策略3.8

rjj510 · Oct 31, 2019 · c4af92b · c4af92b
1 parent 102f586
commit c4af92b
Show file tree

Hide file tree

Showing 9 changed files with 118 additions and 29 deletions.
diff --git a/data/dailydata/RB9999.csv b/data/dailydata/RB9999.csv
@@ -2546,4 +2546,34 @@ datetime,open,high,low,close,volume,openInterest
 2019-09-06,3452,3468,3405,3407,3203000,3976000
 2019-09-09,3429,3506,3412,3502,5760000,4051000
 2019-09-10,3505,3512,3471,3483,2866000,3906000
-2019-09-11,3483,3496,3462,3479,3245000,3889000
+2019-09-11,3483,3496,3462,3479,3245000,3889000
+2019-09-12,3486,3540,3468,3540,3466000,3895000
+2019-09-16,3551,3563,3524,3554,2482000,3903000
+2019-09-17,3556,3563,3502,3522,3039000,3808000
+2019-09-18,3519,3521,3478,3482,3256000,3746000
+2019-09-19,3477,3480,3379,3385,4825000,3884000
+2019-09-20,3381,3386,3357,3369,3226000,3896000
+2019-09-23,3369,3483,3363,3482,5009000,3773000
+2019-09-24,3490,3519,3444,3453,5380000,3842000
+2019-09-25,3464,3485,3455,3471,3279000,3754000
+2019-09-26,3473,3484,3408,3415,5188000,3642000
+2019-09-27,3419,3425,3386,3403,2738000,3486000
+2019-09-30,3401,3496,3401,3431,3528000,3221000
+2019-10-08,3416,3417,3366,3371,2781000,3481000
+2019-10-09,3373,3395,3357,3377,3656000,3728000
+2019-10-10,3390,3394,3352,3379,3786000,3763000
+2019-10-11,3379,3380,3340,3370,3598000,3849000
+2019-10-14,3372,3401,3321,3322,3951000,4053000
+2019-10-15,3321,3334,3288,3317,3787000,4172000
+2019-10-16,3311,3325,3259,3267,4235000,4242000
+2019-10-17,3267,3299,3256,3295,3617000,4285000
+2019-10-18,3297,3301,3232,3280,4661000,4394000
+2019-10-21,3283,3289,3249,3261,3320000,4399000
+2019-10-22,3269,3291,3252,3286,3830000,4457000
+2019-10-23,3292,3316,3268,3280,4190000,4455000
+2019-10-24,3279,3294,3257,3286,4017000,4470000
+2019-10-25,3288,3310,3271,3309,3405000,4402000
+2019-10-28,3313,3329,3289,3293,3294000,4326000
+2019-10-29,3296,3322,3283,3313,2914000,4303000
+2019-10-30,3315,3336,3295,3334,3705000,4344000
+
diff --git a/data/dailydata/RB9999.csv.bak b/data/dailydata/RB9999.csv.bak
@@ -2545,4 +2545,34 @@ datetime,open,high,low,close,volume,openInterest
 2019-09-05,3456,3493,3446,3460,4295000,4142000
 2019-09-06,3452,3468,3405,3407,3203000,3976000
 2019-09-09,3429,3506,3412,3502,5760000,4051000
-2019-09-10,3505,3512,3471,3483,2866000,3906000
+2019-09-10,3505,3512,3471,3483,2866000,3906000
+2019-09-11,3483,3496,3462,3479,3245000,3889000
+2019-09-12,3486,3540,3468,3540,3466000,3895000
+2019-09-16,3551,3563,3524,3554,2482000,3903000
+2019-09-17,3556,3563,3502,3522,3039000,3808000
+2019-09-18,3519,3521,3478,3482,3256000,3746000
