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预测未来市场走势的指标。 http://futureindicator.com
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未来指标
1.
Future Indicator 未来指标 卞志强 http://futureindicator.com 2013.06.13
2.
摘要 • 原因 • Future
Indicator的介绍 • 快乐话题 • 悲伤话题
3.
原因 • 人, 组织,
国家 • 过去、未来 • 考虑同样的事情,做同样的事情 • 因此,市场应该是可以预测的
4.
Future Indicator • 很大数量的交易策略(目前大约在1亿左右) •
1000天中,对未来进行预测 • 出错一次就要退场 • 1000天后,只留下3个策略,为我们预测未来。 • 计算量非常庞大,高配的个人计算机都需要15分钟才能 算完,因此租借服务器,将计算结果作为网络服务进行 提供。
5.
三个幸存者 • 红色牛仔:喜欢赌博,善于赌博,赌就 赌大的 • 蓝色基金:追求资金量第一,综合考虑 收益和风险 •
黄色数学家:追求理论上的极限完美
6.
使用的策略 进入方法
7.
选出方法图示,从4个策略中经过40天的选择,得到的蓝色基金曲线(篮圈)。实际的计算中,超过1亿的策略,经过1000天的选择 0 10000 20000 30000 40000 1 2 3
4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 残⾼高チャート:4つのストラテジから、⻘青ファンドマネジャーへ ストラテジ1 ストラテジ2 ストラテジ3 ストラテジ4 ⻘青ファンドマネジャー策略1 策略2 策略3 策略4 蓝色基金
8.
第四人 • 暗黑骑士:消灭多数派 • 并非过去的胜者,只看眼前 •
其他3个每天算一次,暗黑骑士每5分钟计 算一次。 • 有时会突然转向。
9.
暗黑骑士的动作模式 多数派的预想方向 多数派的止损 暗黑骑士的预想方向
10.
暗黑骑士的动作模式 理性市场:多数派能够正确止损的情况 多数派的预想方向 多数派的止损 暗黑骑士的预想方向
11.
暗黑骑士的动作模式 感性市场:多数派无法接受止损,不停的增仓买入,直到爆仓 多数派的预想方向 多数派的止损 暗黑骑士的预想方向 暗黑骑士的美好时光
12.
买入区域和卖出区域 卖出区域 买入区域 暗黑骑士的预想
13.
基本策略 • 只利用过去胜者(红黄蓝) • Future
Indicator的未来K线超过现在值101% 以上的情况下,买入;低于现在值的99%以 下的情况下,卖出。红色数值根据近期的振 幅进行调整。 • 止损设置为50-100点(0.5-1%)
14.
2012.07.24 未来 买入信号:1.20418 预测:160-330pip 结果:350pip14
15.
2012.08.02 未来 买入信号:1.21332 预测:150-380pip 结果:300pip15
16.
2012.08.09 未来 买入信号:1.22664 预测:190-280pip 结果:320pip16
17.
2012.08.15 未来 买入信号:1.22638 预测:230-320pip 结果:400pip以上17
18.
2012.08.24 未来 买入信号:1.24810 预测:230-280pip 结果:700pip18
19.
2012.09.04 未来 买入信号:1.25548 预测:180-270pip 结果:600pip19
20.
2012.09.24 未来 买入信号:1.28908 预测:190-280pip 结果:240pip 損切り100pipが必要 20
21.
2012.10.09 未来 买入信号:1.28586 预测:170-310pip 结果:290pip21
22.
暗黑骑士策略 • 突破暗黑骑士的卖出区域时卖出,突破 买入区域时买入。 • 止赢止损随机应变。 22
23.
2013.01.25 未来 买入信号:1.34721 预测:120-210pip 结果:240pip23
24.
2013.02.04 未来 卖出信号:1.35196 预测:130-210pip 结果:490pip24
25.
2013.02.07 未来 卖出信号:1.34538 预测:240-310pip 结果:500pip25
26.
2013.02.25 未来 卖出信号:1.31000 预测:180-230pip 结果:270pip26
27.
2013.03.13 未来 卖出信号:1.29629 预测:140-210pip 结果:220pip27
28.
2013.03.18 未来 卖出信号:1.29670 预测:170-240pip 结果:220pip28
29.
2013.03.19 未来 买入信号:1.28434 预测:170-280pip 结果:200pip 普通ストラテジシグナル 29
30.
