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吳博仁
程式交易作品簡介
2010.08.15
GAP01 系統簡介
在 2009.11 月初 , 用 TS2000i 完成了 GAP01 系統
在 2009.11 月底 , 正式上線 小台指期跑
2009.12  +$9771/ 小台 1 口    合 +195 點
2010.01  +$9309/ 小台 2 口    合 +93 點
2010.02 +$72570/ 小台 2 口  合 +725 點
2010.03  -$10631/ 小台 1 口   合 -213 點
2010.04 +$8912/ 小台 1 口 合    +178 點
在使用各式各樣指標作回測之後 ,
發覺使用簡單的思維 , 就可以達到不錯的效果 ,
GAP01 是一個以 ZigZag 為基礎的系統
以簡單的判斷多空方法 , 加上周詳的進出點位應付市場
系統的回測績效請見下頁
系統的績效對帳單請見附件 (01.GAP01 績效 )
下表是 GAP01 系統回測台指期的績效
回測範圍 2001.01~2009.10, 手續費 $1000
開發延革請見附件 (02. GAP01)
1. Volatility Breakout
2. Pivot Point + MA 波段
3. Pivot Point Intra Day
4. Channel Breakout
5. Moving Average Breakout
6. MACD Breakout
7. Trend Line Automatic Breakout
8. Support is Resistance
9. Swing High Low S/R
10.ADX Differnetial
11.Head and Shoulder
12.RSI +DMI
13.Engulfing
14.Opens minus Closes
15.OBTR Breakout
16.Derivative MA
17.ADX+MA
18.Complex Pivot Open
19.MA + Channel intraday
20.ADX Convergence &
Divergence
21. HMA+LMA+CMA
22. High Low intraday
23. Open Range + KD
24. 3-6 Close
25. Bollinger + 3MA
26. Livermore Indicator
27. Parabolic + ATR
28. ZigZag
29.MACD Momentum
30.GAP01_ZigZag
以下條列式舉出一些已開發的程式
這是在初學程式交易時 , 寫的 MA cross 系統
開發的延革請見附件 (03.MA_Cross)( 含程式碼 )
這是在初學程式交易時 , 寫的頭肩頂 / 底系統
開發的延革請見附件 (04.Head_and_Shoulders)( 含程式
碼 )
這是中後期時 , 寫的 MACD 動量系統 , 慢慢找到很簡單就可以獲利的
方法
開發的延革請見附件 (05.MACD_Momentum)( 含程式碼 )
當白色點結束 , 通常是波段開始
,
當白色點開始 , 通常是盤整開始
If C[1]>C[2]+30 then plot1(L,”buy”,red);
If C[1]<C[2]-30 then plot2(H,”Sell”,yellow);
在中後期時 , 程式碼愈趨簡單
下圖是 2 行程式寫出的指標
找出波段漲跌點 ,( 紅色起漲 , 色起跌黃 )
日後也引導出 GAP01 系統的開發 .
日線 5bar 高點
60 分線低
點
60 分線高點
日線 5bar 低
點
用大週期判斷趨勢 , 用小週期確認進場點 ,
這是很多常用的邏輯
下圖是在 5 分 K 中 , 畫出日 K 和 60 分 K 高低點的指標
今年 4 月底開始接觸外匯保証金 MT4 軟體
至今已寫出多筆交易程式及輔助軟體
下圖是 LG_R03 策略回測 , 從 2009.06.01~2010.08.13
起始 1000 美金 , 0.05 手的交易量 , 在 18 月達成 3 倍績效
詳細報告請見附件 (06.LG_R03)
END OF DOCUMENT

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00.程式交易

  • 2. GAP01 系統簡介 在 2009.11 月初 , 用 TS2000i 完成了 GAP01 系統 在 2009.11 月底 , 正式上線 小台指期跑 2009.12  +$9771/ 小台 1 口    合 +195 點 2010.01  +$9309/ 小台 2 口    合 +93 點 2010.02 +$72570/ 小台 2 口  合 +725 點 2010.03  -$10631/ 小台 1 口   合 -213 點 2010.04 +$8912/ 小台 1 口 合    +178 點 在使用各式各樣指標作回測之後 , 發覺使用簡單的思維 , 就可以達到不錯的效果 , GAP01 是一個以 ZigZag 為基礎的系統 以簡單的判斷多空方法 , 加上周詳的進出點位應付市場 系統的回測績效請見下頁 系統的績效對帳單請見附件 (01.GAP01 績效 )
  • 3. 下表是 GAP01 系統回測台指期的績效 回測範圍 2001.01~2009.10, 手續費 $1000 開發延革請見附件 (02. GAP01)
  • 4. 1. Volatility Breakout 2. Pivot Point + MA 波段 3. Pivot Point Intra Day 4. Channel Breakout 5. Moving Average Breakout 6. MACD Breakout 7. Trend Line Automatic Breakout 8. Support is Resistance 9. Swing High Low S/R 10.ADX Differnetial 11.Head and Shoulder 12.RSI +DMI 13.Engulfing 14.Opens minus Closes 15.OBTR Breakout 16.Derivative MA 17.ADX+MA 18.Complex Pivot Open 19.MA + Channel intraday 20.ADX Convergence & Divergence 21. HMA+LMA+CMA 22. High Low intraday 23. Open Range + KD 24. 3-6 Close 25. Bollinger + 3MA 26. Livermore Indicator 27. Parabolic + ATR 28. ZigZag 29.MACD Momentum 30.GAP01_ZigZag 以下條列式舉出一些已開發的程式
  • 5. 這是在初學程式交易時 , 寫的 MA cross 系統 開發的延革請見附件 (03.MA_Cross)( 含程式碼 )
  • 6. 這是在初學程式交易時 , 寫的頭肩頂 / 底系統 開發的延革請見附件 (04.Head_and_Shoulders)( 含程式 碼 )
  • 7. 這是中後期時 , 寫的 MACD 動量系統 , 慢慢找到很簡單就可以獲利的 方法 開發的延革請見附件 (05.MACD_Momentum)( 含程式碼 ) 當白色點結束 , 通常是波段開始 , 當白色點開始 , 通常是盤整開始
  • 8. If C[1]>C[2]+30 then plot1(L,”buy”,red); If C[1]<C[2]-30 then plot2(H,”Sell”,yellow); 在中後期時 , 程式碼愈趨簡單 下圖是 2 行程式寫出的指標 找出波段漲跌點 ,( 紅色起漲 , 色起跌黃 ) 日後也引導出 GAP01 系統的開發 .
  • 9. 日線 5bar 高點 60 分線低 點 60 分線高點 日線 5bar 低 點 用大週期判斷趨勢 , 用小週期確認進場點 , 這是很多常用的邏輯 下圖是在 5 分 K 中 , 畫出日 K 和 60 分 K 高低點的指標
  • 10. 今年 4 月底開始接觸外匯保証金 MT4 軟體 至今已寫出多筆交易程式及輔助軟體 下圖是 LG_R03 策略回測 , 從 2009.06.01~2010.08.13 起始 1000 美金 , 0.05 手的交易量 , 在 18 月達成 3 倍績效 詳細報告請見附件 (06.LG_R03)