+2019-09-19,3477,3480,3379,3385,4825000,3884000
+2019-09-20,3381,3386,3357,3369,3226000,3896000
+2019-09-23,3369,3483,3363,3482,5009000,3773000
+2019-09-24,3490,3519,3444,3453,5380000,3842000
+2019-09-25,3464,3485,3455,3471,3279000,3754000
+2019-09-26,3473,3484,3408,3415,5188000,3642000
+2019-09-27,3419,3425,3386,3403,2738000,3486000
+2019-09-30,3401,3496,3401,3431,3528000,3221000
+2019-10-08,3416,3417,3366,3371,2781000,3481000
+2019-10-09,3373,3395,3357,3377,3656000,3728000
+2019-10-10,3390,3394,3352,3379,3786000,3763000
+2019-10-11,3379,3380,3340,3370,3598000,3849000
+2019-10-14,3372,3401,3321,3322,3951000,4053000
+2019-10-15,3321,3334,3288,3317,3787000,4172000
+2019-10-16,3311,3325,3259,3267,4235000,4242000
+2019-10-17,3267,3299,3256,3295,3617000,4285000
+2019-10-18,3297,3301,3232,3280,4661000,4394000
+2019-10-21,3283,3289,3249,3261,3320000,4399000
+2019-10-22,3269,3291,3252,3286,3830000,4457000
+2019-10-23,3292,3316,3268,3280,4190000,4455000
+2019-10-24,3279,3294,3257,3286,4017000,4470000
+2019-10-25,3288,3310,3271,3309,3405000,4402000
+2019-10-28,3313,3329,3289,3293,3294000,4326000
+2019-10-29,3296,3322,3283,3313,2914000,4303000
+
diff --git a/data/dailydata/RB9999_increment.csv b/data/dailydata/RB9999_increment.csv
@@ -1,2 +1,2 @@
 datetime,open,high,low,close,volume,openInterest
-2019-09-11,3483,3496,3462,3479,3245000,3889000
+2019-10-30,3315,3336,3295,3334,3705000,4344000
diff --git a/data/dailydata/RB9999_increment.csv.bak b/data/dailydata/RB9999_increment.csv.bak
@@ -1,2 +1,2 @@
 datetime,open,high,low,close,volume,openInterest
-2019-09-10,3505,3512,3471,3483,2866000,3906000
+2019-10-29,3296,3322,3283,3313,2914000,4303000
diff --git a/data/dailyresult/RB9999.csv b/data/dailyresult/RB9999.csv
@@ -2510,22 +2510,22 @@
 -1,3883.0,0.0,2019-07-18,,,810.0,-1,810.0,3964.0,0,810.0,0,0.0,0.0
 -1,3915.0,0.0,2019-07-19,,,-320.0,-1,-320.0,3883.0,0,-320.0,0,0.0,0.0
 -1,3866.0,0.0,2019-07-22,,,490.0,-1,490.0,3915.0,0,490.0,0,0.0,0.0
--1,3859.0,0.0,2019-07-23,,,70.0,-1,70.0,3866.0,0,70.0,0,0.0,0.0
--1,3817.0,0.0,2019-07-24,,,420.0,-1,420.0,3859.0,0,420.0,0,0.0,0.0
+0,3859.0,0.0,2019-07-23,多,平仓,70.0,-1,70.0,3866.0,0,70.0,1,0.0,38590.0
+-1,3817.0,0.0,2019-07-24,空,开仓,0.0,0,-0.0,3859.0,0,0.0,1,0.0,38170.0
 -1,3854.0,0.0,2019-07-25,,,-370.0,-1,-370.0,3817.0,0,-370.0,0,0.0,0.0
 -1,3835.0,0.0,2019-07-26,,,190.0,-1,190.0,3854.0,0,190.0,0,0.0,0.0
 -1,3785.0,0.0,2019-07-29,,,500.0,-1,500.0,3835.0,0,500.0,0,0.0,0.0
 -1,3790.0,0.0,2019-07-30,,,-50.0,-1,-50.0,3785.0,0,-50.0,0,0.0,0.0
 -1,3794.0,0.0,2019-07-31,,,-40.0,-1,-40.0,3790.0,0,-40.0,0,0.0,0.0
-0,3760.0,0.0,2019-08-01,多,平仓,340.0,-1,340.0,3794.0,0,340.0,1,0.0,37600.0
