量化交易及交易心得—李自明.pptVIP

量化交易 及交易心得;*; ; ; ;*;*;*;;量化分析;量化分析;开拓者交易的几点实用功能;保密性;保密性;保密性;多样化的历史回测;多策略回测;多品种、多系统、多周期测试;参数优化;交易多功能;*; ;顺势而为;赔率比胜率更重要;择优--多强空弱;仓位管理;止损;黑天鹅事件;例1--超长线指标;Params Numeric Length(91); Numeric Lots(10); Vars NumericSeries AvgValue1; Begin AvgValue1 = AverageFC(Close,Length); PlotNumeric(MA1,AvgValue1); If (MarketPosition == 0 and Close[1] AvgValue1[1] ) { Buy(Lots,Open); } If (MarketPosition == 1 and Close[1] AvgValue1[1] and Date LastEntryDate) { Sell(0,Open); } End ;沪胶91天均线;例2--中线指标;Params Numeric FastLength(30); Numeric SlowLength(45); Numeric FastLength1(12); Numeric SlowLength1(26); Numeric MACDLength(9); Numeric Lots(10); Vars NumericSeries AvgValue1; NumericSeries AvgValue2; NumericSeries MACDValue; NumericSeries AvgMACD; Numeric MACDDiff; Begin AvgValue1 = AverageFC(Close,FastLength); AvgValue2 = AverageFC(Close,SlowLength); MACDValue = XAverage( Close, FastLength1 ) - XAverage( Close, SlowLength1 ) ; AvgMACD = XAverage(MACDValue,MACDLength); MACDDiff = MACDValue - AvgMACD; PlotNumeric(MA1,AvgValue1); PlotNumeric(MA2,AvgValue2); PlotNumeric(MACD,MACDValue); PlotNumeric(MACDAvg,AvgMACD); If (MarketPosition == 0 and Close[1] AvgValue1[1] and AvgValue1[1] AvgValue2[1] and MACDValue[1] AvgMACD[1] and MACDValue[1] 0) { Buy(Lots,Open); } If (MarketPosition == 1 and Close[1] AvgValue1[1] and Date LastEntryDate) { Sell(0,Open); } End ;焦炭--均线加指标;最好的学习方法就是动手实验。;谢谢！