正量指標(PVI)+負量指標(NVI)= 年年獲利

//https://www.youtube.com/watch?v=TpR7Cdy7pko
//v3 增加出場濾網，不然MDD太大

input: lostex(150,"虧損多少點出場");
input: PVIlen(15),NVIlen(40),bk1(3),bk2(12);


vars: avPVI(0), avNVI(0);
vars: trendbull(false),trendbear(false);
vars: intrabarPersist entryonce(0);

Variable: _pvi(1),_nvi(1);

if date<>date[1] then entryonce=0;

If CurrentBar = 1 then
    _pvi = 100
else
  begin    
    if Volume > Volume[1] then
        _pvi = _pvi[1] + ((Close - Close[1]) / Close[1])*_pvi[1]
    else
        _pvi = _pvi[1];
  end;
  
 avPVI=average(_pvi,PVIlen); 
  
  
If CurrentBar = 1 then
    _nvi = 100
else
  begin    
    if Volume < Volume[1] then
        _nvi = _nvi[1] + ((Close - Close[1]) / Close[1])*_nvi[1]
    else
        _nvi = _nvi[1];
  end;
  
 avNVI=average(_nvi,NVIlen);   
  
trendbull=_nvi>avNVI and _pvi<avPVI;
trendbear=_nvi>avNVI and _pvi>avPVI;

if position<=0 and trendbull and entryonce=0 
//    and close>average(getfield("close","D")[1],5) 測試用條件
    and close>highest(high[1],2) then begin 
    setposition(1,highest(H,bk1));
    entryonce=1;
end;
    
//if position>=0 and trendbear then   //翻單
//    setposition(-1,lowest(l,bk2));
    
if position>=0 and filled=1 and trendbear then begin 
    setposition(0,market);
end;    

if position>=0 and filled=1 and close<filledavgprice-lostex then begin
    setposition(0,market);    
end;    

//-----期貨換月出場
var: b_balanceDay(false);

if date<>date[1] then begin
        b_balanceDay=false;
        if (dayofmonth(Date)>=15 and DayofMonth(Date)<=21 and DayofWeek(Date)=3) then b_balanceDay=true;
end;

if     b_balanceDay=true and position=1 and filled=1 and time>=130000 then begin
    setposition(0,close);    
end;