主题：真的摸索出圣杯了，附近期表现

经过两个多月的摸索，终于摸索出一套在股指上高效的程序，经过一个多月的实盘，效果很好，真的是找到圣杯了，呵呵

实盘战绩：5月份1万2左右，6月份还没结束截止目前4万利润。

以下是该程序今年的信号：

 

此主题相关图片如下：111.jpg

注：图中白线右方是我开始实盘的地方，有时候表现一般，但振荡时并没有形成很大的资金回撤。

 

以下是用评测系统交易出来的今年行情成交情况：

 

时间                   名称        类型        交易价/成本价    交易量    收益         幅度%(不计平仓费用)    资产            最大回撤%
2013/01/07 10:22:00    股指连续    开空        2535.4           1                                                             0.00
2013/01/07 10:28:00    股指连续    平空        2540.8/2535.2    1         -1,726.65    -0.22                  998,273.38      0.21
2013/01/08 11:23:00    股指连续    开多        2539.8           1                                                             0.00
2013/01/08 15:11:00    股指连续    平多        2529.6/2540.0    1         -3,166.43    -0.41                  995,106.94      0.95
2013/01/10 10:37:00    股指连续    开空        2544.6           1                                                             0.00
2013/01/10 15:11:00    股指连续    平空        2533.6/2544.4    1         3,193.33     0.43                   998,300.31      0.95
2013/01/14 11:25:00    股指连续    开多        2558.0           1                                                             0.00
2013/01/16 09:47:00    股指连续    平多        2590.8/2558.2    1         9,731.92     1.28                   1,008,032.19    0.95
2013/01/17 10:40:00    股指连续    开多        2566.0           1                                                             0.00
2013/01/17 10:44:00    股指连续    平多        2559.2/2566.2    1         -2,147.66    -0.27                  1,005,884.56    0.95
2013/01/17 15:01:00    股指连续    开多        2571.4           1                                                             0.00
2013/01/21 09:31:00    股指连续    平多        2611.2/2571.6    1         11,831.20    1.54                   1,017,715.75    1.13
2013/01/21 10:00:00    股指连续    开空        2613.4           1                                                             0.00
2013/01/21 15:11:00    股指连续    平空        2609.2/2613.2    1         1,150.33     0.15                   1,018,866.06    1.13
2013/01/22 10:30:00    股指连续    开多        2605.2           1                                                             0.00
2013/01/22 15:11:00    股指连续    平多        2598.6/2605.4    1         -2,089.24    -0.26                  1,016,776.81    1.23
2013/01/23 10:27:00    股指连续    开空        2609.2           1                                                             0.00
2013/01/23 13:56:00    股指连续    平空        2583.8/2609.0    1         7,510.93     0.97                   1,024,287.75    1.23
2013/01/24 10:05:00    股指连续    开多        2644.0           1                                                             0.00
2013/01/24 11:14:00    股指连续    平多        2626.4/2644.2    1         -5,390.70    -0.67                  1,018,897.06    1.38
2013/01/24 11:14:00    股指连续    开空        2626.4           1                                                             0.00
2013/01/24 14:44:00    股指连续    平空        2599.8/2626.2    1         7,870.21     1.01                   1,026,767.25    1.49
2013/01/25 15:01:00    股指连续    开多        2587.0           1                                                             0.00
2013/01/30 10:07:00    股指连续    平多        2672.4/2587.2    1         25,509.50    3.29                   1,052,276.75    1.49
2013/01/30 10:50:00    股指连续    开空        2679.2           1                                                             0.00
2013/01/30 14:57:00    股指连续    平空        2685.2/2679.0    1         -1,912.64    -0.23                  1,050,364.13    1.49
2013/02/01 14:10:00    股指连续    开空        2717.2           1                                                             0.00
2013/02/01 14:14:00    股指连续    平空        2723.0/2717.0    1         -1,854.25    -0.22                  1,048,509.81    1.49
2013/02/01 15:01:00    股指连续    开多        2748.6           1                                                             0.00
2013/02/04 09:31:00    股指连续    平多        2763.2/2748.8    1         4,264.21     0.52                   1,052,774.00    1.49
2013/02/04 10:04:00    股指连续    开多        2754.8           1                                                             0.00
