資源簡(jiǎn)介
螺紋鋼期貨小波區(qū)間突破策略MATLAB代碼,策略最優(yōu)化,樣本外測(cè)試,給出了年化收益,平均勝率,最大回撤等指標(biāo)
代碼片段和文件信息
clear
clc
%find?optimal?strategy?which?occurs?most?frequently?in??opt?tests
load?opt1
opt1result1=[openwindowslipdoorlossdoor];
save?111?opt1result1
clear
load?opt2
opt1result2=[openwindowslipdoorlossdoor];
load?111
optresult=[opt1result1;opt1result2];
samenumber=zeros(140);
for?i=1:40
????for?j=1:40
????????if?optresult(j:)==optresult(i:)
????????????samenumber(i)=samenumber(i)+1;
????????end
????end
end
optresult(samenumber==max(samenumber):)
?屬性????????????大小?????日期????時(shí)間???名稱
-----------?---------??----------?-----??----
?????目錄???????????0??2013-07-31?13:27??celue\
?????文件?????????238??2013-07-31?01:34??celue\111.mat
?????文件????11110528??2013-01-29?15:56??celue\RB_1M.csv
?????文件??????590378??2013-07-31?00:14??celue\opt1.mat
?????文件??????590327??2013-07-31?00:14??celue\opt2.mat
?????文件?????????485??2013-07-31?00:38??celue\optfre.m
?????文件????????9560??2013-07-31?12:37??celue\outtest.m
?????文件?????????965??2013-07-31?00:59??celue\robustOWstra.m
?????文件????????1497??2013-07-31?12:11??celue\strategyresult.m
?????文件????????6043??2013-07-30?19:52??celue\teststrategy.m
?????文件????????1244??2013-07-31?02:15??celue\waveletOWs.m
?????文件????????6035??2013-07-30?20:22??celue\waveletteststr.m
?????文件?????4095656??2013-07-30?22:28??celue\waveopt1.mat
?????文件?????4095648??2013-07-31?00:07??celue\waveopt2.mat
?????文件?????????485??2013-07-31?01:01??celue\waveoptfre.m
?????文件????????1944??2013-07-31?12:13??celue\wavestrategyresult.m
?????文件?????????613??2013-07-31?13:36??celue\文檔說明.txt
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