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資源簡介

一個利用MATLAB編寫的螺紋鋼期貨高頻交易套利策略。本策略主要使用移動平均(Moving Average)+RSI 指數策略進行交易判定。其基本思想是 MA 策略對 于明顯 趨勢走效果較好,而 RSI 策略適用于震蕩的行情 ,對兩種策略 產生

資源截圖

代碼片段和文件信息

function?analysis(?pricescost)
%ANALYSIS?Summary?of?this?function?goes?here
%???Detailed?explanation?goes?here

profit=greturn(pricescost)
ttimes=numel(profit);
?t=diff(s);
?r3??=?[0;?s(1:end-1).*diff(price)-abs(t)*cost/2];
xtimes=numel(t(find(t>0)));
ytimes=numel(t(find(t<0)));
?
win=profit(find(profit>0));
loss=profit(find(profit<0));
wtimes=numel(win);%獲勝次數
ltimes=numel(loss);%失敗次數
odds=wtimes/ttimes;%勝率
wtotal=sum(win);
ltotal=sum(loss);
wreturn=wtotal/(wtimes*3660);%平均獲勝收益率(%)
lreturn=ltotal/(ltimes*3660);%平均失敗損失(%)
odds1=wreturn/lreturn;%賠率
r1=profit‘;
r1(11)=profit(11)+3660;
z=cumsum(r1);
dd=min(Drawdown(z));%最大回撤

f?=?figure(‘Position‘[200?200?400?150]);
%?
%?????plot(z)?grid?on
%?????legend(‘z‘)
dat?=?{ttimes*2odds*100wreturn*100lreturndd*

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----

?????文件???????1036??2013-08-18?16:54??RB?MATLAB?CODE\analysis.m

?????文件????????869??2013-08-18?17:53??RB?MATLAB?CODE\Demo2.m

?????文件????????328??2013-08-17?15:14??RB?MATLAB?CODE\Drawdown.m

?????文件????????885??2013-08-18?11:15??RB?MATLAB?CODE\greturn.m

?????文件????????982??2010-11-22?20:58??RB?MATLAB?CODE\importfile.m

?????文件????????865??2010-11-22?20:58??RB?MATLAB?CODE\isoplot.m

?????文件???????1810??2013-08-16?17:21??RB?MATLAB?CODE\leadlag.m

?????文件????????853??2010-11-22?20:58??RB?MATLAB?CODE\leadlagFun.m

?????文件???????1736??2013-08-18?16:59??RB?MATLAB?CODE\marsi.m

?????文件????????418??2013-08-15?00:08??RB?MATLAB?CODE\marsiFun.m

?????文件????????585??2010-11-22?20:58??RB?MATLAB?CODE\movavg2.m

?????文件???????1947??2013-08-18?17:52??RB?MATLAB?CODE\parameterSweep.m

?????文件????????221??2010-11-22?20:58??RB?MATLAB?CODE\publishall.m

?????文件????????553??2013-08-18?17:52??RB?MATLAB?CODE\RBMAIN.m

?????文件???????3038??2013-08-18?12:23??RB?MATLAB?CODE\rsi.m

?????文件????????306??2010-11-22?20:58??RB?MATLAB?CODE\rsiFun.m

?????文件?????508966??2013-08-11?20:10??RB?MATLAB?CODE\RU1mindata.mat

?????目錄??????????0??2013-08-18?17:57??RB?MATLAB?CODE

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???????????????525398????????????????????18


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