主题:1-X技术分析测试程序代码帖 -- 牛义缂
单均线方法描述:
1.买入策略:
如果收盘线向上穿越均线(金叉),则第二天(或延迟几天)开盘买入。如果延迟的几天里又出现死叉,则不买入。如果计划买入的那一天的开盘价低于均线,则延缓一天买入。
2.卖出策略:
如果收盘线向下穿越均线(死叉),则第二天(或延迟几天)开盘卖出。如果延迟的几天里又出现金叉,则不卖出。如果计划卖出的那一天的开盘价高于均线,则延缓一天卖出。
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表结构
字段名 类型 备注
DATE 日期
OPEN 货币 开盘价
HIGH 货币 最高价
LOW 货币 最低价
CLOSE 货币 收盘价
VOL 长整型 成交量
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'VBA模块1(要设置的参数都在INITIALIZE()子程序中注释出来了)
Option Compare Database
Option Explicit
'数组RD1()存储交易记录,如果程序提示下标越界,需要增加第二维的下标
Public DP1 As Variant, RD1(2, 499) As Variant, U1 As Long, TIMES As Long, MA1() As Currency, TRATE As Currency, CODE As String
Sub INITIALIZE()
Dim R1 As Variant, M As Long, B As Long, S As Long, ST As Date, ET As Date, TX As Currency, MX As Currency
R1 = Array("DATE", "CLOSE", "OPEN")
'ST:测试区域的开始日期(注意您的机器上的日期格式)
'注意:开始日期前面要留足计算均线的日期。例如,如果你要用到200日均线,开始日期前面要有至少200条数据。
ST = #12/2/1997#
'ET:测试区域的终止日期(注意您的机器上的日期格式)
ET = #7/2/2010#
'TX:总手续费(只作用于卖价)
TX = 0.008
'CODE:数据表名称
CODE = "999999"
Call READ1(R1)
Debug.Print " 均线", "FROM", "TO", "第几日买", "第几日卖", "手续费", "总收益", "交易次数"
MX = 0
'M:均线值
For M = 10 To 200 Step 1
'B:买入延迟(如果满足条件后第二天立即买入,则延迟B = 0天)
For B = 0 To 9
'S:卖出延迟(如果满足条件后第二天立即卖出,则延迟S = 0天)
For S = 0 To 9
Call MACL(M)
Call DEAL(B, S, ST, ET, TX)
'填True时显示所有结果,填False显示特定结果
If True Then
Debug.Print M, ST, ET, B + 2, S + 2, TX * 100 & "%", TRATE, Int(TIMES / 2)
Else
'TRATE>MX:最后一行结果为总收益最大值
'TRATE>5:显示所有总收益大于5的结果
If TRATE > MX Then
Debug.Print M, ST, ET, B + 2, S + 2, TX * 100 & "%", TRATE, Int(TIMES / 2)
MX = TRATE
End If
End If
Next
Next
Next
'填True时显示循环中最后一个均线值的交易记录,填False不显示
If False Then
Debug.Print "DATE", "DEAL", "RATIO"
For B = 0 To TIMES - 1
For S = 0 To 2
Debug.Print RD1(S, B),
Next
Debug.Print
Next
End If
End Sub
Sub READ1(R1 As Variant)
Dim CN1 As ADODB.Connection, RST1 As ADODB.Recordset, SPath As String
SPath = Application.VBE.ActiveVBProject.FileName
Set CN1 = New ADODB.Connection
Set RST1 = New ADODB.Recordset
CN1.CursorLocation = adUseClient
CN1.Open "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" & SPath & ";"
RST1.Open "SELECT * FROM " & CODE & " ORDER BY DATE;", CN1, adOpenForwardOnly, adLockReadOnly, adCmdText
RST1.MoveFirst
DP1 = RST1.GetRows(, , R1)
U1 = UBound(DP1, 2)
RST1.Close
CN1.Close
Set RST1 = Nothing
Set CN1 = Nothing
End Sub
Sub MACL(DY1 As Long)
Dim I As Long, T As Long, TMP1 As Currency
ReDim MA1(U1)
TMP1 = 0
For I = 0 To DY1 - 2
TMP1 = TMP1 + DP1(1, I)
MA1(I) = 0
Next
TMP1 = TMP1 + DP1(1, DY1 - 1)
MA1(DY1 - 1) = TMP1 / DY1
For I = DY1 To U1
TMP1 = TMP1 + DP1(1, I) - DP1(1, I - DY1)
MA1(I) = TMP1 / DY1
Next
End Sub
Sub DEAL(DBUY As Long, DSELL As Long, DT1 As Date, DT2 As Date, TAX As Currency)
Dim I As Long, J As Long, D1 As Long, D2 As Long, DBOK As Boolean, DSOK As Boolean, BGT As Boolean
If DT1 > DT2 Then
MsgBox "Wrong Dates!"
