主题：1-X技术分析测试程序代码帖 -- 牛义缂

单均线方法描述：

1.买入策略：

如果收盘线向上穿越均线（金叉），则第二天（或延迟几天）开盘买入。如果延迟的几天里又出现死叉，则不买入。如果计划买入的那一天的开盘价低于均线，则延缓一天买入。

2.卖出策略：

如果收盘线向下穿越均线（死叉），则第二天（或延迟几天）开盘卖出。如果延迟的几天里又出现金叉，则不卖出。如果计划卖出的那一天的开盘价高于均线，则延缓一天卖出。

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表结构

字段名 类型 备注

DATE 日期

OPEN 货币 开盘价

HIGH 货币 最高价

LOW 货币 最低价

CLOSE 货币 收盘价

VOL 长整型 成交量

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'VBA模块1（要设置的参数都在INITIALIZE()子程序中注释出来了）

Option Compare Database

Option Explicit

'数组RD1()存储交易记录，如果程序提示下标越界，需要增加第二维的下标

Public DP1 As Variant, RD1(2, 499) As Variant, U1 As Long, TIMES As Long, MA1() As Currency, TRATE As Currency, CODE As String

Sub INITIALIZE()

Dim R1 As Variant, M As Long, B As Long, S As Long, ST As Date, ET As Date, TX As Currency, MX As Currency

R1 = Array("DATE", "CLOSE", "OPEN")

'ST:测试区域的开始日期（注意您的机器上的日期格式）

'注意:开始日期前面要留足计算均线的日期。例如，如果你要用到200日均线，开始日期前面要有至少200条数据。

ST = #12/2/1997#

'ET:测试区域的终止日期（注意您的机器上的日期格式）

ET = #7/2/2010#

'TX:总手续费（只作用于卖价）

TX = 0.008

'CODE:数据表名称

CODE = "999999"

Call READ1(R1)

Debug.Print " 均线", "FROM", "TO", "第几日买", "第几日卖", "手续费", "总收益", "交易次数"

MX = 0

'M:均线值

For M = 10 To 200 Step 1

'B:买入延迟（如果满足条件后第二天立即买入，则延迟B = 0天）

For B = 0 To 9

'S:卖出延迟（如果满足条件后第二天立即卖出，则延迟S = 0天）

For S = 0 To 9

Call MACL(M)

Call DEAL(B, S, ST, ET, TX)

'填True时显示所有结果，填False显示特定结果

If True Then

Debug.Print M, ST, ET, B + 2, S + 2, TX * 100 & "%", TRATE, Int(TIMES / 2)

Else

'TRATE>MX:最后一行结果为总收益最大值

'TRATE>5:显示所有总收益大于5的结果

If TRATE > MX Then

Debug.Print M, ST, ET, B + 2, S + 2, TX * 100 & "%", TRATE, Int(TIMES / 2)

MX = TRATE

End If

End If

Next

Next

Next

'填True时显示循环中最后一个均线值的交易记录，填False不显示

If False Then

Debug.Print "DATE", "DEAL", "RATIO"

For B = 0 To TIMES - 1

For S = 0 To 2

Debug.Print RD1(S, B),

Next

Debug.Print

Next

End If

End Sub

Sub READ1(R1 As Variant)

Dim CN1 As ADODB.Connection, RST1 As ADODB.Recordset, SPath As String

SPath = Application.VBE.ActiveVBProject.FileName

Set CN1 = New ADODB.Connection

Set RST1 = New ADODB.Recordset

CN1.CursorLocation = adUseClient

CN1.Open "Provider=Microsoft.Jet.OLEDB.4.0;Data Source=" & SPath & ";"

RST1.Open "SELECT * FROM " & CODE & " ORDER BY DATE;", CN1, adOpenForwardOnly, adLockReadOnly, adCmdText

RST1.MoveFirst

DP1 = RST1.GetRows(, , R1)

U1 = UBound(DP1, 2)

