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Trading Strategy of Traditional MA Index and KD Index

Author: The Baths of Archimedes, Date: 2018-11-30 18:32:26
Tags: MAMyLanguageKDJ
  • Data Cycle: 15M, 30M, etc.
  • Support: Commodity Futures
  • Indicators are EMA, KD lines, and KD line use default parameters (index parameters fixed 3, 3, 9)

Trading Strategy of Traditional MA Index and KD Index
Trading Strategy of Traditional MA Index and KD Index

  • Main chart: EMA mean, formula: MAC ^^ EMA (C, N);

  • Secondary chart: K line in KD, formula: K: SMA (RSV, M1, 1); //RSV moving average D line in KD, formula: D: SMA (K, M2, 1); //K moving average value

(*backtest
start: 2018-04-01 00:00:00
end: 2018-05-15 00:00:00
period: 30m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["TradeAmount",100,126961],["ContractType","XBTUSD",126961]]
*)

MAC^^EMA(C,N);

NKD:=9;
M1:=3;
M2:=3;
RSV:=(CLOSE-LLV(LOW,NKD))/(HHV(HIGH,NKD)-LLV(LOW,NKD))*100;  //收盘价与NKD周期最低值做差，NKD周期最高值与NKD周期最低值做差，两差之间做比值。
// (1)closing price minus the lowest value in NKD cycle, 
// (2)the highest value in NKD cycle minus the lowest value in NKD cycle, then (1) divided by (2).

K:SMA(RSV,M1,1);     // RSV的移动平均值
                     // MA of RSV
                     
D:SMA(K,M2,1);       // K的移动平均值
                     // MA of K

BARPOS>N AND C>MAC AND K<D,BK;
BARPOS>N AND C<MAC AND K>D,SK;
C<=BKPRICE*(1-SLOSS*0.01),SP(BKVOL);
C>=SKPRICE*(1+SLOSS*0.01),BP(SKVOL);
C>=BKPRICE*(1+SLOSS*0.01) AND C<MAC,SP(BKVOL);
C<=SKPRICE*(1-SLOSS*0.01) AND C>MAC,BP(SKVOL);
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