最近新的炒股机械式交易规则回测盈利，在通往财富的路上越来越近
本帖最后由 重新做人 于 2015-4-5 11:12 编辑憨散最近苦苦思索，终于又想到一个炒股的机械式交易规则，并在 2014年1月1日 到 2014年6月1日之间测试。（同期沪指亏损）
交易规则：
买入：买入日以收盘价买入股票
卖出：买入20日后以收盘价卖出（T+20）
止损：如果买入后的20日中间，只要触及-10%的亏损，以当日收盘价止损
手续费：每次以0.003计算手续费（应该算比较高的手续费了吧？千分之三）
总计叠加收益：290.7% （初始资产1元）
总交易次数：509
平均每次盈利：0.21% （每次耗费20个交易日，止损除外， 2.90开509次方）
一年预计收益： 2.1% （得不偿失）
结论：至少不亏损，还不错了
以下是实测记录（每个股票只买卖一次）
代码 买入日期 20日后以收盘价卖出 卖出类型（止损日的收盘价卖出） 资产
Code:000971 20140324 -0.03765 收盘价 0.96235
Code:000976 20140321 0.0412 收盘价 1.00199882
Code:601199 20140307 -0.10104 止损 0.900756859
Code:000961 20140325 -0.04945 收盘价 0.856214433
Code:000965 20140410 -0.10783 止损 0.76388883
Code:000969 20140225 0.04309 收盘价 0.7968048
Code:000990 20140311 -0.01562 收盘价 0.784358709
Code:000511 20140305 0.17778 收盘价 0.923802
Code:000995 20140320 -0.003 收盘价 0.921030594
Code:000517 20140324 -0.06497 收盘价 0.861191237
Code:000516 20140227 0.11939 收盘价 0.964008858
Code:000998 20140528 0.00005 收盘价 0.964057059
Code:000514 20140417 -0.03031 收盘价 0.934836489
Code:000502 20140313 0.26973 收盘价 1.186989936
Code:000501 20140506 -0.11111 止损 1.055103484
Code:000504 20140310 0.067 收盘价 1.125795417
Code:000938 20140110 0.23218 收盘价 1.387182597
Code:000920 20140314 -0.00999 收盘价 1.373324643
Code:000923 20140212 0.21904 收盘价 1.674137673
Code:000922 20140320 -0.003 收盘价 1.66911526
Code:000928 20140303 -0.0363 收盘价 1.608526376
Code:000927 20140313 -0.02528 收盘价 1.567862829
Code:600298 20140102 -0.10223 止损 1.407580212
Code:000953 20140313 0.07392 收盘价 1.511628541
Code:600287 20140331 -0.12117 止损 1.328464511
Code:600288 20140311 0.01083 收盘价 1.342851782
Code:000948 20140224 0.10873 收盘价 1.488860056
Code:600270 20140317 0.15781 收盘价 1.723817061
Code:601126 20140109 0.13458 收盘价 1.955808361
Code:000572 20140325 0.05071 收盘价 2.054987403
Code:001896 20140313 -0.10938 止损 1.830212881
Code:000567 20140307 0.03935 收盘价 1.902231758
Code:000566 20140314 -0.10841 止损 1.696010813
Code:000571 20140326 -0.06768 收盘价 1.581224801
Code:000596 20140102 0.05711 收盘价 1.67152855
Code:000585 20140327 -0.05218 收盘价 1.58430819
Code:000584 20140116 0.18733 收盘价 1.881096643
Code:000593 20140325 -0.10469 止损 1.684164636
Code:000590 20140113 0.31258 收盘价 2.210600818
Code:000532 20140313 -0.10703 收盘价 1.974000212
Code:000537 20140408 -0.16453 止损 1.649217957
Code:002714 20140509 0.00517 收盘价 1.657744414
Code:002700 20140521 0.17103 收盘价 1.941268441
Code:000551 20140313 -0.11279 止损 1.722312774
Code:200613 20140317 -0.03316 收盘价 1.665200882
Code:002362 20140221 0.21553 收盘价 2.024101628
Code:601992 20140523 -0.04986 收盘价 1.923179921
Code:600647 20140314 -0.07832 收盘价 1.77255647
Code:300009 20140120 0.02312 收盘价 1.813537975
Code:002350 20140304 -0.10559 止损 1.6220465
Code:600650 20140305 -0.02302 收盘价 1.58470699
Code:600651 20140210 0.04967 收盘价 1.663419386
Code:300013 20140212 -0.10247 止损 1.492968802
Code:600653 20140307 0.14544 收盘价 1.710106184
Code:600654 20140428 -0.01039 收盘价 1.692338181
Code:900933 20140429 -0.02335 收盘价 1.652822084
Code:600633 20140306 -0.12372 止损 1.448334936
Code:600636 20140311 -0.11411 止损 1.283065437
Code:002383 20140527 0.0826 收盘价 1.389046642
Code:002384 20140219 -0.14382 止损 1.189273954
Code:900923 20140508 -0.11108 止损 1.057169403
Code:002369 20140102 0.35394 收盘价 1.431343941
Code:600623 20140312 0.05911 收盘价 1.515950682
Code:600612 20140305 -0.11242 止损 1.345527506
Code:600615 20140411 -0.14118 止损 1.155565933
Code:600618 20140312 0.03736 收盘价 1.198737876
Code:002319 20140312 -0.05835 收盘价 1.128791521
Code:600620 20140214 -0.10243 止损 1.013169405
Code:002303 20140207 -0.12739 止损 0.884101755
Code:600601 20140320 0.04122 收盘价 0.920544429
Code:600604 20140331 0.24034 收盘价 1.141788077
Code:002301 20140224 -0.10194 止损 1.025394201
Code:002302 20140508 0.00047 收盘价 1.025876136
Code:600608 20140226 0.02451 收盘价 1.05102036
