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DMI dan Strategi Tinggi-Rendah

Penulis:Mandi Archimedes, Tanggal: 2018-12-01 18:29:53
Tag:MyLanguageTinggi&Rendah

  • Nama Strategi: DMI dan Strategi Tinggi-Rendah

  • Siklus data: 5M

  • Dukungan: Komoditas Berjangka

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  • Bagan utama: Indeks AMA1, rumus: AMA1 ^ ^ EMA (DMA (CLOSE, CQ1), 2); Indeks AMA2, rumus: AMA2 ^ ^ EMA (DMA (CLOSE, CQ2), 2);

(*backtest
start: 2018-11-04 00:00:00
end: 2018-11-30 00:00:00
period: 5m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["TradeAmount",100,126961],["ContractType","XBTUSD",126961]]
*)


DIR1:=ABS(CLOSE-REF(CLOSE,N));
VIR1:=SUM(ABS(CLOSE-REF(CLOSE,1)),N);
ER1:=DIR1/VIR1;
CS1:=ER1*(2/(N1+1)-2/(N2+1))+2/(N2+1);
CQ1:=CS1*CS1;
AMA1^^EMA(DMA(CLOSE,CQ1),2);

DIR2:=ABS(CLOSE-REF(CLOSE,M));
VIR2:=SUM(ABS(CLOSE-REF(CLOSE,1)),M);
ER2:=DIR2/VIR2;
CS2:=ER2*(2/(M1+1)-2/(M2+1))+2/(M2+1);
CQ2:=CS2*CS2;
AMA2^^EMA(DMA(CLOSE,CQ2),2);

cq22:CQ2;
aa:DMA(CLOSE,CQ2);

BKVOL=0  AND  REF(AMA1,1)<REF(AMA2,1)  AND  AMA2<AMA1,BPK;
SKVOL=0  AND  REF(AMA1,1)>REF(AMA2,1)  AND  AMA2>AMA1,SPK;
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