2013/02/04 10:45:00    股指连续    平多        2749.4/2755.0    1         -1,735.64    -0.20                  1,051,038.38    1.49
2013/02/07 11:07:00    股指连续    开多        2759.2           1                                                             0.00
2013/02/07 11:29:00    股指连续    平多        2753.2/2759.4    1         -1,915.75    -0.22                  1,049,122.63    1.49
2013/02/07 14:26:00    股指连续    开多        2782.4           1                                                             0.00
2013/02/07 15:11:00    股指连续    平多        2776.6/2782.6    1         -1,856.70    -0.22                  1,047,265.94    1.49
2013/02/08 13:18:00    股指连续    开空        2819.4           1                                                             0.00
2013/02/08 13:30:00    股指连续    平空        2826.0/2819.2    1         -2,098.55    -0.24                  1,045,167.38    1.49
2013/02/08 15:01:00    股指连续    开空        2795.6           1                                                             0.00
2013/02/08 15:11:00    股指连续    平空        2785.2/2795.4    1         3,002.81     0.37                   1,048,170.25    1.49
2013/02/08 15:11:00    股指连续    开多        2785.2           1                                                             0.00
2013/02/18 09:31:00    股指连续    平多        2799.0/2785.4    1         4,022.72     0.49                   1,052,193.00    1.49
2013/02/18 09:31:00    股指连续    开空        2799.0           1                                                             0.00
2013/02/18 15:11:00    股指连续    平空        2751.4/2798.8    1         14,163.44    1.69                   1,066,356.50    1.49
2013/02/18 15:11:00    股指连续    开多        2751.4           1                                                             0.00
2013/02/19 09:31:00    股指连续    平多        2752.4/2751.6    1         184.41       0.03                   1,066,541.00    1.49
2013/02/19 09:31:00    股指连续    开空        2752.4           1                                                             0.00
2013/02/19 15:11:00    股指连续    平空        2709.8/2752.2    1         12,665.26    1.54                   1,079,206.25    1.49
2013/02/19 15:11:00    股指连续    开多        2709.8           1                                                             0.00
2013/02/20 09:31:00    股指连续    平多        2714.4/2710.0    1         1,266.04     0.16                   1,080,472.38    1.49
2013/02/20 09:31:00    股指连续    开空        2714.4           1                                                             0.00
2013/02/22 15:01:00    股指连续    平空        2605.4/2714.2    1         32,588.30    4.01                   1,113,060.75    1.49
2013/02/22 15:01:00    股指连续    开多        2605.4           1                                                             0.00
2013/02/25 09:31:00    股指连续    平多        2621.8/2605.6    1         4,810.27     0.62                   1,117,871.00    1.49
2013/02/25 09:41:00    股指连续    开多        2639.4           1                                                             0.00
2013/02/25 09:52:00    股指连续    平多        2623.0/2639.6    1         -5,030.50    -0.63                  1,112,840.50    1.49
2013/02/25 09:52:00    股指连续    开空        2623.0           1                                                             0.00
2013/02/25 15:11:00    股指连续    平空        2603.0/2622.8    1         5,890.26     0.76                   1,118,730.75    1.49
2013/02/26 15:11:00    股指连续    开多        2565.8           1                                                             0.00
2013/02/27 09:31:00    股指连续    平多        2591.6/2566.0    1         7,631.68     1.00                   1,126,362.38    1.49
2013/02/27 10:39:00    股指连续    开多        2578.6           1                                                             0.00
2013/02/27 15:11:00    股指连续    平多        2591.8/2578.8    1         3,851.43     0.50                   1,130,213.75    1.49
2013/02/28 10:56:00    股指连续    开空        2620.8           1                                                             0.00
2013/02/28 13:08:00    股指连续    平空        2633.2/2620.6    1         -3,830.27    -0.48                  1,126,383.50    1.49
