DBOII趋势交易系统的wld代码

看一看我的测试结果，比较一下与另一份测试的差别在那里？

Long + Short Long Only Short Only Buy & Hold
Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00
Ending Capital $13,882.88 $13,882.88 $10,000.00 $407,208.25
Net Profit $3,882.88 $3,882.88 $0.00 $397,208.25
Net Profit % 38.83% 38.83% 0.00% 3,972.08%
Annualized Gain % 1.98% 1.98% 0.00% 24.83%
Exposure 13.85% 13.85% 0.00% 99.97%

Number of Trades 1,875 1,875 0 30
Avg Profit/Loss $2.07 $2.07 $0.00 $13,240.28
Avg Profit/Loss % 1.20% 1.20% 0.00% 3,984.58%
Avg Bars Held 17.51 17.51 0.00 4,214.00

Winning Trades 780 780 0 28
Winning % 41.60% 41.60% N/A 93.33%
Gross Profit $12,223.03 $12,223.03 $0.00 $397,397.18
Avg Profit $15.67 $15.67 $0.00 $14,192.76
Avg Profit % 7.67% 7.67% 0.00% 4,271.24%
Avg Bars Held 29.54 29.54 0.00 4,214.00
Max Consecutive 12 12 0 N/A

Losing Trades 1,095 1,095 0 2
Losing % 58.40% 58.40% N/A 6.67%
Gross Loss $-8,340.16 $-8,340.16 $0.00 $-188.93
Avg Loss $-7.62 $-7.62 $0.00 $-94.47
Avg Loss % -3.41% -3.41% 0.00% -28.63%
Avg Bars Held 8.94 8.94 0.00 4,214.00
Max Consecutive 21 21 0 N/A

Max Drawdown $-1,200.97 $-1,200.97 $0.00 $-225,555.91
Max Drawdown % -8.31% -8.31% 0.00% -43.13%
Max Drawdown Date 2003-3-31 2003-3-31 N/A 2002-10-9

Wealth-Lab Score 13.12 13.12 0.00 14.12
Profit Factor 1.47 1.47 0.00 2,103.40
Recovery Factor 3.23 3.23 N/A 1.76
Payoff Ratio 2.25 2.25 0.00 149.20
Sharpe Ratio 0.80 0.80 0.00 1.51
Ulcer Index 3.31 3.31 0.00 12.92
Wealth-Lab Error Term 4.67 4.67 0.00 27.01
Wealth-Lab Reward Ratio 0.42 0.42 N/A 0.92
Luck Coefficient 8.34 8.34 0.00 7.25
Pessimistic Rate of Return 1.50 1.50 0.00 992.37
Equity Drop Ratio 0.00 0.00 0.00 0.18

 

看了一下,你的测试禁止了short,就是 禁止了做空; 确实从我那个结果看来short的亏损是造成系统亏损的主要原因.
不过就算禁止了short后成为盈利系统,表现也不怎样

 

下面是DBII在ETF50上的测试结果，使用100%资金比例

下面是DBII在ETF50上的测试结果，使用100%资金比例，

Long + Short Long Only Short Only Buy & Hold
Starting Capital $1,000,000.00 $1,000,000.00 $1,000,000.00 $1,000,000.00
Ending Capital $1,166,100.90 $1,140,036.40 $1,026,064.50 $1,093,549.98
Net Profit $166,100.90 $140,036.40 $26,064.50 $93,549.98
Net Profit % 16.61% 14.00% 2.61% 9.35%
Annualized Gain % 2.93% 2.49% 0.48% 1.70%
Exposure 43.44% 23.05% 23.36% 100.00%

Number of Trades 32 13 19 1
Avg Profit/Loss $5,190.65 $10,772.03 $1,371.82 $93,549.98
Avg Profit/Loss % 0.62% 1.15% 0.26% 9.34%
Avg Bars Held 17.06 20.62 14.63 1,275.00

Winning Trades 10 4 6 1
Winning % 31.25% 30.77% 31.58% 100.00%
Gross Profit $759,348.92 $357,859.17 $401,489.75 $93,549.98
Avg Profit $75,934.89 $89,464.79 $66,914.96 $93,549.98
Avg Profit % 6.97% 8.23% 6.12% 9.34%
Avg Bars Held 29.20 31.00 28.00 1,275.00
Max Consecutive 2 1 2 N/A

