freedakgmail
43 lines
3.2 KiB
Markdown
43 lines
3.2 KiB
Markdown
# 回测场景对比 v4.2（真实资金收益率版）
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回测区间: 2025-01-02 ~ 2026-02-25
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> ⚠️ **真实收益率** = 盈亏 / 最大同时占用资金（非总周转金额）
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## 对比结果
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| 场景 | 盈亏(元) | 占用资金 | 真实收益 | 真实年化 | 胜率 | 回撤% | 持仓天 | 盈亏比 | 交易 | 标注 |
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|------|---------|---------|---------|---------|------|-------|--------|--------|------|------|
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| v3|仅信号 | +6,310 | ¥155,430 | +4.1% | +3.5% | 40.5% | 6.4% | 20天 | 1.22 | 178 | |
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| v3|止盈10+损8 | +49,500 | ¥174,120 | +28.4% | +24.4% | 47.8% | 3.3% | 14天 | 2.65 | 222 | 🛡️回撤最小 |
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| v4|触发≥2+止盈10+损8 | +53,100 | ¥160,410 | +33.1% | +28.3% | 47.2% | 3.8% | 13天 | 2.42 | 212 | 🏆收益最高 |
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| v4|触发≥2+跟踪6-3+损5 | +22,250 | ¥153,260 | +14.5% | +12.5% | 43.5% | 4.3% | 12天 | 1.65 | 216 | |
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| v4.1|忽略卖出+止盈10+损8 | +23,670 | ¥130,180 | +18.2% | +15.7% | 57.9% | 6.0% | 31天 | 2.09 | 118 | 🎯胜率最高 |
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| v4.1|忽略+跟踪8-3+损5+20天 | +33,170 | ¥152,540 | +21.8% | +18.7% | 49.6% | 4.8% | 13天 | 1.98 | 243 | |
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| v4.2-K1|延迟2天+止盈10+损8 | +48,920 | ¥174,120 | +28.1% | +24.1% | 50.0% | 3.3% | 16天 | 2.78 | 208 | ⚖️盈亏比最佳 |
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| v4.2-K2|延迟2天+触发≥2+止盈10+损8 | +35,260 | ¥160,950 | +21.9% | +18.8% | 47.5% | 4.0% | 14天 | 1.93 | 202 | |
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| v4.2-K3|延迟2天+跟踪8-3+损5 | -550 | ¥158,690 | -0.3% | -0.3% | 41.1% | 10.9% | 14天 | 0.99 | 224 | |
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| v4.2-K4|延迟2天+跟踪6-3+损5 | +10,660 | ¥158,690 | +6.7% | +5.8% | 49.1% | 6.8% | 14天 | 1.32 | 220 | |
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| v4.2-K5|延迟2天+触发≥2+跟踪8-3+损5 | +21,420 | ¥153,260 | +14.0% | +12.1% | 42.9% | 4.6% | 13天 | 1.52 | 210 | |
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| v4.2-K6|延迟2天+触发≥2+跟踪6-3+损8 | +22,470 | ¥155,140 | +14.5% | +12.5% | 52.0% | 5.5% | 14天 | 1.68 | 196 | |
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| v4.2-L1|延迟3天+止盈10+损8 | +20,020 | ¥136,730 | +14.6% | +12.6% | 48.9% | 7.8% | 18天 | 1.66 | 180 | |
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| v4.2-L2|延迟3天+触发≥2+止盈10+损8 | +36,940 | ¥160,950 | +22.9% | +19.7% | 49.5% | 4.2% | 16天 | 2.02 | 186 | |
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| v4.2-L3|延迟3天+跟踪8-3+损5 | +1,680 | ¥136,840 | +1.2% | +1.1% | 44.4% | 14.4% | 17天 | 1.04 | 198 | |
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| v4.2-L4|延迟3天+触发≥2+跟踪6-3+损5 | +30,540 | ¥153,260 | +19.9% | +17.1% | 50.0% | 7.3% | 13天 | 1.89 | 208 | |
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| v4.2-M1|延迟2天+盈保5%+止盈10+损8 | +44,330 | ¥174,120 | +25.5% | +21.9% | 49.0% | 3.3% | 16天 | 2.55 | 208 | |
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| v4.2-M2|延迟2天+盈保5%+触发≥2+止盈10+损8 | +24,860 | ¥160,950 | +15.4% | +13.3% | 46.5% | 4.0% | 14天 | 1.67 | 198 | |
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| v4.2-M3|延迟3天+跟踪8-3+损5+30天 | +7,850 | ¥153,260 | +5.1% | +4.5% | 50.0% | 8.3% | 14天 | 1.20 | 228 | |
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| v4.2-M4|延迟2天+触发≥2+跟踪8-3+损5+30天 | +25,020 | ¥153,260 | +16.3% | +14.1% | 45.8% | 4.5% | 12天 | 1.65 | 214 | |
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## 指标说明
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| 指标 | 说明 |
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|------|------|
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| 占用资金 | 回测期间最大同时持仓成本 |
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| 真实收益 | 盈亏 / 最大占用资金 × 100% |
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| 真实年化 | 按持续期折算年化（复利公式） |
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| 回撤% | 最大回撤 / 最大占用资金 × 100% |
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| 盈亏比 | 总盈利金额 / 总亏损金额 |
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| 延迟N天 | 连续N天推荐卖出才执行卖出 |
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