金融工程CTA策略专题报告之七：海龟交易系统测试

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1、金融工程专题报告目录1.海龟实验背景......................................................42.海龟交易法则介绍..................................................42.1国内品种板块划分..............................................42.2头寸规模......................................................52.3仓位管理.......

2、...............................................52.4调整交易规模..................................................62.5原版交易信号..................................................62.6新增信号......................................................73.策略回测部分..............................

3、........................83.1日线回测结果..................................................83.2周线回测结果.................................................133.3对比分析.....................................................153.4详细结果.....................................................1

4、74、未来方向.........................................................19请务必阅读正文之后的免责条款部分2of22金融工程专题报告图目录图1策略市值走势（S1系统默认参数）......................................................9图2策略市值走势（S2系统默认参数）.....................................................11图3策略市值走势（日线周期最优参数）......

5、.............................................12图4策略市值走势（周线周期初始参数）...................................................14图5策略市值走势（周线周期最优参数）...................................................15图6日线周线市值曲线对比图.............................................................16图7净

6、值曲线对比图.....................................................................17图8保证金占比情况.....................................................................18图9历年净值走势图.....................................................................18图10板块净值走势图.....................

7、...............................................19表目录表1国内商品期货板块分类................................................................4表2海龟交易法则仓位管理................................................................5表3交易系统参数......................................................

8、..................7表4净值范围与最大保证金比例关系........................................................8表5S1系统默认参数......................