Exit Sub
End If
BGT = False
TIMES = 0
TRATE = 1
D1 = D2N(DT1, "S")
D2 = D2N(DT2, "E")
For I = D1 To D2 - 1
If DP1(1, I - 1) <= MA1(I - 1) And DP1(1, I) > MA1(I) Then
If Not BGT Then
If I + DBUY >= D2 Then
I = I + DBUY
Else
DBOK = True
For J = 1 To DBUY
If DP1(1, I + J) < MA1(I + J) Then 'COMPARE CLOSE PRICE
DBOK = False
I = I + J
Exit For
End If
Next
If DBOK Then
I = I + DBUY
Do
If DP1(2, I + 1) > MA1(I + 1) Then 'COMPARE OPEN PRICE
RD1(0, TIMES) = DP1(0, I + 1)
RD1(1, TIMES) = DP1(2, I + 1)
TIMES = TIMES + 1
BGT = True
Exit Do
Else
If DP1(1, I + 1) < MA1(I + 1) Then 'COMPARE CLOSE PRICE
I = I + 1
Exit Do
Else
I = I + 1
End If
End If
Loop
End If
End If
Else
'Stop
End If
Else
If DP1(1, I - 1) >= MA1(I - 1) And DP1(1, I) < MA1(I) Then
If BGT Then
If I + DSELL >= D2 Then
I = I + DSELL
Else
DSOK = True
For J = 1 To DSELL
If DP1(1, I + J) > MA1(I + J) Then
DSOK = False
I = I + J
Exit For
End If
Next
If DSOK Then
I = I + DSELL
Do
If DP1(2, I + 1) < MA1(I + 1) Then
RD1(0, TIMES) = DP1(0, I + 1)
RD1(1, TIMES) = -DP1(2, I + 1)
RD1(2, TIMES) = DP1(2, I + 1) / RD1(1, TIMES - 1) * (1 - TAX)
TRATE = TRATE * RD1(2, TIMES)
TIMES = TIMES + 1
BGT = False
Exit Do
Else
If DP1(1, I + 1) > MA1(I + 1) Then
I = I + 1
Exit Do
Else
I = I + 1
End If
End If
Loop
End If
End If
Else
'Stop
End If
End If
End If
Next
End Sub
Function D2N(DT As Date, DR As String) As Long
Dim J As Long, K As Long, M As Long
J = 0
K = U1
M = Int((K - J) / 2) + J
Do
Select Case DT
Case DP1(0, M)
D2N = M
Exit Function
Case Is < DP1(0, M)
K = M
M = Int((K - J) / 2) + J
Case Else
J = M
M = Int((K - J) / 2) + J
End Select
Loop Until K - J = 1
If DR = "S" Then
If DT > DP1(0, J) Then
D2N = K
Else
D2N = J
End If
Else
If DT < DP1(0, K) Then
D2N = J
Else
D2N = K
End If
End If
End Function
- 相关回复 上下关系8
🙂弱弱的问一句:JET是what? 爱飞的阿尔飞2 字0 2010-10-18 05:49:12
🙂【代码】单均线(叉收盘线)+ 延迟买卖
🙂【代码】双均线(ACCESS 2003 + VBA) 23 牛义缂 字5462 2010-09-20 07:49:28
🙂bug dingzi 字102 2010-10-25 08:48:39
🙂D1对应测试起始日期的记录号,D2对应测试截止日的记录号 1 牛义缂 字132 2010-10-25 09:00:11
🙂谢谢回复 dingzi 字210 2010-10-26 07:37:54