程式交易聚寶盆

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龐氏騙局 (Ponzi Scheme)

請分享給不熟悉海外國際金融產品的朋友. 請協助你的朋友了解什麼是龐氏騙局 (Ponzi Scheme). 避免成為龐氏騙局的受害者.

龐氏騙局是指騙人不實在的投資，以後來投資者的錢作為快速盈利付給最初投資者以誘使更多人上當。依此類推使卷入的人和資金越來越多。畢竟投資者和資金是有限的，當投資者和資金難以為繼時，龐氏騙局必然驟然崩潰。不要成為龐氏騙局的受害者.

如果有人告訴你，你投資X美元在某海外國際金融產品 (特別是如果產品和產品經理註冊在幾乎沒有或相對沒有監管的不同避稅天堂), 他保證給你每年Y％，如果Y％是遠遠高於銀行支付的利率，你應當問他和問你自己, 它是不是所謂的龐氏騙局?

馬多夫 (Madoff) 玩老鼠會 華爾街大騙局揭密:
http://www.epochtimes.com/b5/8/12/23/n2372276p.htm

=========== ======================================

http://www.cftc.gov/PressRoom/PressReleases/pr6174-12

Arizona Federal Court Orders Anthony Eugene Linton to Pay More Than $1.7 Million for Operating Ponzi Scheme
Court permanently bars Linton from commodities industry

Washington, DC – The U.S. Commodity Futures Trading Commission (CFTC) obtained a federal court order requiring Anthony Eugene Linton of Tucson, Ariz., doing business as The Private Trading Pool (PTP), to pay a total of $1,776,610 in restitution, disgorgement, and a civil monetary penalty for defrauding investors in a commodity pool Ponzi scheme involving off-exchange foreign currency trading (forex).

The order, entered by US District Court Judge Frank R. Zapata of the U.S. District Court for the District of Arizona on January 30, 2012, stems from a CFTC complaint filed in January 2011, charging Linton with fraud and misappropriation in connection with the scheme (see CFTC Release 5970-11, January 24, 2011).

The order requires Linton to pay a civil monetary penalty of $1,044,366, restitution of $384,122, and disgorgement of $348,122. The order also permanently prohibits Linton from engaging in any commodity-related activity, including trading, and from registering or seeking exemption from registration with the CFTC.

Judge Zapata found that, beginning in or about October 2007 and continuing through January 2011, Linton violated the anti-fraud provisions of the Commodity Exchange Act by falsely representing to customers that they would receive a 100 percent annual return on their investments. Linton further misrepresented that there were no risks associated with trading forex through PTP, that participant funds were accessible on 24-hours’ notice, and that participants could receive monthly checks which Linton falsely represented to be profits from his trading activities, the order finds. The court also found that Linton misappropriated pool participants’ funds, using them for mortgage and car payments and purchases of numerous collectibles on ebay.

終於完成12個與程式交易相關的案例的敘述(繼續下去也可以寫更多，但個人覺得12這個數字滿好的)，
這些案例從不同角度解決交易者或交易團隊面臨的困境，為方便大家閱讀，整理連結如下。

如果你有「一雙眼睛只能盯一個盤， 該如何複製成功經驗」的困境，請參考「案例1「難以定義的指標背離」」，連結為
viewtopic.php?f=8&t=15019#p28429

如果你有「不可能一直盯著盤，稍遲疑就變盤」的困境，請參考「案例2「VIP當沖客的難題」」，連結為
viewtopic.php?f=8&t=15026#p28438

如果你有「對於明確邏輯的競單策略，無法與機器比快」的困境，請參考「案例3「市場很快，你們只有一次機會」」，連結為
viewtopic.php?f=8&t=15086#p28548

如果你有「苦等交易機會出現不夠本，出現了也不夠快」的困境，請參考「案例4「市場太慢，也需要程式交易」」，連結為
viewtopic.php?f=8&t=15212#p28680

如果你有「專注於交易，不慎觸法或疏失」的困境，請參考「案例5「我不是故意的，讓程式處理法規與疏失」」，連結為
viewtopic.php?f=8&t=15392#p28866

如果你有「光好不夠，還要比競爭者好。要提防被設局」的困境，請參考「案例6「交易是資格賽，還是少數贏家比賽」」，連結為
viewtopic.php?f=8&t=15550#p29034

如果你有「交易團隊如何選才與留才」的困境，請參考「案例7「交易界傭兵」」，連結為
viewtopic.php?f=8&t=16105#p29720

如果你有「如何進入交易團隊，交易團隊如何成長」的困境，請參考「案例8「交易這工作，為何老缺人」」，連結為
viewtopic.php?f=8&t=16185#p29834

如果你有「如何得到程式交易好處，且不洩漏策略」的困境，請參考「案例9「隔行如隔山，他們為何學寫程式」」，連結為
viewtopic.php?f=8&t=16187#p29838

