryReaction(0), NaturalReaction(0), DnTrend(0),
DnTrendBL(0), NaturalRallyBL(0), {BL = Black Line}
UpTrendRL(0), NaturalReactionRL(0), {RL = Red Line}
InSecRally(false), InNatRally(false), InUpTrend(false),
InSecReact(false), InNatReact(false), InDnTrend(false),
ResumeUpTrend(false), ResumeDnTrend(false),
MA10(0), Thresh(0), HalfThresh(0),
UseRule10(false), {set to true to use Livermore's Rule 10, note: system may become unstable}
Debug(false); {set to true for output}
{initialization}
{初始化部份}
if (CurrentBar = 1) then
begin
if (PtsPctATR = 0) {use Points} then
begin
Thresh = HalfThresh ;
HalfThresh = Thresh/2;
{HalfThresh的數值等於HalfThresh除以2}
end;
SecondaryRally = Close;
NaturalRally = Close;
UpTrend = Close;
SecondaryReaction = Close;
NaturalReaction = Close;
DnTrend = Close;
{然後這一串變數，都初始化為今天的收盤價}
end;
if (CurrentBar <= 21) then {initialization continued}
begin
MA10 = Average(Close, 10);
{MA10的數值為今天的10日收盤平均價}
if (CurrentBar = 21) then
begin
if (MA10 > MA10[10]) then {assume UpTrend}
{奇怪了..MA10和MA10[10] 有何不同？看不懂}
begin
InUpTrend = true;
{這種情況下，我們設InUpTrend為"真"，即突破的上升趨勢}
UpTrend = C;
end
else {assume DnTrend}
begin
InDnTrend = true;
DnTrend = C;
end;
end;
end
else {Main}
begin {calc current Threshold if required}
if (PtsPctATR = 1) then {use Percent change Thresh, calc on every bar }
begin
Thresh = Threshold*Close[1]/100;
HalfThresh = Thresh/2;
end
else if (PtsPctATR = 2) then {use ATR multiples for Thresh, calc on every bar }
begin
Thresh = Threshold*AvgTrueRange(14);
{Thresh為Threshold乘上14天的ATR}
HalfThresh = Thresh/2;
end;
{Process by Current State}
{------Up Trend State-------}
if InUpTrend then
begin
if (Close > (NaturalReaction + Threshold)) then
NaturalReactionRL = NaturalReaction; {Rule 4b}
if ResumeUpTrend then {Rule 10 logic. Note: system becomes unstable if used}
begin
if (Close > (UpTrendRL + HalfThresh)) then
begin
ResumeUpTrend = false; {Rule 10a}
UpTrend = Close;
if Debug then print(date, Close, " Node 1", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < (UpTrendRL - HalfThresh)) then {UpTrend Over, return to NaturalReaction}
begin
ResumeUpTrend = false;
InUpTrend = false; {Rule 10b}
InNatReact = true;
NaturalReaction = Close;
if Debug then print(date, Close, " Node 2", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end;
end
else if (Close < (UpTrend - Thresh)) then {start NaturalReaction}
begin {Rules 4a, 6a}
InUpTrend = false;
InNatReact = true;
NaturalReaction = Close;
UpTrendRL = UpTrend; {Pivot Pt, Rule 8}
ResumeUpTrend = false;
if Debug then print(date, Close, " Node 3", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > UpTrend) then {remain in UpTrend, record higher price}
UpTrend = Close; {Rule 1, 4b, 6d}
end {InUpTrend}
{------Natural Rally State-------}
else if InNatRally then
begin
if (Close > (NaturalReaction + Threshold)) then
NaturalReactionRL = NaturalReaction; {Rule 4b}
if (Close > UpTrend) then {resume UpTrend}
begin {Rules 6d, 6f}
InUpTrend = true;
InNatRally = false;
UpTrend = Close;
if UseRule10 then ResumeUpTrend = true;
if Debug then print(date, Close, " Node 4", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > (NaturalRallyBL + HalfThresh)) then {resume UpTrend}
begin {Rules 5a}
InUpTrend = true;
InNatRally = false;
UpTrend = Close;
if UseRule10 then ResumeUpTrend = true;
if Debug then print(date, Close, " Node 5", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < DnTrend) then {start DnTrend}
begin {Rule 6b}
InNatRally = false;
InDnTrend = true;
DnTrend = Close;
NaturalRallyBL = Close; {rule 4d}
if Debug then print(date, Close, " Node 6", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < (NaturalRally - Thresh)) then
begin
if (Close < NaturalReaction) then {start NaturalReaction}
begin {Rules 4d, 6b}
InNatRally = false;
InNatReact = true;
