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CCICOMA战略测试报告 - MetaTrader 4交易策略

Mike • 2014-03-10 18:32
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策略测试报告

CCICOMA
GCI-Demo (Build 610)

交易品种EURCHF.s（欧元对瑞士法郎）
测试周期15分钟（M15） 2014.01.24 05:00 - 2014.02.21 15:45
模型每个tick（基于所有可用最小时间框架的最精确方法）
参数MagicNumber=100000; SignalMail=false; EachTickMode=true; Lots=1; Slippage=3; UseStopLoss=true; StopLoss=18; UseTakeProfit=true; TakeProfit=40; UseTrailingStop=true; TrailingStop=30;
测试中的K线2048模拟的ticks370901建模质量63.91%
不匹配的图表错误0
初始存款10000.00点差2
总净利润808.23总利润1496.17总亏损-687.94
盈利因子2.17预期回报12.06
绝对回撤109.28最大回撤126.18 (1.26%)相对回撤1.26% (126.18)
总交易次数67空头仓位（胜率%）0 (0.00%)多头仓位（胜率%）67 (49.25%)
盈利交易（占总数%）33 (49.25%)亏损交易（占总数%）34 (50.75%)
最大盈利交易48.08亏损交易-20.28
平均盈利交易45.34亏损交易-20.23
最大连续盈利（盈利金额）6 (270.37)连续亏损（亏损金额）5 (-101.40)
最大连续盈利（胜利次数）270.37 (6)连续亏损（失败次数）-101.40 (5)
平均连续盈利2连续亏损2

