年会听你的发言，30台电脑的股市很是把我乐了一下。 这两天和tradestation一个叫Corey Sheres的销售代表联系了，不过考虑后，还是觉得先要花点时间学习一下外汇，钱还是先试试投资港股，起码从深圳带几万块过去是很容易的事情。 很想能从你的帖子里学习到很多东西，一个好的帖子，会影响或者改变很多人。
谢谢各位的关注 今天有个好消息：我从tradestaion收到了他们邮寄来的资料和光盘，光盘的内容是相当棒的，呵呵:“strategy testing & development starter powerpack 2” 这个是好东西（除了他全是英文这个缺点以外），我一会找个服务器放上去，方便大家下载。
刚好看到有人讨论profitfactor与准确率的关系 我说profitfator>6同时准确率很高的很难见到 又看到有人说，他的系统50-60%的准确率，收益因子3.X左右,我觉得那很不错哦了 刚才在系统测试过程中，出现了一些问题，结果出现如下图所示的performancereport，正好可以作为依据，更深入的探讨这个问题。 请先看图 图形还不错吧
TradeStation Performance Summary All Trades Long Trades Short Trades Total Net Profit ￥733.10 ￥0.00 ￥733.10 Gross Profit ￥798.90 ￥0.00 ￥798.90 Gross Loss -￥65.80 ￥0.00 -￥65.80 Profit Factor 12.14 n/a 12.14 Roll Over Credit -￥3.00 ￥0.00 -￥3.00 Open Position P/L ￥0.00 ￥0.00 ￥0.00 Select Total Net Profit ￥733.10 ￥0.00 ￥733.10 Select Gross Profit ￥798.90 ￥0.00 ￥798.90 Select Gross Loss -￥65.80 ￥0.00 -￥65.80 Select Profit Factor 12.14 n/a 12.14 Adjusted Total Net Profit ￥584.37 ￥0.00 ￥584.37 Adjusted Gross Profit ￥670.97 ￥0.00 ￥670.97 Adjusted Gross Loss -￥86.61 ￥0.00 -￥86.61 Adjusted Profit Factor 7.75 n/a 7.75 Total Number of Trades 49 0 49 Percent Profitable 79.59% 0.00% 79.59% Winning Trades 39 0 39 Losing Trades 10 0 10 Even Trades 0 0 0 Avg. Trade Net Profit ￥14.96 ￥0.00 ￥14.96 Avg. Winning Trade ￥20.48 ￥0.00 ￥20.48 Avg. Losing Trade -￥6.58 ￥0.00 -￥6.58 Ratio Avg. Win:Avg. Loss 3.11 n/a 3.11 Largest Winning Trade ￥58.80 ￥0.00 ￥58.80 Largest Losing Trade -￥16.40 ￥0.00 -￥16.40 Largest Winner as % of Gross Profit 7.36% n/a 7.36% Largest Loser as % of Gross Loss 24.92% n/a 24.92% Net Profit as % of Largest Loss 4470.12% n/a 4470.12% Select Net Profit as % of Largest Loss 4470.12% n/a 4470.12% Adjusted Net Profit as % of Largest Loss 3563.21% n/a 3563.21% Max. Consecutive Winning Trades 10 0 10 Max. Consecutive Losing Trades 2 0 2 Avg. Bars in Total Trades 31.78 0 31.78 Avg. Bars in Winning Trades 29.36 0 29.36 Avg. Bars in Losing Trades 41.2 0 41.2 Avg. Bars in Even Trades 0 0 0 Max. Shares/Contracts Held 5 0 5 Total Shares/Contracts Held 490000 0 490000 Account Size Required ￥16.40 ￥0.00 ￥16.40 Total Slippage ￥0.00 ￥0.00 ￥0.00 Total Commission ￥0.00 ￥0.00 ￥0.00 Return on Initial Capital 14.66% Annual Rate of Return 61.68% Buy & Hold Return 0.52% Return on Account 4470.12% Avg. Monthly Return ￥244.37 Std. Deviation of Monthly Return ￥114.04 Return Retracement Ratio 6.51 RINA Index 354.8 Sharpe Ratio n/a K-Ratio n/a Trading Period 2 Mths, 20 Dys, 30 Mins Percent of Time in the Market 9.59% Time in the Market 7 Dys, 18 Hrs, 30 Mins Longest Flat Period 13 Dys, 9 Hrs, 20 Mins Max. Equity Run-up ￥765.20 Date of