Code:002307 20140401 0.05236 收盘价 1.106051786
Code:002309 20140319 -0.1465 止损 0.944015199
Code:002338 20140403 -0.14088 止损 0.811022338
Code:000155 20140310 0.19095 收盘价 0.965887054
Code:002339 20140220 -0.10272 止损 0.866671135
Code:000158 20140217 -0.03805 收盘价 0.833694299
Code:002325 20140219 -0.12956 止损 0.725680865
Code:002322 20140108 -0.13648 止损 0.626639941
Code:002329 20140303 -0.09929 收盘价 0.564420861
Code:600265 20140320 0.08213 收盘价 0.610776747
Code:600266 20140512 -0.05928 收盘价 0.574569901
Code:600258 20140106 -0.10486 止损 0.514320501
Code:600237 20140123 0.1376 收盘价 0.585091002
Code:600240 20140320 0.0517 收盘价 0.615340207
Code:600246 20140429 -0.04453 收盘价 0.587939108
Code:600230 20140325 -0.1206 止损 0.517033651
Code:600233 20140318 -0.10269 止损 0.463939466
Code:600217 20140508 -0.1028 止损 0.416246488
Code:002388 20140327 0.06353 收盘价 0.442690628
Code:002395 20140213 0.00039 收盘价 0.442863277
Code:600695 20140306 -0.10655 止损 0.395676195
Code:002391 20140110 0.07409 收盘价 0.424991844
Code:600698 20140310 0.10433 收盘价 0.469331243
Code:600683 20140321 0.04797 收盘价 0.491845063
Code:600687 20140307 -0.04325 收盘价 0.470572764
Code:600671 20140408 -0.00441 收盘价 0.468497538
Code:000851 20140221 -0.10693 止损 0.418401097
Code:000856 20140106 -0.01631 收盘价 0.411576975
Code:000859 20140328 0.0621 收盘价 0.437135905
Code:000877 20140506 0.0239 收盘价 0.447583453
Code:000861 20140102 -0.10493 止损 0.400618521
Code:000863 20140512 -0.07587 收盘价 0.370223594
Code:000862 20140313 0.01691 收盘价 0.376484075
Code:000868 20140318 0.29196 收盘价 0.486402365
Code:600191 20140319 0.01736 收盘价 0.494846311
Code:000810 20140219 -0.10781 止损 0.44149693
Code:000816 20140417 -0.11814 止损 0.389338483
Code:000815 20140522 0.01079 收盘价 0.393539445
Code:600180 20140228 -0.10232 止损 0.353272489
Code:000819 20140103 0.16106 收盘价 0.410170556
Code:600184 20140523 -0.11892 止损 0.361393073
Code:000803 20140408 0.00909 收盘价 0.364678136
Code:000801 20140121 0.25656 收盘价 0.458239959
Code:000807 20140409 -0.10196 止损 0.411517813
Code:000806 20140326 -0.05755 收盘价 0.387834963
Code:600175 20140217 0.1295 收盘价 0.43805959
Code:600179 20140417 -0.12398 止损 0.383748962
Code:000835 20140218 0.04828 收盘价 0.402276362
Code:000833 20140312 0.27052 收盘价 0.511100164
Code:000839 20140313 0.01802 收盘价 0.520310189
Code:600162 20140324 -0.10826 止损 0.463981408
Code:600163 20140410 -0.04975 收盘价 0.440898333
Code:601011 20140515 0.1276 收盘价 0.49715696
Code:600165 20140110 -0.16048 止损 0.417373211
Code:600149 20140307 0.83858 收盘价 0.767374038
Code:000829 20140303 -0.14487 止损 0.656204561
Code:000828 20140324 -0.01596 收盘价 0.645731536
Code:600158 20140319 0.24243 收盘价 0.802276233
Code:600159 20140313 0.17405 收盘价 0.941912411
Code:002636 20140102 -0.11511 止损 0.833488874
Code:002632 20140110 0.14618 收盘价 0.955328277
Code:002638 20140107 0.08465 收盘价 1.036196816
Code:300080 20140320 -0.1119 止损 0.920246392
Code:300083 20140123 -0.10026 止损 0.827982489
Code:300088 20140226 -0.11411 止损 0.733501407
Code:002623 20140221 -0.12073 止损 0.644945782
Code:300097 20140107 0.81126 收盘价 1.168164497
Code:002655 20140108 0.22538 收盘价 1.431445412
Code:300058 20140122 -0.10977 止损 1.274315649
Code:002657 20140217 -0.11646 止损 1.125908848
Code:002660 20140114 0.19897 收盘价 1.349930932
Code:300068 20140106 0.28707 收盘价 1.737455605
Code:002649 20140107 0.10561 收盘价 1.920948291
Code:300074 20140306 -0.13129 止损 1.66874699
Code:300075 20140123 -0.10776 止损 1.488922814
Code:300072 20140313 -0.00887 收盘价 1.475716069
Code:300073 20140207 0.30943 收盘价 1.932346892
Code:300079 20140225 -0.10291 止损 1.733489073
Code:300038 20140213 -0.10704 止损 1.547936403
Code:000892 20140404 0.48738 收盘价 2.302369647
Code:000411 20140318 0.00684 收盘价 2.318117855
Code:300048 20140106 0.10325 收盘价 2.557463524
Code:000403 20140127 -0.0011 收盘价 2.554650314
