成功投机的大法

jx00000000

禅师这个方法的钱是按照份数算的，我有一个问题，比如手头又有了新的资金，想再放进这个细统中去，应该怎么办？比如，目前在细统中的资金是13份，每份一万。 今天突然中了彩票中了20万，想把这20万再纳入进去，应该怎么分？
同理，突然有事情需要急用钱不得不从系统中提了5万，打乱了原有布置，这时候交易信号出现了，又该怎么算？

jx00000000

另外，国外的话，怎么投资沪深300ETF, 用ASHR可以吗？　但是看了看ＡＳＨＲ的波动要比沪深３００大啊，尤其是下跌的时候。。。这个方法在ＡＳＨＲ上是否还能用？

野狐禅

jx00000000 发表于 2017-8-10 20:24
另外，国外的话，怎么投资沪深300ETF, 用ASHR可以吗？　但是看了看ＡＳＨＲ的波动要比沪深３００大啊，尤其 ...

波动越大，投机大法盈利越高。如果在美国，可以选择中国ETF：FXI。

jx00000000

野狐禅 发表于 2017-8-10 20:58
波动越大，投机大法盈利越高。如果在美国，可以选择中国ETF：FXI。

FXI 波动似乎不如 ASHR 大， ASHR 和沪深300的相关程度似乎更强一些。 能用ASHR来做吗？也是ETF. 回测了一下：
从2013-02-01 到 2017-08-09， 946个交易日，  买了36次，卖了38次， 总收益72000，年华收益1.92%.
说实话...13年到17年，中间有一个大峰， 这么大的波动下来总收益也就是72000，真的是一般啊... 难道是我算错了？　下面贴出计算结果：



取55.2为最高值，每往下5%一个值，共25个交易点， 一百万初始资金，分成25份。：
table:
[55.2, 52.44, 49.818, 47.327099999999994, 44.960744999999996, 42.71270774999999, 40.57707236249999, 38.548218744374985, 36.62080780715624, 34.789767416798426, 33.050279045958504, 31.397765093660574, 29.827876838977545, 28.336482997028668, 26.91965884717723, 25.57367590481837, 24.29499210957745, 23.080242504098575, 21.926230378893646, 20.82991885994896, 19.788422916951514, 18.79900177110394, 17.85905168254874, 16.966099098421303, 16.117794143500237]

trade from 2013-02-01 to 2017-08-09
total buy times:36, total sell times: 38
Bases: 1000000, each part: 40000, total revenue in 946 trading days: 72000.0
Anual interest rates: 1.91797040169％

