主题:1-X技术分析测试程序代码帖 -- 牛义缂
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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- 相关回复 上下关系8
🙂非常感谢!等周末看看如何转为Excel, mymajia 字22 2010-12-09 11:50:40
🙂【代码】MACD的有效改进 5 牛义缂 字6668 2010-10-18 21:57:54
🙂【代码】MACD 4 牛义缂 字5899 2010-10-11 12:16:04
🙂【代码】EMA(EXPMA)双均线交叉方法
🙂ema,ma可以简单用 凡妮娅 字186 2010-10-18 07:18:08
🙂多谢提示,小牛有空测试一下你说的两者并用的方法 牛义缂 字43 2010-10-18 09:26:25
🙂解释 凡妮娅 字430 2010-10-18 17:12:28
🙂数据是从哪儿来的呢? 好说好说 字56 2010-09-22 18:47:58