얼마 전 올렸던 질문(글번호: 194570) 관련 추가질문입니다.
아래와 같이 코드를 변경했는데, 이게 맞나 싶네요... 결과가 너무 달라요.
그리고, 날짜변경시 Daily~로 시작되는 변수들을 업데이트 하도록 했는데,
한국투자증권 나스닥 선물 시간상 한국자정에 날짜가 바뀌는 거 같은데
미국시장 기준으로 바꾸도록 하려면 어떻게 하나요?
검토 좀 부탁 드립니다.
늘 감사 드립니다.
============= 원본코드 =============
// --- 원본 전략 로직 시작 (문법 수정 적용) --- PcntChange = Close / DayClose(PChng) * 100; If PcntChange < 100 - OverRange then Begin OS = TRUE; HighBand = Highest( High , Bands ); End; If PcntChange > 100 + OverRange then Begin OB = TRUE; LowBand = Lowest( Low, Bands); End; if EntriesToday(sDate) < 1 and NoContract > 0 and TradeAllowed then {     If OS and MarketPosition <> 1 Then Buy("B", AtStop, HighBand, NoContract);     If OB and MarketPosition <> -1 then Sell("S", AtStop, LowBand, NoContract); } If marketposition == 1 and C > entryprice + profit then ExitLong("LX_Profit", AtMarket); if marketposition == -1 and C < entryprice - profit then ExitShort("SX_Profit", AtMarket); if MRO( OS == false, MRO_Length, MRO_Threshold ) == -1 then OS = false; if MRO( OB == false, MRO_Length, MRO_Threshold ) == -1 then OB = false; ExitLong("EL_Trail", AtStop, lowest(low,exitperiod)); ExitShort("ES_Trail", AtStop, highest(high,exitperiod)); SetStopLoss(stopPer, PercentStop); // --- 원본 전략 로직 종료 ---




============= 수정코드 =============
Array: DailyReturns[100](0), DailyOpenArray[100](0), DailyHighArray[100](0), DailyLowArray[100](0), DailyCloseArray[100](0); // ================== 로직 시작 ================== // 1. 5분봉을 일봉으로 집계 CurrentDate = sDate; if Index == 0 then begin PrevDate = CurrentDate; DailyOpen = Open; DailyHigh = High; DailyLow = Low; DailyBarCount = 0; end // 날짜가 바뀌었을 때 (새로운 거래일 시작) if CurrentDate != PrevDate then begin // 전일 일봉 데이터를 배열에 저장 For Value1 = 99 DownTo 1 begin DailyOpenArray[Value1] = DailyOpenArray[Value1-1]; DailyHighArray[Value1] = DailyHighArray[Value1-1]; DailyLowArray[Value1] = DailyLowArray[Value1-1]; DailyCloseArray[Value1] = DailyCloseArray[Value1-1]; end; DailyOpenArray[0] = PrevDailyOpen; DailyHighArray[0] = PrevDailyHigh; DailyLowArray[0] = PrevDailyLow; DailyCloseArray[0] = PrevDailyClose; // 새로운 일봉 시작 DailyOpen = Open; DailyHigh = High; DailyLow = Low; DailyBarCount = DailyBarCount + 1; PrevDate = CurrentDate; end // 같은 날 내에서 고가/저가 업데이트 if High > DailyHigh then DailyHigh = High; if Low < DailyLow then DailyLow = Low; DailyClose = Close; // 이전 일봉 데이터 저장 PrevDailyOpen = DailyOpen; PrevDailyHigh = DailyHigh; PrevDailyLow = DailyLow; PrevDailyClose = DailyClose; .......... 생략 .......... if CurrentDate != PrevDate and DailyBarCount > 1 then begin if DailyOpenArray[1] > 0 then DailyReturn = (DailyOpenArray[0] - DailyOpenArray[1]) / DailyOpenArray[1] else DailyReturn = 0; For Value1 = VaR_Period - 1 DownTo 1 begin DailyReturns[Value1] = DailyReturns[Value1-1]; end; DailyReturns[0] = DailyReturn; end .......... 생략 .......... // 5. 원본 전략 로직 (일봉 기준 계산) if DailyBarCount >= Pchng and DailyCloseArray[Pchng-1] > 0 then PcntChange = DailyClose / DailyCloseArray[Pchng-1] * 100 else PcntChange = 100; If PcntChange < 100 - OverRange then begin OS = true; // 최근 Bands개 일봉의 최고가 HighBand = DailyHighArray[0]; For Value1 = 1 to Bands-1 begin if DailyHighArray[Value1] > HighBand then HighBand = DailyHighArray[Value1]; end; end else OS = false; If PcntChange > 100 + OverRange then begin OB = true; // 최근 Bands개 일봉의 최저가 LowBand = DailyLowArray[0]; For Value1 = 1 to Bands-1 begin if DailyLowArray[Value1] < LowBand then LowBand = DailyLowArray[Value1]; end; end else OB = false; // 6. 주문 실행 (5분봉에서 즉시 실행) if EntriesToday(sDate) < 1 and NoContract > 0 and TradeAllowed then begin If OS and MarketPosition <> 1 then Buy("B", AtStop, HighBand, NoContract); If OB and MarketPosition <> -1 then Sell("S", AtStop, LowBand, NoContract); end If MarketPosition == 1 and C > EntryPrice + profit then ExitLong("LX_Profit", AtMarket); if MarketPosition == -1 and C < EntryPrice - profit then ExitShort("SX_Profit", AtMarket); if MRO(OS == false, MRO_Length, MRO_Threshold) == -1 then OS = false; if MRO(OB == false, MRO_Length, MRO_Threshold) == -1 then OB = false; // exitperiod도 일봉 기준으로 계산 Var: ExitLowBand(99999), ExitHighBand(0); ExitLowBand = DailyLowArray[0]; ExitHighBand = DailyHighArray[0]; For Value1 = 1 to exitperiod-1 begin if DailyLowArray[Value1] < ExitLowBand then ExitLowBand = DailyLowArray[Value1]; if DailyHighArray[Value1] > ExitHighBand then ExitHighBand = DailyHighArray[Value1]; end; ExitLong("EL_Trail", AtStop, ExitLowBand); ExitShort("ES_Trail", AtStop, ExitHighBand); SetStopLoss(stopPer, PercentStop);