本贴以本人一个交易系统作为基础，研究交易成本对交易系统绩效的影响，研究交易成本不断增加的情况下，交易系统绩效不断恶化乃至成为负盈利系统的演化轨迹。测试时间段为2006.4.1-2007.5.11，数据集为深沪权证，数据来源为Wind资讯理财终端，由zwz兄的接口导入到wealth-lab中。资金投入为固定10000元。得到原始交易数据后，在excel得到复利曲线。 虽然Wind资讯金融终端数据更为准确，但因为手头金融终端数据直到2006.12.31，所以仍使用不够准确的理财终端数据。 btw,这个测试仅仅说明交易成本对交易系统绩效的影响，并不表明这个系统具有多大的实战性
交易成本为零 Long + Short Long Only Short Only Buy & Hold Net Profit $19,657.43 $19,657.43 $0.00 $7,886.18 Profit per Bar $74.74 $74.74 $0.00 $47.51 Number of Trades 263 263 0 1 Avg Profit/Loss $74.74 $74.74 $0.00 $7,886.18 Avg Profit/Loss % 0.67% 0.67% 0.00% 79.26% Avg Bars Held 1.00 1.00 0.00 166.00 Winning Trades 198 198 0 1 Winning % 75.29% 75.29% N/A 100.00% Gross Profit $35,125.66 $35,125.66 $0.00 $7,886.18 Avg Profit $177.40 $177.40 $0.00 $7,886.18 Avg Profit % 1.64% 1.64% 0.00% 79.26% Avg Bars Held 1.00 1.00 0.00 166.00 Max Consecutive 20 20 0 N/A Losing Trades 65 65 0 0 Losing % 24.71% 24.71% N/A 0.00% Gross Loss $-15,468.23 $-15,468.23 $0.00 $0.00 Avg Loss $-237.97 $-237.97 $0.00 $0.00 Avg Loss % -7.93% -7.93% 0.00% 0.00% Avg Bars Held 0.29 0.29 0.00 0.00 Max Consecutive 2 2 0 N/A Max Drawdown $-2,219.17 $-2,219.17 $0.00 $-8,938.78 Max Drawdown Date 2006-6-14 2006-6-14 N/A 2006-8-3 Profit Factor 2.27 2.27 0.00 INF Recovery Factor 8.86 8.86 N/A 0.88 Payoff Ratio 0.21 0.21 0.00 INF Ulcer Index 12.32 12.32 0.00 61.59 Wealth-Lab Error Term 55.24 55.24 0.00 107.22 Luck Coefficient 5.46 5.46 0.00 1.00 Pessimistic Rate of Return 0.52 0.52 0.00 0.00
万分之二交易成本 Long + Short Long Only Short Only Buy & Hold Net Profit $18,579.26 $18,579.26 $0.00 $7,884.19 Profit per Bar $70.64 $70.64 $0.00 $47.50 Number of Trades 263 263 0 1 Avg Profit/Loss $70.64 $70.64 $0.00 $7,884.19 Avg Profit/Loss % 0.63% 0.63% 0.00% 79.24% Avg Bars Held 1.00 1.00 0.00 166.00 Winning Trades 197 197 0 1 Winning % 74.90% 74.90% N/A 100.00% Gross Profit $34,295.40 $34,295.40 $0.00 $7,884.19 Avg Profit $174.09 $174.09 $0.00 $7,884.19 Avg Profit % 1.61% 1.61% 0.00% 79.24% Avg Bars Held 1.00 1.00 0.00 166.00 Max Consecutive 20 20 0 N/A Losing Trades 66 66 0 0 Losing % 25.10% 25.10% N/A 0.00% Gross Loss $-15,716.13 $-15,716.13 $0.00 $0.00 Avg Loss $-238.12 $-238.12 $0.00 $0.00 Avg Loss % -2.32% -2.32% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 8 8 0 N/A Max Drawdown $-2,230.97 $-2,230.97 $0.00 $-8,938.78 Max Drawdown Date 2006-6-14 2006-6-14 N/A 2006-8-3 Profit Factor 2.18 2.18 0.00 INF Recovery Factor 8.33 8.33 N/A 0.88 Payoff Ratio 0.70 0.70 0.00 INF Ulcer Index 12.87 12.87 0.00 61.59 Wealth-Lab Error Term 55.61 55.61 0.00 107.22 Luck Coefficient 5.54 5.54 0.00 1.00 Pessimistic Rate of Return 1.72 1.72 0.00 0.00
