freedakgmail
196 lines
13 KiB
Markdown
196 lines
13 KiB
Markdown
# 💰 20万本金 × 按季度投资 × 多算法对比回测
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> 生成时间: 2026-02-25 21:09
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## 回测配置 (v5.2 动态仓位)
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| 参数 | 值 |
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|------|----|
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| 本金 | ¥200,000 (唯一约束) |
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| 单只上限 | 无（受总资金约束） |
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| 最大持仓 | 无（受总资金约束） |
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| 每笔仓位 | 动态: 总资金×5% = ¥10,000/笔 |
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| 每笔股数 | 动态（根据股价自动计算，取整到100股） |
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| 股价区间 | 无 |
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| 每日最多买入 | 无 |
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| 冷却期 | 3天 |
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| 年化方法 | <90天用简单(S)，≥90天用复利CAGR(C) |
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## 算法说明
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| # | 算法 | 参数说明 |
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|---|------|--------|
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| 1 | v3|基线(TP10+SL8) | take_profit_pct=10, stop_loss_pct=8 |
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| 2 | v4|触发≥2+TP10+SL8 | min_buy_triggered=2, take_profit_pct=10, stop_loss_pct=8 |
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| 3 | v4.2|延迟2天+TP10+SL8 | sell_confirm_days=2, take_profit_pct=10, stop_loss_pct=8 |
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| 4 | v4|忽略卖出+TP10+SL8 | ignore_sell_signal=True, take_profit_pct=10, stop_loss_pct=8 |
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| 5 | v4|触发≥2+TP15+SL8 | min_buy_triggered=2, take_profit_pct=15, stop_loss_pct=8 |
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| 6 | v4|触发≥2+TP10+SL5 | min_buy_triggered=2, take_profit_pct=10, stop_loss_pct=5 |
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| 7 | v4.2|延迟2天+触发≥2+TP10+SL8 | sell_confirm_days=2, min_buy_triggered=2, take_profit_pct=10, stop_loss_pct=8 |
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| 8 | v4.1|跟踪止盈8/3+SL5 | ignore_sell_signal=True, trailing_start_pct=8, trailing_gap_pct=3, stop_loss_pct=5 |
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| 9 | v4.1|跟踪止盈8/3+触发≥2+SL5 | ignore_sell_signal=True, trailing_start_pct=8, trailing_gap_pct=3, stop_loss_pct=5, min_buy_triggered=2 |
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| 10 | v4|触发≥2+TP10+SL8+持仓≤30天 | min_buy_triggered=2, take_profit_pct=10, stop_loss_pct=8, max_hold_days=30 |
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| 11 | v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | sell_confirm_days=2, min_buy_triggered=2, take_profit_pct=10, stop_loss_pct=8, signal_weight=True |
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| 12 | v5.2|忽略卖出+TP10+SL8+信号加权 | ignore_sell_signal=True, take_profit_pct=10, stop_loss_pct=8, signal_weight=True |
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| 13 | v5.2|跟踪止盈8/3+SL5+信号加权 | ignore_sell_signal=True, trailing_start_pct=8, trailing_gap_pct=3, stop_loss_pct=5, signal_weight=True |
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## 一、盈亏对比(元)
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| 算法 | 2025-Q1 | 2025-Q2 | 2025-Q3 | 2025-Q4 | 2026-Q1 | 全期间 |
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|------|--------|--------|--------|--------|--------|--------|
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| v3|基线(TP10+SL8) | -5,413 | +726 | +8,865 | -23,015 | +19,566 | +10,128 |
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| v4|触发≥2+TP10+SL8 | +235 | +0 | +9,380 | +3,954 | +15,138 | +38,214 |
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| v4.2|延迟2天+TP10+SL8 | -7,253 | +726 | +8,510 | -14,404 | +20,594 | +24,818 |
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| v4|忽略卖出+TP10+SL8 | -7,469 | +726 | +18,660 | -12,454 | +21,573 | +46,303 |
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| v4|触发≥2+TP15+SL8 | +235 | +0 | +7,064 | +95 | +13,126 | +31,840 |
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| v4|触发≥2+TP10+SL5 | +235 | +0 | +4,319 | +3,500 | +9,442 | +28,637 |
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| v4.2|延迟2天+触发≥2+TP10+SL8 | -1,605 | +0 | +12,402 | +8 | +13,774 | +34,754 |
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| v4.1|跟踪止盈8/3+SL5 | -4,934 | +726 | +4,990 | -4,034 | +13,361 | -18,546 |
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| v4.1|跟踪止盈8/3+触发≥2+SL5 | -2,609 | +0 | +20,002 | +2,733 | +7,244 | +43,784 |
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| v4|触发≥2+TP10+SL8+持仓≤30天 | +235 | +0 | +8,976 | +4,491 | +15,318 | +36,754 |
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| v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | -2,010 | +0 | +17,160 | -713 | +22,334 | +44,039 |
