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ThreeMovingAverageTradingStrategy

基于优矿的三均线交易策略(期货)

优矿网站:https://uqer.datayes.com/

实现逻辑

5日均线上突破10日均线开仓,5日均线下穿30日均线卖出(为了能完整吃掉一个大趋势),

回测结果显示年化收益率能大幅超过基准收益率,缺点是最大回撤达到68%,原因是止损过于频繁。

以下是在优矿上的回测结果:

38dade8c404affbf68925a129b128ea

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