发一个测试及实际操作感慨

1、测试：
Performance Summary: All Trades

Total Net Profit $2,815,222.28 Open position P/L $22,990.44
Gross Profit $4,900,476.63 Gross Loss ($2,085,254.35)

Total # of trades 1,202 Percent profitable 42.10%
Number winning trades 506 Number losing trades 696

Largest winning trade $183,594.88 Largest losing trade ($25,949.56)
Average winning trade $9,684.74 Average losing trade ($2,996.06)
Ratio avg win/avg loss 3.23 Avg trade (win & loss) $2,342.12

Max consec. Winners 14 Max consec. losers 21
Avg # bars in winners 12 Avg # bars in losers 5

Max intraday drawdown ($383,968.54)
Profit Factor 2.35 Max # contracts held 65,000

Performance Summary: Long Trades

Total Net Profit $2,815,222.28 Open position P/L $22,990.44
Gross Profit $4,900,476.63 Gross Loss ($2,085,254.35)

Total # of trades 1,202 Percent profitable 42.10%
Number winning trades 506 Number losing trades 696

Largest winning trade $183,594.88 Largest losing trade ($25,949.56)
Average winning trade $9,684.74 Average losing trade ($2,996.06)
Ratio avg win/avg loss 3.23 Avg trade (win & loss) $2,342.12

Max consec. Winners 14 Max consec. losers 21
Avg # bars in winners 12 Avg # bars in losers 5

Max intraday drawdown $0.00
Profit Factor 2.35 Max # contracts held 65,000

2、操作，按模型信号操作。近期20笔操作，亏惨了，资金回撤30%左右。
我擦，交易还是很难。
没有参数优化。

希望各位老师指点，谢谢！

 

说得次数太多，自己都觉得烦了

还是拿出来絮叨一下

1、策略参数最好不要超过3个。
2、最基础的压力测试是多周期，高级别的是多品种。如果基础测试都无法通过，就不要轻易入市

 

测试结果太好，使人不敢相信

 

1. Max consec. losers 21 > Max consec. Winner 14 顯示策列贏利能力差
2. Max intraday drawdown ($383,968.54) / Total Net Profit $2,815,222.28 風險過大
3. Total # of trades 1,202 交易次數多, 勝率低,心理壓力大.
4.Profit Factor 2.35 2.35 在 profitable 42.10% 之下,顯示在依重順勢下的獲利,交易方法單一.

結論:此系統肯定不能獲利.見諒!