2013/02/28 15:01:00    股指连续    开多        2674.4           1                                                             0.00
2013/03/01 09:31:00    股指连续    平多        2674.4/2674.6    1         -112.34      -0.01                  1,126,271.25    1.49
2013/03/04 10:29:00    股指连续    开空        2589.0           1                                                             0.00
2013/03/04 15:11:00    股指连续    平空        2550.6/2588.8    1         11,412.06    1.48                   1,137,683.25    1.38
2013/03/04 15:11:00    股指连续    开多        2550.6           1                                                             0.00
2013/03/05 09:31:00    股指连续    平多        2564.4/2550.8    1         4,032.55     0.53                   1,141,715.75    1.38
2013/03/05 15:01:00    股指连续    开多        2619.8           1                                                             0.00
2013/03/06 09:31:00    股指连续    平多        2644.4/2620.0    1         7,269.42     0.93                   1,148,985.13    1.38
2013/03/06 13:52:00    股指连续    开空        2653.0           1                                                             0.00
2013/03/06 13:54:00    股指连续    平空        2660.0/2652.8    1         -2,211.60    -0.27                  1,146,773.50    1.38
2013/03/07 11:17:00    股指连续    开空        2652.0           1                                                             0.00
2013/03/07 13:52:00    股指连续    平空        2602.6/2651.8    1         14,709.65    1.86                   1,161,483.13    1.38
2013/03/11 09:31:00    股指连续    开多        2587.8           1                                                             0.00
2013/03/12 09:31:00    股指连续    平多        2591.2/2588.0    1         911.21       0.12                   1,162,394.38    1.38
2013/03/14 15:01:00    股指连续    开空        2529.0           1                                                             0.00
2013/03/15 15:11:00    股指连续    平空        2538.0/2528.8    1         -2,806.40    -0.36                  1,159,588.00    2.86
2013/03/15 15:11:00    股指连续    开多        2538.0           1                                                             0.00
2013/03/18 09:21:00    股指连续    平多        2526.6/2538.2    1         -3,526.35    -0.46                  1,156,061.63    2.86
2013/03/18 09:21:00    股指连续    开空        2526.6           1                                                             0.00
2013/03/18 15:01:00    股指连续    平空        2509.0/2526.4    1         5,174.31     0.69                   1,161,236.00    2.86
2013/03/18 15:01:00    股指连续    开多        2509.0           1                                                             0.00
2013/03/20 09:31:00    股指连续    平多        2535.8/2509.2    1         7,934.10     1.06                   1,169,170.00    2.86
2013/03/20 09:40:00    股指连续    开多        2549.2           1                                                             0.00
2013/03/21 15:01:00    股指连续    平多        2617.6/2549.4    1         20,411.54    2.68                   1,189,581.50    2.86
2013/03/21 15:01:00    股指连续    开空        2617.6           1                                                             0.00
2013/04/01 15:11:00    股指连续    平空        2484.0/2617.4    1         39,972.86    5.10                   1,229,554.25    2.86
2013/04/01 15:11:00    股指连续    开多        2484.0           1                                                             0.00
2013/04/02 09:31:00    股指连续    平多        2497.8/2484.2    1         4,035.41     0.55                   1,233,589.63    2.86
2013/04/02 09:31:00    股指连续    开空        2497.8           1                                                             0.00
2013/04/02 15:01:00    股指连续    平空        2494.0/2497.6    1         1,035.20     0.15                   1,234,624.75    2.86
2013/04/02 15:01:00    股指连续    开多        2494.0           1                                                             0.00
2013/04/09 10:34:00    股指连续    平多        2487.8/2494.2    1         -1,964.60    -0.26                  1,232,660.13    2.86
2013/04/09 10:34:00    股指连续    开空        2487.8           1                                                             0.00