Max. Equity Run-up 2007-9-27 16:10 Max. Equity Run-up as % of Initial Capital 15.30% Max. Drawdown (Intra-day Peak to Valley) Value -￥228.70 ￥0.00 -￥228.70 Date 2007-8-27 08:20 as % of Initial Capital 4.57% 0.00% 4.57% Net Profit as % of Drawdown 320.55% n/a 320.55% Select Net Profit as % of Drawdown 320.55% n/a 320.55% Adjusted Net Profit as % of Drawdown 255.52% n/a 255.52% Max. Drawdown (Trade Close to Trade Close) Value -￥16.40 ￥0.00 -￥16.40 Date 2007-9-25 22:50 as % of Initial Capital 0.33% 0.00% 0.33% Net Profit as % of Drawdown 4470.12% n/a 4470.12% Select Net Profit as % of Drawdown 4470.12% n/a 4470.12% Adjusted Net Profit as % of Drawdown 3563.21% n/a 3563.21% Max. Trade Drawdown -￥85.40 ￥0.00 -￥85.40 All Trades Total Net Profit ￥733.10 Profit Factor 12.14 Gross Profit ￥798.90 Gross Loss -￥65.80 Roll Over Credit -￥3.00 Open Position Profit/Loss ￥0.00 Select Total Net Profit ￥733.10 Select Profit Factor 12.14 Select Gross Profit ￥798.90 Select Gross Loss -￥65.80 Adjusted Total Net Profit ￥584.37 Adjusted Profit Factor 7.75 Adjusted Gross Profit ￥670.97 Adjusted Gross Loss -￥86.61 Total Number of Trades 49 Percent Profitable 79.59% Winning Trades 39 Losing Trades 10 Even Trades 0 Avg. Trade Net Profit ￥14.96 Ratio Avg. Win:Avg. Loss 3.11 Avg. Winning Trade ￥20.48 Avg. Losing Trade -￥6.58 Largest Winning Trade ￥58.80 Largest Losing Trade -￥16.40 Largest Winner as % of Gross Profit 7.36% Largest Loser as % of Gross Loss 24.92% Net Profit as % of Largest Loss 4470.12% Slct. Net Profit as % of Largest Loss 4470.12% Adj. Net Profit as % of Largest Loss 3563.21% Max. Consecutive Winning Trades 10 Max. Consecutive Losing Trades 2 Avg. Bars in Winning Trades 29.36 Avg. Bars in Losing Trades 41.2 Avg. Bars in Total Trades 31.78 Max. Shares/Contracts Held 5 Account Size Required ￥16.40 Total Commission ￥0.00 Total Slippage ￥0.00 Return on Initial Capital 14.66% Annual Rate of Return 61.68% Buy and Hold Return 0.52% Return on Account 4470.12% Avg. Monthly Return ￥244.37 Std. Deviation of Monthly Return ￥114.04 Return Retracement Ratio 6.51 RINA Index 354.8 Sharpe Ratio n/a K-Ratio n/a Trading Period 2 Mths, 20 Dys, 30 Mins Percent of Time in the Market 9.59% Time in the Market 7 Dys, 18 Hrs, 30 Mins Longest Flat Period 13 Dys, 9 Hrs, 20 Mins Max. Equity Run-up ￥765.20 Date of Max. E. Run-up 2007-9-27 16:10 Max. E. Run-up as % of Initial Capital 15.30% Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close) Value -￥228.70 Value -￥16.40 Date 2007-8-27 08:20 Date 2007-9-25 22:50 as % of Initial Capital 4.57% as % of Initial Capital 0.33% Net Profit as % of Drawdown 320.55% Net Profit as % of