records:
initial price 24.8
close price at 2013-11-12 00:00:00 is 24.11:
buy at 24.2949921096
close price at 2013-11-15 00:00:00 is 25.995:
sell at 25.5736759048
close price at 2013-12-19 00:00:00 is 24.15:
buy at 24.2949921096
close price at 2014-01-10 00:00:00 is 23.042:
buy at 23.0802425041
close price at 2014-03-07 00:00:00 is 21.49:
buy at 21.9262303789
close price at 2014-04-09 00:00:00 is 23.19:
sell at 23.0802425041
close price at 2014-04-25 00:00:00 is 21.6699:
buy at 21.9262303789
close price at 2014-07-21 00:00:00 is 23.12:
sell at 23.0802425041
close price at 2014-07-25 00:00:00 is 24.58:
sell at 24.2949921096
close price at 2014-09-02 00:00:00 is 25.65:
sell at 25.5736759048
close price at 2014-11-07 00:00:00 is 27.08:
sell at 26.9196588472
close price at 2014-11-20 00:00:00 is 28.61:
sell at 28.336482997
close price at 2014-11-26 00:00:00 is 30.3:
sell at 29.827876839
close price at 2014-12-02 00:00:00 is 32.21:
sell at 31.3977650937
close price at 2014-12-03 00:00:00 is 34.79:
sell at 33.050279046
close price at 2014-12-05 00:00:00 is 35.15:
sell at 34.7897674168
close price at 2014-12-08 00:00:00 is 32.57:
buy at 33.050279046
close price at 2014-12-15 00:00:00 is 34.79:
sell at 34.7897674168
close price at 2014-12-30 00:00:00 is 37.21:
sell at 36.6208078072
close price at 2015-01-29 00:00:00 is 33.9:
buy at 34.7897674168
close price at 2015-02-27 00:00:00 is 36.73:
sell at 36.6208078072
close price at 2015-03-16 00:00:00 is 38.82:
sell at 38.5482187444
close price at 2015-03-20 00:00:00 is 40.81:
sell at 40.5770723625
close price at 2015-03-27 00:00:00 is 42.89:
sell at 42.71270775
close price at 2015-04-09 00:00:00 is 45.0:
sell at 44.960745
close price at 2015-04-20 00:00:00 is 47.45:
sell at 47.3271
close price at 2015-05-20 00:00:00 is 50.43:
sell at 49.818
close price at 2015-05-22 00:00:00 is 53.6:
sell at 52.44
close price at 2015-06-18 00:00:00 is 48.24:
buy at 49.818
close price at 2015-06-25 00:00:00 is 43.0:
buy at 47.3271
close price at 2015-06-26 00:00:00 is 43.12:
buy at 44.960745
close price at 2015-07-01 00:00:00 is 42.42:
buy at 42.71270775
close price at 2015-07-06 00:00:00 is 38.21:
buy at 40.5770723625
close price at 2015-07-07 00:00:00 is 33.89:
buy at 38.5482187444
close price at 2015-07-08 00:00:00 is 40.69:
sell at 40.5770723625
close price at 2015-07-09 00:00:00 is 43.25:
sell at 42.71270775
close price at 2015-07-14 00:00:00 is 40.24:
buy at 40.5770723625
close price at 2015-07-16 00:00:00 is 43.46:
sell at 42.71270775
close price at 2015-07-24 00:00:00 is 39.16:
buy at 40.5770723625
close price at 2015-08-07 00:00:00 is 42.79:
sell at 42.71270775
close price at 2015-08-11 00:00:00 is 39.97:
buy at 40.5770723625
close price at 2015-08-17 00:00:00 is 37.63:
buy at 38.5482187444
close price at 2015-08-20 00:00:00 is 34.87:
buy at 36.6208078072
close price at 2015-08-21 00:00:00 is 30.11:
buy at 34.7897674168
close price at 2015-08-24 00:00:00 is 30.13:
buy at 33.050279046
close price at 2015-08-25 00:00:00 is 30.34:
buy at 31.3977650937
close price at 2015-09-04 00:00:00 is 33.6:
sell at 33.050279046
close price at 2015-09-14 00:00:00 is 31.25:
buy at 31.3977650937
close price at 2015-09-15 00:00:00 is 33.14:
sell at 33.050279046
close price at 2015-10-09 00:00:00 is 34.85:
sell at 34.7897674168
close price at 2015-10-22 00:00:00 is 36.9:
sell at 36.6208078072
close price at 2015-12-15 00:00:00 is 28.35:
buy at 34.7897674168
close price at 2015-12-16 00:00:00 is 28.3:
buy at 33.050279046
close price at 2015-12-17 00:00:00 is 28.6:
buy at 31.3977650937
close price at 2015-12-18 00:00:00 is 29.39:
buy at 29.827876839
close price at 2015-12-24 00:00:00 is 28.17:
buy at 28.336482997
close price at 2015-12-31 00:00:00 is 25.6:
buy at 26.9196588472
close price at 2016-01-06 00:00:00 is 24.13:
buy at 25.5736759048
close price at 2016-01-07 00:00:00 is 24.26:
buy at 24.2949921096
close price at 2016-01-12 00:00:00 is 22.95:
buy at 23.0802425041
close price at 2016-01-26 00:00:00 is 21.62:
buy at 21.9262303789
close price at 2016-02-16 00:00:00 is 23.43:
sell at 23.0802425041
close price at 2016-02-26 00:00:00 is 21.76:
buy at 21.9262303789
close price at 2016-03-01 00:00:00 is 23.09:
sell at 23.0802425041
close price at 2016-03-17 00:00:00 is 24.69:
sell at 24.2949921096
close price at 2016-05-06 00:00:00 is 22.72:
buy at 23.0802425041
close price at 2016-07-11 00:00:00 is 24.79:
sell at 24.2949921096
close price at 2016-08-12 00:00:00 is 26.02:
sell at 25.5736759048
close price at 2016-09-23 00:00:00 is 24.12:
buy at 24.2949921096
close price at 2016-11-23 00:00:00 is 25.7:
sell at 25.5736759048
close price at 2016-12-13 00:00:00 is 24.26:
buy at 24.2949921096
close price at 2017-05-26 00:00:00 is 25.61:
sell at 25.5736759048
close price at 2017-06-23 00:00:00 is 27.05:
sell at 26.9196588472
close price at 2017-07-31 00:00:00 is 28.44:
sell at 28.336482997

