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鉴于A股{价格,改变价格}顺序是这样的:如何用Mathematica建立回测程序?
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}}
和最大资本水平为$ 500000,最高位置级别100000, 当改变价格是负数,购买p1百分比的资本水平,当不同的价格posotive,卖p2百分之的职位级别。以便检查这个简单的策略是否成功。 如何构建一个Mathematica回溯测试程序来测试这个想法,最好的功能性编程,或者像下面的块一样。 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
它不清楚你问什么,但我建议你看看'FoldList' – agentp
谢谢! 'MapThread'也可以。 – Jerry
我已经认识到@Chris Degnen的答案是更新的backtesting块。在github上看到更多。 https://github.com/liuhuashan/StocktaSolva。 – Jerry