网站首页

登录

code

于 2013-10-09 发布文件大小:506KB

 0  428

下载积分: 1 下载次数: 395

我要下载

代码说明：

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

下载说明：请别用迅雷下载，失败请重下，重下不扣分！

发表评论

0 个回复

elsevier-MSS-201609
用小波变换，分析期货螺纹钢RB1610,周期的源代码，含数据，直接执行程序即可；绝对可以用。 WAVELET ,FUTURE,RB1610(Wavelet transform, analyze futures rebar RB1610, the cycle of the source code, including data, direct executor can definitely use. Wavelet transform, analysis of the futures rebar RB1610, the cycle of the source code, including data, the direct implementation of procedures can be Absolutely available.)

2020-11-27 21:29:30下载

积分：1
myauto
vc6+vs2005环境，股票自动交易软件。目前支持通达信版本交易，凡交易平台使用通达信的券商都可使用。实现为使用窗口句柄抓取交易界面窗口完成。使用时需要先打开交易软件，否则无法找到。(vc6+vs2005 environment, stock automated trading software. Currently supports accessible letter version of the transaction, where the trading platform accessible letter broker can be used. To achieve completion of the trading interface window for the window handle to crawl. Need to open the trading software, otherwise it is impossible to find.)

2011-06-28 14:22:01下载

积分：1
EMA交叉报警
说明：任意均线金叉死叉报警，均线周期自己可以调整，均线类型也可以自己调整。(Any average golden fork dead fork alarm, average cycle can be adjusted by itself, average type can also be adjusted by itself.)

2020-06-21 13:20:06下载

积分：1
bankmanagement
一个模拟银行账户管理的软件，实现账户创建，修改，查询，清理的功能(A simulated bank account management software, the realization of accounts to create, modify, query, clean-up function)

2009-04-19 15:02:04下载

积分：1
8583
银行使用的8583算法，使用者可以直接使用(8583 algorithms used by banks)

2013-07-08 17:38:13下载

积分：1
mt4api开发包[1.0.0.1]
简介 mt4api接口，是用于直接连接mt4服务器,获取实时行情报价,交易执行,以及历史行情和历史订单的查询等功能的dll接口，适合开发行情展示或者订单管理，交易策略等，如果可以，你甚至可以用他开发一个mt4客户端！该api比使用mt4终端进行报价和交易要快得多; 提供实时开仓、平仓等多种功能。功能特点报价连接：提供直连服务器获取数据功能。实时报价: 可以获取每个证券代码的实时报价。证券/组：提供获取所有证券代码和用户所在组信息。交易连接：直连服务器进行交易，不需要mt4终端客户端。交易类型：支持所有交易类型订单反馈：提供实时平仓开仓反馈。盈亏状态：实时的盈亏状态。(brief introduction MT4 API interface is a DLL interface used to connect MT4 server directly, obtain real-time information price, transaction execution, query historical quotation and historical order, etc. Suitable for the development of market display or order management, trading strategies, etc., if you can, you can even use him to develop a MT4 client! The API is much faster than quoting and trading with MT4 terminals. Provide real-time warehouse opening, closing and other functions.)

2019-06-12 17:35:18下载

积分：1
推荐-（永久免费）太极战法套利EA 5.23已更新
MT4 EA （外汇自动交易程序）大全，由网友及本人从网上收集而来。收录EA源代码438个，策略上包含了从基本的MA穿越到网格交易，时间上覆盖拨头皮到日周甚至月线交易, 可谓应有尽有。其中有些已经可以用于实战。有志于自动交易的同志们可不能错过！(This is a large collection of MT4 EA automated trading strategy including source code of 438 EAs which would cover any strategy that you ve ever heard of)

2019-05-08 14:04:39下载

积分：1
经典EA平头哥源码
外汇智能交易很经典的交易源码，很值得学习和参考，但请勿轻易用于实盘，明白原理就行。(Intelligent foreign exchange trading is a classic source code, it is worth learning and reference, but do not easily be used in the real offer, understand the principle is OK.)

2020-06-30 13:00:02下载

积分：1
jj2mmestocck2
j2me构建股票系统，虽然不是纯粹的源码，但里边阐述了源码与说明，相当于带有有解释的程序源码，对初学入门j2me的开发者来说，具有相当的作用。可直接使用。 (j2me build a stock system, although not a pure source, but the inside explained the source and explanation, which is equivalent with the interpretation of program source code, beginner entry j2me developer, has a considerable role. Can be used directly.)

2012-07-29 00:32:59下载

积分：1
blessing3.9.6
Blessing_3_v3_9_6稳定盈利set，仅限AUDNZD货币对，周期M1。使用本压缩包内的SET，LAF默认是15，根据历史测试来看具有较大的风险，需要手动规避数据。合理设置为LAF=8，请自行设置和调试，找到自己合适的风险值。(This is an EA developed by JTAToday. It is one of the stable EA around. most difficult thing with this EA is set files. I have developed few set files for EURUSD, GBPUSD, XAUUSD. All of them perform well. Good stable returns for anyone who is looking for such. Caution: Use it according to your own risk appetite. Test it well. Also maintain proper Account Balance. Do not use it on small account balances. You can use ex4 version. mq4 is uploaded, for anyone who wants to modify. Not sure why one would want to do that.)

2020-06-20 20:40:01下载

积分：1

696516资源总数
106914会员总数
0今日下载