Super Cobmo超级组合当冲交易系统[系统交易]

Super Cobmo超级组合当冲交易系统

今天想要报告的是Building Winning Trading Systems with TradeStation裡面的最后一个交易系统。名称叫做Super Combo Day Trading Strategy，中文我翻译成超级组合当冲交易系统。

 

 

这个系统的内容就像他的名字一样，把相当多的观念和技术组合起来，以致于让这个系统太複杂，跟我认为交易系统应该要越简单越好的观念稍有出入。所以我就不仔细介绍这个当冲系统的观念，只把他的程式码分享出来。如果有人想试用这个系统的话，记得要在chart 裡面insert两个symbol, 分别是这个商品的5min的线图，和1日的线图。因为这个系统会用到data2(也就是日线)的资料。我自己是简单测试过台指期的资料了，看来绩效很烂，所以怕麻烦的人可以不用试了。

 

以下是EASYLANUAGE 语言

 

 

 

{Super Combo by George Pruitt

This intraday trading system will illustrate the multiple data handling

capabilities of TradeStation. All pertinent buy and sell calculations will be

based on daily bars and actual trades will be executed on 5-min bars. I have

made most of the parameters input variables.}

 

Inputs:waitPeriodMins(30),initTradesEndTime(1430),liqRevEndTime(1200),

thrustPrcnt1(0.30),thrustPrcnt2(0.60),breakOutPrcnt(0.25),

failedBreakOutPrcnt(0.25),protStopPrcnt1(0.25),protStopPrcnt2(0.15),

protStopAmt(3.00),breakEvenPrcnt(0.50),avgRngLength(10),avgOCLength(10);

Variables:averageRange(0),averageOCRange(0),canTrade(0),buyEasierDay(FALSE),

sellEasierDay(FALSE),buyBOPoint(0),sellBOPoint(0),longBreakPt(0),

shortBreakPt(0),longFBOPoint(0),shortFBOPoint(0),barCount(0),

intraHigh(0),intraLow(999999),buysToday(0),sellsToday(0),

currTrdType(0),longLiqPoint(0),shortLiqPoint(0),yesterdayOCRRange(0),

intraTradeHigh(0),intraTradeLow(999999);

{Just like we did in the pseudocode—let's start out with the daily bar

calculations. If Date <> Date[1]—first bar of day}

if(Date <> Date[1]) then {save time by doing these calculations once per day}

begin

averageRange = Average(Range,10) of Data2; {Data 2 points to daily bars}

yesterdayOCRRange = AbsValue(Open of Data2-Close of Data2);

averageOCRange = Average(AbsValue(Open of Data2-Close of Data2),10);

canTrade = 0;

if(yesterdayOCRRange< 0.85*averageOCRange) then canTrade = 1;

buyEasierDay = FALSE;

sellEasierDay = FALSE;

{See how we refer to Data2 - the daily data}

if(Close of Data2 <= Close[1] of Data2) then buyEasierDay = TRUE;

if(Close of Data2 > Close[1] of Data2) then sellEasierDay = TRUE;

if(buyEasierDay) then

begin

buyBOPoint = Open of data1 + thrustPrcnt1*averageRange;

sellBOPoint = Open of data1 - thrustPrcnt2*averageRange;

 

 

 

end;

if(sellEasierDay) then

begin

sellBOPoint = Open of data1 - thrustPrcnt1*averageRange;

buyBOPoint = Open of data1 + thrustPrcnt2*averageRange;

end;

longBreakPt = High of Data2 + breakOutPrcnt*averageRange;

shortBreakPt = Low of Data2 - breakOutPrcnt*averageRange;

shortFBOPoint = High of Data2 - failedBreakOutPrcnt*averageRange;

longFBOPoint = Low of Data2 + failedBreakOutPrcnt*averageRange;