Losing Trades 22 9 13 0
Losing % 68.75% 69.23% 68.42% 0.00%
Gross Loss $-593,248.02 $-217,822.77 $-375,425.25 $0.00
Avg Loss $-26,965.82 $-24,202.53 $-28,878.87 $0.00
Avg Loss % -2.26% -2.00% -2.45% 0.00%
Avg Bars Held 11.55 16.00 8.46 0.00
Max Consecutive 6 4 4 N/A

Max Drawdown $-294,125.88 $-170,867.38 $-198,832.38 $-594,380.00
Max Drawdown % -20.30% -15.95% -16.23% -41.55%
Max Drawdown Date 2005-2-3 2003-2-21 2005-4-1 2003-1-2

Wealth-Lab Score 5.38 9.09 1.74 0.99
Profit Factor 1.28 1.64 1.07 INF
Recovery Factor 0.56 0.82 0.13 0.16
Payoff Ratio 3.08 4.12 2.50 INF
Sharpe Ratio 0.28 0.29 0.10 0.21
Ulcer Index 8.95 6.89 7.13 22.57
Wealth-Lab Error Term 3.45 3.92 3.43 8.44
Wealth-Lab Reward Ratio 0.85 0.64 0.14 0.20
Luck Coefficient 2.84 2.40 2.11 1.00
Pessimistic Rate of Return 0.79 0.69 0.53 0.00
Equity Drop Ratio 0.25 0.13 1.68 0.00


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DBOII在上海期货所有品种数据上simulator的结果

DBOII在上海期货所有品种数据上simulator的结果，结果提示如下：



SQal03: Line: 19 Col: 37: Floating point division by zero
SQfu02: Line: 53 Col: 31: Invalid floating point operation
SQru02: No Data Available
SQru12: No Data Available

 

Re: DBOII在上海期货所有品种数据上simulator的结果

呵呵,出错了,估计你的期货数据里面有几处问题

 

请问该码在飞狐上能用吗

 

gzpony真幽默， ............

 

????? 从何谈起

 

请教如何统计系统的最大下跌量？

 

请教如何统计系统的最大下跌量？

 

good

 

good

 

DBO在V6上运行出错，

DBO在V6上运行出错，

需要改点什么？

谢谢！

 

DBOII系统在V6上运行出错，

需要改点什么？

谢谢！

 

redchina老大,DBOII系统在V6系统上运行,修改如下,但是总提示少了一个},出错不能运行,请帮忙看看,先谢了.

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
public class DynamicBollingerBand2 : WealthScript
{
protected override void Execute()
{
int CeilingAmount,FloorAmount,BolBandtrig,StdDevLookBack,ConstLookBackDays;
CeilingAmount = 60;
FloorAmount = 20;
BolBandtrig = 2.0;
StdDevLookBack = 30;
ConstLookBackDays = 20;

lookBackDays = ConstLookBackDays;
for Bar = ceilingAmount + 1 to BarCount - 1
{

todayVolatility = StdDev (Bar,close, StdDevLookBack);
yesterdayVolatility = StdDev (Bar - 1,close, StdDevLookBack);
deltaVolatility = (todayVolatility - yesterdayVolatility)/todayVolatility;
lookBackDays = lookBackDays * (1 + deltaVolatility);
lookBackDays = Int (lookBackDays);
lookBackDays = Min (lookBackDays, CeilingAmount);
lookBackDays = Max (lookBackDays, FloorAmount);

intLookBackDays = Round (lookBackDays);
DataSeries upBand = BBandUpper.Series (Bar, close, intLookBackDays, BolBandTrig);
DataSeries downBand = BBandLower.Series (Bar, close, intLookBackDays, BolBandTrig);

buyPoint = Highest(Bar, high, intLookBackDays);
sellPoint = Lowest (Bar, low, intLookBackDays);

longLiqPoint = SMA (Bar, close, intlookBackDays);
shortLiqPoint = longLiqPoint;

for(int bar = 20; bar < Bars.Count; bar++)
{
if (IsLastPositionActive)
{

if (PositionLong (LastPosition))
SellAtStop (Bar + 1, longLiqPoint,LastPosition);
else
CoverAtStop (Bar + 1, shortLiqPoint,LastPosition);
}
else
{
if (PriceClose (Bar) > upBand)
BuyAtStop (Bar + 1, buyPoint);
if (PriceClose (Bar) < downBand)
ShortAtStop (Bar + 1, sellPoint);

}
}
}
}
}

 

我没用过wldv6 版本 抱歉