逆勢網格策略應用於外匯自動交易實作與研究

現今在台股與外匯市場上有許多投資方式可供人們選擇，使得投資策略更加多元化，本文將提出逆勢網格交易策略，和馬丁格爾加倍進倉策略，探討其進場特點與限制，建立一套無須看市場動向，並可達到穩定獲利的自動交易程式，利用外匯市場流動性較高的歐美貨幣對EURUSE為實證貨幣，模擬手動下單操作以驗證其獲利，建立交易程式買賣的進場條件，最後利用MetaTrader 4（MT4）歷史資料回測系統，對程式進行修改並延伸探討進場策略。回測去年時段2021/01/01-2021/12/31，以本金1000美金，初始手數0.01進行回測，所獲交易總次數2516次，淨值1432.75美元。並依回測結果所獲取的系統參數，嘗試套用今年的市場波動，新增測試時段今年2022/1/1至2022/4/29獲利淨值為1064.97美金，四個月的投資報酬率為106 %，以證實可以實現系統自動交易化，達到獲利的目標。

關鍵字

馬丁格爾；逆勢交易；程式交易策略；網格交易；外匯市場

並列摘要

Nowadays, there are many investment methods in Taiwan stocks and foreign exchange markets for people to choose from, which makes the investment strategy more diversified. This article will propose the contrarian grid trading strategy and the Martingale double-entry strategy, and discuss the characteristics and limitations of their entry. Create a set of automatic trading programs that do not need to look at market trends and can achieve stable profits Finally, using the MetaTrader 4(MT4) historical data backtesting system, the program is modified and the entry strategy is extended. Backtesting last year's period 2021/01/01-2021/12/31, the backtest was conducted with a principal of 1,000 US dollars and an initial lot size of 0.01. The total number of transactions obtained was 2,516, and the net value was 1,432.75 US dollars. And according to the system parameters obtained from the backtest results, try to apply this year's market fluctuations, and add a new test period from 2022/1/1 to 2022/4/29. The net profit is $1064.97, and the four-month ROI is 106 % to prove that the system can be automatically traded to achieve the goal of profit.