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ID:34818381
大小:51.66 KB
页数:4页
时间:2019-03-11
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1、TradingStrategiesThatWork149THEGHOSTTRADERTRADINGSTRATEGYThecodefortheGhostTraderisdesignedmoreasatemplatethanacompletetradingstrategy.Sometradingstrategiesincorporatethesuccessofthelasttradesignalinthecalculation/determinationofthenexttradesignal.Wehavetestedseveralmethodologies
2、thatonlyinitiatenewpositionsafteralosingtrade.Sometradersfeelthatthereexistsahighprobabilityoffailureonthenexttradesignalifthelasttradewasclosedoutwithaprofit.Thisapproachismucheasiertotradethanhistoricallybacktest.It’seasytokeeptrackofyourtradesandthenskipthehypotheticaltradesth
3、atdon’tmeetyourcriteria.Inourexampleofwaitingforalosingtradebeforeinitiatinganewtrade,youwouldsimplystoptradingyouraccountafterawinningtradeandstartpapertradingandwaituntilyouhavealoseronpaper.Onceapaperloseroccurs,thenexttradewouldbeinitiatedintherealworld.ThecodeforGhostTraderd
4、emonstrateshowtokeeptrackofsimulatedtradesandonlyissuethetradesthatmeetacertaincriteria.ThecoretradingstrategyoftheGhostTraderisbasedoffofanexpo-nentialmovingaverageandaRSIindicator.if(marketPosition=0andmyProfit<0andXaverage(Close,9)>Xaverage(High,19)andRSI(Close,9)crossesbelow7
5、0)thenbeginbuynextbaratHighstop;end;if(marketPosition=0andmyProfit<0andXaverage(Close,9)6、lmovingaverageofclosesisgreaterthanthe19dayexponentialmovingaverageofhighpricesandtheninedayRSIofclosingpricesiscrossingfromabovetobelowthe70reading.Shortpositionsareinitiatedinjusttheoppositefashion.Longpositionsareliq-uidatediftoday’smarketactionpenetratesthelowestlowofthepast27、0daysandshortpositionsareliquidatediftoday’smarketactionpenetratesthehigh-esthighofthepast20days.Theseentry/exittechniquesareinterestingbutarenotthemainfocusoftheGhostTrader.ThemainfocusoftheGhostTraderistokeeptrackofatradingsystemandissueonlythetradesignalsthatmeetacertaincriter8、ia.Inourcase,actualtradesignalsshouldonl
6、lmovingaverageofclosesisgreaterthanthe19dayexponentialmovingaverageofhighpricesandtheninedayRSIofclosingpricesiscrossingfromabovetobelowthe70reading.Shortpositionsareinitiatedinjusttheoppositefashion.Longpositionsareliq-uidatediftoday’smarketactionpenetratesthelowestlowofthepast2
7、0daysandshortpositionsareliquidatediftoday’smarketactionpenetratesthehigh-esthighofthepast20days.Theseentry/exittechniquesareinterestingbutarenotthemainfocusoftheGhostTrader.ThemainfocusoftheGhostTraderistokeeptrackofatradingsystemandissueonlythetradesignalsthatmeetacertaincriter
8、ia.Inourcase,actualtradesignalsshouldonl
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