Code:000401 20140325 -0.10405 止损 2.288838949
Code:000400 20140306 -0.12261 止损 2.008204405
Code:000408 20140212 -0.12747 止损 1.75221859
Code:300053 20140226 -0.10328 止损 1.571249454
Code:300050 20140219 -0.14541 止损 1.342774071
Code:300051 20140311 -0.03478 收盘价 1.296072389
Code:300057 20140307 -0.10655 止损 1.157975876
Code:300055 20140212 -0.12387 止损 1.014537404
Code:300015 20140124 -0.10101 止损 0.912058981
Code:002619 20140217 0.86134 收盘价 1.697651863
Code:300020 20140103 0.25952 收盘价 2.138226475
Code:300024 20140103 0.17974 收盘价 2.522551301
Code:300022 20140109 -0.10147 止损 2.266588021
Code:000420 20140319 0.0482 收盘价 2.375837563
Code:300026 20140127 -0.037 收盘价 2.287931574
Code:300029 20140102 0.07151 收盘价 2.45154156
Code:000429 20140224 -0.0434 收盘价 2.345144657
Code:002608 20140103 -0.11197 止损 2.082558809
Code:002609 20140102 0.61788 收盘价 3.369330247
Code:002606 20140130 -0.02985 收盘价 3.268755739
Code:300034 20140402 -0.01474 收盘价 3.220574279
Code:300035 20140113 0.27563 收盘价 4.108261168
Code:300032 20140218 -0.12265 止损 3.604382936
Code:300033 20140515 0.04443 收盘价 3.764525669
Code:300115 20140130 -0.10588 止损 3.365937692
Code:002237 20140304 -0.10962 止损 2.996963602
Code:600537 20140314 -0.1041 止损 2.684979691
Code:600538 20140213 -0.11121 止损 2.386383099
Code:002235 20140225 -0.11657 止损 2.108202422
Code:300118 20140318 0.04375 收盘价 2.200436277
Code:601872 20140410 -0.02681 收盘价 2.141442581
Code:000062 20140321 0.0675 收盘价 2.285989955
Code:000050 20140224 -0.10446 止损 2.047195444
Code:002232 20140102 0.08652 收盘价 2.224318794
Code:300133 20140123 -0.11045 止损 1.978642783
Code:600532 20140326 -0.11425 止损 1.752582845
Code:000078 20140225 0.08142 收盘价 1.895278141
Code:600515 20140226 0.13713 收盘价 2.155177632
Code:600516 20140317 -0.02514 收盘价 2.100996466
Code:600517 20140107 0.12916 收盘价 2.37236117
Code:002263 20140217 -0.06719 收盘价 2.212962223
Code:002260 20140219 -0.10963 止损 1.970355174
Code:300102 20140113 0.38935 收盘价 2.737512962
Code:600987 20140324 -0.02573 收盘价 2.667076753
Code:600988 20140314 0.08744 收盘价 2.900285944
Code:600990 20140103 0.08565 收盘价 3.148695436
Code:002254 20140324 0.03483 收盘价 3.258364498
Code:300111 20140217 -0.1338 止损 2.822395328
Code:300110 20140114 -0.10623 止损 2.522572272
Code:002678 20140124 0.2065 收盘价 3.043483446
Code:002681 20140508 -0.1147 止损 2.694395895
Code:600980 20140310 0.17146 收盘价 3.156377015
Code:002683 20140102 -0.10349 止损 2.829723558
Code:600981 20140319 0.02926 收盘价 2.912521269
Code:002666 20140107 0.05614 收盘价 3.076030213
Code:000006 20140402 -0.11213 止损 2.731114945
Code:002665 20140403 -0.11471 止损 2.41782875
Code:000004 20140213 -0.04618 收盘价 2.306173418
Code:000008 20140317 -0.0421 收盘价 2.209083517
Code:002671 20140123 -0.03805 收盘价 2.12502789
Code:002215 20140530 0.00373 收盘价 2.132954244
Code:000035 20140305 -0.02534 收盘价 2.078905183
Code:601801 20140306 -0.11394 止损 1.842034727
Code:000033 20140306 -0.12205 止损 1.617214388
Code:002218 20140211 0.08023 收盘价 1.746963499
Code:002211 20140325 0.12516 收盘价 1.96561345
Code:002697 20140314 0.02928 收盘价 2.023166612
Code:002221 20140324 -0.01981 收盘价 1.983087681
Code:600961 20140328 -0.08952 收盘价 1.805561672
Code:600962 20140317 -0.00925 收盘价 1.788860227
Code:000024 20140527 -0.11628 止损 1.580851559
Code:002207 20140226 0.00553 收盘价 1.589593669
Code:002684 20140401 0.16058 收盘价 1.84485062
Code:002201 20140228 -0.02377 收盘价 1.800998521
Code:000032 20140318 0.02253 收盘价 1.841575017
Code:600138 20140213 -0.04945 收盘价 1.750509133
Code:600145 20140303 -0.12617 止损 1.529647395
Code:600146 20140507 -0.11239 止损 1.357730325
Code:600148 20140324 0.03258 收盘价 1.401965179
Code:600128 20140303 -0.05973 收盘价 1.318225799
Code:600136 20140214 -0.03875 收盘价 1.267144549
Code:000912 20140217 0.04602 收盘价 1.325458541
