MACD全名為Moving Average Convergence / Divergence，由名字就可以知道MACD是一個以均線為基礎的指標。
MACD指標只需要使用收盤價就可以計算，在計算上需要先算出兩條長短天期的指數移動平均(EMA)，再用兩條均線相減做出DIFF，最後再用DIFF做出指數移動平均值DEA：
EMA_1 = 2/(12+1)*收盤價 + 11/(12+1)*(前日EMA_1)
EMA_2 = 2/(26+1)*收盤價 + 25/(26+1)*(前日EMA_2)
DIFF = EMA_1 - EMA_2
DEA = 2/(9+1)*DIFF + 8/(9+1)*(前日DEA)
可以發現公式裡有3個參數，分別是EMA_1、EMA_2和DEA取指數平均的天期，在此實測當中我們並不修改預設的參數，來試試看預設版的MACD到底能不能在台指期取得作用。
在這篇文章中，將示範
在這篇文章中，將示範
1. 基本策略：DIFF向上穿越DEA(黃金交叉)時做多，DIFF向下穿越DEA(死亡交叉)時多單平倉。
2. 改良策略：DIFF>DEA時做多，DIFF<DEA時多單平倉；DIFF向下穿越DEA(死亡交叉)時做空，空單輸50點時停損。
1. 基本策略：
DIFF向上穿越DEA(黃金交叉)時做多，DIFF向下穿越DEA(死亡交叉)時多單平倉。
策略名稱 | MACD策略1 |
交易層級 | 1日 |
交易成本 | 來回600 |
回測期間 | 2001-2019/2 |
程式碼:
權益曲線:Var :
EMA_1(0) ,
EMA_2(0) ,
DIFF(0) ,
DEA(0) ;
EMA_1 = 2/(12+1)*c + 11/(12+1)*EMA_1 ;
EMA_2 = 2/(26+1)*c + 25/(26+1)*EMA_2 ;
DIFF = EMA_1 - EMA_2 ;
DEA = 2/(9+1)*DIFF + 8/(9+1)*DEA ;
if marketposition<=0 and DIFF cross over DEA then
Buy 1 share at next bar market ;
if marketposition>0 and DIFF cross below DEA then
sell all share at next bar market ;
if dayofmonth(date)>14 and dayofmonth(date)<22 and dayofweek(date)=3 and time>=1330 and time<=1345 then begin
sell("CheckDay Sell") all shares at this bar close ;
buytocover("CheckDay Buytocover") all shares at this bar close ;
end ;
2. 改良策略：
DIFF>DEA時做多，DIFF<DEA時多單平倉；DIFF向下穿越DEA(死亡交叉)時做空，空單輸50點時停損。
程式碼:
Var :
EMA_1(0) ,
EMA_2(0) ,
DIFF(0) ,
DEA(0) ;
EMA_1 = 2/(12+1)*c + 11/(12+1)*EMA_1 ;
EMA_2 = 2/(26+1)*c + 25/(26+1)*EMA_2 ;
DIFF = EMA_1 - EMA_2 ;
DEA = 2/(9+1)*DIFF + 8/(9+1)*DEA ;
if marketposition<=0 and DIFF>DEA then
Buy 1 share at next bar market ;
if marketposition>=0 and DIFF cross below DEA then
sellshort 1 share at next bar market ;
if marketposition>0 and DIFF<DEA then
sell all share at next bar market ;
if marketposition<0 then
buytocover all shares at next bar entryprice+50 stop ;
if dayofmonth(date)>14 and dayofmonth(date)<22 and dayofweek(date)=3 and time>=1330 and time<=1345 then begin
sell("CheckDay Sell") all shares at this bar close ;
buytocover("CheckDay Buytocover") all shares at this bar close ;
end ;
權益曲線:
以損益圖來看算是還不錯，不用黃金交叉進場而改用DIFF>DEA時做多，使得交易次數變多，再加上空方也有操作，整體績效平滑許多。