万分之三交易成本 Long + Short Long Only Short Only Buy & Hold Net Profit $18,040.18 $18,040.18 $0.00 $11,108.53 Profit per Bar $68.59 $68.59 $0.00 $103.82 Number of Trades 263 263 0 1 Avg Profit/Loss $68.59 $68.59 $0.00 $11,108.53 Avg Profit/Loss % 0.61% 0.61% 0.00% 111.39% Avg Bars Held 1.00 1.00 0.00 107.00 Winning Trades 197 197 0 1 Winning % 74.90% 74.90% N/A 100.00% Gross Profit $33,882.03 $33,882.03 $0.00 $11,108.53 Avg Profit $171.99 $171.99 $0.00 $11,108.53 Avg Profit % 1.59% 1.59% 0.00% 111.39% Avg Bars Held 1.00 1.00 0.00 107.00 Max Consecutive 20 20 0 N/A Losing Trades 66 66 0 0 Losing % 25.10% 25.10% N/A 0.00% Gross Loss $-15,841.85 $-15,841.85 $0.00 $0.00 Avg Loss $-240.03 $-240.03 $0.00 $0.00 Avg Loss % -2.34% -2.34% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 8 8 0 N/A Max Drawdown $-2,236.86 $-2,236.86 $0.00 $-4,426.80 Max Drawdown Date 2007-2-2 2007-2-2 N/A 2007-2-2 Profit Factor 2.14 2.14 0.00 INF Recovery Factor 8.06 8.06 N/A 2.51 Payoff Ratio 0.68 0.68 0.00 INF Ulcer Index 16.27 16.27 0.00 67.60 Wealth-Lab Error Term 64.52 64.52 0.00 440.04 Luck Coefficient 5.60 5.60 0.00 1.00 Pessimistic Rate of Return 1.68 1.68 0.00 0.00
万分之五的交易成本 Long + Short Long Only Short Only Buy & Hold Net Profit $16,962.01 $16,962.01 $0.00 $1,330.10 Profit per Bar $64.49 $64.49 $0.00 $5.00 Number of Trades 263 263 0 1 Avg Profit/Loss $64.49 $64.49 $0.00 $1,330.10 Avg Profit/Loss % 0.57% 0.57% 0.00% 13.37% Avg Bars Held 1.00 1.00 0.00 266.00 Winning Trades 195 195 0 1 Winning % 74.14% 74.14% N/A 100.00% Gross Profit $33,059.31 $33,059.31 $0.00 $1,330.10 Avg Profit $169.53 $169.53 $0.00 $1,330.10 Avg Profit % 1.57% 1.57% 0.00% 13.37% Avg Bars Held 1.00 1.00 0.00 266.00 Max Consecutive 16 16 0 N/A Losing Trades 68 68 0 0 Losing % 25.86% 25.86% N/A 0.00% Gross Loss $-16,097.30 $-16,097.30 $0.00 $0.00 Avg Loss $-236.73 $-236.73 $0.00 $0.00 Avg Loss % -2.31% -2.31% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 8 8 0 N/A Max Drawdown $-4,965.02 $-4,965.02 $0.00 $-9,109.94 Max Drawdown Date 2007-3-16 2007-3-16 N/A 2006-10-24 Profit Factor 2.05 2.05 0.00 INF Recovery Factor 3.42 3.42 N/A 0.15 Payoff Ratio 0.68 0.68 0.00 INF Ulcer Index 14.08 14.08 0.00 84.92 Wealth-Lab Error Term 54.47 54.47 0.00 562.01 Luck Coefficient 5.66 5.66 0.00 1.00 Pessimistic Rate of Return 1.61 1.61 0.00 0.00
