海龟真是个龟，爬得慢

All Trades Long Trades Short Trades Buy & Hold
Net Profit ￥24,302.58 ￥59,841.86 ￥-35,539.28 ￥891,464.34
Profit per Bar ￥12.26 ￥44.72 ￥-55.19 ￥741.03
Total Commission ￥0.00 ￥0.00 ￥0.00 ￥0.00

Number of Trades 118 73 45 1
Average Profit ￥205.95 ￥819.75 ￥-789.76 ￥891,464.34
Average Profit % 2.53% 15.97% -19.28% 17,254.84%
Average Bars Held 16.80 18.33 14.31 1,203.00

Winning Trades 41 32 9 1
Win Rate 34.75% 43.84% 20.00% 100.00%
Gross Profit ￥87,983.19 ￥80,674.70 ￥7,308.49 ￥891,464.34
Average Profit ￥2,145.93 ￥2,521.08 ￥812.05 ￥891,464.34
Average Profit % 42.40% 49.38% 17.57% 17,254.84%
Average Bars Held 30.00 32.13 22.44 1,203.00
Max Consecutive Winners 8 8 6 1

Losing Trades 77 41 36 0
Loss Rate 65.25% 56.16% 80.00% 0.00%
Gross Loss ￥-63,680.61 ￥-20,832.84 ￥-42,847.77 ￥0.00
Average Loss ￥-827.02 ￥-508.12 ￥-1,190.22 ￥0.00
Average Loss % -18.71% -10.11% -28.49% 0.00%
Average Bars Held 9.77 7.56 12.28 0.00
Max Consecutive Losses 16 15 14 0

Maximum Drawdown ￥-36,628.29 ￥-14,499.01 ￥-46,841.94 ￥-1,010,126.26
Maximum Drawdown Date 2004-09-16 2005-10-20 2008-06-23 2009-01-08

Profit Factor 1.38 3.87 0.17 正无穷大
Recovery Factor 0.66 4.13 0.00 0.88
Payoff Ratio 2.27 4.88 0.62 0.00


04年2月份买入000792盐湖钾肥，到08年最高时，长期持有能实现320倍收益，海龟只爬了5倍不到

 

WLD代码如下

using System;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{

public class MyStrategy : WealthScript
{
double N,L1, S1, L2, S2, L3, S3, L4, S4, SE, LE, LS, SS, FU, FD, Tick ;

protected override void Execute()
{
int ChannelUp, ChannelDn, LongExit, ShrtExit, FailsafeUp, FailsafeDn;
double BrktProf;
int LeadBars, ATRParam, LstPsExBar;
bool cond20;
ChannelUp = 20 ;
ChannelDn = 20 ;
LongExit = 10 ;
ShrtExit = 10 ;
FailsafeUp = 55 ;
FailsafeDn = 55 ;
ATRParam = 20 ;
PlotStops();
Tick = Bars.SymbolInfo.Tick;
PlotSeries(PricePane, Highest.Series(High, ChannelUp) >> 1, Color.Green, LineStyle.Solid, 1);
PlotSeries(PricePane, Lowest.Series(Low, ChannelDn ) >> 1, Color.Red, LineStyle.Dotted, 1);
PlotSeries(PricePane, Highest.Series(High, FailsafeUp) >> 1, Color.Blue, LineStyle.Dotted, 1);
PlotSeries(PricePane, Lowest.Series(Low, FailsafeDn) >> 1, Color.Fuchsia, LineStyle.Solid, 1);

LeadBars =Math.Max(FailsafeUp, FailsafeDn);
for(int bar = LeadBars; bar < Bars.Count; bar++)
{

SE = Highest.Series(High, ShrtExit)[bar]+ Tick ;
LE = Lowest.Series(Low, LongExit)[bar]-Tick ;
N = ATR.Series(Bars,ATRParam)[bar];
if (Positions.Count == 0 )
{
L1 = Highest.Series(High, ChannelUp)[bar];
S1 = Lowest.Series(Low, ChannelDn)[bar];
L2 = L1 + 0.5 * N ;
S2 = S1 - 0.5 * N ;
L3 = L1 + 1.0 * N ;
S3 = S1 - 1.0 * N ;
L4 = L1 + 1.5 * N ;
S4 = S1 - 1.5 * N ;
BuyAtStop( bar+1,L1, "L1" );
ShortAtStop( bar+1,S1, "S1");
}
else
{
if (ActivePositions.Count==3 )
{
BuyAtStop( bar+1,L4, "L4" );
ShortAtStop( bar+1,S4, "S4");

