温斯顿吴的博客 适道而后济

SmallProfitTrader-NDayWinTracer-中证100成分股回测

2022-07-06

参数

$startDate = '2021-01-04';
$endDate = '2022-06-30';

//

$_isUseMaInTrend = true;        // notice 均线顺势
$_ma1 = 5;      // 小均线
$_ma2 = 10;     // 中均线(三均线)
$_ma3 = 20;     // 大均线
$_ma4 = 30;     // 大均线
$_isMaStrongTrend = true;       // notice 均线同向

$_retractDays = 2;              // notice 缩回天数
$_isUseYinYang = true;          // notice 阴阳线


$_isKLineTouchMa = false;       //  K线接触均线
$_isKLineSinkMa = false;        //  K线完全沉没于均线
$_isUseFarFromMa = false;       //  K线漂浮
$_usePositiveLeave = false;      // 积极止盈

$_prevDaysIncrease = 20;
$_prevDayIncreaseRate = 0.2;


$minBias = 0;   // 最小乖离
$samplingRatio = 0; // 随机交易
$monteCarlo = 0;  // 随机交易日

资金曲线(全仓)

image

明细

日期 收益率 累计
2021/1/6 0.0909 9.09%
2021/1/7 0.0141 10.50%
2021/1/8 -0.02886 7.61%
2021/1/11 0.04433077 12.05%
2021/1/13 -0.0394 8.11%
2021/1/14 0.0005 8.16%
2021/1/15 0.05556 13.71%
2021/1/19 0.0136 15.07%
2021/1/20 0.0182 16.89%
2021/1/22 -0.0456 12.33%
2021/1/25 0.03015 15.35%
2021/1/26 0.02811667 18.16%
2021/1/27 0.03883333 22.04%
2021/1/28 0.00835 22.88%
2021/2/4 0.0454 27.42%
2021/2/5 0.1008 37.50%
2021/2/8 0.0544 42.94%
2021/2/10 0.044 47.34%
2021/2/18 -0.1352 33.82%
2021/2/19 -0.1072857 23.09%
2021/2/22 0.0148 24.57%
2021/2/23 -0.07745 16.82%
2021/3/5 0.0142 18.24%
2021/4/8 0.0428 22.52%
2021/4/12 -0.0147 21.05%
2021/4/22 0.0048 21.53%
2021/4/29 0.0132 22.85%
2021/5/11 0.0176 24.61%
2021/5/13 0.056 30.21%
2021/5/20 0.1067 40.88%
2021/5/21 0.0147 42.35%
2021/6/1 0.0112 43.47%
2021/6/2 -0.0756 35.91%
2021/6/3 0.014725 37.39%
2021/6/16 0.1001 47.40%
2021/6/21 0.003 47.70%
2021/6/23 0.0754 55.24%
2021/6/30 -0.0148 53.76%
2021/7/1 0.06005 59.76%
2021/7/2 0.0446 64.22%
2021/7/5 0.0202 66.24%
2021/7/6 0.0529 71.53%
2021/7/9 0.0365 75.18%
2021/7/13 -0.00485 74.70%
2021/7/14 0.04713333 79.41%
2021/7/23 0.0357 82.98%
2021/8/2 -0.0168 81.30%
2021/8/3 0.05095 86.40%
2021/8/5 0.0265 89.05%
2021/8/6 0.0512 94.17%
2021/8/12 -0.04275 89.89%
2021/9/3 0.0201 91.90%
2021/9/9 0.0349 95.39%
2021/9/14 -0.042 91.19%
2021/9/15 0.01305 92.50%
2021/9/17 0.0732 99.82%
2021/9/27 0.0769 107.51%
2021/9/29 0.0166 109.17%
2021/10/14 0.0205 111.22%
2021/10/18 0.0287 114.09%
2021/10/21 0.00385 114.47%
2021/10/22 0.0343 117.90%
2021/10/25 0.0107 118.97%
2021/10/26 0.0144 120.41%
2021/10/27 -0.0464 115.77%
2021/10/28 -0.0106 114.71%
2021/10/29 0.0014 114.85%
2021/11/3 0.01905 116.76%
2021/11/8 0 116.76%
2021/11/9 0.0259 119.35%
2021/11/10 0.0121 120.56%
2021/11/11 -0.0363 116.93%
2021/11/30 0.0024 117.17%
2021/12/1 0.0265 119.82%
2021/12/10 -0.0333 116.49%
2021/12/16 -0.013 115.19%
2021/12/27 0.0103 116.22%
2021/12/28 0.0068 116.90%
2022/4/15 -0.0432 112.58%
2022/5/23 -0.00065 112.51%
2022/5/25 0.01135 113.65%
2022/5/27 0.0178 115.43%
2022/5/30 0.0426 119.69%
2022/6/7 0.0086 120.55%
2022/6/8 0.0016 120.71%
2022/6/9 0.0346 124.17%
2022/6/20 0.0074 124.91%
2022/6/22 0.0103 125.94%
2022/6/23 0.0166 127.60%
2022/6/27 0.0101 128.61%
2022/6/28 -0.0430667 124.30%
2022/6/29 0.0515 129.45%

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