Drawdown 4470.12% Slct. Net Profit as % of Drawdown 320.55% Slct. Net Profit as % of Drawdown 4470.12% Adj. Net Prof as % of Drawdown 255.52% Adj. Net Profit as % of Drawdown 3563.21% Max. Trade Drawdown -￥85.40 Long Trades Total Net Profit ￥0.00 Profit Factor n/a Gross Profit ￥0.00 Gross Loss ￥0.00 Roll Over Credit ￥0.00 Open Position Profit/Loss ￥0.00 Select Total Net Profit ￥0.00 Select Profit Factor n/a Select Gross Profit ￥0.00 Select Gross Loss ￥0.00 Adjusted Total Net Profit ￥0.00 Adjusted Profit Factor n/a Adjusted Gross Profit ￥0.00 Adjusted Gross Loss ￥0.00 Total Number of Trades 0 Percent Profitable 0.00% Winning Trades 0 Losing Trades 0 Even Trades 0 Avg. Trade Net Profit ￥0.00 Ratio Avg. Win:Avg. Loss n/a Avg. Winning Trade ￥0.00 Avg. Losing Trade ￥0.00 Largest Winning Trade ￥0.00 Largest Losing Trade ￥0.00 Largest Winner as % of Gross Profit n/a Largest Loser as % of Gross Loss n/a Max. Consecutive Winning Trades 0 Max. Consecutive Losing Trades 0 Avg. Bars in Winning Trades 0 Avg. Bars in Losing Trades 0 Avg. Bars in Total Trades 0 Max. Shares/Contracts Held 0 Account Size Required ￥0.00 Total Commission ￥0.00 Total Slippage ￥0.00 Net Profit as % of Largest Loss n/a Slct. Net Profit as % of Largest Loss n/a Adj. Net Profit as % of Largest Loss n/a Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close) Value ￥0.00 Value ￥0.00 as % of Initial Capital 0.00% as % of Initial Capital 0.00% Net Profit as % of Drawdown n/a Net Profit as % of Drawdown n/a Slct. Net Profit as % of Drawdown n/a Slct. Net Profit as % of Drawdown n/a Adj. Net Prof as % of Drawdown n/a Adj. Net Profit as % of Drawdown n/a Max. Trade Drawdown ￥0.00 Short Trades Total Net Profit ￥733.10 Profit Factor 12.14 Gross Profit ￥798.90 Gross Loss -￥65.80 Roll Over Credit -￥3.00 Open Position Profit/Loss ￥0.00 Select Total Net Profit ￥733.10 Select Profit Factor 12.14 Select Gross Profit ￥798.90 Select Gross Loss -￥65.80 Adjusted Total Net Profit ￥584.37 Adjusted Profit Factor 7.75 Adjusted Gross Profit ￥670.97 Adjusted Gross Loss -￥86.61 Total Number of Trades 49 Percent Profitable 79.59% Winning Trades 39 Losing Trades 10 Even Trades 0 Avg. Trade Net Proft ￥14.96 Ratio Avg. Win:Avg. Loss 3.11 Avg. Winning Trade ￥20.48 Avg. Losing Trade -￥6.58 Largest Winning Trade ￥58.80 Largest Losing Trade -￥16.40 Largest Winner as % of Gross Profit 7.36% Largest Loser as % of Gross Loss n/a Max. Consecutive Winning Trades 10 Max. Consecutive Losing Trades 2 Avg. Bars in Winning Trades 29.36 Avg. Bars in Losing Trades 41.2 Avg. Bars in Total Trades 31.78 Max. Shares/Contracts Held 5 Account Size Required ￥16.40 Total