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标题: 为什么实盘与回测总差好几个点的价格 [打印本页]

作者: l517657048 时间: 2020-6-9 06:48:16 标题: 为什么实盘与回测总差好几个点的价格

Params Numeric lots(1); Numeric Length(6); Numeric StopLossSet(2); //Numeric TrailingStop(5);  // 跟踪止损百分比 Numeric AmplitudeSet(80);
Numeric XZ(16);
Numeric Offset(4);
Vars Numeric stopPoint; NumericSeries highChannel; NumericSeries lowChannel; NumericSeries rateOfHighToLow;//收盘价到的最低价在最高价到最低价的比列(N个Bar) NumericSeries avgRateOfHTL; NumericSeries doubleAvgRateOfHTL; NumericSeries fastMA; NumericSeries slowMA; Bool bBuyCon; Bool bSellCon; NumericSeries tradeNum; Numeric MinPoint;//最小价格调动点 Numeric StopProfitPrice;//止盈价格 NumericSeries HigherAfterEntry;//进场后，K线走势的最高价 NumericSeries LowerAfterEntry;//进场后，K线走势的最低价 Numeric StopLine(0);//止损、止盈线 Begin If( High == Low) return ; MinPoint = MinMove*PriceScale; stopPoint = OpenD(1)*StopLossSet*0.01;      If(Date != DATE[1]) { highChannel = High; lowChannel = Low; //tradeNum = 0; }Else { highChannel = Max(highChannel[1],High); lowChannel = Min(lowChannel[1],Low); } rateOfHighToLow = Abs(Close - Lowest(Low,3*Length))/(Highest(High,3*Length)-Lowest(Low,3*Length))*100;//收盘价与最低价占比整根K线的比例 avgRateOfHTL = SMA(rateOfHighToLow,Length,1); // 比例再平均 doubleAvgRateOfHTL = SMA(avgRateOfHTL,Length,1);// 比例再平均 //PlotNumeric("rateOfHighToLow",rateOfHighToLow);    //PlotNumeric("avgRateOfHTL",avgRateOfHTL); //PlotNumeric("doubleAvgRateOfHTL",doubleAvgRateOfHTL); fastMA = Average(Close,Length/2);    slowMA = Average(Close,Length);    bBuyCon = avgRateOfHTL[1] > AmplitudeSet //占比大于80%  多是阳线或者上涨情况    And fastMA[1] > slowMA[1] And Close[1] > fastMA[1] //两重均线判断是否是多头排列情况    And highChannel[1]/lowChannel[1] < 1+0.001*XZ And MarketPosition != 1;  //当日振幅不大于千XZ的值防止突破价位已经不好 bSellCon = avgRateOfHTL[1] < 100 - AmplitudeSet //占比小于20%    And fastMA[1] < slowMA[1] And Close[1] < fastMA[1]  //两重均线判断是否是空头排列情况    And highChannel[1]/lowChannel[1] < 1+0.001*XZ And MarketPosition != -1; //当日振幅不大于千XZ的值防止突破价位已经不好 If(bBuyCon == True) { //PlotString("bBuy","bBuy",Low,Red);
Buy(lots,Open -Offset*MinPoint); Return; } If(bSellCon == True) { //PlotString("bSell","bSell",High,Green); SellShort(lots,Open+Offset*MinPoint); Return; } //Commentary("bBuyCon = "+IIFString(bBuyCon,"True","false")); //Commentary("bSellCon = "+IIFString(bSellCon,"True","false")); //Commentary("(avgRateOfHTL) "+Text(avgRateOfHTL));       If(MarketPosition == 1 And Low <= AvgEntryPrice - stopPoint) { Sell(0,Min(Open,AvgEntryPrice - stopPoint)+Offset*MinPoint); Return; }
If(MarketPosition == -1 And High >= AvgEntryPrice + stopPoint) { BuyToCover(0,Max(Open,AvgEntryPrice + stopPoint)-Offset*MinPoint); Return; }    End

作者: 小米 时间: 2020-6-9 11:09:59

这代码没法看吧？
可以先看一下信号发生的时间所在的价格与实盘委托价格是否接近？
若不接近，原因是什么？公式的价格写得不合理？信号所在合约是指数而下单是主力？等等原因　

