開發商品的交易系統 - 基礎篇 [36]威廉多空力度線

威廉多空力度線(WAD)的操作原則與OBV指標相同，但比OBV指標更有意義，能提前指出股價破位。威廉多空力度線的計算公式
1.TRL=昨日收盤價與今日最低價中價格最低者；TRH=昨日收盤價與今日最高價中價格最高者；
2.如果今日的收盤價>昨日的收盤價，則今日的A/D＝今日的收盤價－今日的TRL；
3.如果今日的收盤價<昨日的收盤價，則今日的A/D＝今日的收盤價－今日的TRH；
4.如果今日的收盤價＝昨日的收盤價，則今日的A/D＝0；
5.WAD＝今日的A/D＋昨日的WAD；MAWAD=WAD的M日簡單移動平均；
6.參數M設置為30；

威廉多空力度線的應用法則

1.股價一頂比一頂高，而WAD一頂比一頂低，暗示頭部即將形成；股價一底比一底低，而WAD一底比一底高，暗示底部即將形成。

2.WAD向上交叉MAWAD，為買進信號；WAD向下交叉MAWAD，為賣出信號。

系統參數與變數
input:EntryType(1),ExitType(4);
inputs:NBarL(24),NBarS(12),TradeProfit(0.035),TradeStopLoss(0.05),ATRs_L(10.78),ATRs_S(6.4);
vars: IsBalanceDay(False),MP(0),PF(0),PL(0),HLRange(100);

input:FastLen(10),SlowR(1.7),HighBar(5),LowBar(1) ;
Vars:TH(0),TL(0),AD(0),WAD(0),PriceMove(0),Vol(0),SlowLen(30),FastWAD(0),SlowWAD(0) ;

MP = MarketPosition ;
if DAYofMonth(Date) > 14 and DAYofMonth(Date) < 22 and DAYofWeek(Date)= 3 then isBalanceDay = True else isBalanceDay =False ;

PF = AvgPrice*TradeProfit ;
PL = AvgPrice*TradeStopLoss ;

TH = TrueHigh ;
TL = TrueLow ;

{威廉多空力度線(WAD)}
if Close > Close[1] then PriceMove = Close-TL
else if Close < Close[1] then PriceMove = Close-TH
else PriceMove = 0 ;

AD = PriceMove;
WAD = AD + WAD[1] ;

{ 計算WAD長短期均線 }
SlowLen = IntPortion(FastLen*SlowR) ;
FastWAD = Average(WAD,FastLen) ;
SlowWAD = Average(WAD,SlowLen) ;

{ WAD 與均線交叉進場 }
if EntryType = 1 then Begin
if WAD Cross over SlowWAD then Buy next bar at Highest(High,HighBar) stop ;
if WAD Cross under SlowWAD then Sell next bar at Lowest(Low,LowBar) stop ;
end;

{ 長短均線交叉進場 }
if EntryType = 2 then Begin
if FastWAD Cross over SlowWAD then Buy next bar at Highest(High,HighBar) stop ;
if FastWAD Cross under SlowWAD then Sell next bar at Lowest(Low,LowBar) stop ;
end;

{ 增加長期均線上升與下降作濾網確認 }
if EntryType = 2 then Begin
if SlowWAD > SlowWAD[1] and FastWAD Cross over SlowWAD then Buy next bar at Highest(High,HighBar) stop ;
if SlowWAD < SlowWAD[1] and FastWAD Cross under SlowWAD then Sell next bar at Lowest(Low,LowBar) stop ;
end;

{Exits}
if ExitType = 1 then SetStopLoss(PL * BigPointValue) ;

if ExitType = 2 then Begin
SetStopLoss(PL * BigPointValue) ;
setProfitTarget(PF * BigPointValue) ;
end;

if ExitType = 3 then Begin
if MP > 0 and BarsSinceEntry = NBarL then ExitLong next bar at Market ;
if MP < 0 and BarsSinceEntry = NBarS then ExitShort next bar at Market ;
end;

if ExitType = 4 then Begin
SetStopLoss(PL * BigPointValue) ;
setProfitTarget(PF * BigPointValue) ;
if MP > 0 and BarsSinceEntry = NBarL then {Sell } ExitLong next bar at Market ;
if MP < 0 and BarsSinceEntry = NBarS then {Buy} ExitShort next bar at Market ;
end;

if IsBalanceDay or date = 1150224 then setExitonClose ;