NaturalReaction = Close;
NaturalRallyBL = Close; {rule 4d} {Pivot Pt, Rule 9b}
if Debug then print(date, Close, " Node 7", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else {start SecondaryReaction}
begin {Rule 6h}
InNatRally = false;
InSecReact = true;
SecondaryReaction = Close;
if Debug then print(date, Close, " Node 8", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end;
end
else if (Close > NaturalRally) then {remain in NaturalRally, record higher price}
NaturalRally = Close; {Rule 3, 6c, 6d}
end {InNatRally}
{------Secondary Rally State-------}
else if InSecRally then
begin
if (Close > UpTrend) then {resume UpTrend}
begin {Rules 6d, 6f}
InUpTrend = true;
InSecRally = false;
UpTrend = Close;
if UseRule10 then ResumeUpTrend = true;
if Debug then print(date, Close, " Node 9", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > (NaturalRallyBL + HalfThresh)) then {resume UpTrend}
begin {Rules 5a}
InUpTrend = true;
InSecRally = false;
UpTrend = Close;
if UseRule10 then ResumeUpTrend = true;
if Debug then print(date, Close, " Node 10", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > NaturalRally) then {start NaturalRally}
begin {Rule 6g}
InSecReact = false;
InNatRally = true;
NaturalRally = Close;
if Debug then print(date, Close, " Node 11", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < DnTrend) then {start DnTrend}
begin {Rule 6b}
InSecRally = false;
InDnTrend = true;
DnTrend = Close;
NaturalRallyBL = Close; {rule 4d} {Pivot Pt, Rule 9b}
if Debug then print(date, Close, " Node 12", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > SecondaryRally) then {remain in SecondaryRally, record higher price}
SecondaryRally = Close; {Rule 3, 6g}
end {InSecRally}
{------Down Trend State-------}
else if InDnTrend then
begin
if (Close < (NaturalRally - Threshold)) then
NaturalRallyBL = NaturalRally; {Rule 4d}
if ResumeDnTrend then {Rule 10 logic. Note: system becomes unstable if used}
begin
if (Close < (DnTrendBL - HalfThresh)) then
begin
ResumeDnTrend = false; {Rule 10a}
DnTrend = Close; {Rule 2, 6b}
if Debug then print(date, Close, " Node 13", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > (DnTrendBL + HalfThresh)) then {DnTrend Over, return to NaturalRally}
begin
ResumeDnTrend = false;
InDnTrend = false; {Rule 10c}
InNatRally = true;
NaturalRally = Close;
if Debug then print(date, Close, " Node 14", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end;
end
else if (Close > (DnTrend + Thresh)) then {start NaturalRally}
begin {Rules 4c, 6c}
InDnTrend = false;
InNatRally = true;
NaturalRally = Close;
DnTrendBL = DnTrend; {Pivot Pt, Rule 8}
ResumeDnTrend = false;
if Debug then print(date, Close, " Node 15", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < DnTrend) then {remain in DnTrend, record lower price}
DnTrend = Close; {Rule 2, 6b}
end {InSecRally}
{------Natural Reaction State-------}
else if InNatReact then
begin
if (Close < (NaturalRally - Threshold)) then
NaturalRallyBL = NaturalRally; {Rule 4d}
if (Close < DnTrend) then {resume DnTrend}
begin {Rule 6b, 6e}
InDnTrend = true;
InNatReact = false;
DnTrend = Close;
if UseRule10 then ResumeDnTrend = true;
if Debug then print(date, Close, " Node 16", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < (NaturalReactionRL - HalfThresh)) then {resume DnTrend}
begin {Rules 5b}
InDnTrend = true;
InNatReact = false;
DnTrend = Close;
if UseRule10 then ResumeDnTrend = true;
if Debug then print(date, Close, " Node 17", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > UpTrend) then {start UpTrend}
begin {rule 6d}
InNatReact = false;
InUpTrend = true;
UpTrend = Close;
NaturalReactionRL = Close; {Rule 4b} {Pivot Pt, Rule 9c}
if Debug then print(date, Close, " Node 18", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > (NaturalReaction + Thresh)) then
