量化进阶——多策略量化回测实录（二）

最新推荐文章于 2024-09-23 09:57:39 发布

JDquant

最新推荐文章于 2024-09-23 09:57:39 发布

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文章标签：投资理念市场分析盈利交易系统金融

阅读原文：http://club.jr.jd.com/quant/topic/1428618

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plan 2卖出是close＜ma10跑一次，

查看每笔交易
Value op cash amount asset diff
2014-07-30 5.74 B 3.46 17421 100000.0 0.00
2014-08-05 5.82 S 101393.68 0 101393.7 1393.68
2014-08-08 5.73 B 1.33 17695 101393.7 0.00
2014-08-11 5.84 S 103340.13 0 103340.1 1946.45
2014-08-26 6.12 B 3.93 16885 103340.1 0.00
2014-08-27 6.25 S 105535.18 0 105535.2 2195.05

盈利的交易
Value op cash amount asset diff
2014-07-30 5.74 B 3.46 17421 100000.0 0.00
2014-08-05 5.82 S 101393.68 0 101393.7 1393.68
2014-08-08 5.73 B 1.33 17695 101393.7 0.00
2014-08-11 5.84 S 103340.13 0 103340.1 1946.45
2014-08-26 6.12 B 3.93 16885 103340.1 0.00
2014-08-27 6.25 S 105535.18 0 105535.2 2195.05

亏损的交易
Value op cash amount asset diff
2014-11-07 7.45 B 5.36 16207 120747.5 0.00
2014-11-20 7.19 S 116533.69 0 116533.7 -4213.82
2014-12-05 7.46 B 3.14 16468 122854.4 0.00
2015-01-06 6.64 S 109350.66 0 109350.7 -13503.76
2015-04-15 13.58 B 7.95 9514 129208.1 0.00
2015-04-21 13.46 S 128066.39 0 128066.4 -1141.68

股价+现金流量

现金流量画图

选择滑动平均指标画图

plan 3卖出是close＜ma20跑一次，

交易记录

查看每笔交易

Value op cash amount asset diff
2014-07-30 5.74 B 3.46 17421 100000.0 0.0
2014-08-19 6.34 S 110452.60 0 110452.6 10452.6
2014-09-10 6.82 S 110452.60 0 110452.6 0.0
2014-09-12 6.95 S 110452.60 0 110452.6 0.0
2014-09-15 6.91 S 110452.60 0 110452.6 0.0
2014-09-16 6.60 S 110452.60 0 110452.6 0.0

盈利的交易

Value op cash amount asset diff
2014-07-30 5.74 B 3.46 17421 100000.0 0.00
2014-08-19 6.34 S 110452.60 0 110452.6 10452.60
2014-11-03 7.49 B 5.06 14746 110452.6 0.00
2014-11-06 7.58 S 111779.74 0 111779.7 1327.14
2014-11-07 7.45 B 7.39 15003 111779.7 0.00
2014-11-21 7.58 S 113730.13 0 113730.1 1950.39

亏损的交易

Value op cash amount asset diff
2014-12-08 7.32 B 5.90 15817 115786.34 0.00
2015-01-08 6.85 S 108352.35 0 108352.35 -7433.99
2015-01-09 6.75 B 1.35 16052 108352.35 0.00
2015-01-16 6.68 S 107228.71 0 107228.71 -1123.64
2015-06-15 26.75 B 10.13 4782 127928.63 0.00
2015-07-21 17.23 S 82403.99 0 82403.99 -45524.64

现金流量画图