Code:000911 20140228 0.07526 收盘价 1.425212551
Code:600106 20140305 -0.00829 收盘价 1.413397539
Code:600592 20140519 0.03311 收盘价 1.460195131
Code:600594 20140102 0.13973 收盘价 1.664228197
Code:600595 20140325 -0.05945 收盘价 1.565289831
Code:600112 20140408 -0.01379 收盘价 1.543704484
Code:600578 20140307 -0.11586 止损 1.364850882
Code:002285 20140226 0.11152 收盘价 1.517059053
Code:600584 20140109 -0.10262 止损 1.361378453
Code:002282 20140410 -0.10493 止损 1.218529012
Code:600568 20140127 -0.05125 收盘价 1.1560794
Code:000090 20140325 0.08634 收盘价 1.255895295
Code:600576 20140314 0.50696 收盘价 1.892583974
Code:600556 20140310 1.03404 收盘价 3.849591507
Code:600559 20140116 -0.11666 止损 3.400498161
Code:002299 20140430 -0.01653 收盘价 3.344287927
Code:600560 20140102 0.13749 收盘价 3.804094074
Code:600562 20140102 -0.10357 止损 3.410104051
Code:600565 20140318 -0.06069 收盘价 3.203144836
Code:600545 20140401 0.15168 收盘价 3.688997845
Code:601877 20140306 -0.11144 止损 3.277895925
Code:600549 20140520 0.02078 收盘价 3.346010602
Code:002288 20140226 0.01563 收盘价 3.398308748
Code:002297 20140326 -0.1031 止损 3.047943116
Code:600552 20140103 0.10534 收盘价 3.369013444
Code:600555 20140327 -0.11411 止损 2.98457532
Code:000732 20140325 -0.11659 止损 2.636603683
Code:000736 20140402 -0.11283 止损 2.33911569
Code:000738 20140106 0.15038 收盘价 2.690871907
Code:000720 20140324 -0.027 收盘价 2.618218365
Code:600098 20140220 -0.05512 收盘价 2.473902169
Code:000750 20140108 -0.01012 收盘价 2.448866279
Code:000755 20140320 -0.1084 止损 2.183409175
Code:000753 20140321 0.00398 收盘价 2.192099143
Code:600082 20140325 -0.10056 止损 1.971661653
Code:600084 20140325 -0.0655 收盘价 1.842517815
Code:600069 20140513 -0.10826 止损 1.643046836
Code:600053 20140522 0.04889 收盘价 1.723375396
Code:000719 20140317 0.01493 收盘价 1.749105391
Code:000716 20140304 0.03129 收盘价 1.803834898
Code:603555 20140218 -0.14299 止损 1.545904546
Code:600037 20140318 0.05746 收盘价 1.634732222
Code:600038 20140102 -0.01255 收盘价 1.614216332
Code:002512 20140214 -0.03483 收盘价 1.557993177
Code:002513 20140106 -0.10538 止损 1.393811856
Code:002500 20140102 -0.02343 收盘价 1.361154845
Code:002540 20140320 0.09293 收盘价 1.487646964
Code:300188 20140108 0.197 收盘价 1.780713416
Code:002529 20140306 -0.10815 止损 1.58812926
Code:300190 20140526 0.07343 收盘价 1.704745592
Code:300198 20140124 -0.05658 收盘价 1.608291086
Code:300157 20140317 -0.10587 止损 1.438021309
Code:300168 20140219 0.06 收盘价 1.524302587
Code:000766 20140318 -0.01191 收盘价 1.506148144
Code:300170 20140210 0.00604 收盘价 1.515245278
Code:603167 20140303 -0.10343 止损 1.358523459
Code:300172 20140225 -0.10627 止损 1.214153171
Code:300137 20140225 -0.01495 收盘价 1.196001581
Code:300136 20140127 -0.10718 止损 1.067814132
Code:300139 20140527 0.08615 收盘价 1.159806319
Code:300141 20140107 -0.10221 止损 1.041262515
Code:300144 20140123 0.14321 收盘价 1.19038172
Code:300145 20140109 0.02012 收盘价 1.2143322
Code:300142 20140122 0.33574 收盘价 1.622032093
Code:300148 20140304 -0.10775 止损 1.447258135
Code:300147 20140116 0.34468 收盘价 1.946099069
Code:300150 20140121 0.05292 收盘价 2.049086632
Code:300235 20140214 0.18336 收盘价 2.424807157
Code:600418 20140303 0.02799 收盘价 2.492677509
Code:002597 20140102 -0.10054 止损 2.242063713
Code:300240 20140108 0.10842 收盘价 2.48514826
Code:600421 20140303 -0.11292 止损 2.204525319
Code:600422 20140211 0.02806 收盘价 2.266384299
Code:300241 20140103 -0.11533 止损 2.005002198
Code:002105 20140326 -0.10091 止损 1.802677426
Code:002106 20140227 -0.10089 止损 1.620805301
Code:002107 20140218 -0.10235 止损 1.454915878
Code:002108 20140226 0.28271 收盘价 1.866235146
Code:300246 20140210 -0.1113 止损 1.658523174
Code:002102 20140312 0.14118 收盘价 1.892673476
Code:002104 20140102 0.16636 收盘价 2.207538636
Code:600891 20140410 -0.11779 止损 1.94751266
Code:600892 20140313 0.0269 收盘价 1.99990075