}
if(ActivePositions.Count==2 )
{
BuyAtStop( bar+1,L3, "L3" );
ShortAtStop( bar+1,S3, "S3");

}
if (ActivePositions.Count==1 )
{
BuyAtStop( bar+1,L2, "L2" );
ShortAtStop( bar+1,S2, "S2");

}
if (ActivePositions.Count==0 )
{
BrktProf = 0 ;
LstPsExBar = LastPosition.ExitBar;
foreach( Position p in Positions )
if (p.ExitBar == LstPsExBar )
BrktProf += p.NetProfit;

cond20 = (BrktProf < 0 );

if (cond20 == true)
{

L1 = Highest.Series(High, ChannelUp)[bar];
S1 = Lowest.Series(Low, ChannelDn)[bar];
L2 = L1 + 0.5 * N ;
S2 = S1 - 0.5 * N ;
L3 = L1 + 1.0 * N ;
S3 = S1 - 1.0 * N ;
L4 = L1 + 1.5 * N ;
S4 = S1 - 1.5 * N ;
BuyAtStop( bar+1,L1, "L1" );
ShortAtStop( bar+1,S1, "S1");

}


else
{

FU = Highest.Series(High, FailsafeUp)[bar];
FD = Lowest.Series(Low, FailsafeDn)[bar];
L2 = FU + 0.5 * N ;
S2 = FD - 0.5 * N ;
L3 = FU + 1.0 * N ;
S3 = FD - 1.0 * N ;
L4 = FU + 1.5 * N ;
S4 = FD - 1.5 * N ;
BuyAtStop( bar+1,FU, "FU" );
ShortAtStop( bar+1,FD, "FD");

}
}

}

for(int p = ActivePositions.Count - 1; p >= 0; p--)
{
Position pos = ActivePositions[p];
if(pos.PositionType==PositionType.Long)
{
LS=pos.EntryPrice-2*N;
if( !SellAtStop( bar+1,pos, LS, "LongStop") )
SellAtStop( bar+1, pos, LE, "LongExit");
}
else
{
SS=pos.EntryPrice+2*N;
if( !CoverAtStop(bar+1, pos, SS, "ShortStop") )
CoverAtStop( bar+1, pos, SE, "ShortExit");
}
}
}
}
}
}

各位大大，有没有优化的办法

 

龟就是这样的啦，一不小心还会被做成龟汤

 

个股不适合运用趋势跟踪系统！

 

那个断崖式的回撤让人惊心动魄。如果数据没错误的话，还是把原版海龟放一旁吧

 

那个断崖是buy and hold，海龟在底下慢慢爬呢。
如果你能够融资形成投资杠杆，海龟还是很不错的。

 

哈哈，抱歉，都怪我看东西不仔细。没想到海龟躲下面爬了

 

海龟加老鼠怎么加？

我又测试了下民生银行，表现还不错，退出周期选为20日。当然前提是也能做空！

 