begin
if (Close > NaturalRally) then {start NaturalRally}
begin {Rules 4b, 6d}
InNatReact = false;
InNatRally = true;
NaturalRally = Close;
NaturalReactionRL = Close; {Rule 4b} {Pivot Pt, Rule 9c}
if Debug then print(date, Close, " Node 19", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else {start SecondaryRally}
begin {Rule 6g}
InNatReact = false;
InSecRally = true;
SecondaryRally = Close;
if Debug then print(date, Close, " Node 20", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end;
end
else if (Close < NaturalReaction) then {remain in NaturalReaction, record lower price}
NaturalReaction = Close; {Rules 3, 6a, 6b}
end {InNatReact}
{------Secondary Reaction State-------}
else if InSecReact then
begin
if (Close < DnTrend) then {resume DnTrend}
begin {Rules 6b, 6e}
InDnTrend = true;
InSecReact = false;
DnTrend = Close;
if UseRule10 then ResumeDnTrend = true;
if Debug then print(date, Close, " Node 21", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < (NaturalReactionRL - HalfThresh)) then {resume DnTrend}
begin {Rules 5b}
InDnTrend = true;
InSecReact = false;
DnTrend = Close;
if UseRule10 then ResumeDnTrend = true;
if Debug then print(date, Close, " Node 22", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close > UpTrend) then {start UpTrend}
begin {Rule 6d}
InSecReact = false;
InUpTrend = true;
UpTrend = Close;
NaturalReactionRL = Close; {Rule 4b} {Pivot Pt, Rule 9c}
if Debug then print(date, Close, " Node 23", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < NaturalReaction) then {start NaturalReaction}
begin {Rule 6h}
InSecReact = false;
InNatReact = true;
NaturalReaction = Close;
if Debug then print(date, Close, " Node 24", UpTrend, DnTrend, NaturalRally, NaturalReaction, UpTrendRL, DnTrendBL, NaturalRallyBL, NaturalReactionRL);
end
else if (Close < SecondaryReaction) then {remain in SecondaryReaction, record lower price}
SecondaryReaction = Close; {Rule 6h}
end {InSecReact}
{------Error State-------}
else
begin
{should not get here!!!}
if Debug then
print("Error in State Logic, Date: ", Date, " Time: ", Time);
end; {Error state}
end; {main}
{------Trading Logic-------}
{For TS 2000i only, non-op or delete for TS 6+ }
{
if (TradeTrends = 1) then
begin
if InUpTrend then
Buy next bar at open
else if (Marketposition = 1) then
ExitLong next bar at open;
if InDnTrend then
Sell next bar at open
else if (Marketposition = -1) then
ExitShort next bar at open;
end
else {Trade Trends, Rallies, and Reactions}
begin
if (InUpTrend or InNatRally or InSecRally) then
begin
Buy next bar at open;
ExitShort next bar at open;
end;
if (InDnTrend or InNatReact or InSecReact) then
begin
Sell next bar at open;
ExitLong next bar at open;
end;
end;
}
{ For TS 6+ versions}
if (TradeTrends = 1) then
begin
if InUpTrend then
Buy next bar at open
else if (Marketposition = 1) then
Sell next bar at open;
if InDnTrend then
Sell Short next bar at open
else if (Marketposition = -1) then
Buy to Cover next bar at open;
end
else
begin
if (InUpTrend or InNatRally or InSecRally) then
begin
Buy next bar at open;
Buy to Cover next bar at open;
end;
if (InDnTrend or InNatReact or InSecReact) then
begin
Sell Short next bar at open;
Sell next bar at open;
end;
end;

複製代碼

........
會寫的人加油...不會寫...

ivanlin · 發表於 10-2-22 12:17

OMG, 有點給他嚇到的程式碼...這樣長

pyxf · 發表於 11-3-27 10:49

好文章，要慢慢研究。thx

bbdcd · 發表於 11-3-27 21:29

小娃多謝..謝謝，長期看小娃 + coco 的投資者

usana642 · 發表於 11-5-12 16:56

謝謝大大分享......

hsiao13 · 發表於 11-6-21 08:15

這篇文章具獨創性。AmiBroker的朋友一同討論。

hsiao13 · 發表於 13-5-23 00:22

這篇文章要慢慢研究。謝謝大大分享

孤單飄零 · 發表於 13-5-30 18:05

來到coco才知道有這個，很感謝michael-knight大與小娃大願意分享，小弟會用心學習

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[教學] 如何用AmiBroker做績效回測(作者 michael-knight)