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于 2013-10-09 发布文件大小:506KB

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一个利用MATLAB编写的螺纹钢期货高频交易套利策略。本策略主要使用移动平均(Moving Average)+RSI 指数策略进行交易判定。其基本思想是 MA 策略对于明显趋势走效果较好，而 RSI 策略适用于震荡的行情，对两种策略产生的信号合成之后具有较强抵抗风险的能力。实际验中，在对初始价格信号进行处理并通过以往数据回测，得到最佳据回测，得到最佳参数组合之后，策略的年均收益率达到了23.6，夏普比率为 2.05。(One using MATLAB rebar futures arbitrage high frequency trading strategies. This strategy is mainly used moving average (Moving Average)+ RSI index trading strategy determination. The basic idea is a clear trend to go for MA strategy is better, while RSI strategy for market shocks, the two signals generated after synthesis strategy has a strong ability to resist risks. Practical experience, in the pair. Practical experience, in the pair. Actual experiment, in the initial price signals to be processed and the data back through the previous test, get the best according to backtesting, get the best combination of parameters, the strategy to achieve an average annual rate of return of 23.6 2, the Sharpe ratio of 2.05.)

文件列表：

RB MATLAB CODE
..............\analysis.m,1036,2013-08-18
..............\Demo2.m,869,2013-08-18
..............\Drawdown.m,328,2013-08-17
..............\greturn.m,885,2013-08-18
..............\importfile.m,982,2010-11-22
..............\isoplot.m,865,2010-11-22
..............\leadlag.m,1810,2013-08-16
..............\leadlagFun.m,853,2010-11-22
..............\marsi.m,1736,2013-08-18
..............\marsiFun.m,418,2013-08-15
..............\movavg2.m,585,2010-11-22
..............\parameterSweep.m,1947,2013-08-18
..............\publishall.m,221,2010-11-22
..............\RBMAIN.m,553,2013-08-18
..............\rsi.m,3038,2013-08-18
..............\rsiFun.m,306,2010-11-22
..............\RU1mindata.mat,508966,2013-08-11

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