万分之八交易成本 Long + Short Long Only Short Only Buy & Hold Net Profit $15,344.75 $15,344.75 $0.00 $1,327.12 Profit per Bar $58.35 $58.35 $0.00 $4.99 Number of Trades 263 263 0 1 Avg Profit/Loss $58.35 $58.35 $0.00 $1,327.12 Avg Profit/Loss % 0.51% 0.51% 0.00% 13.34% Avg Bars Held 1.00 1.00 0.00 266.00 Winning Trades 192 192 0 1 Winning % 73.00% 73.00% N/A 100.00% Gross Profit $31,842.11 $31,842.11 $0.00 $1,327.12 Avg Profit $165.84 $165.84 $0.00 $1,327.12 Avg Profit % 1.53% 1.53% 0.00% 13.34% Avg Bars Held 1.00 1.00 0.00 266.00 Max Consecutive 15 15 0 N/A Losing Trades 71 71 0 0 Losing % 27.00% 27.00% N/A 0.00% Gross Loss $-16,497.36 $-16,497.36 $0.00 $0.00 Avg Loss $-232.36 $-232.36 $0.00 $0.00 Avg Loss % -2.26% -2.26% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 8 8 0 N/A Max Drawdown $-5,199.79 $-5,199.79 $0.00 $-9,109.94 Max Drawdown Date 2007-3-16 2007-3-16 N/A 2006-10-24 Profit Factor 1.93 1.93 0.00 INF Recovery Factor 2.95 2.95 N/A 0.15 Payoff Ratio 0.68 0.68 0.00 INF Ulcer Index 15.47 15.47 0.00 84.92 Wealth-Lab Error Term 55.64 55.64 0.00 562.01 Luck Coefficient 5.75 5.75 0.00 1.00 Pessimistic Rate of Return 1.52 1.52 0.00 0.00
万分之十五交易成本 Long + Short Long Only Short Only Buy & Hold Net Profit $11,571.16 $11,571.16 $0.00 $1,320.16 Profit per Bar $44.00 $44.00 $0.00 $4.96 Number of Trades 263 263 0 1 Avg Profit/Loss $44.00 $44.00 $0.00 $1,320.16 Avg Profit/Loss % 0.37% 0.37% 0.00% 13.27% Avg Bars Held 1.00 1.00 0.00 266.00 Winning Trades 177 177 0 1 Winning % 67.30% 67.30% N/A 100.00% Gross Profit $29,103.73 $29,103.73 $0.00 $1,320.16 Avg Profit $164.43 $164.43 $0.00 $1,320.16 Avg Profit % 1.51% 1.51% 0.00% 13.27% Avg Bars Held 1.00 1.00 0.00 266.00 Max Consecutive 15 15 0 N/A Losing Trades 86 86 0 0 Losing % 32.70% 32.70% N/A 0.00% Gross Loss $-17,532.57 $-17,532.57 $0.00 $0.00 Avg Loss $-203.87 $-203.87 $0.00 $0.00 Avg Loss % -1.99% -1.99% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 8 8 0 N/A Max Drawdown $-5,747.57 $-5,747.57 $0.00 $-9,109.94 Max Drawdown Date 2007-3-16 2007-3-16 N/A 2006-10-24 Profit Factor 1.66 1.66 0.00 INF Recovery Factor 2.01 2.01 N/A 0.14 Payoff Ratio 0.76 0.76 0.00 INF Ulcer Index 19.52 19.52 0.00 84.92 Wealth-Lab Error Term 59.43 59.43 0.00 562.01 Luck Coefficient 5.73 5.73 0.00 1.00 Pessimistic Rate of Return 1.31 1.31 0.00 0.00
