旗型(Flag)與三角旗型(Pennant)一直以來都是可靠的中繼型態(tài)的程序化交易策略，代表的是是主要上漲或下跌趨勢(shì)的短暫停頓。旗形走勢(shì)的型態(tài)就像一面掛在旗桿頂上的旗幟，這型態(tài)通常在急速而又大幅的市場(chǎng)波動(dòng)中出現(xiàn)，股價(jià)經(jīng)過一連串緊密的短期波動(dòng)后，形成一個(gè)稍徽與原來趨勢(shì)呈相反方向傾斜的長(zhǎng)方形，這就是旗形走勢(shì)。

以下提供一個(gè)國(guó)外論壇關(guān)于旗型(Flag)的程序化交易策略，可以看一下外國(guó)人如何描述旗型以及利用旗型發(fā)展程序化交易策略

INPUT:

MAXFLDUR(15), //Max Flag Duration

FLAGMIN(2.5), // Max Atr in lowest point in flag

PX(23), //Max Pole Duration.

UPT1BARS(70), // Bars for Uptrend leading to flag

POLEMIN(5.5), //Min ATR Height of the pole

LBF(50), // Min distance between flags

ATRmin(5),// Min volatility change

K(1.2), //Profit Target constant

timeexit(100), //Time exit bars

ATRLL(3),BSEMIN(5), // Stop loss below flag

ATRTRAIL(3),TRAILBARS(5), // Trailing stop parameters

BSEINACT(70),ATRINACT(4); // Inactivity exit parameter

vars:X1(0),X2(0),LRSX2(0),LRSX1(0),POLE(0),ptarget(0),BSE(0),TOP(0),BOTTOM(0),X3(0),L3(0),Y23(0),FLAGBOT(0),UPT1(0),LF(0),TARGETPER(0);

// FLAG CALCULATION

X1=HighestBar(C,MAXFLDUR)[2];//FLAG DURATION EX POLETOP

X2=X1 1; // FLAG DURATION INCLUDING POLE TOP

LF=LOWEST(C,X2);

TOP=Highest(C,X2)[2];

X2=IFF(LINEARREGSLOPE(C,X1)[1]<0 AND TOP-LF

IF X2>2 AND X2<=MAXFLDUR THEN begin //LIMITS FLAG DURATION

Y23=LOWestBar(C,PX X2); // POLE BOTTOM BAR

BOTTOM=LOWEST(C,(PX X2));// POLE BOTTOM

POLE=TOP-BOTTOM;

IF TOP-BOTTOM>POLEMIN*AvgTrueRange(40) AND Y23>X2

THEN BEGIN

TOP=Highest(C,X2)[2];

FLAGBOT=LOWEST(C,X2);

UPT1=BOTTOM-LOWEST(L,UPT1BARS); // UPTREND LEADING TO FLAG

LRSX1=LINEARREGSLOPE(C,X1)*100;//SLOPE IN FLAG

LRSX2=LINEARREGSLOPE(C,X1-1)[2]*100; //SLOPE IN FLAG BEFORE BREAKOUT

Condition1 =TOP-LF<0 OR LRSX2<0); // LIMITS FLAG SLOPE BETWEEN 0 AND -3 ATR

Condition2=POLE>POLEMIN*AvgTrueRange(40) ; // LIMITS MINPOLE HEIGHT

Condition3= UPT1>0; // UPTREND LEADING TO FLAG

Condition4=(barssinceexit(1)=0 or barssinceexit(1)>LBF) ; // LIMITS DISTANCE BETWEEN SUCCESIVE FLAGS

Condition5= (AvgTrueRange(40)/AvgTrueRange(40)[Y23]-1)*100>ATRmin; // VOLATILITY

If MARKETPOSITION=0 AND CONDITION1 AND CONDITION2 AND CONDITION3 and condition4 and condition5

THEN BEGIN

Buy("Flag") NEXT BAR AT HIGHEST(C,X1) STOP;

END;END;END;

{EXIT CONDITIONS}

if MARKETPOSITION =1 THEN BEGIN

BSE=BARSSINCEENTRY;

X3=HighestBar(C,MAXFLDUR)[BSE 2]-BSE 1;

TOP=Highest(C,X3)[BSE 1];

BOTTOM=LOWEST(C,(PX X3))[BSE 1];

POLE=(TOP-BOTTOM)/(BOTTOM .0001)*100;

targetPER=K*POLE;

ptarget=(1 TARGETPER/100)*ENTRYPRICE;

L3=LOWEST(L,X3)[BSE];

// PROFIT TARGET

If C>=ptarget then SELL ("pTARGET") THIS bar at CLOSE;

// STOP

IF BSE>BSEMIN THEN SELL ("UNDER FLAG") NEXT bar at L3-ATRLL*AvgTrueRange(40) STOP;

//TRAILING STOP

IF C

THEN SELL("TRAIL") NEXT BAR AT MARKET;

// INACTIVITY EXIT

IF BSE>BSEINACT AND C

// TIME EXIT

If BSE>timeexit

then SELL("TIME") next bar at open;

END;

以下為臺(tái)指期(TXF1-15K)回測(cè)

以下為德國(guó)DAX指數(shù)(DAX-15K)回測(cè)

后記：

型態(tài)似乎很難用簡(jiǎn)單的方式完整描述。例如常見的M頭及W底，到底要往前追溯幾根K線才比較好呢？ 參數(shù)要設(shè)定多少較佳？程序化交易碼寫得長(zhǎng)，島狀過度最佳化的疑慮就會(huì)出現(xiàn)。