量化交易及交易心得-李自明.ppt

量化交易
及交易心得2

678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21

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
NumericLength(91);
NumericLots(10);
Vars
NumericSeriesAvgValue1;
Begin
AvgValue1=AverageFC(Close,Length);
PlotNumeric("MA1",AvgValue1);

If(MarketPosition==0andClose[1]>AvgValue1[1])
{
Buy(Lots,Open);
}
If(MarketPosition==1andClose[1]<AvgValue1[1]andDate>LastEntryDate)
{
Sell(0,Open);
}

End沪胶91天均线例2--中线指标Params
NumericFastLength(30);
NumericSlowLength(45);
NumericFastLength1(12);
NumericSlowLength1(26);
NumericMACDLength(9);
NumericLots(10);
Vars
NumericSeriesAvgValue1;
NumericSeriesAvgValue2;
NumericSeriesMACDValue;
NumericSeriesAvgMACD;
NumericMACDDiff;

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==0andClose[1]>AvgValue1[1]andAvgValue1[1]>AvgValue2[1]andMACDValue[1]>AvgMACD[1]and
MACDValue[1]>0)
{
Buy(Lots,Open);
}
If(MarketPosition==1andClose[1]<AvgValue1[1]andDate>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！