期货程序化策略一

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1、如影随形策略介绍策略描述：该策略为趋势型策略。加载股指期货10分钟K线，根据股指波段走势确立多空点，根据利润最人化和回撤小化设置最优化的参数，把握股指主要趋势。经过严格的历史测试与模拟测试，该策略收益高,回撤小的特点,50万资金测试三年内累计收益191%,最大资产回测9.33%。适合成熟、理性的波段投资者。测试结果：测试品种:IF888（股指连续）测试时段（开始）:2010-04-16测试时段（结束）：2012-12-07数据周期：10分钟初始资金：500000元测试手数：1手保证金比例：15%佣金比例:0.7%%最大使用资金：1手最大连盈利幅度15.98%累计净利润：951801

2、.5元累计收益率：191%平均年回报率：49%最大资产回撤幅度：9.33%资金曲线:资金曲线2000006ZSfHrH6卜SCHT6卜sim6nogrM8m6STH卜cmOOTTzrMmyvssgg卜8866卜耳6800ST6T卜鱼66=E89TS3卜60SI@1LL—60ETCOTTSUOIsm—6卜smo9

3、7.82010-4-16150000平多3426.0/343&0-3,684.18500,311.192010-4-16151000开空3415.22010-4-2094500平空3201.8/3415.063,881.03564,192.252010-4-2094500开多3201.82010-4-20132000平多3186.0/3202.0-4,874.16559,318.132010-4-2293500开空3241.62010-4-22112500开多3251.42010-4-22112500平空3251.4/3241.4-3,076.26556,241.882010-4-

4、22144000开空3239.82010-4-22144000平多3239.8/3251.6-3,616.25552,625.562010-4-2392500平空3254.0/3239.6-4,396.36548,229.192010-4-2394500开多32532010-4-23105500开空324&22010-4-23105500平多3248.2/3253.2-1,576.56546,652.692010-4-2693500平空3241.8/3248.01,783.7054&436.442010-4-2693500开多3241.82010-4-26100500开空32282

5、010-4-26100500平多322&0/3242.0-4,275.84544,160.562010-4-26101500开多3237.62010-4-26101500平空3237.6/3227.8-3,015.84541,144.752010-4-26135000开空3235.22010-4-26135000平多3235.2/3237.8-855.95540,288.752010-4-27144000开多3113.82010-4-27144000平空3113.8/3235.036,286.61576,575.382010-4-2892500平多3103.6/3114.0-3,1

6、90.57573,384.812010-4-29112500开空3145.42010-4-29134000开多31512010-4-29134000平空3151.0/3145.2-1,812.26571,572.562010-4-29140000开空3145.62010-4-29140000平多3145.6/3151.2-1,752.17569,820.382010-4-30104500平空3101.8/3145.413,008.81582,829.252010-4-30104500开多3101.82010-4-30110500平多3085.6/3102.0-4,989.90577

7、,839.312010-4-30111500开空30802010-4-30135000平空3071.0/3079.82,570.84580,410.132010-4-30135000开多30712010-4-30141000开空3050.22010-4-30141000平多3050.2/3071.2-6,368.60574,041.562010-4-30142000平空3063.6/3050.0-4,14&47569,893.192010-4-30143000开多30