freedakgmail
92 lines
5.1 KiB
Markdown
92 lines
5.1 KiB
Markdown
# 🔍 系统性算法搜索结果 (v5.3 内存回测引擎)
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> 生成时间: 2026-02-26 08:19
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## 搜索配置
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| 项目 | 值 |
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|------|----|
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| 本金 | ¥200,000 |
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| Phase 1 筛选期 | 2025-07-01 ~ 2025-09-30 |
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| Phase 2 验证期 | 2025-01-02 ~ 2026-02-25 |
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| 组合总数 | 70,400 → 剪枝后 21,120 |
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| Phase 1 耗时 | 913s (23.1次/秒) |
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| Phase 2 耗时 | 8s |
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| 总耗时 | 922s (15.4分钟) |
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## 🏆 全期间 Top 30
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| 排名 | 全期盈利 | Q3盈利 | 真实收益 | 年化 | 胜率 | 盈亏比 | 回撤 | 交易 | 持仓天 | 策略 |
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|------|---------|-------|---------|------|------|--------|------|------|--------|------|
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| 🏆 | ¥+68,330 | ¥+43,258 | +25.6% | +22.0% | 44.6% | 1.80 | 8.6% | 488 | 16d | `TP12|SL6|delay3|h≤30|10%|SW` |
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| 🥈 | ¥+68,330 | ¥+43,258 | +25.6% | +22.0% | 44.6% | 1.80 | 8.6% | 488 | 16d | `TP12|SL6|trig≥1|delay3|h≤30|10%|SW` |
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| 🥉 | ¥+57,452 | ¥+42,404 | +22.0% | +18.9% | 46.3% | 1.62 | 11.2% | 414 | 16d | `TP12|SL6|delay3|h≤30|15%|SW` |
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| #4 | ¥+57,452 | ¥+42,404 | +22.0% | +18.9% | 46.3% | 1.62 | 11.2% | 414 | 16d | `TP12|SL6|trig≥1|delay3|h≤30|15%|SW` |
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| #5 | ¥+48,554 | ¥+44,714 | +19.4% | +16.7% | 54.7% | 1.60 | 14.6% | 324 | 32d | `TP10|SL8|ign|15%|SW` |
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| #6 | ¥+48,554 | ¥+44,714 | +19.4% | +16.7% | 54.7% | 1.60 | 14.6% | 324 | 32d | `TP10|SL8|trig≥1|ign|15%|SW` |
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| #7 | ¥+36,958 | ¥+44,291 | +14.0% | +12.1% | 39.4% | 1.88 | 15.4% | 421 | 16d | `TP12|SL6|h≤60|15%|SW` |
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| #8 | ¥+36,958 | ¥+44,291 | +14.0% | +12.1% | 39.4% | 1.88 | 15.4% | 421 | 16d | `TP12|SL6|delay1|h≤60|15%|SW` |
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| #9 | ¥+36,958 | ¥+44,291 | +14.0% | +12.1% | 39.4% | 1.88 | 15.4% | 421 | 16d | `TP12|SL6|trig≥1|h≤60|15%|SW` |
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| #10 | ¥+36,958 | ¥+44,291 | +14.0% | +12.1% | 39.4% | 1.88 | 15.4% | 421 | 16d | `TP12|SL6|trig≥1|delay1|h≤60|15%|SW` |
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| #11 | ¥+34,113 | ¥+42,664 | +14.1% | +12.2% | 45.9% | 1.47 | 9.5% | 470 | 17d | `TP12|SL8|delay3|h≤30|10%|SW` |
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| #12 | ¥+34,113 | ¥+42,664 | +14.1% | +12.2% | 45.9% | 1.47 | 9.5% | 470 | 17d | `TP12|SL8|trig≥1|delay3|h≤30|10%|SW` |
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| #13 | ¥+24,766 | ¥+44,310 | +9.8% | +8.5% | 40.1% | 1.64 | 16.1% | 419 | 15d | `TP12|SL8|h≤60|15%|SW` |
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| #14 | ¥+24,766 | ¥+44,310 | +9.8% | +8.5% | 40.1% | 1.64 | 16.1% | 419 | 15d | `TP12|SL8|delay1|h≤60|15%|SW` |
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| #15 | ¥+24,766 | ¥+44,310 | +9.8% | +8.5% | 40.1% | 1.64 | 16.1% | 419 | 15d | `TP12|SL8|trig≥1|h≤60|15%|SW` |
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| #16 | ¥+24,766 | ¥+44,310 | +9.8% | +8.5% | 40.1% | 1.64 | 16.1% | 419 | 15d | `TP12|SL8|trig≥1|delay1|h≤60|15%|SW` |
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| #17 | ¥+24,481 | ¥+44,291 | +9.7% | +8.4% | 41.5% | 1.71 | 19.0% | 414 | 15d | `TP12|SL6|15%|SW` |
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| #18 | ¥+24,481 | ¥+44,291 | +9.7% | +8.4% | 41.5% | 1.71 | 19.0% | 414 | 15d | `TP12|SL6|delay1|15%|SW` |
