多头排列回踩买入策略
发布于 4 个月前 作者 vensentzhou 381 次浏览 来自 分享

bigquant论坛上有一个多头排列回踩策略,逻辑上是强势股回调过程中介入。如果错了,均线交叉时止损掉。 https://bigquant.com/community/t/topic/253 78fedc278140fae19bbd0c57b85a83f48017d5b9.png 逻辑如下: 股票池为所有沪深A股

均线周期选择为[5,10,20,40,120],短期均线值依次大于长期均线值

回踩点的定义为当根K线击穿10日均线,未击穿更长周期均线,并仍满足多头排列

买入股票数上限为100只,等权重买入,当持有股票数100只时,有股票卖出才买入股票

买入时机:多头策略回踩点的第二天开盘买入

卖出时机:当5日均线下穿40日均线,第二天开盘卖出

使用QA回测18年7月-21年6月 100万账户收益如下: {‘account_cookie’: ‘Moving_average_long’, ‘password’: ‘Moving_average_long’, ‘databaseip’: ‘’, ‘model’: ‘BACKTEST’, ‘ping_gap’: 5, ‘portfolio’: ‘QAPaperTrade’, ‘broker_name’: ‘QAPaperTrading’, ‘capital_password’: ‘’, ‘bank_password’: ‘’, ‘bankid’: ‘QASIM’, ‘investor_name’: ‘’, ‘money’: 525695.8200000018, ‘pub_host’: ‘’, ‘trade_host’: ‘’, ‘taskid’: ‘d2809e49-d219-43ee-80c4-1163220e218b’, ‘sourceid’: ‘QIFI_Account’, ‘updatetime’: ‘’, ‘wsuri’: ‘ws://www.yutiansut.com:7988’, ‘bankname’: ‘QASIMBank’, ‘trading_day’: ‘2021-06-22’, ‘status’: 200, ‘accounts’: {‘user_id’: ‘Moving_average_long’, ‘currency’: ‘CNY’, ‘pre_balance’: 1217149.02, ‘deposit’: 0, ‘withdraw’: 0, ‘WithdrawQuota’: 0, ‘close_profit’: -2375.0000000000014, ‘commission’: 109.19999999999999, ‘premium’: 0, ‘static_balance’: 1217149.02, ‘position_profit’: 1927793.0, ‘float_profit’: 1927793.0, ‘balance’: 3142457.82, ‘margin’: 688969.0, ‘frozen_margin’: 0, ‘frozen_commission’: 0.0, ‘frozen_premium’: 0.0, ‘available’: 525695.8200000018, ‘risk_ratio’: 0.8327118930111839}, 因为大部分是高价股,有些股票没钱买了。大家可以尝试一下

回到顶部