{Go ahead and initialize any variables that we may need later on in the day}

barCount = 0;

intraHigh = 0;intraLow = 999999; {Didn't know you could do this}

buysToday = 0;sellsToday = 0;{You can put multiple statements on one

line}

currTrdType = 0;

end; {End of the first bar of data}

{Now let's trade and manage on 5-min bars}

if(High > intraHigh) then intraHigh = High;

if(Low < intraLow ) then intraLow = Low;

barCount = barCount + 1; {count the number of bars of intraday data}

if(barCount > waitPeriodMins/BarInterval and canTrade = 1) then

{have we waited long enough—wait PeriodMin is an input variable and

BarInterval is set by TradeStation. Wait PeriodMins = 30 and BarInterval = 5,

so 30/5 = 6}

begin

if(MarketPosition = 0) then

begin

intraTradeHigh = 0;

intraTradeLow = 999999;

end;

if(MarketPosition = 1) then

begin

intraTradeHigh = MaxList(intraTradeHigh,High);

buysToday = 1;

end;

if(MarketPosition =-1) then

begin

intraTradeLow = MinList(intraTradeLow,Low);

sellsToday = 1;

end;

if(buysToday = 0 and Time < initTradesEndTime) then

Buy("LBreakOut") next bar at buyBOPoint stop;

if(sellsToday = 0 and Time < initTradesEndTime) then

 

 

 

SellShort("SBreakout") next bar at sellBOPoint stop;

if(intraHigh > longBreakPt and sellsToday = 0 and Time <

initTradesEndTime) then

SellShort("SfailedBO") next bar at shortFBOPoint stop;

if(intraLow < shortBreakPt and buysToday = 0 and Time <

initTradesEndTime) then

Buy("BfailedBO") next bar at longFBOPoint stop;

{The next module keeps track of positions and places protective stops}

if(MarketPosition = 1) then

begin

longLiqPoint = EntryPrice - protStopPrcnt1*averageRange;

longLiqPoint = MinList(longLiqPoint,EntryPrice - protStopAmt);

if(MarketPosition(1) = -1 and BarsSinceEntry = 1 and

High[1] >= shortLiqPoint and shortLiqPoint < shortFBOPoint)

then

currTrdType = -2; {we just got long from a short liq reversal}

if(currTrdType = -2) then

begin

longLiqPoint = EntryPrice - protStopPrcnt2*averageRange;

longLiqPoint = MinList(longLiqPoint,EntryPrice -

protStopAmt);

end;{ www.cxh99.com }

if(intraTradeHigh >= EntryPrice + breakEvenPrcnt*averageRange)

then

longLiqPoint = EntryPrice; {BreakEven trade}

if(Time >= initTradesEndTime) then

longLiqPoint = MaxList(longLiqPoint,Lowest(Low,3)); {Trailing

stop}

if(Time < liqRevEndTime and sellsToday = 0 and

longLiqPoint <> EntryPrice and BarsSinceEntry >= 4) then

begin

SellShort("LongLiqRev") next bar at longLiqPoint stop;

end

else begin

Sell("LongLiq") next bar at longLiqPoint stop;

end;

end;

if(MarketPosition =-1) then

begin

shortLiqPoint = EntryPrice+protStopPrcnt1*averageRange;

shortLiqPoint = MaxList(shortLiqPoint,EntryPrice + protStopAmt);

if(MarketPosition(1) = 1 and BarsSinceEntry(0) = 1 and

Low [1] <= longLiqPoint and longLiqPoint > longFBOPoint) then

currTrdType = +2; {we just got long from a short liq reversal}

if(currTrdType = +2) then

begin

shortLiqPoint = EntryPrice + protStopPrcnt2*averageRange;

shortLiqPoint = MaxList(shortLiqPoint,EntryPrice + protStopAmt);

end;

 

 

 

if(intraTradeLow <= EntryPrice - breakEvenPrcnt*averageRange) then

shortLiqPoint = EntryPrice; {BreakEven trade}

if(Time >= initTradesEndTime) then

shortLiqPoint = MinList(shortLiqPoint,Highest(High,3));

{Trailing stop}

if(Time < liqRevEndTime and buysToday = 0 and

shortLiqPoint <> EntryPrice and BarsSinceEntry >= 4) then

begin

Buy("ShortLiqRev") next bar at shortLiqPoint stop;

end

else begin

BuyToCover("ShortLiq") next bar at shortLiqPoint stop;

end;

end;

end;

SetExitOnClose;