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);