Code:300255 20140123 -0.138 止损 1.723914447
Code:600875 20140402 -0.07748 收盘价 1.590345555
Code:002136 20140317 -0.1132 止损 1.410318438
Code:600880 20140307 -0.12403 止损 1.235396643
Code:300221 20140217 -0.10535 止损 1.105247606
Code:600882 20140512 -0.1174 止损 0.975491537
Code:600885 20140109 0.2438 收盘价 1.213316374
Code:600401 20140306 -0.12326 止损 1.063762998
Code:002128 20140512 -0.12639 止损 0.929313993
Code:300229 20140527 0.00986 收盘价 0.938477028
Code:600869 20140331 -0.00428 收盘价 0.934460347
Code:300227 20140307 -0.10294 止损 0.838266999
Code:600874 20140318 -0.10958 止损 0.746409701
Code:600854 20140219 0.02501 收盘价 0.765077408
Code:300203 20140221 -0.12162 止损 0.672028693
Code:002547 20140108 0.11487 收盘价 0.749224629
Code:600845 20140221 -0.12946 止损 0.652230009
Code:001696 20140324 0.10205 收盘价 0.718790081
Code:300206 20140210 -0.04692 收盘价 0.685064451
Code:600850 20140318 0.14745 收盘价 0.786077204
Code:002579 20140424 -0.10498 止损 0.703554819
Code:600833 20140305 -0.00412 收盘价 0.700656173
Code:600834 20140310 0.06095 收盘价 0.743361167
Code:002581 20140213 -0.02352 收盘价 0.725877312
Code:002583 20140117 0.2216 收盘价 0.886731725
Code:600820 20140305 0.114 收盘价 0.987819141
Code:600822 20140325 -0.08545 收盘价 0.903409996
Code:600823 20140429 -0.05154 收盘价 0.856848244
Code:600825 20140327 -0.10815 止损 0.764180107
Code:002564 20140212 -0.01449 收盘价 0.753107137
Code:600480 20140317 0.24735 收盘价 0.939388187
Code:600482 20140312 0.0922 收盘价 1.025999778
Code:600483 20140409 -0.10764 止损 0.915561162
Code:600468 20140227 -0.03435 收盘价 0.884111636
Code:002156 20140110 0.39523 收盘价 1.233539078
Code:002157 20140528 0.00393 收盘价 1.238386887
Code:600460 20140115 0.26901 收盘价 1.571525343
Code:600463 20140228 -0.11076 止损 1.397463196
Code:601311 20140312 0.00135 收盘价 1.399349771
Code:601798 20140311 0.02478 收盘价 1.434025659
Code:002162 20140310 -0.003 收盘价 1.429723582
Code:002146 20140418 -0.128 止损 1.246718963
Code:002147 20140225 0.08178 收盘价 1.34867564
Code:002155 20140304 -0.104 止损 1.208413374
Code:600455 20140324 -0.1062 止损 1.080079873
Code:002183 20140225 -0.10734 止损 0.9641441
Code:600425 20140331 0.1377 收盘价 1.096906742
Code:002168 20140312 -0.1084 止损 0.978002051
Code:002175 20140318 -0.0228 收盘价 0.955703605
Code:002171 20140402 -0.03946 收盘价 0.91799154
Code:000611 20140318 0.11189 收盘价 1.020705614
Code:000616 20140324 -0.10641 止损 0.912092329
Code:000615 20140307 0.0552 收盘价 0.962439826
Code:000613 20140318 -0.00491 收盘价 0.957714247
Code:603001 20140314 -0.02918 收盘价 0.929768145
Code:603002 20140314 0.05832 收盘价 0.983992223
Code:000630 20140513 -0.05264 收盘价 0.932194872
Code:000633 20140530 -0.01633 收盘价 0.91697213
Code:000637 20140312 -0.02001 收盘价 0.898623518
Code:000636 20140210 0.02756 收盘价 0.923389582
Code:000627 20140304 -0.1019 止损 0.829296184
Code:600395 20140519 -0.03923 收盘价 0.796762894
Code:600397 20140512 -0.1068 止损 0.711668617
Code:600399 20140227 -0.03526 收盘价 0.686575182
Code:000695 20140221 0.45111 收盘价 0.996296112
Code:600810 20140110 0.04595 收盘价 1.042075918
Code:000693 20140226 -0.1272 止损 0.909523861
Code:600812 20140102 -0.11432 止损 0.805547094
Code:600816 20140512 -0.03216 收盘价 0.779640699
Code:600818 20140313 0.32869 收盘价 1.0359008
Code:600800 20140311 0.05928 收盘价 1.097309
Code:000686 20140130 -0.10627 止损 0.980697973
Code:000692 20140528 -0.10445 止损 0.878264069
Code:002405 20140123 0.09711 收盘价 0.963552293
Code:002400 20140226 -0.10344 止损 0.863882444
Code:002401 20140224 -0.10523 止损 0.772976094
Code:002407 20140106 0.14545 收盘价 0.885405467
Code:300279 20140113 0.44377 收盘价 1.278321851
Code:000656 20140320 -0.05346 收盘价 1.209982765
Code:300285 20140102 -0.0197 收盘价 1.186146105
Code:300290 20140123 -0.18369 止损 0.968262927
Code:300291 20140523 0.12577 收盘价 1.090041355
Code:300293 20140116 -0.04749 收盘价 1.038275291
