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蜘蛛网策略的持仓天数 参数选择 #15

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Rebecca1217 opened this issue Feb 28, 2019 · 1 comment
Open

蜘蛛网策略的持仓天数 参数选择 #15

Rebecca1217 opened this issue Feb 28, 2019 · 1 comment

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@Rebecca1217
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Rebecca1217 commented Feb 28, 2019 •
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请教一下楼主：

策略的逻辑也特别简单，如果前20持多单会员的多单增加了，前20持空单会员的空单减少了，那么后市看多做多；如果前20持多单会员的多单减少了，前20持空单会员的空单增加了，那么后市看空做空；其他情况不持仓。
笔者将该因子拓展到其他所有流动性好的品种上，效果依然很不错，如下图所示，只是近一年来震荡明显。

请问楼主你做的的时候是每天判断信号持仓一天吗？还是持有固定天数呢？看券商研报说就持有一天效果是最好的，但这样加入滑点的话回测效果就很差了呀...
谢谢~
@Rebecca1217
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哦 我看到了，前面统一说明都是每交易日换仓

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@Rebecca1217