2013.03.18 未来 卖出信号:1.29670 预测:170-240pip 结果:220pip30
31.
信号的品质 • 盈利PIP数50~300、远比其他的信号配 信公司的要大。 • 信号有明确的目前,10天内达成率70% •
信号的80%以上能够获得50PIP以上的盈 利。 31
32.
信号的品质 美元日元 2004/11-2013/05 32 黒 红 黄
蓝 合计 信号个数 达成数 达成平均 PIP数 达成率 540 456 448 428 1872 237 290 316 302 1145 176 134 142 139 146 43.9% 63.6% 70.5% 70.6% 61.2%
33.
10日以内最大可能利润 美元日元 2004/11-2013/05 33 黒 红 黄
蓝 合計 >=500PIP 400-499PIP 300-399PIP 200-299PIP 100-199PIP 50-99PIP <50PIP 合計 24 3 29 23 79 13 13 20 16 62 44 43 42 45 174 91 86 84 78 339 163 116 106 110 495 100 86 83 73 342 105 109 84 83 370 540 456 448 428 1872
34.
10日以内最大可能利润 美元日元 2004/11-2013/05 (%) 34 黒 红
黄 蓝 合計 >=500PIP 400-499PIP 300-399PIP 200-299PIP 100-199PIP 50-99PIP <50PIP 合計 4.4% 0.7% 6.5% 5.4% 4.2% 2.4% 2.9% 4.5% 3.7% 3.3% 8.1% 9.4% 9.4% 10.5% 9.3% 16.9% 18.9% 18.8% 18.2% 18.1% 30.2% 25.4% 23.7% 25.7% 26.4% 18.5% 18.9% 18.5% 17.1% 18.3% 19.4% 23.9% 18.8% 19.4% 19.8% 100% 100% 100% 100% 100%
35.
手动回测 • 买入/卖出信号当日收盘价操作 • 10天中,等待目标达成。 •
达成不能时 • 30PIP以上的利润出来后,回撤一半就 平仓 • 其他情况、−100PIP止损 35
36.
红黄蓝黑全体(仓位每个信号0.1手) 36
37.
红色牛仔(仓位每个信号0.1手) 37
38.
黄色数学家(仓位每个信号0.1手) 38
39.
蓝色基金(仓位每个信号0.1手) 39
40.
暗黑骑士(仓位每个信号0.1手) 40
41.
红黄蓝黑全体 2013年1-5月(1手) 41
42.
注意事项 • 以上的回测基于历史,无法保证未来的表现 • 实际操作中,止损比理论中要大,止赢往往不能到达指 定位置,因为实际结果比理论结果要差。 42
43.
鲁棒性 • 买入/卖出信号的当日收盘价开仓 • 等待10天,看能否达成目标 •
不能达成的情况 • 60PIP以上的利润之后,回撤一般利润的 时候止损 • 其他情况,在−150PIP止损 43
44.
鲁棒性 44
45.
鲁棒性 (美元日元 红黄蓝黑 2004/12/1-2013/05/1) half=30 stoploss=100 half=50 stoploss=120 half=60 stoploss=150 half=100 stoploss=200 PIP数 0.1手仓位的利润 0.1手仓位的 年平均利润 胜率 利润系数 Profit Factor 171,056
146,381 125,944 68,534 17,105,600円 14,638,100円 12,594,400円 6,853,400円 2,012,423円 1,722,135円 1,481,692円 806,279円 88.5% 80.7% 77.8% 69.6% 8.919 4.370 3.018 1.602 45
46.
鲁棒性 (欧元美元 红黄蓝黑 2009/7/16-2013/05/1) half=30 stoploss=100 half=50 stoploss=120 half=60 stoploss=150 half=100 stoploss=200 PIP数 0.1手仓位的利润 0.1手仓位的 年平均利润 胜率 利润系数 Profit Factor 71,392
63,600 54,989 33,801 $71,392 $63,660 $54,989 $33,801 $17,848 $15,915 $13,747 $8,450 89.8% 86.6% 84.7% 80.4% 6.900 4.336 3.025 1.728 46
47.
悲伤话题 • 不能说一直精确 • 如同50年前天气预报 •
希望您的帮助能让明天的Future Indicator 更精确 47
48.
Thank you • Please
feel free to contact • http://futureindicator.com • info@futureindicator.com • facebook: FutureIndicator 48
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