开拓者期货期权程序化系统交易论坛

标题: dual thrust 策略源码有问题求指点 [打印本页]

作者: zs5608 时间: 2019-6-8 12:06:44 标题: dual thrust 策略源码有问题求指点

回测螺纹钢5分钟，从2010--2018年，㫫示年化收益率为400%以上，肯定不可能，但就是找不到问题点，
求帮忙，哪位大神帮忙看看程序有什问题？谢谢！

Params
Numeric K1(0.7);
Numeric K2(0.15);
Numeric Mday(1);
Numeric Nday(1);
Numeric lost(1);
Numeric offset(0);
Vars
Numeric BuyRange(0);
Numeric SellRange(0);
Numeric BuyTrig (0);
Numeric SellTrig(0);
Numeric HH;
Numeric LL;
Numeric HC;
Numeric LC;
Numeric i_offset;
Numeric BuyPosition;
Numeric SellPosition;

Begin

// 集合竞价和小节休息过滤
If(!CallAuctionFilter()) Return;

If(CurrentBar > 44*Max(Mday,Nday))

   {
i_offset = offset*MinMove*PriceScale;
HH = Highest(HighD(1),Mday);
HC = Highest(CloseD(1),Mday);
      LL = Lowest(LowD(1),Mday);
      LC = Lowest(CloseD(1),Mday);

   If ( ( HH - LC ) >= ( HC - LL ))
      {
SellRange = HH - LC;

   } Else
      {
      SellRange = HC - LL;
      }
      HH = Highest(HighD(1),Nday);
HC = Highest(CloseD(1),Nday);
      LL = Lowest(LowD(1),Nday);
      LC = Lowest(CloseD(1),Nday);

   If ( ( HH - LC ) >= ( HC - LL ))
      {
BuyRange = HH - LC;

   } Else
      {
      BuyRange = HC - LL;
      }

BuyTrig = K1*BuyRange;
SellTrig = K2*SellRange;
BuyPosition = OpenD(0)+ BuyTrig;
SellPosition = OpenD(0)- SellTrig;

PlotNumeric("BuyPosition",BuyPosition);
PlotNumeric("SellPosition",SellPosition);

         If( High >= BuyPosition)
         {
      Buy(lost,Max(Open,SellPosition)+i_offset);  // Buy(lost,Max(Open,SellPosition)+i_offset);[1]
   Return;
            }
     If( Low <= SellPosition )
{
   SellShort(lost,Min(Open,SellPosition)-i_offset);  //SellShort(lost,Min(Open,SellPosition)-i_offset);[1]
Return;
}

   }


End

[attach]38078[/attach][attach]38077[/attach][attach]38076[/attach][attach]38075[/attach][attach]38075[/attach][attach]38074[/attach][attach]38073[/attach][attach]38072[/attach][attach]38071[/attach][attach]38070[/attach][attach]38069[/attach][attach]38068[/attach][attach]38067[/attach][attach]38066[/attach]

作者: tradefish 时间: 2019-7-23 17:16:15

未来函数啊老哥

作者: zs5608 时间: 2019-7-23 20:53:23

tradefish 发表于 2019-7-23 17:16
未来函数啊老哥

求指教，帮忙，未来函数在哪？谢谢！

作者: chao1989106 时间: 2019-7-24 17:49:39

If( High >= BuyPosition)
                     {
                           Buy(lost,Max(Open,SellPosition)+i_offset);  // Buy(lost,Max(Open,SellPosition)+i_offset);[1]
                              Return;
                  }
                  If( Low <= SellPosition )
                              {
                              SellShort(lost,Min(Open,SellPosition)-i_offset);  //SellShort(lost,Min(Open,SellPosition)-i_offset);[1]
                              Return;
                              }

      }当价格突破BuyPosition 你能买到open或者sellposition吗？

作者: zs5608 时间: 2019-8-3 23:37:25

chao1989106 发表于 2019-7-24 17:49
If( High >= BuyPosition)
{
Buy(lost,Max(Open,Se ...

确实，谢谢！

欢迎光临开拓者期货期权程序化系统交易论坛 (http://bbs.tb18.net/)