Position Symbol Quantity Entry Date Entry Price Exit Date Exit Price Profit % Profit $ Bars Held Profit per Bar Entry Name Exit Name MAE % MFE %
Short 600016.SS 907 2008-07-01 5.51 2008-07-08 6.17 -11.98 ￥-598.62 6 ￥-99.77 S1 ShortStop -11.98 4.17
Short 600016.SS 936 2008-07-03 5.34 2008-07-08 6.05 -13.30 ￥-664.56 4 ￥-166.14 S2 ShortStop -13.30 1.12
Long 600016.SS 794 2008-07-09 6.29 2008-07-16 5.63 -10.49 ￥-524.04 6 ￥-87.34 L1 LongStop -10.49 3.50
Long 600016.SS 773 2008-07-10 6.46 2008-07-15 5.82 -9.91 ￥-494.72 4 ￥-123.68 L2 LongStop -9.91 0.31
Short 600016.SS 899 2008-08-12 5.56 2008-08-20 6.11 -9.89 ￥-494.45 7 ￥-70.64 S1 ShortStop -9.89 3.06
Short 600016.SS 924 2008-08-13 5.41 2008-08-20 5.96 -10.17 ￥-508.20 6 ￥-84.70 S2 ShortStop -10.17 0.37
Short 600016.SS 927 2008-09-08 5.39 2008-11-13 4.62 14.29 ￥713.79 43 ￥16.60 S1 ShortExit -3.15 29.87
Short 600016.SS 952 2008-09-11 5.25 2008-11-13 4.62 12.00 ￥599.76 40 ￥14.99 S2 ShortExit -3.81 28.00
Short 600016.SS 976 2008-09-16 5.10 2008-11-13 4.62 9.41 ￥468.48 38 ￥12.33 S3 ShortExit -6.86 25.88
Short 600016.SS 1,002 2008-09-17 4.67 2008-09-22 5.45 -16.70 ￥-781.56 4 ￥-195.39 S4 ShortStop -16.70 12.21
Short 600016.SS 1,002 2008-09-24 4.96 2008-11-13 4.62 6.85 ￥340.68 32 ￥10.65 S4 ShortExit -6.85 23.79
Long 600016.SS 1,041 2009-02-04 4.80 2009-08-12 7.73 61.04 ￥3,050.13 128 ￥23.83 FU LongExit -6.46 84.79
Long 600016.SS 1,022 2009-02-05 4.89 2009-08-12 7.73 58.08 ￥2,902.48 127 ￥22.85 L2 LongExit -8.18 81.39
Long 600016.SS 1,006 2009-02-06 4.97 2009-03-02 4.52 -9.05 ￥-452.70 17 ￥-26.63 L3 LongStop -9.05 6.64
Long 600016.SS 990 2009-02-09 5.06 2009-02-20 4.66 -7.91 ￥-396.00 10 ￥-39.60 L4 LongStop -7.91 4.74
Long 600016.SS 1,006 2009-03-05 4.97 2009-08-12 7.73 55.53 ￥2,776.56 107 ￥25.95 L3 LongExit -8.05 78.47
Long 600016.SS 990 2009-03-09 5.05 2009-03-16 4.61 -8.71 ￥-435.60 5 ￥-87.12 L4 LongStop -8.71 0.79
Long 600016.SS 990 2009-03-24 5.05 2009-08-12 7.73 53.07 ￥2,653.20 96 ￥27.64 L4 LongExit -3.37 75.64
Short 600016.SS 732 2009-08-19 6.83 2009-08-21 7.52 -10.10 ￥-505.08 3 ￥-168.36 FD ShortStop -10.10 1.02
Short 600016.SS 739 2009-08-25 6.76 2009-10-12 7.14 -5.62 ￥-280.82 28 ￥-10.03 S1 ShortExit -5.62 10.36
Short 600016.SS 758 2009-08-28 6.59 2009-10-12 7.17 -8.80 ￥-439.64 25 ￥-17.59 S2 ShortStop -8.80 8.04
Short 600016.SS 778 2009-08-31 6.42 2009-09-14 7.08 -10.28 ￥-513.48 10 ￥-51.35 S3 ShortStop -10.28 5.61
Short 600016.SS 800 2009-09-01 6.07 2009-09-07 6.76 -11.37 ￥-552.00 5 ￥-110.40 S4 ShortStop -11.37 0.00
Short 600016.SS 778 2009-09-23 6.42 2009-10-12 7.07 -10.12 ￥-505.70 8 ￥-63.21 S3 ShortStop -10.12 1.87
Long 600016.SS 697 2009-10-14 7.17 Open Open 18.27 ￥913.07 25 ￥36.52 L1 0.00 20.64
Long 600016.SS 683 2009-10-15 7.38 Open Open 14.91 ￥751.30 24 ￥31.30 L2 -2.85 17.21
Long 600016.SS 671 2009-10-19 7.45 Open Open 13.83 ￥691.13 22 ￥31.42 L3 -0.27 16.11
Long 600016.SS 658 2009-10-20 7.59 Open Open 11.73 ￥585.62 21 ￥27.89 L4 -2.11 13.97

看看交易数据，居然有些仓位能够持有6个月，有的又很短。这龟有时耐心不错

 

如果这种盈利是长期可持续的，资金容量大点的话，收益率已经完全可以接受了

 

能向前爬就不错了，呵呵

 

a/b>(a+c)/(b+c), where a,b,c>0. It had reached a height of 43 times of the bottom value instead of 320 times.