加载中…实盘日记74——回测
(2012-04-27 18:57:31)
标签：
外汇股票 |
分类： 用实盘解 |
回测
……陈宏杰博客
关于历史数据的回测，有三点可能引起回测与实际情况的偏离，1、数据库内数据有误，所谓输入垃圾输出亦烂，我们尽量寻求优秀的数据供应商，以购买的方式收集数据，即便如此也不能保证完全正确，《实盘日记71——3.0版》显示“输入图表错误”一栏，在已存的889128组数据里就有523个错误。2、测试时点不连续，连续测试更接近实际，但为了统计每个财政年度的损益盈亏，我们也会以某段时间来测试，比如一个月、一个季度、半年或一年，每当测试达到终点时，系统就会进行一次强制平仓，将头寸全部转换为现金，但这类操作与系统定义的交易法则毫无关联，造成的损益可能严重影响测试结论。譬如3.0程式，触发交易的条件比较苛刻，一旦交易持仓时间又比较长，若强平，接着测试的下一个时段内可能无法恢复到可交易的状态，也就是说，对于稳健型，强平无疑将大大拉低收益水平，这也是老陈对此程式没有进行分段统计的原因。3、复盘模型，原则上以1分钟回测精确度最高，5分钟次之，时间跨度越大越不精确。陈宏杰博客
| 初值 | $500,000.00 | |||||||
| 时间 | 终值 | 环比 | 总损益 | 时间 | 终值 | 环比 | 总损益 | |
| 2011/12/09 | $500,000.00 | |||||||
| 2012/01/09 | $534,078.11 | 6.82% | 6.82% | 2012/02/09 | $594,834.48 | 0.31% | 18.97% | |
| 2012/01/13 | $567,456.78 | 6.25% | 13.49% | 2012/02/10 | $595,200.12 | 0.06% | 19.04% | |
| 2012/01/14 | $569,887.18 | 0.43% | 13.98% | 2012/02/13 | $595,680.96 | 0.08% | 19.14% | |
| 2012/01/16 | $569,915.62 | 0.00% | 13.98% | 2012/02/14 | $602,347.20 | 1.12% | 20.47% | |
| 2012/01/17 | $569,963.76 | 0.01% | 13.99% | 2012/02/15 | $603,495.48 | 0.19% | 20.70% | |
| 2012/01/18 | $570,195.56 | 0.04% | 14.04% | 2012/02/16 | $603,797.88 | 0.05% | 20.76% | |
| 2012/01/19 | $570,910.56 | 0.13% | 14.18% | 2012/02/17 | $604,273.24 | 0.08% | 20.85% | |
| 2012/01/20 | $572,462.31 | 0.27% | 14.49% | 2012/02/18 | $611,148.23 | 1.14% | 22.23% | |
| 2012/01/21 | $575,101.00 | 0.46% | 15.02% | 2012/02/20 | $611,278.46 | 0.02% | 22.26% | |
| 2012/01/23 | $575,214.13 | 0.02% | 15.04% | 2012/02/21 | $611,665.93 | 0.06% | 22.33% | |
| 2012/01/24 | $577,350.87 | 0.37% | 15.47% | 2012/02/22 | $611,709.13 | 0.01% | 22.34% | |
| 2012/01/25 | $577,808.39 | 0.08% | 15.56% | 2012/02/23 | $635,685.13 | 3.92% | 27.14% | |
| 2012/01/27 | $584,651.54 | 1.18% | 16.93% | 2012/02/24 | $635,858.40 | 0.03% | 27.17% | |
| 2012/01/28 | $585,197.78 | 0.09% | 17.04% | 2012/02/27 | $659,790.20 | 3.76% | 31.96% | |
| 2012/01/30 | $586,052.78 | 0.15% | 17.21% | 2012/02/28 | $659,833.40 | 0.01% | 31.97% | |
| 2012/01/31 | $586,248.68 | 0.03% | 17.25% | 2012/02/29 | $660,481.40 | 0.10% | 32.10% | |
| 2012/02/01 | $586,921.75 | 0.11% | 17.38% | 2012/03/01 | $663,717.24 | 0.49% | 32.74% | |
| 2012/02/02 | $590,297.15 | 0.58% | 18.06% | 2012/03/02 | $664,235.64 | 0.08% | 32.85% | |
| 2012/02/03 | $590,997.98 | 0.12% | 18.20% | 2012/03/05 | $667,006.35 | 0.42% | 33.40% | |
| 2012/02/04 | $591,848.33 | 0.14% | 18.37% | 2012/03/06 | $667,177.82 | 0.03% | 33.44% | |
| 2012/02/06 | $591,982.60 | 0.02% | 18.40% | 2012/03/07 | $670,004.86 | 0.42% | 34.00% | |
| 2012/02/07 | $592,634.84 | 0.11% | 18.53% | 2012/03/08 | $670,134.46 | 0.02% | 34.03% | |
| 2012/02/08 | $593,025.00 | 0.07% | 18.61% | 2012/03/09 | $670,350.93 | 0.03% | 34.07% | |
| 时间 | 终值 | 环比 | 总损益 | 时间 | 终值 | 环比 | 总损益 | |
| 2012/03/12 | $670,369.20 | 0.00% | 34.07% | 2012/04/10 | $691,132.55 | 0.10% | 38.23% | |
| 2012/03/13 | $671,526.04 | 0.17% | 34.31% | 2012/04/11 | $693,813.11 | 0.39% | 38.76% | |
| 2012/03/14 | $671,592.43 | 0.01% | 34.32% | 2012/04/12 | $694,014.12 | 0.03% | 38.80% | |