如果你有「如何設法或提防策略偵測、跟做與對做」的困境，請參考「案例10「如何避免程式策略被找麻煩」」，連結為
viewtopic.php?f=8&t=16265#p29960

如果你有「交易策略是否可以分享的疑慮」的困境，請參考「案例11「書比較好賺，還是交易」」，連結為
viewtopic.php?f=8&t=16266#p29961

如果你有「如何匿名與其他交易者分享看法」的困境，請參考「案例12「論壇經營的主張與困擾」」，連結為
viewtopic.php?f=8&t=17214#p31051

以上案例都是我親自參與的，在此必須感謝眾多願意與我交流的交易者，這幾年來的對話過程，我得以分享他們的驕傲、他們的困頓與他們的想法。
總之，如果你有以上困境，那麼，就需要「深入瞭解」程式交易。

Ps.
有次演講時，一位聽眾問我，為何要無償分享這些心得，不怕被學了去。我告訴他，我是老師，分享是天職，再則，我分享的只是我知道的一小部分罷了。重點是，你要不斷進步。我喜歡學生課堂發問，可以引導我思考並激發出更多的想法。

好用的軟體，感謝提供分享

seanwang 寫:應該是這個...

http://www.programtrading.tw/viewtopic.php?f=4&t=11569

謝謝你

excel連結外部資料庫
最簡單就是用ADO或是DAO連Access
每天回補數據到資料庫
要用的時候再讀入就可以了.

謝謝您的分享~下儎來用試試看

剛剛下載，非常感謝版主無私分享。。。

聚寶盆K棒轉檔機



程式目的：
此轉檔機可以幫忙程式交易者不需要再為了回測而辛苦的收集、維護和轉檔歷史資料。
程式原理：
轉檔機會先去下載台灣期貨交易所提供的30個交易日期貨每筆成交紀錄，存在使用者的電腦上。再透過轉檔功能，就可以產生K棒的文字檔。

程式特點：

1.期交所30個交易日期貨每筆成交紀錄為公開資料，精準且免費
2.轉檔機支援產生5秒、10秒、30秒、1分、5分、15分、30分、1小時、3小時、1天的K棒
3.轉檔機可以轉出台灣所有的期貨商品K棒。如：TX(大台指)、TE(電指)、TF(金指)、MTX(小台指)...
4.簡單使用，只需兩個步驟
5.產生的K棒文字檔可以簡單的匯入Excel、Wealth-lab、Multicharts、OpenQuant、Tradestation...
6.可以一直保存30個交易日期貨每筆成交紀錄，以備日後不時之需。
7.日期時間格式可自設，且可選擇輸出OI欄位，直接支援Tradestation匯入

Revision History:
20090327:日期時間格式可自設，且可選擇輸出OI欄位，直接支援Tradestation匯入。
20090327:由於期交所的成交明細為多空部位的量加總，為配合一般期貨商的報價，所以將量除以二。
20090408:回補至最新一天
20090409:修正日線回補時間不正確
20090420:增加下載和轉檔的進度列
20090420:轉檔輸出的檔名為商品+分K。如：TX1 Minute.csv
20090421:增加下載目錄記憶和修正K棒高點計算錯誤
20090423:支援期交所從2006年開始的檔案格式
20090428:增加分K、商品、日期和時間的記憶
20091217:增加2010年的結算日
20100714:日期限制已完全移除
20101228:增加2011年結算日
原創五篇文章以上，即可要求聚寶盆K棒轉檔機的原始檔~
獲得原始檔會員名單:API小達人、clcy、folkchen、mizma2k、ezbentley、kenming

在前一篇文章 http://www.programtrading.tw/viewtopic.php?f=3&t=25 提到，
透過券商提供的看盤軟體也可以在Excel中接收即時交易資訊，當這些資料進入Excel這個可以加值計算的環境後，就可以建立即時交易環境。為了證明這點，附件中的檔案接入看盤軟體的Office Quote，以VBA編碼計算每一分鐘的開高低收量，並於格位中設計均線交叉的判斷條件，即可達成當黃金交叉觸發買訊，死亡交叉觸發賣訊的功能。
以此基礎，投資人可以更改系統以適應自己的策略。

聚寶盆TS即時訊號讀取機
使用TS2000i交易的人都知道，部位輸出至文字檔，只能等待下一根K棒的開出。如果買賣的是觸價單或停損單，那對即時交易是相當不利的。此程式便是解決此問題所開發的。



程式特點：
永久免費
最精準：和TS的Tracking Center連動，每一筆交易都不放過。
最即時：不需要ㄧ直掃描mdb的檔案，訊號一產生，就寫入文字檔。
最開放：開放原始碼，可以和您的下單API做任意的整合。
多商品：無限商品，任意設定。
多策略：無限策略，任意設定。




Revision History：
20090429：修正原本有部位，當開始監測後，出現LX或SX類型的訊號，程式無反應的狀況。

(登入才能下載)