-0,3723.0,0.0,2019-08-02,,,0.0,0,-0.0,3760.0,0,0.0,0,0.0,0.0
-0,3659.0,0.0,2019-08-05,,,0.0,0,-0.0,3723.0,0,0.0,0,0.0,0.0
-0,3621.0,0.0,2019-08-06,,,0.0,0,-0.0,3659.0,0,0.0,0,0.0,0.0
--1,3621.0,0.0,2019-08-07,空,开仓,0.0,0,0.0,3621.0,0,0.0,1,0.0,36210.0
+-1,3760.0,0.0,2019-08-01,,,340.0,-1,340.0,3794.0,0,340.0,0,0.0,0.0
+-1,3723.0,0.0,2019-08-02,,,370.0,-1,370.0,3760.0,0,370.0,0,0.0,0.0
+0,3659.0,0.0,2019-08-05,多,平仓,640.0,-1,640.0,3723.0,0,640.0,1,0.0,36590.0
+-1,3621.0,0.0,2019-08-06,空,开仓,0.0,0,-0.0,3659.0,0,0.0,1,0.0,36210.0
+-1,3621.0,0.0,2019-08-07,,,0.0,-1,-0.0,3621.0,0,0.0,0,0.0,0.0
 -1,3582.0,0.0,2019-08-08,,,390.0,-1,390.0,3621.0,0,390.0,0,0.0,0.0
--1,3504.0,0.0,2019-08-09,,,780.0,-1,780.0,3582.0,0,780.0,0,0.0,0.0
--1,3553.0,0.0,2019-08-12,,,-490.0,-1,-490.0,3504.0,0,-490.0,0,0.0,0.0
--1,3553.0,0.0,2019-08-13,,,0.0,-1,-0.0,3553.0,0,0.0,0,0.0,0.0
+0,3504.0,0.0,2019-08-09,多,平仓,780.0,-1,780.0,3582.0,0,780.0,1,0.0,35040.0
+0,3553.0,0.0,2019-08-12,,,0.0,0,0.0,3504.0,0,0.0,0,0.0,0.0
+-1,3553.0,0.0,2019-08-13,空,开仓,0.0,0,0.0,3553.0,0,0.0,1,0.0,35530.0
 -1,3553.0,0.0,2019-08-14,,,0.0,-1,-0.0,3553.0,0,0.0,0,0.0,0.0
 -1,3579.0,0.0,2019-08-15,,,-260.0,-1,-260.0,3553.0,0,-260.0,0,0.0,0.0
 -1,3570.0,0.0,2019-08-16,,,90.0,-1,90.0,3579.0,0,90.0,0,0.0,0.0
@@ -2534,16 +2534,45 @@
 -1,3512.0,0.0,2019-08-21,,,280.0,-1,280.0,3540.0,0,280.0,0,0.0,0.0
 -1,3511.0,0.0,2019-08-22,,,10.0,-1,10.0,3512.0,0,10.0,0,0.0,0.0
 -1,3521.0,0.0,2019-08-23,,,-100.0,-1,-100.0,3511.0,0,-100.0,0,0.0,0.0
--1,3441.0,0.0,2019-08-26,,,800.0,-1,800.0,3521.0,0,800.0,0,0.0,0.0
-0,3340.0,0.0,2019-08-27,多,平仓,1010.0,-1,1010.0,3441.0,0,1010.0,1,0.0,33400.0
--1,3367.0,0.0,2019-08-28,空,开仓,0.0,0,0.0,3340.0,0,0.0,1,0.0,33670.0
+0,3441.0,0.0,2019-08-26,多,平仓,800.0,-1,800.0,3521.0,0,800.0,1,0.0,34410.0
+-1,3340.0,0.0,2019-08-27,空,开仓,0.0,0,-0.0,3441.0,0,0.0,1,0.0,33400.0
+-1,3367.0,0.0,2019-08-28,,,-270.0,-1,-270.0,3340.0,0,-270.0,0,0.0,0.0
 -1,3317.0,0.0,2019-08-29,,,500.0,-1,500.0,3367.0,0,500.0,0,0.0,0.0
 -1,3388.0,0.0,2019-08-30,,,-710.0,-1,-710.0,3317.0,0,-710.0,0,0.0,0.0
--1,3441.0,0.0,2019-09-02,,,-530.0,-1,-530.0,3388.0,0,-530.0,0,0.0,0.0
--1,3433.0,0.0,2019-09-03,,,80.0,-1,80.0,3441.0,0,80.0,0,0.0,0.0
+0,3441.0,0.0,2019-09-02,多,平仓,-530.0,-1,-530.0,3388.0,0,-530.0,1,0.0,34410.0
+-1,3433.0,0.0,2019-09-03,空,开仓,0.0,0,-0.0,3441.0,0,0.0,1,0.0,34330.0
 -1,3450.0,0.0,2019-09-04,,,-170.0,-1,-170.0,3433.0,0,-170.0,0,0.0,0.0
-0,3460.0,0.0,2019-09-05,多,平仓,-100.0,-1,-100.0,3450.0,0,-100.0,1,0.0,34600.0
--1,3407.0,0.0,2019-09-06,空,开仓,0.0,0,-0.0,3460.0,0,0.0,1,0.0,34070.0
