海南椰岛
经过测试,采用MACD指标交易,最佳参数为17,22,5;如果考虑交易成本,最佳参数为:8,13,5。结果如下:
Best Mean Excess Return: 9.026896e-05 for Parameters: 17 22 5
Best Mean Adjusted Excess Return: 3.006764e-06 for Parameters: 8 13 5
Best Sharpe(0): 0.004226033 for Parameters: 17 22 5
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美股GS