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[MC源码] 对艾略特波浪理论进行量化并进行初步回测[ELLIOTT WAVE SYSTEM STRATEGY CODE]
程式码相关：ELLIOTT WAVE SYSTEM STRATEGY CODE信号部分本帖隐藏的内容需要回复才可以浏览
函数部分：INPUTS: LEN(NUMERIC), TRIG(NUMERIC); VARS: ET(0), PRICE(0), OSC(0), WAVE(0), HIOSC(-999), HIOSC2(-999), HIPRICE(-999), HIPRICE2(-999); OSC = ELLIOTTWAVEOSC; PRICE = (HIGH + LOW) / 2; ET = ELLIOTTREND(LEN, TRIG); IF ET = 1 AND ET[1] = -1 AND OSC > 0 THEN BEGIN HIOSC = OSC; HIPRICE = PRICE; WAVE = 3; END; IF WAVE = 3 AND HIOSC < OSC THEN HIOSC = OSC; IF WAVE = 3 AND OSC <= 0 AND ET = 1 THEN WAVE = 4; IF WAVE = 4 AND PRICE = HIGHEST(PRICE, 5) AND OSC >= 0 THEN BEGIN WAVE = 5; HIOSC2 = OSC; HIPRICE2 = PRICE; END; IF WAVE = 5 AND HIOSC2 < OSC THEN HIOSC2 = OSC; IF WAVE = 5 AND HIPRICE2 < PRICE THEN HIPRICE2 = PRICE; IF HIOSC2 > HIOSC AND WAVE = 5 AND ET = 1 THEN BEGIN WAVE = 3; HIOSC = HIOSC2; HIPRICE = HIPRICE2; HIOSC2 = -999; HIPRICE2 = -999; END; IF ET = -1 AND WAVE = 5 THEN BEGIN WAVE = -3; HIOSC = -999; HIPRICE = -999; HIOSC2 = -999; HIPRICE2 = -999; END; WAVE345ELLIOTT = WAVE; 复制代码 VARS: OSC535(0), PRICE(0); PRICE = (H+L)/2; IF AVERAGE(PRICE, 35) <> 0 THEN OSC535 = AVERAGE(PRICE, 5) - AVERAGE(PRICE, 35); ELLIOTTWAVEOSC = OSC535; 复制代码 INPUTS: LEN(NUMERIC), TRIGGER(NUMERIC); VARS: TREND(0), OSC(0); OSC = ELLIOTTWAVEOSC; IF OSC = HIGHEST(OSC, LEN) AND TREND = 0 THEN TREND = 1; IF OSC = LOWEST(OSC, LEN) AND TREND = 0 THEN TREND = -1; IF LOWEST(OSC, LEN) < 0 AND TREND = -1 AND OSC > -1 * TRIGGER * LOWEST(OSC, LEN) THEN TREND = 1; IF HIGHEST(OSC, LEN) > 0 AND TREND = 1 AND OSC < -1 * TRIGGER * HIGHEST(OSC, LEN) THEN TREND = -1; ELLIOTTREND = TREND; 复制代码
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