48-程序化策略回测
趋势采用三均线日内策略;区间采用RSI位置结构交叉策略(经过研究,RSI与KDJ具有共线性,所以只选用RSI作为区间指标)。4H、1H计算交易成本,15Min不算交易成本。
EURUSD-4H:(4,11)(4,30,70) -1H:(6,9)(6,30,85) -M15:(4,8)(4,30,70)
AUDUSD-4H:(5,6)(4,30,70) -1H:(6,9)(5,30,85) -M15:(4,8)(4,30,70)
GBPUSD-4H:(3,5)(4,30,70) -1H:(6,10)(6,30,85) -M15:(4,11)(4,30,70)
NZDUSD-4H:(3,7)(4,30,70) -1H:(7,9)(4,30,85) -M15:(5,15)(4,30,70)
USDCAD-4H:(5,7)(4,30,70) -1H:(8,10)(10,30,85) -M15:(4,8)(4,30,70)
USDCHF-4H:(4,6)(4,30,70) -1H:(7,9)(6,30,85) -M15:(4,6)(4,30,70)
USDJPY-4H:(3,5)(4,30,70) -1H:(7,10)(8,15,70) -M15:(4,12)(4,30,70)
XAUUSD-4H:(3,7)(4,30,70) -1H:(6,11)(5,30,70) -M15:(4,14)(4,30,70)
观井映天
2015.1.12