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級別 聖騎士
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註冊 09-04-16 16:35
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 發表: 2009-09-06 12:31:00 人氣:11508  | 樓主 |
策略提供轉載
請問板大 可將此策略式可以用this bar 示範嗎? 感謝了? 一種有名的趨勢交易系統：THE KING KELTNER TRADING STRATEGY [SIZE=3]一種有名的趨勢交易系統：THE KING KELTNER TRADING STRATEGY[/SIZE][SIZE=3]譯自Building Winning Trading System with TradeStation
KING KELTNER 交易系統
大多數均線系統都是非常簡單的程式並且這個也不例外，我們僅僅需要兩個工具（1）最高、最低、收盤價的移動平均線。（2）移動平均線真實排列。你可能不熟悉真實排列這個術語。每日的日線排列就是通過計算每日最高價最低價的加減。這些排列的平均將是對期貨價格排列的一個評估。所以真實排列計算延伸出來的日線排列就是前日的收盤價（真實排列=MAX（昨日收盤，當日最高價）-MIN（昨日收盤，當日最低）因此，擴展了日線的範圍從而包括一些昨日收盤造成的缺口。我們認為真實排列給出了一些更精確的測定市場波動的方法。因此我們努力獲取長期移動趨勢，我們將用40日參數為我們平均參考計算。
King Keltner Pseudocode
movAvg = Average(((High + Low + Close)/3),40)
upBand = movAvg + Average(TrueRange,40)
dnBand = movAvg – Average(TrueRange,40)
liquidPoint = Average(((High + Low + Close)/3),40)
A long position will be initiated when today's movAvg is greater than
yesterday's and market action >= upBand
A short position will be initiated when today's movAvg is less than
yesterday's and market action <= dnBand
A long position will be liquidated when today's market action
<= liquidPoint
A short position will be liquidated when today's market action
>= liquidPoint
King Keltner Program
{King Keltner by George Pruitt—based on trading system presented by Chester
Keltner}
Inputs: avgLength(40), atrLength(40);
Vars: upBand(0),dnBand(0),liquidPoint(0),movAvgVal(0);
movAvgVal = Average((High + Low + Close),avgLength);
upBand = movAvgVal + AvgTrueRange(atrLength);
dnBand = movAvgVal – AvgTrueRange(atrLength);
if(movAvgVal > movAvgVal[1]) then Buy ("KKBuy") tomorrow at upBand stop;
if(movAvgVal < movAvgVal[1]) then Sell Short("KKSell") tomorrow at dnBand
stop;
liquidPoint = movAvgVal;
112 Building Winning Trading Systems with TradeStation
If(MarketPosition = 1) then Sell tomorrow at liquidPoint stop;
If(MarketPosition = –1) then Buy To Cover tomorrow at liquidPoint stop;
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