万分之三十交易成本 Long + Short Long Only Short Only Buy & Hold Net Profit $3,484.89 $3,484.89 $0.00 $1,305.24 Profit per Bar $13.25 $13.25 $0.00 $4.91 Number of Trades 263 263 0 1 Avg Profit/Loss $13.25 $13.25 $0.00 $1,305.24 Avg Profit/Loss % 0.07% 0.07% 0.00% 13.12% Avg Bars Held 1.00 1.00 0.00 266.00 Winning Trades 154 154 0 1 Winning % 58.56% 58.56% N/A 100.00% Gross Profit $23,854.37 $23,854.37 $0.00 $1,305.24 Avg Profit $154.90 $154.90 $0.00 $1,305.24 Avg Profit % 1.41% 1.41% 0.00% 13.12% Avg Bars Held 1.00 1.00 0.00 266.00 Max Consecutive 12 12 0 N/A Losing Trades 109 109 0 0 Losing % 41.44% 41.44% N/A 0.00% Gross Loss $-20,369.48 $-20,369.48 $0.00 $0.00 Avg Loss $-186.88 $-186.88 $0.00 $0.00 Avg Loss % -1.83% -1.83% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 8 8 0 N/A Max Drawdown $-7,005.00 $-7,005.00 $0.00 $-9,109.94 Max Drawdown Date 2007-4-24 2007-4-24 N/A 2006-10-24 Profit Factor 1.17 1.17 0.00 INF Recovery Factor 0.50 0.50 N/A 0.14 Payoff Ratio 0.77 0.77 0.00 INF Ulcer Index 35.88 35.88 0.00 84.92 Wealth-Lab Error Term 98.30 98.30 0.00 562.01 Luck Coefficient 5.91 5.91 0.00 1.00 Pessimistic Rate of Return 0.92 0.92 0.00 0.00
万分之四十交易费率： Long + Short Long Only Short Only Buy & Hold Net Profit $-1,905.96 $-1,905.96 $0.00 $1,295.29 Profit per Bar $-7.25 $-7.25 $0.00 $4.87 Number of Trades 263 263 0 1 Avg Profit/Loss $-7.25 $-7.25 $0.00 $1,295.29 Avg Profit/Loss % -0.13% -0.13% 0.00% 13.02% Avg Bars Held 1.00 1.00 0.00 266.00 Winning Trades 98 98 0 1 Winning % 37.26% 37.26% N/A 100.00% Gross Profit $21,141.52 $21,141.52 $0.00 $1,295.29 Avg Profit $215.73 $215.73 $0.00 $1,295.29 Avg Profit % 1.96% 1.96% 0.00% 13.02% Avg Bars Held 1.00 1.00 0.00 266.00 Max Consecutive 6 6 0 N/A Losing Trades 165 165 0 0 Losing % 62.74% 62.74% N/A 0.00% Gross Loss $-23,047.48 $-23,047.48 $0.00 $0.00 Avg Loss $-139.68 $-139.68 $0.00 $0.00 Avg Loss % -1.37% -1.37% 0.00% 0.00% Avg Bars Held 1.00 1.00 0.00 0.00 Max Consecutive 14 14 0 N/A Max Drawdown $-8,693.36 $-8,693.36 $0.00 $-9,109.94 Max Drawdown Date 2007-4-24 2007-4-24 N/A 2006-10-24 Profit Factor 0.92 0.92 0.00 INF Recovery Factor 0.22 0.22 N/A 0.14 Payoff Ratio 1.43 1.43 0.00 INF Ulcer Index 62.77 62.77 0.00 84.92 Wealth-Lab Error Term 372.32 372.32 0.00 562.01 Luck Coefficient 4.16 4.16 0.00 1.00 Pessimistic Rate of Return 0.71 0.71 0.00 0.00
老鹰兄见笑了，BTW,在大家都玩分析家公式的时候，我们应该是打过交道的。 这个系统究竟如何，现在还不好说，历史数据太短，他的上升期基本所有权证表现都不错，而且它的表现从今年年初就不行了，一直在走下降通道，没准到年底就归零了呢。 本来希望能够在香港权证上试试，但一直没有搞到合适的数据集，知道得不多几个香港涡轮，看了看连续性又太差，拍拍脑袋估计是不行的，就失去了试的兴趣。再说，如果我有百分之百真正有把握，绝对牛的系统，我也不会拿出来显摆的，嘿嘿。 开这个帖子，缘起于另一个帖子里对交易成本的作用的争论。 就私心来讲，我是为大家提供较低交易成本的，大家对交易成本越重视，我的生意越红火不是