jx00000000

又用沪深300的数据backtest了一下， 2013-02-01 到2017-08-09， buy 32, sell 38次，结果也差不多，一百万4年多才盈利6.4万，平均年利率1.46%而已。如果回测没出错的话，那么这个方法用在沪深300ETF上没什么用，关键在于波动率太低了，导致交易频率太低。 不过话说回来，从底部涨上去了，一份份卖的差不多了就该收手了，等跌下来再一路买回来，盈利也就没那么多了, 也就不是投机了。改天再研究一下禅师的投资大法：）


具体结果如下：
trade from 2013-02-01 to 2017-08-09
total buy times:32, total sell times: 38
Bases: 1000000, each part: 40000, total revenue in 1098 trading days: 64000.0
Anual interest rates: 1.46885245902

close price at 2013-02-20 00:00:00 is 2610.549:
buy at 2646
close price at 2013-03-15 00:00:00 is 2502.493:
buy at 2520
close price at 2013-06-07 00:00:00 is 2399.937:
buy at 2400
close price at 2013-06-21 00:00:00 is 2171.21:
buy at 2286
close price at 2013-06-24 00:00:00 is 2165.421:
buy at 2177
close price at 2013-07-10 00:00:00 is 2326.688:
sell at 2286
close price at 2013-07-26 00:00:00 is 2175.97:
buy at 2177
close price at 2013-08-05 00:00:00 is 2293.641:
sell at 2286
close price at 2013-09-06 00:00:00 is 2440.609:
sell at 2400
close price at 2013-12-19 00:00:00 is 2278.136:
buy at 2286
close price at 2014-01-17 00:00:00 is 2165.993:
buy at 2177
close price at 2014-02-11 00:00:00 is 2291.246:
sell at 2286
close price at 2014-02-24 00:00:00 is 2157.909:
buy at 2177
close price at 2014-07-25 00:00:00 is 2323.897:
sell at 2286
close price at 2014-09-02 00:00:00 is 2408.838:
sell at 2400
close price at 2014-11-07 00:00:00 is 2565.73:
sell at 2520
close price at 2014-11-21 00:00:00 is 2649.258:
sell at 2646
close price at 2014-11-27 00:00:00 is 2808.819:
sell at 2778
close price at 2014-12-01 00:00:00 is 2923.94:
sell at 2917
close price at 2014-12-03 00:00:00 is 3104.351:
sell at 3063
close price at 2014-12-05 00:00:00 is 3252.881:
sell at 3216
close price at 2014-12-18 00:00:00 is 3383.167:
sell at 3377
close price at 2014-12-31 00:00:00 is 3641.541:
sell at 3546
close price at 2015-01-16 00:00:00 is 3355.155:
buy at 3377
close price at 2015-01-20 00:00:00 is 3548.885:
sell at 3546
close price at 2015-01-30 00:00:00 is 3353.96:
buy at 3377
close price at 2015-02-25 00:00:00 is 3566.295:
sell at 3546
close price at 2015-03-16 00:00:00 is 3757.122:
sell at 3723
close price at 2015-03-20 00:00:00 is 3972.061:
sell at 3909
close price at 2015-03-31 00:00:00 is 4123.895:
sell at 4105
close price at 2015-04-09 00:00:00 is 4344.416:
sell at 4310
close price at 2015-04-16 00:00:00 is 4596.136:
sell at 4526
close price at 2015-04-24 00:00:00 is 4807.592:
sell at 4752
close price at 2015-05-06 00:00:00 is 4470.089:
buy at 4526
