開盤量 + 收盤量
Market Value
MOC 模型策略
Short

Element
Factor

GapUp / GapDown

Ceiling

Top Volume
Consecutive
Unusual Volume

Market Value

Upper Shadow

Binary Code Seq

IBS with PR = C-L / H- L

White / Black Bar

Inside / Outside

Break Range
High / Low

開盤量

收盤量

Open / Close Volume

成本千分之三
Data Set
From 20110101
To 20200806

PercentRank(50) == 100
Times = 11669
CarMdd = 0.21
Win = 56.27%

C < O
Times = 4850
CarMdd = -0.09
Win = 49.71%

PercentRank(50) == 100
Times = 11150
CarMdd = 0.03
Win = 53.57%

C > O
Times = 6434
CarMdd = 0.87
Win = 61.36%

PercentRank(50) == 0
Times = 6963
CarMdd = 0.02
Win = 51.89%

[ X ] PercentRank(50) == 0
Times = 6036
CarMdd = -0.10
Win = 47.25%

PR 各階層交易分布

PrClose

C < O
PR 各階層交易分布
0 = Short
1 = Long

CSmallO

PercentRank(50) > 50
C > O

Times = 74294
CarMdd = 2.59
Win = 59.28%

開盤當天爆量
是否存在趨勢盤呢 ?

開盤量的不同百分位數
是否存在趨勢盤呢 ?

開盤量占昨日總量的比例
是否為顯著因子呢 ?

收盤量占當日比例
絕對值
相對值
對後一天或N天的影響?

需要新型的模組
非優化現有模組
20200809 note

開盤量 - 收盤量

PercentRank( 開盤量 - 收盤量, 50 ) < 60
C > O or ROC > -1
ROC < 9
50天未出現開盤鎖狀況
5日均金額 > 2億
市值 < 1000億

Times = 60434
CarMdd = 3.07
Win = 57.60%

OpenCloseDiff1

OpenCloseVolume_Moc_CMoneyData_00002.afl
CM_OCVol0002

當日發動交易

做多

做空

PrOpenShort

TEST
PrOpenLong

  1. 一開盤 -7% < 報酬率 < -3%
  2. 市價或讓價做多進場
  3. 守跌停停損
  4. MOC

Times = 3278
CarMdd = 4.02
Win = 59.64%

OpenGapLongEc