Slippage ￥0.00 Total Commission ￥0.00 Net Profit as % of Largest Loss 4470.12% Slct. Net Profit as % of Largest Loss 4470.12% Adj. Net Profit as % of Largest Loss 3563.21% Max. Drawdown (Intra-day Peak to Valley) Max. Drawdown (Trade Close to Trade Close) Value -￥228.70 Value -￥16.40 as % of Initial Capital 4.57% as % of Initial Capital 0.33% Net Profit as % of Drawdown 320.55% Net Profit as % of Drawdown 4470.12% Slct. Net Profit as % of Drawdown 320.55% Slct. Net Profit as % of Drawdown 4470.12% Adj. Net Prof as % of Drawdown 255.52% Adj. Net Prof as % of Drawdown 3563.21% Max. Trade Drawdown -￥85.40
这个系统正如以上两位所说的，是有问题的 第一 数据很好看 但是按照两个点的slippage 是不赚钱的（做到更大时间周期能部分解决这个问题，但其依旧是微利的） 第二 次数太少，没有体现其长期的效果（突发情况） 我这个系统是趋势反转系统+微利目标，所以会有比较高的准确率，因此测试阶段没有出现小概率事件，所以导致收益曲线和profitfaotor都极其漂亮 现在我用更多的数据测试一下，请看结果 数据更多，小概率事件出现了，准确率下降到71%，但是。。。
主观上，我们都喜欢象趋势跟随系统那样，在趋势里面大段大段的赚钱，可是在外汇市场占70%时间的震荡市里面，趋势系统不可避免的要频繁地发出信号，造成损失。 我表达一下个人的观点，我认为能够长寿的，稳定的，市场相关性比较好的，恐怕是微利的趋势反转系统。
资金量大小是我现阶段次要的考虑，现阶端的主要任务的交易策略及其全自动实施，如果效果还可以，是可以加大资金量的。 我想joesan关于资金量的考虑的另一个问题是大资金量的情况下，是否会像mini手一样得到顺利的成交，据了解ts原本是不打算接受mini手交易的，bank of american也不喜欢接受迷你交易,所以大资金的成交应该也没问题。 " Thanks for your message. We charge one percent margin. The liquidation level is one quarter to one half of one percent. Some firms will charge more; up to 3% margin. We have seen in some cases one half of one percent margin. Margin, at 1% for a standard size (100,000) EURUSD contract trading at 1.33333 would be $1333 USD mini accounts only require $133 in margin. This is the highest margin leverage and liquidation levels you have of any asset class. In the direct access world of FX trading this marketplace has traditionally been reserved for institutional and large traders. The trade size is normally much larger in these cases. Mini lots are similar to trading odd lots of stock. Many firms "bundle" these trades together for execution purposes. Gain and most firms only offer commission based models for large size accounts. Bank of America is not willing to trade a 10k lot size. At this point it is not available in the platform. Thanks, Janette@TSSec " 但是在cms,fxcm都用他们的接口进行过7×24的交易。
力争在这个过程中向大家展现：全自动交易系统的规划、设计、实施，全自动交易系统的实战表现，实战中将遇到的意外情况及应急方案，全自动交易系统的运行环境，在中国实用ts服务的实际效果，我的交易系统的实战绩效，以及我作为系统交易者，在这个过程中的心理历程和获取的经验。 为了达到以上目的，我给自己定了几条原则： 1，此帐户决不做任何一手的手工交易（系统故障造成的未平仓仓位的手动平仓除外），力争做到完全体现全自动交易系统的绩效。 2，系统一旦选定，至少做到200次交易才可以更换、切换系统、修改系统参数，前提是如果钱还没输光的话。因为我根据统计得出结论，交易200次以上才能真正体现一个交易策略的真实性能。 3，战斗到最后一刻，我已经做好完全亏空这5500美元的心理准备，相对于账户受益，我更看重实战带给我的经验收益。
有个问题不知各位兄台谁有解决方案：tradestation的easylanguage对pyramiding strategies 中特定的position做的setprofittarget??? 我的问题是在做pyramiding 的时候 前一个单子的限价总会被下一个单子的限价更改掉，头疼啊