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| #19 | ¥+24,481 | ¥+44,291 | +9.7% | +8.4% | 41.5% | 1.71 | 19.0% | 414 | 15d | `TP12|SL6|trig≥1|15%|SW` |
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| #20 | ¥+24,481 | ¥+44,291 | +9.7% | +8.4% | 41.5% | 1.71 | 19.0% | 414 | 15d | `TP12|SL6|trig≥1|delay1|15%|SW` |
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| #21 | ¥+24,300 | ¥+43,692 | +10.7% | +9.2% | 45.5% | 1.31 | 16.3% | 322 | 26d | `TP12|SL6|ign|h≤60|15%|SW` |
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| #22 | ¥+24,300 | ¥+43,692 | +10.7% | +9.2% | 45.5% | 1.31 | 16.3% | 322 | 26d | `TP12|SL6|trig≥1|ign|h≤60|15%|SW` |
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| #23 | ¥+23,782 | ¥+46,040 | +10.4% | +9.1% | 61.5% | 1.41 | 11.3% | 381 | 31d | `T8/3|SL12|ign|h≤60|8%|SW` |
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| #24 | ¥+23,782 | ¥+46,040 | +10.4% | +9.1% | 61.5% | 1.41 | 11.3% | 381 | 31d | `T8/3|SL12|trig≥1|ign|h≤60|8%|SW` |
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| #25 | ¥+22,348 | ¥+43,048 | +9.9% | +8.6% | 45.8% | 1.31 | 13.2% | 271 | 32d | `TP12|SL6|ign|15%|SW` |
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| #26 | ¥+22,348 | ¥+43,048 | +9.9% | +8.6% | 45.8% | 1.31 | 13.2% | 271 | 32d | `TP12|SL6|trig≥1|ign|15%|SW` |
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| #27 | ¥+17,570 | ¥+44,310 | +7.2% | +6.2% | 42.1% | 1.55 | 19.6% | 437 | 15d | `TP12|SL8|15%|SW` |
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| #28 | ¥+17,570 | ¥+44,310 | +7.2% | +6.2% | 42.1% | 1.55 | 19.6% | 437 | 15d | `TP12|SL8|delay1|15%|SW` |
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| #29 | ¥+17,570 | ¥+44,310 | +7.2% | +6.2% | 42.1% | 1.55 | 19.6% | 437 | 15d | `TP12|SL8|trig≥1|15%|SW` |
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| #30 | ¥+17,570 | ¥+44,310 | +7.2% | +6.2% | 42.1% | 1.55 | 19.6% | 437 | 15d | `TP12|SL8|trig≥1|delay1|15%|SW` |
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## 新冠军 vs 之前冠军
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| 指标 | 之前冠军 | 新冠军 |
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|------|---------|-------|
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| 策略 | `v5.2|忽略卖出+TP10+SL8+信号加权` | `TP12|SL6|delay3|h≤30|10%|SW` |
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| 全期盈利 | ¥+56,375 | ¥+68,330.5 |
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| 真实收益 | +21.5% | +25.6% |
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| 年化 | +18.5% | +22.0% |
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| 胜率 | 61.2% | 44.6% |
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| 盈亏比 | 2.30 | 1.80 |
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| 回撤 | - | 8.6% |
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🎉 **新纪录！**
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## 维度影响分析
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### 仓位比例
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| 仓位 | 数量 | 平均盈利 | 最优盈利 |
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|------|------|---------|--------|
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| 8% | 12 | ¥+15,474 | ¥+23,782 |
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| 10% | 10 | ¥+24,178 | ¥+68,330 |
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| 15% | 38 | ¥+22,253 | ¥+57,452 |
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### 信号加权
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| 模式 | 数量 | 平均盈利 | 最优盈利 |
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|------|------|---------|--------|
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| 等权 | 12 | ¥+9,208 | ¥+12,809 |
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| 加权 | 48 | ¥+24,220 | ¥+68,330 |
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### 止损线
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| 止损 | 数量 | 平均盈利 | 最优盈利 |
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|------|------|---------|--------|
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| 6% | 16 | ¥+36,914 | ¥+68,330 |
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| 8% | 14 | ¥+24,955 | ¥+48,554 |
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| 10% | 18 | ¥+11,668 | ¥+17,066 |
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| 12% | 12 | ¥+10,254 | ¥+23,782 |
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