2013/04/09 15:11:00    股指连续    平空        2480.6/2487.6    1         2,055.67     0.28                   1,234,715.75    2.86
2013/04/09 15:11:00    股指连续    开多        2480.6           1                                                             0.00
2013/04/10 13:02:00    股指连续    平多        2469.0/2480.8    1         -3,583.95    -0.47                  1,231,131.75    2.86
2013/04/11 09:32:00    股指连续    开多        2506.6           1                                                             0.00
2013/04/11 09:51:00    股指连续    平多        2494.8/2506.8    1         -3,645.07    -0.48                  1,227,486.75    2.86
2013/04/11 09:51:00    股指连续    开空        2494.8           1                                                             0.00
2013/04/11 15:11:00    股指连续    平空        2467.8/2494.6    1         7,995.81     1.08                   1,235,482.50    2.86
2013/04/12 15:11:00    股指连续    开多        2462.6           1                                                             0.00
2013/04/15 09:21:00    股指连续    平多        2447.6/2462.8    1         -4,603.11    -0.62                  1,230,879.38    2.86
2013/04/15 09:32:00    股指连续    开多        2459.6           1                                                             0.00
2013/04/15 10:07:00    股指连续    平多        2436.2/2459.8    1         -7,122.84    -0.96                  1,223,756.50    2.86
2013/04/15 10:07:00    股指连续    开空        2436.2           1                                                             0.00
2013/04/15 15:01:00    股指连续    平空        2435.2/2436.0    1         197.66       0.03                   1,223,954.25    2.86
2013/04/15 15:01:00    股指连续    开多        2435.2           1                                                             0.00
2013/04/17 11:06:00    股指连续    平多        2440.8/2435.4    1         1,577.65     0.22                   1,225,531.88    2.86
2013/04/18 09:46:00    股指连续    开多        2443.2           1                                                             0.00
2013/04/23 09:29:00    股指连续    平多        2529.2/2443.4    1         25,695.54    3.51                   1,251,227.50    2.86
2013/04/23 09:45:00    股指连续    开空        2505.2           1                                                             0.00
2013/04/23 15:11:00    股指连续    平空        2451.0/2505.0    1         16,155.93    2.16                   1,267,383.38    2.86
2013/04/25 11:18:00    股指连续    开空        2490.8           1                                                             0.00
2013/04/25 11:24:00    股指连续    平空        2494.4/2490.6    1         -1,184.63    -0.15                  1,266,198.75    2.86
2013/04/25 15:11:00    股指连续    开多        2463.6           1                                                             0.00
2013/04/26 09:31:00    股指连续    平多        2488.8/2463.8    1         7,456.01     1.02                   1,273,654.75    2.86
2013/04/26 09:49:00    股指连续    开多        2469.8           1                                                             0.00
2013/04/26 10:12:00    股指连续    平多        2463.0/2470.0    1         -2,143.59    -0.28                  1,271,511.13    2.86
2013/04/26 15:01:00    股指连续    开多        2440.6           1                                                             0.00
2013/05/02 09:31:00    股指连续    平多        2423.8/2440.8    1         -5,142.18    -0.70                  1,266,368.88    2.86
2013/05/02 15:01:00    股指连续    开多        2438.8           1                                                             0.00
2013/05/06 09:31:00    股指连续    平多        2508.8/2439.0    1         20,896.12    2.86                   1,287,265.00    2.86
2013/05/06 15:11:00    股指连续    开多        2512.6           1                                                             0.00
2013/05/07 09:21:00    股指连续    平多        2505.8/2512.8    1         -2,145.37    -0.28                  1,285,119.63    2.86
2013/05/07 15:01:00    股指连续    开空        2519.0           1                                                             0.00
2013/05/08 09:16:00    股指连续    平空        2533.6/2518.8    1         -4,486.12    -0.59                  1,280,633.50    2.86
2013/05/08 09:35:00    股指连续    开多        2558.2           1                                                             0.00
