Larry Williams的著名著作”短線交易密訣”中提到一個非常重要的概念:當收盤上漲時,價格若處於強勢波動率收斂,當股價再創短其新高時,就是非常理想的進場點, 反之則為空點!
這樣的概念可能有點抽象,讓我們來情境試想:有一檔股票正在漲,昨天的波動率假設是2,今天又上漲了,而且今天收盤價和最低價的距離只有不到1,這表示往下去的力道已經收斂掉了,當這樣的情況出現,如果股價突然衝過這兩天的高點,那就是多方要出擊了,這是個一決勝點!! 當然,這時後最好是記下這天的低點,用來當作停損使用!
我們來看一下腳本:
vars: _MarketPosition(0);
Condition1 = Close > Close[1] and (Close-Low) <= 0.5*(High[1]-Low[1]);
Condition2 = Close < Close[1] and (High-Close) <= 0.5*(High[1]-Low[1]);
{整個策略非常單純,上面兩行僅判斷波動率,下面則是部位判斷與停損點的設定}
if _MarketPosition < 1 then begin if condition1[1] and C > maxlist(H[1],H[2]) then
begin
plot4(C*1.01 ,"作多");
plot5(C*1.02);plot6(C*1.03);plot7(C*1.04);
plot8(C*1.05);plot9(C*1.06);plot10(C*1.07);
_MarketPosition=1;
value1 =minlist(L[1],L[2]);
end;
if C cross over value2 and _MarketPosition=-1 then
begin
plot4(C*1.01 ,"回補");
_MarketPosition=0;
end;
end
else if _MarketPosition >-1 then
begin
if condition2[1] and C < minlist(L[1],L[2]) then
begin
plot11(C*0.99 ,"作空");
plot12(C*0.98);plot13(C*0.97);plot14(C*0.96);
plot15(C*0.95);plot16(C*0.94);plot17(C*0.93);
_MarketPosition=-1;
value2 = maxlist(H[1],H[2]) ;
end;
if C cross under value1 and _MarketPosition=1 then
begin
plot3(C*1.01 ,"出場");
_MarketPosition=0;
end;
end;
可以從圖裡面看得到這個點容易成為決勝點!!
改成警示的話腳本會變成下面,跑出來的結果各位可以參考對照是不是有這樣的現象!!
vars: _MarketPosition(0); Condition1 = Close > Close[1] and (Close-Low) <= 0.5*(High[1]-Low[1]); Condition2 = Close < Close[1] and (High-Close) <= 0.5*(High[1]-Low[1]); if _MarketPosition < 1 then begin if condition1[1] and C > maxlist(H[1],H[2]) then begin ret=1; value1 =minlist(L[1],L[2]); end; if C cross over value2 and _MarketPosition=-1 then begin _MarketPosition=0; end; end else if _MarketPosition >-1 then begin if condition2[1] and C < minlist(L[1],L[2]) then begin _MarketPosition=-1; value2 = maxlist(H[1],H[2]) ; end; if C cross under value1 and _MarketPosition=1 then begin _MarketPosition=0; end; end;
