天软金融分析.NET函数大全 > 金融函数 > 金融工程 > 策略验证

PortfolioBackTesting_Trading    

简述
交易类策略的回测，返回交易类系统的成功率，最大连续盈利次数等交易详情信息，参考平台首页-》2011-11-21-模型更新-策略验证（交易类）ToolBox使用说明
定义
PortfolioBackTesting_Trading(PfInfoData:TableArray;t:TableArray;ReturnType:Integer):TableArray
参数
名称类型说明
PfInfoDataTableArray数据表类型，组合基本信息
tTableArray 数据表类型，源数据
ReturnTypeInteger整数，用户自定义，返回类型，0表示交易评价
返回TableArray交易类策略的回测，返回交易类系统的成功率，最大连续盈利次数等交易详情信息
  • 范例
    PfInfoData:=array(("源数据类型":0));
    t:=array(
    ("代码":"CU1201","名称":"CU1201","乘数":5.0,"方向":1.0,"开仓日期":40724.0,"开仓价":69450.0,"开仓数量":1.0,"开仓费率(%)":0.0125,"开仓其他费用":0.0,"平仓日期":40763.0,"平仓价":67740.0,"平仓数量":1.0,"平仓费率(%)":0.0125,"平仓其他费用":0.0),
    ("代码":"CU1201","名称":"CU1201","乘数":5.0,"方向":0.0,"开仓日期":40787.0,"开仓价":68200.0,"开仓数量":1.0,"开仓费率(%)":0.0125,"开仓其他费用":0.0,"平仓日期":40801.0,"平仓价":65020.0,"平仓数量":1.0,"平仓费率(%)":0.0125,"平仓其他费用":0.0),
    ("代码":"RU1201","名称":"RU1201","乘数":5.0,"方向":1.0,"开仓日期":40695.0,"开仓价":33365.0,"开仓数量":2.0,"开仓费率(%)":0.02,"开仓其他费用":0.0,"平仓日期":40725.0,"平仓价":32175.0,"平仓数量":2.0,"平仓费率(%)":0.02,"平仓其他费用":0.0),
    ("代码":"RU1201","名称":"RU1201","乘数":5.0,"方向":1.0,"开仓日期":40805.0,"开仓价":31925.0,"开仓数量":3.0,"开仓费率(%)":0.02,"开仓其他费用":0.0,"平仓日期":40847.0,"平仓价":27105.0,"平仓数量":3.0,"平仓费率(%)":0.02,"平仓其他费用":0.0),
    ("代码":"SZ000002","名称":"万 科Ａ","乘数":1.0,"方向":1.0,"开仓日期":40556.0,"开仓价":9.01,"开仓数量":1100.0,"开仓费率(%)":0.01,"开仓其他费用":0.0,"平仓日期":40569.0,"平仓价":8.5,"平仓数量":1100.0,"平仓费率(%)":0.01,"平仓其他费用":0.0),
    ("代码":"SZ000002","名称":"万 科Ａ","乘数":1.0,"方向":1.0,"开仓日期":40596.0,"开仓价":8.17,"开仓数量":1200.0,"开仓费率(%)":0.01,"开仓其他费用":0.0,"平仓日期":40604.0,"平仓价":8.19,"平仓数量":1200.0,"平仓费率(%)":0.01,"平仓其他费用":0.0),
    ("代码":"SZ000002","名称":"万 科Ａ","乘数":1.0,"方向":1.0,"开仓日期":40616.0,"开仓价":8.28,"开仓数量":1200.0,"开仓费率(%)":0.01,"开仓其他费用":0.0,"平仓日期":40627.0,"平仓价":8.67,"平仓数量":1200.0,"平仓费率(%)":0.01,"平仓其他费用":0.0),
    ("代码":"SZ000002","名称":"万 科Ａ","乘数":1.0,"方向":1.0,"开仓日期":40630.0,"开仓价":8.82,"开仓数量":1100.0,"开仓费率(%)":0.01,"开仓其他费用":0.0,"平仓日期":40660.0,"平仓价":8.45,"平仓数量":1100.0,"平仓费率(%)":0.01,"平仓其他费用":0.0),
    ("代码":"SZ000002","名称":"万 科Ａ","乘数":1.0,"方向":1.0,"开仓日期":40714.0,"开仓价":8.16,"开仓数量":1200.0,"开仓费率(%)":0.01,"开仓其他费用":0.0,"平仓日期":40746.0,"平仓价":8.41,"平仓数量":1200.0,"平仓费率(%)":0.01,"平仓其他费用":0.0),
    ("代码":"SZ000002","名称":"万 科Ａ","乘数":1.0,"方向":1.0,"开仓日期":40770.0,"开仓价":8.44,"开仓数量":1100.0,"开仓费率(%)":0.01,"开仓其他费用":0.0,"平仓日期":40781.0,"平仓价":8.38,"平仓数量":1100.0,"平仓费率(%)":0.01,"平仓其他费用":0.0));
    ReturnType:=0;
    return PortfolioBackTesting_Trading(PfInfoData,t,ReturnType);
    部分结果：

    参考
    附件:深圳天软科技-模型更新-策略验证（交易类）ToolBox使用说明.pdf
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