| 2012/03/15 | $671,627.09 | 0.01% | 34.33% | 2012/04/16 | $694,684.39 | 0.10% | 38.94% | |
| 2012/03/16 | $671,764.95 | 0.02% | 34.35% | 2012/04/17 | $696,735.00 | 0.30% | 39.35% | |
| 2012/03/20 | $671,809.01 | 0.01% | 34.36% | 2012/04/18 | $697,008.45 | 0.04% | 39.40% | |
| 2012/03/21 | $671,933.26 | 0.02% | 34.39% | 2012/04/23 | $699,582.28 | 0.37% | 39.92% | |
| 2012/03/22 | $673,073.97 | 0.17% | 34.61% | 2012/04/25 | $717,737.11 | 2.60% | 43.55% | |
| 2012/03/23 | $674,104.92 | 0.15% | 34.82% | 2012/04/26 | $718,204.81 | 0.07% | 43.64% | |
| 2012/03/26 | $674,563.95 | 0.07% | 34.91% | 2012/04/27 | $719,545.66 | 0.19% | 43.91% | |
| 2012/03/28 | $675,269.40 | 0.10% | 35.05% | |||||
| 2012/03/29 | $675,963.96 | 0.10% | 35.19% | |||||
| 2012/03/30 | $679,369.53 | 0.50% | 35.87% | |||||
| 2012/04/02 | $681,104.00 | 0.26% | 36.22% | |||||
| 2012/04/04 | $687,197.20 | 0.89% | 37.44% | |||||
| 2012/04/07 | $690,405.38 | 0.47% | 38.08% | |||||
| 2012/04/09 | $690,425.57 | 0.00% | 38.09% |
|
Open Time |
Type |
Item |
Price |
T / P |
|
Price |
Profit |
|
2012.04.26 14:01 |
sell |
gbpusd |
1.61803 |
1.61803 |
2012.04.27 03:06 |
1.61818 |
-1 136.11 |
|
2012.04.26 14:02 |
buy |
gbpusd |
1.61847 |
1.61847 |
2012.04.27 01:21 |
1.61881 |
2 574.64 |
|
2012.04.26 21:14 |
balance |
|
|
|
|
|
0.18 |
|
2012.04.26 21:14 |
balance |
|
|
|
|
|
-0.36 |
|
2012.04.26 21:14 |
balance |
|
|
|
|
|
60.00 |
|
2012.04.26 21:14 |
balance |
|
|
|
|
|
-6.00 |
|
2012.04.26 21:14 |
balance |
|
|
|
|
|
-1.50 |
|
2012.04.26 21:14 |
balance |
|
|
|
|
|
-150.00 |
|
|
|
|
|
|
|
|
49 194.73 |
|
|
|
|
|
|
Closed P/L: |
49 194.73 |
|
|
Open Trades: |
|
|
|
|
|
|
|
|
Open Time |
Type |
Item |
Price |
T / P |
|
Price |
Profit |
|
2012.04.23 15:41 |
sell |
eurusd |
1.31360 |
1.31000 |
|
1.32279 |
-625.27 |
|
2012.04.26 07:52 |
buy |
eurusd |
1.32540 |
1.32900 |
|
1.32251 |
-196.67 |
|
2012.04.25 11:26 |
sell |
gbpusd |
1.61109 |
1.61140 |
|
1.62224 |
-842.92 |
|
2012.04.25 15:42 |
sell |
gbpusd |
1.61470 |
1.61140 |
|
1.62224 |
-2 280.03 |
|
2012.04.27 09:27 |
sell |
gbpusd |
1.62200 |
1.61840 |
|
1.62224 |
-18.15 |
|
|
|
|
|
|
|
|
-3 963.04 |
|
|
|
|
|
|
Floating P/L: |
-3 963.04 |
|
|
Working Orders: |
|
|
|
|
|
|
|
|
Open Time |
Type |
Item |
Price |
T / P |
|
Price |
|
|
2012.04.23 15:41 |
sell limit |
eurusd |
1.32860 |
0.00000 |
|
1.32251 |
Sell.2 |
|
2012.04.26 07:52 |
buy limit |
eurusd |
1.31040 |
0.00000 |
|
1.32279 |
Buy.2 |
|
2012.04.25 15:42 |
sell limit |
gbpusd |
1.62670 |
0.00000 |
|
1.62196 |
Sell.3 |
|
2012.04.27 09:27 |
sell limit |
gbpusd |
1.62560 |
0.00000 |
|
1.62196 |
Sell.2 |
|
Summary: |
|
|
|
|
|
|
|
|
Deposit/Withdrawal: |
670 350.93 |
Credit Facility: |
0.00 |
|
|
|
|
|
Closed Trade P/L: |
49 194.73 |
Floating P/L: |
-3 963.04 |
Margin: |
4 200.00 |
||
|
Balance: |
719 545.66 |
Equity: |
715 582.62 |
Free Margin: |
711 382.62 |
||
链接
前四十篇
实盘日记第一篇 《实盘日记⑴——刺猬》
实盘月报二月篇 《实盘日记23——月报》
实盘月报三月篇 《实盘日记45——月报》
实盘月报四月篇 《实盘日记63——月报》
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