★RSI CounterTrend策略(含程式碼)

     在逛國外網站的時候看到一個日k簡單的逆勢策略，有興趣的人可以研究一下，也許可以幫助減緩在盤整時候的損失。

程式碼：


inputs: period(3), momperiod(10), exitdays(3), buylevel(-15), selllevel(15);
vars: mom(0);
mom = RSI(close,period);

if marketposition <> 1 and mom - mom[momperiod] < buylevel then buy 1 contract next bar on open
else if marketposition <> -1 and mom - mom[momperiod] > selllevel then sellshort 1 contract next bar on open;

if barssinceentry >= 3 then begin
if marketposition = 1 then sell all contracts next bar on open
else if marketposition = -1 then buy to cover all contracts next bar on open;
end;

if marketposition = 1 and mom > 50 then sell all contracts next bar on open
else if marketposition = -1 and mom < 50 then buy to cover all contracts next bar on open;

測試商品：台指期日k

後記：

這個非實戰級的策略(交易次數過多，效率太低)，單純是我想提供一些有別於順勢策略的想法供讀者參考。