台指期操作系統筆記12/7 - 財經
By Anthony
at 2010-12-07T23:34
at 2010-12-07T23:34
Table of Contents
開 高 低 收
20101207 8698 8716 8652 8716
淨值餘額: 984400 元
起始資本:1000000 元
---
多單續抱
目前3%追蹤型出場點位在8716*0.97 = 8455
波動性出場點位置在 8590
50日EMA:8311 50日%K:100!! (很少看到100 但最近已經出現兩次了 這顯示趨勢的強勁)
目前部位: 8358多單 (小台x3)
策略狀況 (ABC為多方策略 其餘為空方策略)
A B C alpha beta gamma
是否在場中 o o o x x x
是否符合濾網 - - - x x x
預計進場點位 - - - - - -
預計出場點位 8590 8590 8590 - - -
---
出場日期 R 實際損益 R倍數 總和 峰值 浸水曲線
9/2 142 -135 -0.95 -0.95 -0.95 0.00
10/12 230 253 1.10 0.15 0.15 0.00
10/18 246 -138 -0.56 -0.41 0.15 -0.56
10/18 246 -153 -0.62 -1.03 0.15 -1.18
10/18 247 -197 -0.80 -1.83 0.15 -1.98
10/20 145 -34 -0.23 -2.06 0.15 -2.21
11/12 245 155 0.63 -1.43 0.15 -1.58
11/12 246 115 0.47 -0.96 0.15 -1.11
? 250
? 251
? 251
---
我也這麼覺得
十年回測的策略不給它實際應用個三五年實在說不過去
然而如果實際應用的期間績效不如預期
那就要考驗使用者的風險控管了
--
20101207 8698 8716 8652 8716
淨值餘額: 984400 元
起始資本:1000000 元
---
多單續抱
目前3%追蹤型出場點位在8716*0.97 = 8455
波動性出場點位置在 8590
50日EMA:8311 50日%K:100!! (很少看到100 但最近已經出現兩次了 這顯示趨勢的強勁)
目前部位: 8358多單 (小台x3)
策略狀況 (ABC為多方策略 其餘為空方策略)
A B C alpha beta gamma
是否在場中 o o o x x x
是否符合濾網 - - - x x x
預計進場點位 - - - - - -
預計出場點位 8590 8590 8590 - - -
---
出場日期 R 實際損益 R倍數 總和 峰值 浸水曲線
9/2 142 -135 -0.95 -0.95 -0.95 0.00
10/12 230 253 1.10 0.15 0.15 0.00
10/18 246 -138 -0.56 -0.41 0.15 -0.56
10/18 246 -153 -0.62 -1.03 0.15 -1.18
10/18 247 -197 -0.80 -1.83 0.15 -1.98
10/20 145 -34 -0.23 -2.06 0.15 -2.21
11/12 245 155 0.63 -1.43 0.15 -1.58
11/12 246 115 0.47 -0.96 0.15 -1.11
? 250
? 251
? 251
---
推 are2:哈 其實都是需要花時間讓他去洗回測的 12/07 13:53
推 hotisaac:沒錯阿，回測data滿重要的 12/07 14:58
推 pou:洗回測的意思 應該是實際下單 ... 12/07 15:31
推 are2:回測十年就要洗十年 十年後看不到成果 改了後又要再洗十年 12/07 17:54
我也這麼覺得
十年回測的策略不給它實際應用個三五年實在說不過去
然而如果實際應用的期間績效不如預期
那就要考驗使用者的風險控管了
--
Tags:
財經
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