过度优化在实战中会跑输

in #cn-money7 years ago (edited)

半夜三更,还有几个人在工作,都进入了梦香了,在上篇文章中我介绍到马丁交易策略,之前的实战是跑输市场,重新整理思路后,计算了5个月的数据,今晚写了300多行代码,回测了几个月的数据,还有30多个坑没填,以及移动止损功能未增加,移动止损加入后,资金曲线应该会增加5-10倍, 目前的测试只抓了50个点,应该是非常完美.



USDJPY 一个月的数据回测

跑出的图虽然很舒服,但实战中,还会有不同的坑出来,造成亏损或者少赚,交易中的K线是随时变化,没有任何一个时间段走势是一样的,马丁交易策略我不建议大家手工去做,大概率会跑输市场, 改进之后,成功的概率明显增加,失败次数减少, 在实际部署到服务器之前,需要大量的测试





刚刚在测试的时候,遇到这种图形, 这是常说的打脸图形,外汇期货往往在上涨和下跌之后, 在一个平台进行整理,再决定方向, 启动之前往往会抽风,向下诱空打脸,再往上拉,或者诱多往下打, 这种即能做多,又能做空的走势打出来, 是做还是不做, 往往风险大于机会, 如果在程序中不去处理,这里注定要输钱, 这种处理不算是优化,是必须填的坑, 许多是我们想不到的坑, 在网络上有人销售自己的策略程序,非常漂亮的资金曲线图,但实际上这些应用跑不过市场, 那是因为过度优化,写程序是需要优化,但不需要过度优化.



在没有加入移动止损能跑出这个成绩,算很不错了,成功大于失败的次数,回撤小, 明天继续补丁这个策略.

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