close price at 2015-05-19 00:00:00 is 4754.919:
sell at 4752
close price at 2015-05-22 00:00:00 is 5099.495:
sell at 4989
close price at 2015-06-05 00:00:00 is 5353.751:
sell at 5239
close price at 2015-06-17 00:00:00 is 4930.549:
buy at 4989
close price at 2015-06-18 00:00:00 is 4637.052:
buy at 4752
close price at 2015-06-25 00:00:00 is 4336.195:
buy at 4526
close price at 2015-06-26 00:00:00 is 4191.549:
buy at 4310
close price at 2015-07-02 00:00:00 is 3885.917:
buy at 4105
close price at 2015-07-07 00:00:00 is 3663.038:
buy at 3909
close price at 2015-07-09 00:00:00 is 4106.556:
sell at 4105
close price at 2015-07-24 00:00:00 is 3818.731:
buy at 3909
close price at 2015-08-20 00:00:00 is 3589.536:
buy at 3723
close price at 2015-08-21 00:00:00 is 3275.534:
buy at 3546
close price at 2015-08-24 00:00:00 is 3042.927:
buy at 3377
close price at 2015-08-25 00:00:00 is 3025.692:
buy at 3216
close price at 2015-09-08 00:00:00 is 3399.305:
sell at 3377
close price at 2015-09-14 00:00:00 is 3152.232:
buy at 3216
close price at 2015-10-09 00:00:00 is 3447.693:
sell at 3377
close price at 2015-10-19 00:00:00 is 3577.703:
sell at 3546
close price at 2015-11-05 00:00:00 is 3793.374:
sell at 3723
close price at 2015-12-31 00:00:00 is 3469.066:
buy at 3546
close price at 2016-01-06 00:00:00 is 3294.384:
buy at 3377
close price at 2016-01-08 00:00:00 is 3192.45:
buy at 3216
close price at 2016-01-25 00:00:00 is 2940.509:
buy at 3063
close price at 2016-01-27 00:00:00 is 2853.756:
buy at 2917
close price at 2016-02-16 00:00:00 is 3063.32:
sell at 3063
close price at 2016-02-26 00:00:00 is 2877.467:
buy at 2917
close price at 2016-03-03 00:00:00 is 3093.89:
sell at 3063
close price at 2016-03-18 00:00:00 is 3249.437:
sell at 3216
close price at 2016-05-18 00:00:00 is 3062.5:
buy at 3063
close price at 2016-07-05 00:00:00 is 3216.803:
sell at 3216
close price at 2016-08-12 00:00:00 is 3393.423:
sell at 3377
close price at 2016-11-28 00:00:00 is 3564.0404:
sell at 3546
close price at 2016-12-14 00:00:00 is 3340.4338:
buy at 3377
close price at 2017-06-07 00:00:00 is 3560.9786:
sell at 3546
close price at 2017-07-18 00:00:00 is 3729.7466:
sell at 3723

野狐禅

jx00000000 发表于 2017-8-12 17:25
又用沪深300的数据backtest了一下， 2013-02-01 到2017-08-09， buy 32, sell 38次，结果也差不多，一百万4 ...

你忽略了投机大法一开始在估计最高最低的价格范围，然后启动时，一次性买入很多份。

2013年时，以前明显的高低点是 6100，1700。你开始交易是2600点，5% 约130点。
这样，（6100-2600）/130=26，（2600-1700）/130=7。要准备26+7=33份资金，在开始时买入26份，留出7份。

野狐禅

看你的模拟交易历史，那7份钱是废掉了。不买入时，要放在余额宝里涨利息才行。

avcco

呵呵

罡风

hotnet

估计大家还是觉得买卖股票来得刺激