回测差异
最近搞了几个模型，回测都挺好，但是一上实盘就不行。搞不清怎么回事。
周末换了达尔文这种主流平台进行了详细测试。最后发现问题了。
达尔文黄金点差20多个点。但是在回测的时候居然3个点
换IC黄金测试 IC黄金平常也有10个点 但是回测的时候居然也是3个点。
我不清楚逻辑。但是这种回测和实盘间巨大的差异。导致了大部分高频交易在回测中盈利但是在实盘中一直亏损。
这个高频交易包括了剥头皮，低间隔加仓类马丁。只要是高频交易的基本都会被点差迷惑。
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