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開盤量 + 收盤量 Market Value MOC 模型策略 Short, Element Factor, 成本千分之三 Data…
開盤量 + 收盤量
Market Value
MOC 模型策略
Short
開盤量
PercentRank(50) == 100
Times = 11150
CarMdd = 0.03
Win = 53.57%
PercentRank(50) == 0
Times = 6963
CarMdd = 0.02
Win = 51.89%
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 ?
當日發動交易
做多
TEST
一開盤 -7% < 報酬率 < -3%
市價或讓價做多進場
守跌停停損
MOC
Times = 3278
CarMdd = 4.02
Win = 59.64%
做空
收盤量
PercentRank(50) == 100
Times = 11669
CarMdd = 0.21
Win = 56.27%
C < O
Times = 4850
CarMdd = -0.09
Win = 49.71%
C > O
Times = 6434
CarMdd = 0.87
Win = 61.36%
[ X ]
PercentRank(50) == 0
Times = 6036
CarMdd = -0.10
Win = 47.25%
PR 各階層交易分布
C < O
PR 各階層交易分布
0 = Short
1 = Long
PercentRank(50) > 50
C > O
Times = 74294
CarMdd = 2.59
Win = 59.28%
收盤量占當日比例
絕對值
相對值
對後一天或N天的影響?
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%
OpenCloseVolume_Moc_CMoneyData_00002.afl
CM_OCVol0002
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
Open / Close Volume
成本千分之三
Data Set
From 20110101
To 20200806
需要新型的模組
非優化現有模組
20200809 note