Code:300296 20140212 -0.13577 止损 0.897308655
Code:000673 20140211 -0.11366 止损 0.795320553
Code:000672 20140317 0.02819 收盘价 0.81774064
Code:300256 20140321 -0.16824 止损 0.680163954
Code:000671 20140527 -0.10714 止损 0.607291188
Code:000678 20140305 -0.10078 止损 0.546088382
Code:300264 20140113 0.47874 收盘价 0.807522734
Code:000661 20140103 0.00021 收盘价 0.807692314
Code:000666 20140410 -0.12888 止损 0.703596929
Code:000665 20140314 0.05453 收盘价 0.741964069
Code:000669 20140217 -0.11342 止损 0.657810505
Code:300272 20140214 -0.00715 收盘价 0.653107159
Code:300276 20140526 0.26782 收盘价 0.828022319
Code:600776 20140103 -0.10984 止损 0.737072347
Code:300356 20140102 -0.12254 止损 0.646751502
Code:300360 20140217 -0.10011 止损 0.582005209
Code:002484 20140107 0.3166 收盘价 0.766268058
Code:002001 20140509 -0.02205 收盘价 0.749371848
Code:300365 20140218 -0.13807 止损 0.645906077
Code:600301 20140410 -0.10988 止损 0.574933917
Code:002481 20140102 0.04524 收盘价 0.600943927
Code:600766 20140116 -0.10063 止损 0.54047094
Code:600768 20140225 -0.01633 收盘价 0.531645049
Code:600769 20140325 -0.11373 止损 0.471181058
Code:300371 20140218 -0.11753 止损 0.415803148
Code:002474 20140114 0.21922 收盘价 0.506955514
Code:002018 20140107 0.08264 收盘价 0.548850318
Code:300333 20140107 0.17473 收盘价 0.644750934
Code:600757 20140311 0.05383 收盘价 0.679457877
Code:300334 20140304 -0.11733 止损 0.599737084
Code:002013 20140107 0.11289 收盘价 0.667441404
Code:002497 20140306 -0.10457 止损 0.597647056
Code:300337 20140305 -0.02584 收盘价 0.582203856
Code:600763 20140129 0.28279 收盘价 0.746845285
Code:300340 20140108 0.12339 收盘价 0.838998524
Code:600764 20140325 -0.10443 止损 0.751381908
Code:600743 20140321 0.18162 收盘价 0.887847891
Code:300346 20140103 0.03019 收盘价 0.914652018
Code:600746 20140122 -0.05889 收盘价 0.860788161
Code:300345 20140523 0.0092 收盘价 0.868707412
Code:600749 20140311 0.11578 收盘价 0.969286356
Code:300348 20140528 0.26107 收盘价 1.222337945
Code:300349 20140123 -0.03333 收盘价 1.181597422
Code:002005 20140108 -0.03441 收盘价 1.140938654
Code:002489 20140108 0.14997 收盘价 1.312045224
Code:002491 20140102 -0.12061 止损 1.15379945
Code:300352 20140108 0.28924 收盘价 1.487524403
Code:600753 20140318 0.0913 收盘价 1.623335381
Code:600732 20140516 0.11363 收盘价 1.80779498
Code:300314 20140225 -0.14619 止损 1.543513432
Code:300311 20140107 0.19193 收盘价 1.839759965
Code:600735 20140313 -0.11027 止损 1.636889634
Code:002433 20140312 0.06118 收盘价 1.737034541
Code:300316 20140305 0.1865 收盘价 2.060991483
Code:002426 20140124 0.02085 收盘价 2.103963156
Code:002428 20140116 -0.02154 收盘价 2.058643789
Code:300331 20140529 0.06023 收盘价 2.182635905
Code:002458 20140414 0.11376 收盘价 2.430932565
Code:002459 20140324 0.30221 收盘价 3.165584696
Code:600717 20140324 -0.07697 收盘价 2.921929642
Code:600718 20140227 -0.10356 止损 2.619334608
Code:002460 20140117 0.16305 收盘价 3.046417116
Code:002462 20140321 0.11345 收盘价 3.392033138
Code:300303 20140224 -0.10378 止损 3.040007939
Code:300301 20140102 0.01918 收盘价 3.098315291
Code:002444 20140102 0.25668 收盘价 3.89359086
Code:300310 20140102 0.19044 收盘价 4.635086303
Code:600380 20140319 0.03851 收盘价 4.813583477
Code:600386 20140310 0.07036 收盘价 5.15226721
Code:002068 20140314 0.03663 收盘价 5.340994758
Code:002069 20140526 0.07038 收盘价 5.716893969
Code:200596 20140102 -0.03954 收盘价 5.490847982
Code:600371 20140310 0.35614 收盘价 7.446358582
Code:600373 20140219 -0.10472 止损 6.666575911
Code:002071 20140127 -0.1428 止损 5.714588871
Code:002072 20140421 -0.1099 止损 5.086555554
Code:002074 20140303 0.08357 收盘价 5.511639002
Code:600361 20140320 0.02948 收盘价 5.67412212
Code:600366 20140317 0.05788 收盘价 6.002540308
Code:002098 20140109 0.06973 收盘价 6.421097444
Code:600352 20140102 -0.11144 止损 5.705530345
Code:600355 20140227 0.01135 收盘价 5.770288114
Code:002035 20140305 -0.10586 止损 5.159445414
