通达信股票交易接口API-量化交易回测调参神龙摆尾

第一章神龙摆尾

本章围绕一个结构模型，基于backtrader框架，从策略实现、参数调优等方面探讨量化交易实践。

本模型来自网易公开课，是一个波段上涨模型，名曰亢龙有悔，模型基本示意如下

模型要点如下：

策略实现

策略源代码

初步参数调优-选股参数

测试发现

preboxnohigh参数纯属画蛇添足，遂移除。

最大机会数量

2154    4314    1599    2636    3589.04     {"postboxV":1,"maxuplimit":-1,"needvcd":False,"breakdown":0,"boxR":7}
2154    4314    1599    2636    3589.04     {"postboxV":1,"maxuplimit":-1,"needvcd":False,"breakdown":1,"boxR":7}
2154    4314    1599    2636    3589.04     {"postboxV":1,"maxuplimit":-1,"needvcd":False,"breakdown":2,"boxR":7}

最高收益

1760    2746    1024    1658    19236.8      {"postboxV":1,"maxuplimit":0,"needvcd":False,"breakdown":0,"boxR":7.4}
1760    2746    1024    1658    19236.8      {"postboxV":1,"maxuplimit":0,"needvcd":False,"breakdown":1,"boxR":7.4}
1760    2746    1024    1658    19236.8      {"postboxV":1,"maxuplimit":0,"needvcd":False,"breakdown":2,"boxR":7.4}
907     1128    422     690     19609.18     {"postboxV":2,"maxuplimit":1,"needvcd":True,"breakdown":2,"boxR":7.4}
865     1063    395     652     20718.98     {"postboxV":2,"maxuplimit":1,"needvcd":True,"breakdown":2,"boxR":8.2}
1118    1500    544     936     20830.49     {"postboxV":2,"maxuplimit":1,"needvcd":False,"breakdown":2,"boxR":7}
874     1076    404     656     21041.59     {"postboxV":2,"maxuplimit":1,"needvcd":True,"breakdown":2,"boxR":8}
934     1167    442     708     22042.67     {"postboxV":2,"maxuplimit":1,"needvcd":True,"breakdown":2,"boxR":7}

进一步参数调优-卖出参数

选定{"postboxV":1,"maxuplimit":-1,"needvcd":False,"breakdown":2,"boxR":7}，期待通过止盈止损参数提高收益

ps = dict(
        closeup1 = [x/100 for x in range(105, 118)],    # 目标止盈
        closeup2 = [x/100 for x in range(103, 110)],    # 顶部回落止盈
        closedown = [x/100 for x in range(72,90,2)],  # 止损
)

进一步测试发现，如下参数组合可获得显著的性能提升

2149 4340 2705 1550 2925 31900.29 {"closedown":0.72,"closeup2":1.09,"closeup1":1.05}
2149 4340 2705 1550 2925 31900.29 {"closedown":0.74,"closeup2":1.09,"closeup1":1.05}
2149 4340 2705 1550 2925 31900.29 {"closedown":0.76,"closeup2":1.09,"closeup1":1.05}

其中：

胜率从37%提升到63%，提升了68%收益从220467提升到31900.2提升了47%

三个参数中有两个处于测试范围的边界，下一步可考虑更换范围继续搜索。

所涉策略仅用于技术探讨，不代表作者认同该模型有效性。

文章为作者独立观点，不代表股票配资公司观点