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發表於 2010-10-23 15:39:21
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CRISMA 交易系統 - 誰說技術分析不能打敗大盤?
<P>看了<A href="http://www.ntd2u.net/thread-2126-1-1.html"><STRONG>CRISMA 交易系統 </STRONG></A>,有空用matlab來跑一下,<FONT size=3><SPAN style="FONT-FAMILY: 標楷體; FONT-SIZE: 8pt; mso-hansi-font-family: 'Times New Roman'; mso-bidi-font-family: 標楷體; mso-ansi-language: EN-US; mso-fareast-language: ZH-TW; mso-bidi-language: AR-SA"><STRONG><FONT color=#000000 size=4>依台灣管理學刊發表</FONT></STRONG></SPAN></FONT></P>
7 e& E% W `) @, n7 g<P><FONT size=3><SPAN style="FONT-FAMILY: 標楷體; FONT-SIZE: 8pt; mso-hansi-font-family: 'Times New Roman'; mso-bidi-font-family: 標楷體; mso-ansi-language: EN-US; mso-fareast-language: ZH-TW; mso-bidi-language: AR-SA"></SPAN></FONT> </P>
& Y. a# x c# k, b O<P><FONT size=3><SPAN style="FONT-FAMILY: 標楷體; FONT-SIZE: 8pt; mso-hansi-font-family: 'Times New Roman'; mso-bidi-font-family: 標楷體; mso-ansi-language: EN-US; mso-fareast-language: ZH-TW; mso-bidi-language: AR-SA"></SPAN>實際模型投資組合交易數值及年累積獲利率,確實</FONT>能勝大盤,但未能考慮滑價</P>& j8 t5 m! W/ H8 x
<P> </P> h" d( M8 Y& S, N$ N3 E
<P>問題,實際獲利率應會較低。</P> |
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