[問題] 請教MC回測的問題...

[waiter337 (soup)]

抱歉,我又無恥的來洗板了=.=

求救一下,目前正在練習MC

我將某大的測試策略放進MC去跑


{rsi}


Inputs:rsiLength(9),overbuy(70),oversell(30);

if rsi(C,rsilength)>overbuy then begin
        buy next bar at market;
End ;

if rsi(C,rsilength)<oversell then begin
        sell next bar at market;
end ;

if rsi(C,rsilength)cross under overbuy then begin
        sell next bar at market;
end ;

if rsi(C,rsilength)cross over oversell then begin
        buy next bar at market;
end ;

(不知道是不是我MC語法用錯)

這是我的回測情況.....

裡面完全沒有半張空單Q.Q (有賣出訊號喔....嚇死人)

http://ppt.cc/4Ulw  (只跑2004/1/1~2012/5/8)

花了2,3個小時,我在怎麼設定,上網找問題也找不到答案,

求高手解救解救我一下,我真的不知從何下手....



--
※ 發信站: 批踢踢實業坊(ptt.cc)
◆ From: 111.252.74.226

= =  靠腰勒,我好像又來自問自答了

看見無無明大說,空單要設sellshort


{rsi}


Inputs:rsiLength(9),overbuy(70),oversell(30);

if rsi(C,rsilength)>overbuy then begin
        buy next bar at market;
End ;

if rsi(C,rsilength)<oversell then begin
        sellshort next bar at market;
end ;

if rsi(C,rsilength)cross under overbuy then begin
        sellshort next bar at market;
end ;

if rsi(C,rsilength)cross over oversell then begin
        buy next bar at market;
end ;


好像就好了 是這樣子嗎?
※ 編輯: waiter337       來自: 111.252.74.226       (07/17 07:33)
→ lili66:空單&回補 sellshort buytocover 多單&回補 buy sell
→ lili66:其他應該沒問題


所以                MC                       ts
     多單           buy                     buy
     空單           sellshort               sell
     多單平         sell                    exitlong
     空單平         buytocover              exitshort
※ 編輯: waiter337       來自: 111.252.74.226       (07/18 01:32)
※ 編輯: waiter337       來自: 111.252.74.226       (07/18 01:34)