糾結均線突破,是市場耳熟能詳的一個交易策略,它的概念是當短中長期持股者的成本都接近時,一旦股價突破,代表空頭完敗,新的力量帶動了多頭行情。把它用在基金操作上,回測的效果也不錯。
糾結均線突破的腳本如下
input: shortlength(10,"短期均線期數"); input: midlength(20,"中期均線期數"); input: Longlength(40,"長期均線期數"); input: Percent(2,"均線糾結區間%"); input: Volpercent(20,"放量幅度%");//帶量突破的量是超過最長期的均量多少% variable: shortaverage(0); variable: midaverage(0); variable: Longaverage(0); variable:yearaverage(0); if volume > average(volume,Longlength) * (1 + volpercent * 0.01)and volume>1000 then begin shortaverage = average(close,shortlength); midaverage = average(close,midlength); Longaverage = average(close,Longlength); value2= maxlist(shortaverage,midaverage,Longaverage ); value3= minlist(shortaverage,midaverage,Longaverage ); if Close crosses over value2 and (value2-value3)*100 < Percent*Close and GetSymbolField("tse.tw","收盤價","W") >average(GetSymbolField("tse.tw","收盤價","W"),13) then ret=1; end;
這腳本加了兩個濾網,一個是成交量也要超過均量一定的百分比,另一個則是空頭市場不使用本策略,我用單一國家ETF及全球產業ETF回測,持有20天後出場,回測報告如下
雖然勝率還不到三戰兩勝,但從累計獲利曲線上來看,一直維持著大漲小回的走勢,七年的總交易次數有341次,平均一個月進場機會約四次,是屬於極具可操作性的策略。