RST1.Close

CN1.Close

Set RST1 = Nothing

Set CN1 = Nothing

End Sub

Sub MACL(DY1 As Long)

Dim I As Long, T As Long, TMP1 As Currency

ReDim MA1(U1)

TMP1 = 0

For I = 0 To DY1 - 2

TMP1 = TMP1 + DP1(1, I)

MA1(I) = 0

Next

TMP1 = TMP1 + DP1(1, DY1 - 1)

MA1(DY1 - 1) = TMP1 / DY1

For I = DY1 To U1

TMP1 = TMP1 + DP1(1, I) - DP1(1, I - DY1)

MA1(I) = TMP1 / DY1

Next

End Sub

Sub DEAL(DBUY As Long, DSELL As Long, DT1 As Date, DT2 As Date, TAX As Currency)

Dim I As Long, J As Long, D1 As Long, D2 As Long, DBOK As Boolean, DSOK As Boolean, BGT As Boolean

If DT1 > DT2 Then

MsgBox "Wrong Dates!"

Exit Sub

End If

BGT = False

TIMES = 0

TRATE = 1

D1 = D2N(DT1, "S")

D2 = D2N(DT2, "E")

For I = D1 To D2 - 1

If DP1(1, I - 1) <= MA1(I - 1) And DP1(1, I) > MA1(I) Then

If Not BGT Then

If I + DBUY >= D2 Then

I = I + DBUY

Else

DBOK = True

For J = 1 To DBUY

If DP1(1, I + J) < MA1(I + J) Then 'COMPARE CLOSE PRICE

DBOK = False

I = I + J

Exit For

End If

Next

If DBOK Then

I = I + DBUY

Do

If DP1(2, I + 1) > MA1(I + 1) Then 'COMPARE OPEN PRICE

RD1(0, TIMES) = DP1(0, I + 1)

RD1(1, TIMES) = DP1(2, I + 1)

TIMES = TIMES + 1

BGT = True

Exit Do

Else

If DP1(1, I + 1) < MA1(I + 1) Then 'COMPARE CLOSE PRICE

I = I + 1

Exit Do

Else

I = I + 1

End If

End If

Loop

End If

End If

Else

'Stop

End If

Else

If DP1(1, I - 1) >= MA1(I - 1) And DP1(1, I) < MA1(I) Then

If BGT Then

If I + DSELL >= D2 Then

I = I + DSELL

Else

DSOK = True

For J = 1 To DSELL

If DP1(1, I + J) > MA1(I + J) Then

DSOK = False

I = I + J

Exit For

End If

Next

If DSOK Then

I = I + DSELL

Do

If DP1(2, I + 1) < MA1(I + 1) Then

RD1(0, TIMES) = DP1(0, I + 1)

RD1(1, TIMES) = -DP1(2, I + 1)

RD1(2, TIMES) = DP1(2, I + 1) / RD1(1, TIMES - 1) * (1 - TAX)

TRATE = TRATE * RD1(2, TIMES)

TIMES = TIMES + 1

BGT = False

Exit Do

Else

If DP1(1, I + 1) > MA1(I + 1) Then

I = I + 1

Exit Do

Else

I = I + 1

End If

End If

Loop

End If

End If

Else

'Stop

End If

End If

End If

Next

End Sub

Function D2N(DT As Date, DR As String) As Long

Dim J As Long, K As Long, M As Long

J = 0

K = U1

M = Int((K - J) / 2) + J

Do

Select Case DT

Case DP1(0, M)

D2N = M

Exit Function

Case Is < DP1(0, M)

K = M

M = Int((K - J) / 2) + J

Case Else

J = M

M = Int((K - J) / 2) + J

End Select

Loop Until K - J = 1

If DR = "S" Then

If DT > DP1(0, J) Then

D2N = K

Else

D2N = J

End If

Else

If DT < DP1(0, K) Then

D2N = J

Else

D2N = K

End If

End If

End Function