作者: l517657048 时间: 2020-6-9 14:49:45

复制到软件下看看，价格怎么调成合理？

作者: l517657048 时间: 2020-6-9 14:53:16

Params
Numeric lots(1);
Numeric Length(6);
Numeric StopLossSet(2);       Numeric TrailingStop(5);  // 跟踪止损百分比
Numeric AmplitudeSet(80);
Numeric XZ(16);
Numeric Offset(4);
Vars
Numeric stopPoint;       NumericSeries highChannel;       NumericSeries lowChannel;       NumericSeries rateOfHighToLow;//收盘价到的最低价在最高价到最低价的比列(N个Bar)
NumericSeries avgRateOfHTL;       NumericSeries doubleAvgRateOfHTL;             NumericSeries fastMA;       NumericSeries slowMA;             Bool bBuyCon;
Bool bSellCon;       NumericSeries tradeNum;             Numeric MinPoint;//最小价格调动点       Numeric StopProfitPrice;//止盈价格       NumericSeries HigherAfterEntry;//进场后，K线走势的最高价       NumericSeries LowerAfterEntry;//进场后，K线走势的最低价
Numeric StopLine(0);//止损、止盈线             Begin
If( High == Low) return ;       MinPoint = MinMove*PriceScale;             stopPoint = OpenD(1)*StopLossSet*0.01;                      If(Date != DATE[1])
  {             highChannel = High;             lowChannel = Low;             //tradeNum = 0;       }Else
{             highChannel = Max(highChannel[1],High);             lowChannel = Min(lowChannel[1],Low);       }                      rateOfHighToLow = Abs(Close - Lowest(Low,3*Length))/(Highest(High,3*Length)-Lowest(Low,3*Length))*100;//收盘价与最低价占比整根K线的比例       avgRateOfHTL = SMA(rateOfHighToLow,Length,1); // 比例再平均       doubleAvgRateOfHTL = SMA(avgRateOfHTL,Length,1);// 比例再平均             //PlotNumeric("rateOfHighToLow",rateOfHighToLow);       //PlotNumeric("avgRateOfHTL",avgRateOfHTL);       //PlotNumeric("doubleAvgRateOfHTL",doubleAvgRateOfHTL);             fastMA = Average(Close,Length/2);          slowMA = Average(Close,Length);                bBuyCon = avgRateOfHTL[1] > AmplitudeSet //占比大于80%  多是阳线或者上涨情况                         And fastMA[1] > slowMA[1] And Close[1] > fastMA[1] //两重均线判断是否是多头排列情况                         And highChannel[1]/lowChannel[1] < 1+0.001*XZ And MarketPosition != 1;  //当日振幅不大于千XZ的值防止突破价位已经不好
bSellCon = avgRateOfHTL[1] < 100 - AmplitudeSet //占比小于20%                         And fastMA[1] < slowMA[1] And Close[1] < fastMA[1]  //两重均线判断是否是空头排列情况                         And highChannel[1]/lowChannel[1] < 1+0.001*XZ And MarketPosition != -1; //当日振幅不大于千XZ的值防止突破价位已经不好
If(bBuyCon == True)       {             //PlotString("bBuy","bBuy",Low,Red);
Buy(lots,Open -Offset*MinPoint);             Return;       }       If(bSellCon == True)       {             //PlotString("bSell","bSell",High,Green);             SellShort(lots,Open+Offset*MinPoint);             Return;       }                               //Commentary("bBuyCon = "+IIFString(bBuyCon,"True","false"));       //Commentary("bSellCon = "+IIFString(bSellCon,"True","false"));       //Commentary("(avgRateOfHTL) "+Text(avgRateOfHTL));                               If(MarketPosition == 1 And Low <= AvgEntryPrice - stopPoint)       {             Sell(0,Min(Open,AvgEntryPrice - stopPoint)+Offset*MinPoint);             Return;             }
If(MarketPosition == -1 And High >= AvgEntryPrice + stopPoint)       {             BuyToCover(0,Max(Open,AvgEntryPrice + stopPoint)-Offset*MinPoint);             Return;       }
End

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