如何用Mathematica建立回測程序？

鑑於A股{價格，改變價格}順序是這樣的：如何用Mathematica建立回測程序？

lstPrice={{4.66,-0.05},{4.69,0.03},{4.78,0.09},{4.78,0.},{4.81,0.03},{4.85,0.04},{4.78,-0.07},{5.1,0.32},{5.29,0.19},{5.19,-0.1},{5.28,0.09},{5.22,-0.06},{5.18,-0.04},{5.07,-0.11},{5.08,0.01},{5.09,0.01},{5.07,-0.02},{5.1,0.03},{5.05,-0.05},{5.05,0.},{5.13,0.08},{5.1,-0.03},{5.09,-0.01},{5.21,0.12},{5.24,0.03},{5.26,0.02},{5.35,0.09},{5.19,-0.16},{5.24,0.05},{5.09,-0.15},{5.18,0.09},{5.19,0.01},{5.18,-0.01},{5.13,-0.05},{5.15,0.02},{5.06,-0.09},{5.09,0.03},{5.08,-0.01},{5.01,-0.07},{4.99,-0.02},{4.99,0.},{4.94,-0.05},{4.98,0.04},{4.92,-0.06},{4.87,-0.05},{4.91,0.04},{4.91,0.},{4.92,0.01},{4.95,0.03},{4.9,-0.05},{4.93,0.03},{4.99,0.06},{5.04,0.05},{4.98,-0.06},{5.17,0.19},{5.07,-0.1},{5.08,0.01},{5.14,0.06},{5.17,0.03},{5.07,-0.1}}

和最大資本水平爲$ 500000，最高位置級別100000，當改變價格是負數，購買p1百分比的資本水平，當不同的價格posotive，賣p2百分之的職位級別。以便檢查這個簡單的策略是否成功。如何構建一個Mathematica回溯測試程序來測試這個想法，最好的功能性編程，或者像下面的塊一樣。 Thansk！

initCapital=500000;(*min to 0 *) 
initPosition=0;(*max to 100000*) 
p1=0.3; 
p2=0.2; 
BacktestDo[list_?ListQ]:=If[list[[2]]>0,Buy[p1],Sell[p2]](*Buy and Sell not implemented*) 
BacktestDo/@listPrice

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2017-04-02 Jerry

它不清楚你問什麼，但我建議你看看'FoldList' – agentp

謝謝！ 'MapThread'也可以。 – Jerry

我已經認識到@Chris Degnen的答案是更新的backtesting塊。在github上看到更多。 https://github.com/liuhuashan/StocktaSolva。 – Jerry

這假定p1 & p2分別爲30％和20％。如果您的意思是0.3％和0.2％，則將代碼調整爲p1/100和p2/100，如評論中所示。

listPrice = { 
    {4.66, -0.05}, {4.69, 0.03}, {4.78, 0.09}, {4.78, 0.}, 
    {4.81, 0.03}, {4.85, 0.04}, {4.78, -0.07}, {5.1, 0.32}, 
    {5.29, 0.19}, {5.19, -0.1}, {5.28, 0.09}, {5.22, -0.06}, 
    {5.18, -0.04}, {5.07, -0.11}, {5.08, 0.01}, {5.09, 0.01}, 
    {5.07, -0.02}, {5.1, 0.03}, {5.05, -0.05}, {5.05, 0.}, 
    {5.13, 0.08}, {5.1, -0.03}, {5.09, -0.01}, {5.21, 0.12}, 
    {5.24, 0.03}, {5.26, 0.02}, {5.35, 0.09}, {5.19, -0.16}, 
    {5.24, 0.05}, {5.09, -0.15}, {5.18, 0.09}, {5.19, 0.01}, 
    {5.18, -0.01}, {5.13, -0.05}, {5.15, 0.02}, {5.06, -0.09}, 
    {5.09, 0.03}, {5.08, -0.01}, {5.01, -0.07}, {4.99, -0.02}, 
    {4.99, 0.}, {4.94, -0.05}, {4.98, 0.04}, {4.92, -0.06}, 
    {4.87, -0.05}, {4.91, 0.04}, {4.91, 0.}, {4.92, 0.01}, 
    {4.95, 0.03}, {4.9, -0.05}, {4.93, 0.03}, {4.99, 0.06}, 
    {5.04, 0.05}, {4.98, -0.06}, {5.17, 0.19}, {5.07, -0.1}, 
    {5.08, 0.01}, {5.14, 0.06}, {5.17, 0.03}, {5.07, -0.1}}; 

initCapital = 500000;(* min to 0 *) 
initPosition = 0;(* max to 100000 *) 
p1 = 0.3; 
p2 = 0.2; 

capital = {initCapital}; 
position = {initPosition}; 
totalassets = {initCapital}; 

buy[p1_, price_] := Module[{value}, 
    value = Last[capital] p1 (* or use p1/100 *); 
    (* check limits *) 
    If[Last[position] + value/price > 100000 || 
    Last[capital] - value < 0, 
    (* skip transaction *) 
    AppendTo[position, Last[position]]; 
    AppendTo[capital, Last[capital]]; 
    AppendTo[totalassets, Last[totalassets]], 
    (* or make transaction *) 
    AppendTo[position, Last[position] + value/price]; 
    AppendTo[capital, Last[capital] - value]; 
    AppendTo[totalassets, price Last[position] + Last[capital]]; 
    {"buy", p1, value, Last[capital]}]] 

sell[p2_, price_] := Module[{quantity}, 
    quantity = Last[position] p2 (* or use p2/100 *); 
    (* make transaction *) 
    AppendTo[position, Last[position] - quantity]; 
    AppendTo[capital, Last[capital] + quantity*price]; 
    AppendTo[totalassets, price Last[position] + Last[capital]]; 
    {"sell", p2, quantity*price, Last[capital]}] 

backtestDo[list_List] := If[list[[2]] < 0, 
    buy[p1, First[list]], 
    sell[p2, First[list]] 
    ] 

backtestDo /@ listPrice; 

GraphicsColumn[Map[ListLinePlot[ToExpression[#], 
    DataRange -> Length[listPrice] + 1, 
    PlotLabel -> #, 
    ImagePadding -> {{40, 10}, {Automatic, Automatic}}] &, 
    {"capital", "position", "totalassets"}], ImageSize -> 400]

來源

2017-04-03 10:56:57

非常好的工作！通過您的代碼和繪圖我明白_trending_是市場的關鍵字。謝謝！ – Jerry

如何用Mathematica建立回測程序？

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