GridTradingBacktest
所属分类:金融证券系统
开发工具:Jupyter Notebook
文件大小:1535KB
下载次数:1
上传日期:2022-05-01 17:23:28
上 传 者:
sh-1993
说明: 网格交易回测,,
(GridTradingBacktest,,)
文件列表:
__pycache__ (0, 2022-05-02)
__pycache__\bt_grid.cpython-39.pyc (5995, 2022-05-02)
__pycache__\bt_grid_fast.cpython-39.pyc (5036, 2022-05-02)
__pycache__\bt_grid_inf.cpython-39.pyc (5207, 2022-05-02)
__pycache__\bt_grid_noprint.cpython-39.pyc (4706, 2022-05-02)
__pycache__\bt_grid_static.cpython-39.pyc (5637, 2022-05-02)
__pycache__\functions_performance.cpython-39.pyc (1311, 2022-05-02)
__pycache__\functions_processing_data.cpython-39.pyc (3373, 2022-05-02)
__pycache__\helpful_scripts.cpython-39.pyc (1748, 2022-05-02)
__pycache__\param_optim.cpython-39.pyc (2429, 2022-05-02)
bt_grid.py (10729, 2022-05-02)
bt_grid_fast.py (8773, 2022-05-02)
bt_grid_inf.py (8807, 2022-05-02)
bt_grid_noprint.py (8361, 2022-05-02)
bt_grid_static.py (9863, 2022-05-02)
functions_performance.py (1258, 2022-05-02)
functions_processing_data.py (4074, 2022-05-02)
get_bid_ask.ipynb (245049, 2022-05-02)
get_price.py (4400, 2022-05-02)
grid_trading_infin.ipynb (540494, 2022-05-02)
grid_trading_static.ipynb (530860, 2022-05-02)
grid_trading_static_noclose copy.ipynb (622835, 2022-05-02)
grid_trading_static_noclose.ipynb (305663, 2022-05-02)
gt_static_test_param.ipynb (107480, 2022-05-02)
helpful_scripts.py (1835, 2022-05-02)
param_optim.py (2338, 2022-05-02)
test.py (491, 2022-05-02)
tick_stats.py (3079, 2022-05-02)
### 网格交易回测
策略逻辑:
1. 静态网格
- 价格超出区间,平仓,再调整网格。如果价格在区间范围内波动,网格不变化
2. 无线网格
- 网格一直随着价格的变化而变化。从不平仓
策略逻辑:
策略参数:
- 区间比率 r
- p_a < p_0 < p_b
- 等差 -> p_a = (1-r)p_0; p_b = (1+r)p_0
- 等比 -> p_a = 1/(1+r)p_0; p_b = (1+r)p_0
- 网格数量 (已知上下区间和网格量,就可以得到每个区间的宽度) n_grid
- 交易手续费
策略核心:
- 选出网格的压力位和阻力位。
- 确定适当的压力位和阻力位,使价格大部分时间能够在压力位和阻力位之间波动。如果压力位和阻力位设置范围过大,会导致难以触发交易;如果压力位和阻力位设置范围过小,则会频繁触发交易。
- 合适的交易币对
- 围绕均值来回波动,且波动性越大越好
- 怎么去区分不同行情,不同行情下,策略的变化和影响
- 震荡行情 ->
- 趋势行情 ->
- 网格交易,就是在一定区间内,做流动性
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