不知道有沒有人在Windows 7 上安裝TS 2000i?
請問可以順利的跑嗎?
另外 在vista 64bit版本上 有人安裝過嗎?
感謝

聚寶盆K棒轉檔機



程式目的：
此轉檔機可以幫忙程式交易者不需要再為了回測而辛苦的收集、維護和轉檔歷史資料。
程式原理：
轉檔機會先去下載台灣期貨交易所提供的30個交易日期貨每筆成交紀錄，存在使用者的電腦上。再透過轉檔功能，就可以產生K棒的文字檔。

程式特點：

1.期交所30個交易日期貨每筆成交紀錄為公開資料，精準且免費
2.轉檔機支援產生5秒、10秒、30秒、1分、5分、15分、30分、1小時、3小時、1天的K棒
3.轉檔機可以轉出台灣所有的期貨商品K棒。如：TX(大台指)、TE(電指)、TF(金指)、MTX(小台指)...
4.簡單使用，只需兩個步驟
5.產生的K棒文字檔可以簡單的匯入Excel、Wealth-lab、Multicharts、OpenQuant、Tradestation...
6.可以一直保存30個交易日期貨每筆成交紀錄，以備日後不時之需。
7.日期時間格式可自設，且可選擇輸出OI欄位，直接支援Tradestation匯入

Revision History:
20090327:日期時間格式可自設，且可選擇輸出OI欄位，直接支援Tradestation匯入。
20090327:由於期交所的成交明細為多空部位的量加總，為配合一般期貨商的報價，所以將量除以二。
20090408:回補至最新一天
20090409:修正日線回補時間不正確
20090420:增加下載和轉檔的進度列
20090420:轉檔輸出的檔名為商品+分K。如：TX1 Minute.csv
20090421:增加下載目錄記憶和修正K棒高點計算錯誤
20090423:支援期交所從2006年開始的檔案格式
20090428:增加分K、商品、日期和時間的記憶
20091217:增加2010年的結算日
20100714:日期限制已完全移除
20101228:增加2011年結算日
原創五篇文章以上，即可要求聚寶盆K棒轉檔機的原始檔~
獲得原始檔會員名單:API小達人、clcy、folkchen、mizma2k、ezbentley、kenming

聚寶盆TS即時訊號讀取機
使用TS2000i交易的人都知道，部位輸出至文字檔，只能等待下一根K棒的開出。如果買賣的是觸價單或停損單，那對即時交易是相當不利的。此程式便是解決此問題所開發的。



程式特點：
永久免費
最精準：和TS的Tracking Center連動，每一筆交易都不放過。
最即時：不需要ㄧ直掃描mdb的檔案，訊號一產生，就寫入文字檔。
最開放：開放原始碼，可以和您的下單API做任意的整合。
多商品：無限商品，任意設定。
多策略：無限策略，任意設定。




Revision History：
20090429：修正原本有部位，當開始監測後，出現LX或SX類型的訊號，程式無反應的狀況。

在前一篇文章 http://www.programtrading.tw/viewtopic.php?f=3&t=25 提到，
透過券商提供的看盤軟體也可以在Excel中接收即時交易資訊，當這些資料進入Excel這個可以加值計算的環境後，就可以建立即時交易環境。為了證明這點，附件中的檔案接入看盤軟體的Office Quote，以VBA編碼計算每一分鐘的開高低收量，並於格位中設計均線交叉的判斷條件，即可達成當黃金交叉觸發買訊，死亡交叉觸發賣訊的功能。
以此基礎，投資人可以更改系統以適應自己的策略。

(登入才能下載)

我是新手, 看到有這個forum, 是超興奮的, 因為我是香港trader, 而香港人很少研究自動程式交易, 希望各位高手指教指教.

我已經有(1)DDE功能(我一直用excel抓下data在自己做一些簡單的技術分析, 現正學VBA) (2)Metastock11(做信號的軟件)及(3)一個在windows執行的application叫sptrader(這個是不是你們所講的下單機?). 但三者是獨立的, 我想串起它們, 令我可以將DDE的data feed入metastock, 產生信號, 並由metastock trigger交易在sptrader執行.

請問一下:
1) 有人知道怎樣FEED DATA進Metastock嗎? Metastock 的data供應商沒有我商品的data, 所以我要feed入自己的data, 但不知道如csv的檔案可以嗎? 其實我只貪metastock眾多的technical indicators, 如果真的沒有辦法, 我最多用VBA製造信號 (那我要用很多時間寫這些信號出來了), 再trigger sptrader執行買賣.
2) 怎樣在metastock trigger交易在其他windows application如sptrader執行? 如果像(1)所講, 不用metastock, excel VBA怎樣做類似的trigger呢? (我現在嘗試用一些windows macro program去試記下我下單的動作從而自動起來, 很白癡的方法, 但如果work, 那也可頂一陣子吧.)
3) 我見有很多高手可以在EXCEL做股價圖, 很厲害, 請問一般PC做得來嗎, 我怕當機呢...

先謝, 希望沒有post錯位置.