Today's the day

向软件大牛炫耀我会焊单片机,向硬件大牛炫耀我会写 Rails,向软硬件大牛炫耀我生物,向软硬件生物大牛炫耀我会折腾期货 -_-bbb

聊胜于无 - 2011 外盘自动单总结
期权初感受

全面转做外盘 - 2012 上半年自动单总结

galeki posted @ 2012年7月02日 02:50 in 交易 with tags 期货 , 6742 阅读

自上次自动单总结又过去了半年时间,这样算下来,已经完整的执行自动交易一年了。从开始的时候觉得神奇,到现在已经习以为常了,反正让它跑着就是,虽然如果自动单有仓位就老去瞄盘面的坏毛病还没改,但是自从晚上开始锻炼和凌晨玩大菠萝之后就改善多了~

内盘的股指期货一直犹豫要不要再开始做,最终还是放弃了,上个月把内盘期货账户最后的一点资金转到外盘去了,所以现在就正式全面的转向外盘了~

其实内盘的股指期货(IF)还是很好做的,放弃无非就是因为几个原因:

  • 内盘的自动化交易软件还有点不靠谱,如果是手动盯盘做,按照去年的经验,基本上等于 “浪费睡觉时间+承受多余的压力+增加执行错误”。
  • IF 的合约规模对我来说有点尴尬,如果小上一半就好了,希望以后能有 mini IF。
  • 保证金、滑点、手续费都没什么优势。

外盘还是使用原来的程序,参数也没有改,只是 3 月份下线了玉米,将小罗素换成更好的波动率期货,然后将小恒指都换到大恒指。

先来看看下线的玉米:

相当囧的曲线,谁能想到去年感觉最稳定的玉米,从今年一开始就回撤呢,最终在 3 月份停单,农产品周期性的交易不活跃是原因之一。

 

然后是小罗素的后代波动期货:

在上半年跑出了漂亮的曲线,收益大部分都是它贡献了,上半年最后一天的交易还将自动单账户净值收在新高,真的是非常走运。

 

然后是老朋友恒指 1 号和 2 号,今年这两个品种都陆续从小恒指换到了大恒指:

1 号:

2 号:

1 号贡献了自动单另一半的收益,2 号虽然很囧但是也算 OK~


 

总结

要说遗憾,那就是依然没有想出什么新的策略,好在现在用的这个看上去适用性还不错,就顺其自然的让它工作下去吧~

每笔交易的平均风险为账户的 3% (恒指 1 号为 3%、2 号为 1%、玉米为 2.5%、波指为 5%),上半年最终收益为 77%,看上去还不错,不过最大回撤也达到了 20%。

要说自动交易做成这样,是属于不错呢还是差强人意呢,我也不知道该如何评价,我只知道我在 2 月底开了个账户手动操作,虽然属于实验性质,但是忙了 4 个月的收益是 -6% ……

所以这东西依然比我自己做要强得多得多。

 

 

最后附上一张图片,这是平常记录的盈亏序列,有兴趣的可以瞄瞄,现在回过头来看觉得非常有趣 ~

红色是止损,绿色是超过止损的收益,黄色是小于止损的收益或是小于额定止损的损失。

 

 

 

 

 

 

 

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收益率已经很不错了,关键是不用管啊。

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楼主在研究自动化交易啊,呵呵。

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那就是依然没有想出什么新的策略,好在现在用的这个看上去适用性还不错,就顺其自然的让它工作下去吧~!!

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