Code:002038 20140115 -0.10318 止损 4.627093836
Code:002043 20140310 0.01005 收盘价 4.67359613
Code:002045 20140314 -0.10076 止损 4.202684583
Code:002041 20140523 -0.14324 止损 3.600692044
Code:002028 20140106 0.13611 收盘价 4.090782238
Code:002029 20140313 0.00198 收盘价 4.098881987
Code:600327 20140314 -0.00856 收盘价 4.063795557
Code:002027 20140311 -0.12603 止损 3.551635403
Code:002030 20140513 0.12385 收盘价 3.991505447
Code:600335 20140321 -0.11242 止损 3.542780405
Code:600316 20140129 -0.10626 止损 3.166324559
Code:600319 20140313 0.04736 收盘价 3.31628169
Code:600322 20140324 -0.05637 收盘价 3.129342891
Code:002061 20140103 -0.1075 止损 2.792938531
Code:002063 20140213 0.00356 收盘价 2.802881392
Code:600789 20140219 -0.11121 止损 2.491172952
Code:002048 20140122 0.1744 收盘价 2.925633515
Code:002053 20140311 0.00572 收盘价 2.942368139
Code:002056 20140312 0.01874 收盘价 2.997508118
Code:600312 20140107 0.1104 收盘价 3.328433014
Code:600797 20140304 -0.12663 止损 2.906953541
测试日期改为： 2015年1月1日 到 2015年4月1日
则测试数据如下：
代码 买入日期 20日后以收盘价卖出 卖出类型（止损日的收盘价卖出） 资产
Code:000970 20150226 0.00452 收盘价 1.00452
Code:000960 20150108 0.00203 收盘价 1.006559176
Code:000511 20150114 -0.06345 收盘价 0.942692996
Code:000922 20150128 -0.10891 止损 0.840024302
Code:000955 20150304 0.2157 收盘价 1.021217544
Code:600281 20150217 0.05402 收盘价 1.076383715
Code:000948 20150217 0.33328 收盘价 1.43512088
Code:600273 20150123 0.22103 收盘价 1.752325648
Code:002712 20150202 0.13412 收盘价 1.987347564
Code:002713 20150202 0.04742 收盘价 2.081587585
Code:002709 20150227 -0.11067 止损 1.851218287
Code:000529 20150306 0.29001 收盘价 2.388090103
Code:300383 20150303 0.88644 收盘价 4.504988694
Code:002362 20150304 0.57759 收盘价 7.107025113
Code:600661 20150216 0.766 收盘价 12.55100635
Code:601996 20150226 0.1212 收盘价 14.07218832
Code:002347 20150226 0.18096 收盘价 16.61869152
Code:002352 20150303 0.1119 收盘价 18.4783231
Code:300012 20150304 0.11124 收盘价 20.53385176
Code:300010 20150129 0.17833 收盘价 24.19565354
Code:600633 20150121 0.0037 收盘价 24.28517746
Code:002381 20150227 0.23199 收盘价 29.91909578
Code:002369 20150306 0.2883 收盘价 38.5447711
Code:002375 20150225 0.30704 收盘价 50.37955761
Code:002370 20150305 0.25893 收盘价 63.42433647
Code:002371 20150216 0.00218 收盘价 63.56260152
Code:600615 20150213 0.32734 收盘价 84.3691835
Code:600604 20150130 0.29408 收盘价 109.180473
Code:000155 20150304 0.17718 收盘价 128.5250692
Code:002332 20150122 -0.10699 止损 114.774172
Code:600261 20150305 0.27063 收盘价 145.8355062
Code:601599 20150212 0.35214 收盘价 197.1900214
Code:600233 20150305 0.46502 收盘价 288.8873251
Code:600699 20150304 0.26609 收盘价 365.7573535
Code:600222 20150306 0.35836 收盘价 496.8301586
Code:002389 20150303 0.14212 收盘价 567.4396608
Code:600692 20150302 0.09232 收盘价 619.8256903
Code:600696 20150213 0.20825 收盘价 748.9043903
Code:600671 20150306 0.15033 收盘价 861.4871873
Code:000851 20150227 0.31958 收盘价 1136.801263
Code:000810 20150211 0.69671 收盘价 1928.82207
Code:000818 20150305 0.24386 收盘价 2399.18462
Code:000815 20150303 0.4143 收盘价 3393.166808
Code:600187 20150123 0.02569 收盘价 3480.337264
Code:000802 20150304 0.22871 收盘价 4276.325199
Code:000801 20150306 0.38916 收盘价 5940.499914
Code:600178 20150217 0.23634 收盘价 7344.477663
Code:000833 20150306 0.1925 收盘价 8758.289614
Code:000821 20150121 0.06546 收盘价 9331.607252
Code:600151 20150212 0.21804 收盘价 11366.2709
Code:600152 20150306 0.22694 收盘价 13945.73241
Code:002635 20150303 0.09089 收盘价 15213.26003
Code:002636 20150306 0.5091 收盘价 22958.33072
Code:002632 20150226 0.43923 收盘价 33042.31832
Code:300083 20150209 0.35074 收盘价 44631.58104
Code:002623 20150306 0.25256 收盘价 55903.73315
Code:002627 20150304 0.18511 收盘价 66252.0732
Code:300092 20150227 0.60121 收盘价 106083.4821
Code:300093 20150303 0.31979 收盘价 140007.9189
Code:002655 20150306 0.19088 收盘价 166732.6304
Code:300058 20150227 0.31428 收盘价 219133.3615