-0,3502.0,0.0,2019-09-09,多,平仓,-950.0,-1,-950.0,3407.0,0,-950.0,1,0.0,35020.0
-0,3483.0,0.0,2019-09-10,,,0.0,0,-0.0,3502.0,0,0.0,0,0.0,0.0
-0,3479.0,0.0,2019-09-11,,,0.0,0,-0.0,3483.0,0,0.0,0,0.0,0.0
+-1,3460.0,0.0,2019-09-05,,,-100.0,-1,-100.0,3450.0,0,-100.0,0,0.0,0.0
+-1,3407.0,0.0,2019-09-06,,,530.0,-1,530.0,3460.0,0,530.0,0,0.0,0.0
+-1,3502.0,0.0,2019-09-09,,,-950.0,-1,-950.0,3407.0,0,-950.0,0,0.0,0.0
+0,3483.0,0.0,2019-09-10,多,平仓,190.0,-1,190.0,3502.0,0,190.0,1,0.0,34830.0
+-1,3479.0,0.0,2019-09-11,空,开仓,0.0,0,-0.0,3483.0,0,0.0,1,0.0,34790.0
+-1,3540.0,0.0,2019-09-12,,,-610.0,-1,-610.0,3479.0,0,-610.0,0,0.0,0.0
+0,3554.0,0.0,2019-09-16,多,平仓,-140.0,-1,-140.0,3540.0,0,-140.0,1,0.0,35540.0
+-1,3522.0,0.0,2019-09-17,空,开仓,0.0,0,-0.0,3554.0,0,0.0,1,0.0,35220.0
+-1,3482.0,0.0,2019-09-18,,,400.0,-1,400.0,3522.0,0,400.0,0,0.0,0.0
+0,3385.0,0.0,2019-09-19,多,平仓,970.0,-1,970.0,3482.0,0,970.0,1,0.0,33850.0
+0,3369.0,0.0,2019-09-20,,,0.0,0,-0.0,3385.0,0,0.0,0,0.0,0.0
+0,3482.0,0.0,2019-09-23,,,0.0,0,0.0,3369.0,0,0.0,0,0.0,0.0
+-1,3453.0,0.0,2019-09-24,空,开仓,0.0,0,-0.0,3482.0,0,0.0,1,0.0,34530.0
+-1,3471.0,0.0,2019-09-25,,,-180.0,-1,-180.0,3453.0,0,-180.0,0,0.0,0.0
+-1,3415.0,0.0,2019-09-26,,,560.0,-1,560.0,3471.0,0,560.0,0,0.0,0.0
+-1,3403.0,0.0,2019-09-27,,,120.0,-1,120.0,3415.0,0,120.0,0,0.0,0.0
+-1,3431.0,0.0,2019-09-30,,,-280.0,-1,-280.0,3403.0,0,-280.0,0,0.0,0.0
+-1,3371.0,0.0,2019-10-08,,,600.0,-1,600.0,3431.0,0,600.0,0,0.0,0.0
+-1,3377.0,0.0,2019-10-09,,,-60.0,-1,-60.0,3371.0,0,-60.0,0,0.0,0.0
+-1,3379.0,0.0,2019-10-10,,,-20.0,-1,-20.0,3377.0,0,-20.0,0,0.0,0.0
+-1,3370.0,0.0,2019-10-11,,,90.0,-1,90.0,3379.0,0,90.0,0,0.0,0.0
+0,3322.0,0.0,2019-10-14,多,平仓,480.0,-1,480.0,3370.0,0,480.0,1,0.0,33220.0
+-1,3317.0,0.0,2019-10-15,空,开仓,0.0,0,-0.0,3322.0,0,0.0,1,0.0,33170.0
+-1,3267.0,0.0,2019-10-16,,,500.0,-1,500.0,3317.0,0,500.0,0,0.0,0.0
+-1,3295.0,0.0,2019-10-17,,,-280.0,-1,-280.0,3267.0,0,-280.0,0,0.0,0.0
+-1,3280.0,0.0,2019-10-18,,,150.0,-1,150.0,3295.0,0,150.0,0,0.0,0.0
+-1,3261.0,0.0,2019-10-21,,,190.0,-1,190.0,3280.0,0,190.0,0,0.0,0.0
+-1,3286.0,0.0,2019-10-22,,,-250.0,-1,-250.0,3261.0,0,-250.0,0,0.0,0.0
+-1,3280.0,0.0,2019-10-23,,,60.0,-1,60.0,3286.0,0,60.0,0,0.0,0.0
+-1,3286.0,0.0,2019-10-24,,,-60.0,-1,-60.0,3280.0,0,-60.0,0,0.0,0.0
+-1,3309.0,0.0,2019-10-25,,,-230.0,-1,-230.0,3286.0,0,-230.0,0,0.0,0.0
+-1,3293.0,0.0,2019-10-28,,,160.0,-1,160.0,3309.0,0,160.0,0,0.0,0.0
+-1,3313.0,0.0,2019-10-29,,,-200.0,-1,-200.0,3293.0,0,-200.0,0,0.0,0.0
+-1,3334.0,0.0,2019-10-30,,,-210.0,-1,-210.0,3313.0,0,-210.0,0,0.0,0.0
diff --git a/data/交易记录/Book1.xlsx b/data/交易记录/Book1.xlsx