主题：1-X技术分析测试程序代码帖 -- 牛义缂

由于EMA的最优值测试结果比MA（SMA）差很多，小牛开始怀疑EMA均线的优点。于是就试着把MACD作一下改动，把其中的EMA均线全部换成MA均线。

我们把这种新方法叫做MACD'，那么它的公式就变成了：

MACD'三个参数：A,B,C

MACD'中的DIF' = 收盘价的MA(A) - 收盘价的MA(B)

MACD'中的DEA' = DIF'的MA(C)

MACD'中的柱线MACD' = (DIF' - DEA') x 2

结果MACD'的最优值测试结果和MACD相比出人意料的好，谁能解释啊？

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MACD'-DIF'/DEA'交叉方法描述：

1.买入策略：MACD'的DIF'线金叉DEA'线时，第二天开盘买入。

2.卖出策略：MACD'的DIF'线死叉DEA'线时，第二天开盘卖出。

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注：

1.通达信类软件中，可以通过修改/创建公式来显示MACD'。

2.通达信类软件中，需要缩小K线图至显示全部历史数据，然后再放大到观察点，软件才能正确计算MACD'。

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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, MA2() As Currency, TRATE As Currency, CODE As String

Sub INITIALIZE()

Dim R1 As Variant, M1 As Long, M2 As Long, M3 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 " MA1", "MA2", "MA3", "FROM", "TO", "手续费", "总收益", "交易次数"

MX = 0

B = 0

S = 0

'M3:DEA'均线值

For M3 = 5 To 300 Step 5

'M1:快MA均线值

For M1 = 5 To 150 Step 5

'M2:慢MA均线值

For M2 = M1 + 15 To 300 Step 5

Call MACL(M1, M2, M3)

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 False Then

Debug.Print M1, M2, M3, ST, ET, 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 M1, M2, M3, ST, ET, 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对双均线的交易记录，填False不显示

If False Then

Debug.Print "日期", "正买负卖", "每次收益"

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(M1 As Long, M2 As Long, M3 As Long)

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

ReDim MA1(U1)

ReDim MA2(U1)

'TEMP MA1()

TMP1 = 0

For I = 0 To M1 - 2

TMP1 = TMP1 + DP1(1, I)

MA1(I) = 0

Next

TMP1 = TMP1 + DP1(1, M1 - 1)

MA1(M1 - 1) = TMP1 / M1

For I = M1 To U1

TMP1 = TMP1 + DP1(1, I) - DP1(1, I - M1)

MA1(I) = TMP1 / M1

Next

'DIFF-MA1()

TMP1 = 0

For I = 0 To M2 - 2

TMP1 = TMP1 + DP1(1, I)

MA2(I) = 0

MA1(I) = MA1(I) - MA2(I)

Next

TMP1 = TMP1 + DP1(1, M2 - 1)

MA2(M2 - 1) = TMP1 / M2

MA1(M2 - 1) = MA1(M2 - 1) - MA2(M2 - 1)

For I = M2 To U1

TMP1 = TMP1 + DP1(1, I) - DP1(1, I - M2)

MA2(I) = TMP1 / M2

MA1(I) = MA1(I) - MA2(I)

Next

'DEA-MA2()

TMP1 = 0

For I = 0 To M3 - 2

TMP1 = TMP1 + MA1(I)

MA2(I) = 0

Next

TMP1 = TMP1 + MA1(M3 - 1)

MA2(M3 - 1) = TMP1 / M3

For I = M3 To U1

TMP1 = TMP1 + MA1(I) - MA1(I - M3)

MA2(I) = TMP1 / M3

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 "日期错误!"

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 MA1(I - 1) <= MA2(I - 1) And MA1(I) > MA2(I) Then

If Not BGT Then

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

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

TIMES = TIMES + 1

BGT = True

Else

'Stop

End If

Else

If (MA1(I - 1) >= MA2(I - 1) And MA1(I) < MA2(I)) Then

If BGT 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

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

• 1-6初级技术分析的验证-MACD的有效改进