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主题:1-X技术分析测试程序代码帖 -- 牛义缂

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家园 【代码】EMA(EXPMA)双均线交叉方法

以前谈的均线,都是最简单的一种均线,叫做简单平滑移动平均线(SMA)。对简单平均线的改进方法有多种,影响最大的一种是EXPMA(简称EMA),就是指数平滑移动平均线。这种方法对近期价格加高权重,远期价格加低权重,以更多的反映近期的趋势变化。

注:在通达信类软件中(其它软件没用过),你需要缩小K线图至全部显示,然后再放大到要考察的日期,软件才能正确计算EMA均线。另外,通达信类软件中EMA参数最大只能设置到250日。

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双EMA均线交叉方法描述:

1.买入策略:当小均线向上交叉大均线时(金叉),第二天开盘买入。

2.卖出策略:当小均线向下交叉大均线时(死叉),第二天开盘卖出。

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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, MA2() As Currency, TRATE As Currency, CODE As String

Sub INITIALIZE()

Dim R1 As Variant, M1 As Long, M2 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 " MA1", "MA2", "FROM", "TO", "手续费", "总收益", "交易次数"

MX = 0

B = 0

S = 0

'M1:小均线值

For M1 = 5 To 125 Step 5

'M2:大均线值

For M2 = M1 + 5 To 250 Step 5

Call MACL(M1, M2)

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 False Then

Debug.Print M1, M2, ST, ET, 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 M1, M2, ST, ET, TX * 100 & "%", TRATE, Int(TIMES / 2)

MX = TRATE

End If

End If

Next

Next

'填True时显示循环中最后一对双均线的交易记录,填False不显示

If False Then

Debug.Print "日期", "正买负卖", "每次收益"

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(M1 As Long, M2 As Long)

Dim I As Long, T As Long, TMP1 As Currency

ReDim MA1(U1)

MA1(0) = DP1(1, 0)

For I = 1 To U1

MA1(I) = MA1(I - 1) * (M1 - 1) / (M1 + 1) + DP1(1, I) * 2 / (M1 + 1)

Next

ReDim MA2(U1)

MA2(0) = DP1(1, 0)

For I = 1 To U1

MA2(I) = MA2(I - 1) * (M2 - 1) / (M2 + 1) + DP1(1, I) * 2 / (M2 + 1)

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 "日期错误!"

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 MA1(I - 1) <= MA2(I - 1) And MA1(I) > MA2(I) Then

If Not BGT Then

RD1(0, TIMES) = DP1(0, I + 1)

RD1(1, TIMES) = DP1(2, I + 1)

TIMES = TIMES + 1

BGT = True

Else

'Stop

End If

Else

If (MA1(I - 1) >= MA2(I - 1) And MA1(I) < MA2(I)) Then

If BGT 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

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


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