2013/05/08 09:52:00    股指连续    平多        2541.4/2558.4    1         -5,147.07    -0.66                  1,275,486.38    2.86
2013/05/08 09:52:00    股指连续    开空        2541.4           1                                                             0.00
2013/05/08 15:11:00    股指连续    平空        2544.8/2541.2    1         -1,126.88    -0.14                  1,274,359.50    2.86
2013/05/13 14:14:00    股指连续    开多        2526.8           1                                                             0.00
2013/05/13 15:11:00    股指连续    平多        2518.4/2527.0    1         -2,625.96    -0.34                  1,271,733.50    2.86
2013/05/15 10:00:00    股指连续    开空        2493.2           1                                                             0.00
2013/05/15 11:06:00    股指连续    平空        2483.0/2493.0    1         2,955.47     0.40                   1,274,689.00    2.86
2013/05/15 11:06:00    股指连续    开多        2483.0           1                                                             0.00
2013/05/15 15:01:00    股指连续    平多        2494.6/2483.2    1         3,375.49     0.46                   1,278,064.50    2.86
2013/05/15 15:01:00    股指连续    开空        2494.6           1                                                             0.00
2013/05/16 15:01:00    股指连续    平空        2522.4/2494.4    1         -8,445.28    -1.12                  1,269,619.13    2.86
2013/05/21 15:01:00    股指连续    开空        2601.0           1                                                             0.00
2013/05/22 15:01:00    股指连续    平空        2601.6/2600.8    1         -289.30      -0.03                  1,269,329.88    2.86
2013/05/24 10:07:00    股指连续    开多        2586.8           1                                                             0.00
2013/05/24 11:02:00    股指连续    平多        2580.2/2587.0    1         -2,088.56    -0.26                  1,267,241.38    2.86
2013/05/27 09:57:00    股指连续    开多        2590.2           1                                                             0.00
2013/05/29 15:01:00    股指连续    平多        2626.2/2590.4    1         10,690.43    1.38                   1,277,931.88    2.86
2013/05/29 15:01:00    股指连续    开空        2626.2           1                                                             0.00
2013/05/29 15:11:00    股指连续    平空        2625.8/2626.0    1         9.68         0.01                   1,277,941.63    2.86
2013/05/29 15:11:00    股指连续    开多        2625.8           1                                                             0.00
2013/05/30 09:21:00    股指连续    平多        2628.4/2626.0    1         669.61       0.09                   1,278,611.25    2.86
2013/05/30 09:21:00    股指连续    开空        2628.4           1                                                             0.00
2013/06/06 15:01:00    股指连续    平空        2534.0/2628.2    1         28,211.53    3.58                   1,306,822.75    2.86
2013/06/06 15:11:00    股指连续    开多        2534.2           1                                                             0.00
2013/06/07 09:31:00    股指连续    平多        2535.4/2534.4    1         253.49       0.04                   1,307,076.38    2.86
2013/06/13 09:41:00    股指连续    开空        2418.8           1                                                             0.00
2013/06/13 15:11:00    股指连续    平空        2385.2/2418.6    1         9,979.11     1.38                   1,317,055.50    2.86
2013/06/14 13:22:00    股指连续    开空        2402.0           1                                                             0.00
2013/06/14 15:15:00    股指连续    强制平仓    2395.6           1         1,819.20     0.26                   1,318,874.75    2.86

能不能把你的策略缩小周期到秒在日内黄金上跑一天模拟给看看买卖点，可以的话你愿意不愿代盘，利润对半开，风险和你没关系、、、、

忘记说了，我的策略只能用在股指期货上（准确的说中国的股指期货），因为我在金字塔中，用到了上证、沪深300、证券等指数，我不用任何指标，只用K线比较、交易量比较等方法来交易期货。所以黄金等商品是用不了了

 

这个策略秘密不多，只是把很多大家都知道的概念程序化了而已（指数之间的强弱关系、交易量变化等）

集合竞价  完全是在说外行话

使用指标很正常，实际上当你进行“K线比较、交易量比较”时就在使用指标，

 

反而不使用指标确非常奇怪，请举一例子说明“没有使用指标”，

 

只要我们做的是“量化”就必然要使用指标。

贴个全部时间的测试欣赏欣赏

此主题相关图片如下：111.gif

不过我觉得近景图比较清晰，你们可以研究下我的开仓平仓持仓特点

 

 

此主题相关图片如下：111.gif

如果没有其它问题，能做到这样的成绩还是很不错的。

首先恭喜KLC一个多月的实盘取得好效果，但有几点建议请留意：