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文章从程序化交易出发,以历史数据模拟交易为主要研究方法,运用螺纹钢期货上市以来至2015年年初历史数据对海龟交易法进行收益率检验,并在此基础上加入移动平均线指标、指数平滑异同移动平均线指标对历史上出现的交易机会进行筛选过滤,从而达到优化交易策略、剔除假突破的目的,最后运用交易总收益、总亏损情况、风险收益比、总回报率、资金回撤程度对交易策略进行评价,最终提出经优化后达到风险更低、收益更高的交易策略。
The article starts from the programmatic transaction and takes the historical data simulation transaction as the main research method. It uses the historical data from the market of the rebar futures to the beginning of 2015 to test the return rate of the sea turtle trading method. On this basis, it adds the moving average index, Smoothing Difference Moving Average Indicators Filtering the historical trading opportunities filtered to achieve the goal of optimizing the trading strategy, excluding the purpose of fake breakthrough, and finally using the total trading revenue, total loss, risk-return ratio, total return, capital withdrawal The degree of the transaction strategy evaluation, the final proposed optimization to achieve a lower risk, higher returns trading strategy.