回測發現會選到不對的交易

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最後發表 yayaoh 2022 二月 24

yayaoh 發文於 2022/02/22

我寫量增交易，但回測發現很多量縮的情況也被選進作交易，請小幫手幫忙了

程式碼如下

input: Day(2,"量增天數"), mount(1,"量比");
variable: i(0), j(0),count(0),count1(0),aa(0);
j = Day-2;
///兩天以上
condition1 = false;
if j>=1 then begin
   for i=0 to j begin
       value1 = GetField("成交量","D")[i];
       value2 = GetField("成交量","D")[i+1];
       value3 = value1/value2;
       if value3 > mount then begin
       count=count+1;
       end;
   end;
end;

if count = Day-1 then
condition1 = true ;

///兩天
condition2 = false;
if j = 0 then begin
     value4 = GetField("成交量","D");
     value5 = GetField("volume","D")[1];
     aa = value4/value5;
if aa > mount then
     count1=1;
end;
if count1 =1 then
condition2 = true;

if condition1 = true or condition2 = true then
ret=1;