#时间类型订单大小价格止损 / 止盈止盈 / 止损利润余额
12014.01.24 06:33买入11.001.224131.223951.22453
22014.01.24 06:34止损11.001.223951.223951.22453-20.289979.72
32014.01.24 10:56买入21.001.224201.224021.22460
42014.01.24 10:56止损21.001.224021.224021.22460-20.289959.44
52014.01.24 11:00买入31.001.223851.223671.22425
62014.01.24 11:12止损31.001.223671.223671.22425-20.289939.16
72014.01.24 11:15买入41.001.223751.223571.22415
82014.01.24 11:18止损41.001.223571.223571.22415-20.289918.88
92014.01.24 15:47买入51.001.223731.223551.22413
102014.01.24 15:50止损51.001.223551.223551.22413-20.289898.60
112014.01.26 19:30买入61.001.223111.222931.22351
122014.01.26 19:38止盈61.001.223511.222931.2235145.079943.67
132014.01.29 09:25买入71.001.222751.222571.22315
142014.01.29 09:26止损71.001.222571.222571.22315-20.289923.39
152014.01.29 09:32买入81.001.222491.222311.22289
162014.01.29 09:33止盈81.001.222891.222311.2228945.069968.45
172014.01.29 11:00买入91.001.222171.221991.22257
182014.01.29 11:01止盈91.001.222571.221991.2225745.0610013.51
192014.01.29 13:26买入101.001.221691.221511.22209
202014.01.29 13:51止盈101.001.222091.221511.2220945.0610058.57
212014.01.29 15:15买入111.001.222011.221831.22241
222014.01.29 15:16止盈111.001.222411.221831.2224145.0610103.63
232014.01.29 15:38买入121.001.222031.221851.22243
242014.01.29 15:46止盈121.001.222431.221851.2224345.0710148.70
252014.01.29 18:01买入131.001.221871.221691.22227
262014.01.29 18:08止盈131.001.222271.221691.2222745.0610193.76
272014.01.29 18:33买入141.001.222061.221881.22246
282014.01.29 18:41止损141.001.221881.221881.22246-20.2710173.49
292014.01.29 18:42买入151.001.222081.221901.22248
302014.01.29 18:45止盈151.001.222481.221901.2224845.0610218.55
312014.01.29 20:03买入161.001.222041.221861.22244
322014.01.29 20:05止损161.001.221861.221861.22244-20.2810198.27
332014.01.30 16:36买入171.001.223911.223731.22431
342014.01.30 16:36止损171.001.223731.223731.22431-20.2810177.99
352014.01.30 17:33买入181.001.223291.223111.22369
362014.01.30 19:01止盈181.001.223691.223111.2236945.0710223.06
372014.01.30 20:15买入191.001.223321.223141.22372
382014.01.30 20:27止损191.001.223141.223141.22372-20.2810202.78
392014.01.30 21:16买入201.001.223221.223041.22362
402014.01.30 22:05止损201.001.223041.223041.22362-20.2810182.50
412014.01.31 07:35买入211.001.222121.221941.22252
422014.01.31 07:37止盈211.001.222521.221941.2225245.0710227.57
432014.01.31 08:48买入221.001.221511.221331.22191
442014.01.31 08:55止盈221.001.221911.221331.2219145.0610272.63
452014.01.31 10:45买入231.001.221641.221461.22204
462014.01.31 10:48止损231.001.221461.221461.22204-20.2810252.35
472014.01.31 10:50买入241.001.221641.221461.22204
482014.01.31 10:53止损241.001.221461.221461.22204-20.2810232.07
492014.01.31 11:02买入251.001.221461.221281.22186
502014.01.31 11:05止盈251.001.221861.221281.2218645.0610277.13
512014.02.02 17:58买入261.001.222461.222281.22286
522014.02.02 19:00止盈261.001.222861.222281.2228645.0610322.19
532014.02.03 07:00买入271.001.221321.221141.22172
542014.02.03 07:30止盈271.001.221721.221141.2217245.0610367.25
552014.02.03 17:02买入281.001.218571.218391.21897
562014.02.03 17:12止盈281.001.218971.218391.2189745.0610412.31
572014.02.03 19:00买入291.001.218771.218591.21917
582014.02.03 19:02止盈291.001.219171.218591.2191745.0610457.37
592014.02.04 16:02买入301.001.221971.221791.22237
602014.02.04 16:18止损301.001.221791.221791.22237-20.2710437.10
612014.02.04 18:01买入311.001.221501.221321.22190
622014.02.04 18:10止损311.001.221321.221321.22190-20.2710416.83
632014.02.04 21:01买入321.001.221531.221351.22193
642014.02.04 21:07止损321.001.221351.221351.22193-20.2710396.56
652014.02.04 21:32买入331.001.221291.221111.22169
662014.02.04 21:42止损331.001.221111.221111.22169-20.2810376.28
672014.02.04 23:32买入341.001.221221.221041.22162
682014.02.05 01:22止盈341.001.221621.221041.2216246.5710422.85
692014.02.10 04:18买入351.001.222791.222611.22319
702014.02.10 04:25止损351.001.222611.222611.22319-20.2710402.58
712014.02.10 23:02买入361.001.223381.223201.22378
722014.02.11 00:24止盈361.001.223781.223201.2237846.5810449.16
732014.02.11 08:01买入371.001.223711.223531.22411
742014.02.11 08:09止损371.001.223531.223531.22411-20.2810428.88
752014.02.11 08:16买入381.001.223471.223291.22387
762014.02.11 08:17止损381.001.223291.223291.22387-20.2810408.60
772014.02.11 08:19买入391.001.223481.223301.22388
782014.02.11 08:30止盈391.001.223881.223301.2238845.0610453.66
792014.02.11 09:15买入401.001.223411.223231.22381
802014.02.11 09:16止损401.001.223231.223231.22381-20.2810433.38
812014.02.11 09:20买入411.001.223411.223231.22381
822014.02.11 10:01止盈411.001.223811.223231.2238145.0710478.45
832014.02.12 07:15买入421.001.223521.223341.22392
842014.02.12 07:17止盈421.001.223921.223341.2239245.0710523.52
852014.02.13 00:31买入431.001.222751.222571.22315
862014.02.13 00:39止损431.001.222571.222571.22315-20.2810503.24
872014.02.13 06:02买入441.001.221501.221321.22190
882014.02.13 06:05止损441.001.221321.221321.22190-20.2710482.97
892014.02.13 17:15买入451.001.221821.221641.22222
902014.02.13 19:05止盈451.001.222221.221641.2222245.0610528.03
912014.02.13 22:01买入461.001.221701.221521.22210
922014.02.13 22:07止损461.001.221521.221521.22210-20.2810507.75
932014.02.13 22:16买入471.001.221631.221451.22203
942014.02.13 22:19止损471.001.221451.221451.22203-20.2810487.47
952014.02.13 23:15买入481.001.220771.220591.22117
962014.02.13 23:47止盈481.001.221171.220591.2211745.0710532.54
972014.02.14 12:19买入491.001.222151.221971.22255
982014.02.14 12:23止损491.001.221971.221971.22255-20.2810512.26
992014.02.14 12:30买入501.001.222011.221831.22241
1002014.02.14 13:23止损501.001.221831.221831.22241-20.2810491.98
1012014.02.14 15:31买入511.001.221571.221391.22197
1022014.02.16 17:04止盈511.001.221971.221391.2219748.0810540.06
1032014.02.16 23:45买入521.001.221331.221151.22173
1042014.02.17 02:03止盈521.001.221731.221151.2217346.5810586.65
1052014.02.18 20:30买入531.001.221301.221121.22170
1062014.02.19 02:44止盈531.001.221701.221121.2217046.5810633.23
1072014.02.19 03:03买入541.001.221431.221251.22183
1082014.02.19 03:17止盈541.001.221831.221251.2218345.0610678.29
1092014.02.19 07:19买入551.001.221131.220951.22153
1102014.02.19 08:24止损551.001.220951.220951.22153-20.2810658.01
1112014.02.19 08:45买入561.001.220671.220491.22107
1122014.02.19 09:36止盈561.001.221071.220491.2210745.0610703.07
1132014.02.19 11:01买入571.001.221181.221001.22158
1142014.02.19 11:03止损571.001.221001.221001.22158-20.2710682.80
1152014.02.19 14:00买入581.001.219971.219791.22037
1162014.02.19 14:03止盈581.001.220371.219791.2203745.0610727.86
1172014.02.19 21:21买入591.001.219341.219161.21974
1182014.02.19 21:35止盈591.001.219741.219161.2197445.0710772.93
1192014.02.20 03:04买入601.001.219121.218941.21952
1202014.02.20 03:05止损601.001.218941.218941.21952-20.2810752.65
1212014.02.20 14:30买入611.001.219991.219811.22039
1222014.02.20 17:23止盈611.001.220391.219811.2203945.0610797.71
1232014.02.20 20:16买入621.001.220121.219941.22052
1242014.02.20 21:07止损621.001.219941.219941.22052-20.2810777.43
1252014.02.20 21:42买入631.001.219761.219581.22016
1262014.02.20 22:46止损631.001.219581.219581.22016-20.2810757.15
1272014.02.20 23:47买入641.001.219581.219401.21998
1282014.02.21 01:43止损641.001.219401.219401.21998-18.7710738.38
1292014.02.21 08:30买入651.001.219391.219211.21979
1302014.02.21 08:30止损651.001.219211.219211.21979-20.2810718.10
1312014.02.21 08:33买入661.001.219391.219211.21979
1322014.02.21 09:03止盈661.001.219791.219211.2197945.0610763.16
1332014.02.21 15:15买入671.001.219111.218931.21951
1342014.02.21 15:59止盈671.001.219511.218931.2195145.0710808.23

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