請問此兩程式回測結果何者較佳?! - 財經
By Zanna
at 2009-09-15T16:05
at 2009-09-15T16:05
Table of Contents
程式一
全體 買進 賣出
純益 596,000.00 404,200.00 191,800.00
未結算收益/損失 0 0 0
總收益 892,200.00 572,000.00 320,200.00
總損失 -296,200.00 -167,800.00 -128,400.00
交易回數 65 37 28
升率(%) 55.38% 56.76% 53.57%
收益交易回數 36 21 15
損失交易回數 29 16 13
最大收益 80,600.00 80,600.00 34,000.00
最大損失 -15,800.00 -15,400.00 -15,800.00
平均收益 24,783.33 27,238.10 21,346.67
平均損失 -10,213.79 -10,487.50 -9,876.92
平均收益比率(倍)2.43 2.6 2.16
平均各買賣損益 9,169.23 10,924.32 6,850.00
最大連續收益買賣數 8 6 4
最大連續損失買賣數 6 5 3
平均收益Bar數 54 69 33
平均損失Bar數 32 33 29
最大評價損失幅 -71,400.00 -50,000.00 -37,000.00
賠償比率 3.01 3.41 2.49
最小必要成本 71,400.00 50,000.00 37,000.00
最小必要成本漲跌純益(%) 834.73% 808.40% 518.38%
程式二
全體 買進 賣出
純益 725,800.00 480,000.00 245,800.00
未結算收益/損失 0 0 0
總收益 1,134,000.00 693,600.00 440,400.00
總損失 -408,200.00 -213,600.00 -194,600.00
交易回數 89 46 43
升率(%) 57.30% 56.52% 58.14%
收益交易回數 51 26 25
損失交易回數 38 20 18
最大收益 80,600.00 80,600.00 40,600.00
最大損失 -15,800.00 -15,400.00 -15,800.00
平均收益 22,235.29 26,676.92 17,616.00
平均損失 -10,742.11 -10,680.00 -10,811.11
平均收益比率(倍)2.07 2.5 1.63
平均各買賣損益 8,155.06 10,434.78 5,716.28
最大連續收益買賣數 6 6 5
最大連續損失買賣數 6 4 4
平均收益Bar數 57 71 41
平均損失Bar數 35 37 31
最大評價損失幅 -71,600.00 -54,000.00 -52,000.00
賠償比率 2.78 3.25 2.26
最小必要成本 71,600.00 54,000.00 52,000.00
最小必要成本漲跌純益(%)1013.69% 888.89% 472.69%
Google文件
http://sites.google.com/site/mmkntust/5k-1
以上回測時間長度相同
最近小弟新程式寫一寫
寫出這兩種版本
程式碼差異只有一點點
結果卻差很多
請問以前輩的觀點
上面哪個程式比較好呢?!
或者你們會挑哪個用?!
為什麼?!
請給我一點想法
謝謝!<(_ _)>
--
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財經
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