Code:002653 20150225 0.16777 收盘价 255897.3656
Code:002654 20150302 0.22104 收盘价 312460.9193
Code:300066 20150302 0.27274 收盘价 397681.5104
Code:002642 20150127 0.42877 收盘价 568195.4116
Code:002649 20150128 0.1275 收盘价 640640.3266
Code:300079 20150204 0.06716 收盘价 683665.7309
Code:300077 20150121 0.13221 收盘价 774053.1772
Code:300036 20150128 0.28242 收盘价 992661.2755
Code:300037 20150216 -0.11202 止损 881463.3594
Code:000895 20150204 0.00354 收盘价 884583.7397
Code:300041 20150225 0.51714 收盘价 1342037.375
Code:300042 20150304 0.28845 收盘价 1729148.056
Code:300043 20150227 0.49725 收盘价 2588966.926
Code:300049 20150302 0.30682 收盘价 3383313.759
Code:300047 20150305 0.28686 收盘价 4353851.143
Code:000880 20150227 0.16593 收盘价 5076285.664
Code:300050 20150303 0.40026 收盘价 7108119.763
Code:300057 20150303 0.15362 收盘价 8200069.121
Code:300017 20150108 0.18437 收盘价 9711915.865
Code:002614 20150306 0.33604 收盘价 12975508.07
Code:002610 20150302 0.39046 收盘价 18041924.95
Code:300019 20150302 0.22528 收盘价 22106409.81
Code:002619 20150302 0.39427 收盘价 30822304
Code:002618 20150227 0.15108 收盘价 35478937.69
Code:002601 20150211 0.14346 收盘价 40568746.09
Code:002603 20150305 0.17734 收盘价 47763207.53
Code:300029 20150216 0.43984 收盘价 68771376.72
Code:300031 20150212 0.25326 收盘价 86188415.59
Code:300034 20150112 -0.04795 收盘价 82055681.07
Code:002236 20150226 0.19657 收盘价 98185366.29
Code:000062 20150116 0.35359 收盘价 132902730
Code:300124 20150105 0.10183 收盘价 146436215
Code:000049 20150302 0.05012 收盘价 153775598
Code:002224 20150213 0.1599 收盘价 178364316.2
Code:300128 20150225 0.11999 收盘价 199766250.5
Code:000048 20150204 0.26108 收盘价 251921223.1
Code:002232 20150216 0.31215 收盘价 330558432.9
Code:300133 20150303 0.21854 收盘价 402798672.9
Code:600513 20150303 0.19788 收盘价 482504474.3
Code:002260 20150305 0.09626 收盘价 528950355
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金融分析师 发表于 2015-4-5 11:21 static/image/common/back.gif
什么算法?
自己根据 8DA的 利文斯顿 的股票瞎琢磨的规则
买入原则： 当前股票突破60日内的前期高点，当日收盘价买入，20日后收盘价卖出，-10%止损位
非常简单的规则，但是，貌似能做到平均不亏损
如果把资金拆分成5份，貌似收益会更稳定，也更高一点
下一步需要做的，就是从每年500多次买卖中，选出50次即可，然后资金拆分成4-5分，每份资金买卖10次/年
。另外，还需要根据不同时期的股市表现，动态调整参数。
至少当前这么简单的规则能做到不亏损，很不容易了
本帖最后由 重新做人 于 2015-4-5 11:45 编辑
如果不设置止损，直接20日后以收盘价卖出，手续费设置为 千分之二 （貌似手续费影响很大，千分之一就相差很多倍）
2014-01-01 到 2014-6-1 之间 509次交易，资产达到了 6095.0023463555235 倍，开509次方，每次盈利 1.7%
如果手续费设置为 千分之三，则资产可达到 3678.8553837252352 倍（初始资产1元），每次盈利 1.6%
金融分析师 发表于 2015-4-5 11:54 static/image/common/back.gif
根据什么从500次交易里选出50次?
都还是假设啊
关键是要有足够好的人工经验，然后设计一个精细的买卖模型
再根据历史数据和近期数据，优化模型参数，辅助选股
如果能在509次交易（每只股票只操作一次，共509只股票）中挑选出10个比较靠谱的股票，收益就不得了了啊
资金分成3-5份，每次交易获利5-10%，就非常可观了
目前，509只股票的平均收益是 1%左右（不是利滚利的收益率） 牛市怎么搞都行 熊市要吃屎
金融分析师 发表于 2015-4-5 12:13 static/image/common/back.gif
我看了一下
2014.1.1-2014.6.1突破60日内高点的股票,未来20个交易日都是亏损的阿
不会吧，参考1楼的详细模拟交易记录
在买入日买入，20日后卖出，看收益是不是对的？
金融分析师 发表于 2015-4-5 12:13 static/image/common/back.gif
我看了一下
2014.1.1-2014.6.1突破60日内高点的股票,未来20个交易日都是亏损的阿
因为我实际的选股策略，要比这个要复杂一些，主要思想是突破前期的高点，具体细节不方便透漏，可以参考 李文斯顿 的几只股票琢磨一下
这个方法只是一个初步的想法，至少证明这个思路是基本可行的，以前的方法都是亏个精光啊
等下我把最近几年的都测试一下 2013-01-01 - 2013-06-01 交易 1288 次， 资产： 1.0821867494348462E12 超级盈利
2013-06-01 - 2013-12-31 交易783次，资产：0.13964028152857869 亏损
修改一个参数为30日卖出，无止损，资产： 9742559.374783967 盈利
2012-06-01 - 2012-12-31 交易526次，资产：约为0 亏损
2012-01-01 - 2012-06-01 交易576次，资产：约为0 亏损
2011-01-01 - 2011-12-31 交易1000次，资产：约为0 亏损
2010-01-01 - 2010-12-31 交易1158次，资产：7.444686996107162E13 超级盈利
2009-01-01 - 2009-12-31 交易12次，资产：2.36784527035019 盈利 （数据不全，暂时没有下载2010以前的日线数据）
即使每次都不亏损，只交 千分之三的手续费，交易500次后，资产为： 0.22262767757661121092517573495899
千分之二手续费，资产为： 0.36751125485715890552210364359175
千分之1.5手续费，资产为： 0.4721006554151491226954075787487
所以，钱都被券商赚了
熊市，赚钱不容易啊
憨散刚入市，还是太嫩了 牛市你用任意一条炒股公式都能赚钱 只是赚多赚少的问题
只要你能在最终崩盘前离场就是胜利
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