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| v5.2|忽略卖出+TP10+SL8+信号加权 | -8,369 | +726 | +29,224 | -16,560 | +20,517 | +56,375 |
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| v5.2|跟踪止盈8/3+SL5+信号加权 | -5,591 | +726 | +12,802 | -6,054 | +10,585 | -14,492 |
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## 二、真实收益率(%)
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| 算法 | 2025-Q1 | 2025-Q2 | 2025-Q3 | 2025-Q4 | 2026-Q1 | 全期间 |
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|------|--------|--------|--------|--------|--------|--------|
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| v3|基线(TP10+SL8) | -18.2% | +3.6% | +4.2% | -11.2% | +9.0% | +4.4% |
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| v4|触发≥2+TP10+SL8 | +2.4% | +0.0% | +5.4% | +1.9% | +7.8% | +17.2% |
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| v4.2|延迟2天+TP10+SL8 | -24.4% | +3.6% | +4.0% | -7.0% | +9.6% | +10.5% |
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| v4|忽略卖出+TP10+SL8 | -25.1% | +3.6% | +8.2% | -5.9% | +9.7% | +18.5% |
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| v4|触发≥2+TP15+SL8 | +2.4% | +0.0% | +3.9% | +0.1% | +6.3% | +14.8% |
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| v4|触发≥2+TP10+SL5 | +2.4% | +0.0% | +2.8% | +1.7% | +5.2% | +13.2% |
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| v4.2|延迟2天+触发≥2+TP10+SL8 | -16.1% | +0.0% | +6.8% | +0.0% | +6.5% | +15.4% |
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| v4.1|跟踪止盈8/3+SL5 | -16.6% | +3.6% | +2.3% | -2.0% | +6.4% | -8.9% |
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| v4.1|跟踪止盈8/3+触发≥2+SL5 | -26.2% | +0.0% | +10.2% | +1.4% | +3.5% | +18.1% |
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| v4|触发≥2+TP10+SL8+持仓≤30天 | +2.4% | +0.0% | +5.2% | +2.2% | +7.9% | +16.5% |
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| v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | -13.6% | +0.0% | +8.6% | -0.3% | +10.7% | +19.1% |
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| v5.2|忽略卖出+TP10+SL8+信号加权 | -26.4% | +3.6% | +12.5% | -7.8% | +9.3% | +21.5% |
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| v5.2|跟踪止盈8/3+SL5+信号加权 | -18.9% | +3.6% | +5.8% | -3.0% | +5.1% | -6.8% |
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## 三、年化收益率(%)
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> (S)=简单年化(<90天)，(C)=复利CAGR(≥90天)
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| 算法 | 2025-Q1 | 2025-Q2 | 2025-Q3 | 2025-Q4 | 2026-Q1 | 全期间 |
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|------|--------|--------|--------|--------|--------|--------|
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| v3|基线(TP10+SL8) | -75.6%(S) | +15.6%(C) | +17.9%(C) | -37.9%(C) | +64.5%(S) | +3.9%(C) |
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| v4|触发≥2+TP10+SL8 | +9.8%(S) | +0.0%(C) | +23.6%(C) | +8.0%(C) | +56.1%(S) | +14.8%(C) |
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| v4.2|延迟2天+TP10+SL8 | -101.3%(S) | +15.6%(C) | +17.1%(C) | -25.3%(C) | +68.7%(S) | +9.1%(C) |
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| v4|忽略卖出+TP10+SL8 | -104.3%(S) | +15.6%(C) | +37.1%(C) | -21.7%(C) | +69.7%(S) | +15.9%(C) |
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| v4|触发≥2+TP15+SL8 | +9.8%(S) | +0.0%(C) | +16.5%(C) | +0.2%(C) | +45.1%(S) | +12.8%(C) |
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| v4|触发≥2+TP10+SL5 | +9.8%(S) | +0.0%(C) | +11.7%(C) | +7.1%(C) | +37.5%(S) | +11.4%(C) |
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| v4.2|延迟2天+触发≥2+TP10+SL8 | -66.9%(S) | +0.0%(C) | +30.1%(C) | +0.0%(C) | +46.7%(S) | +13.3%(C) |
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| v4.1|跟踪止盈8/3+SL5 | -69.0%(S) | +15.6%(C) | +9.6%(C) | -7.8%(C) | +45.6%(S) | -7.8%(C) |
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| v4.1|跟踪止盈8/3+触发≥2+SL5 | -108.8%(S) | +0.0%(C) | +47.6%(C) | +5.5%(C) | +25.3%(S) | +15.6%(C) |
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| v4|触发≥2+TP10+SL8+持仓≤30天 | +9.8%(S) | +0.0%(C) | +22.6%(C) | +9.2%(C) | +56.8%(S) | +14.2%(C) |
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| v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | -56.4%(S) | +0.0%(C) | +39.1%(C) | -1.4%(C) | +76.2%(S) | +16.4%(C) |
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| v5.2|忽略卖出+TP10+SL8+信号加权 | -109.6%(S) | +15.6%(C) | +60.4%(C) | -27.9%(C) | +66.4%(S) | +18.5%(C) |
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| v5.2|跟踪止盈8/3+SL5+信号加权 | -78.2%(S) | +15.6%(C) | +25.3%(C) | -11.4%(C) | +36.2%(S) | -5.9%(C) |
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## 四、胜率(%)
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| 算法 | 2025-Q1 | 2025-Q2 | 2025-Q3 | 2025-Q4 | 2026-Q1 | 全期间 |
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|------|--------|--------|--------|--------|--------|--------|
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| v3|基线(TP10+SL8) | 11.1% | 100.0% | 42.4% | 41.9% | 53.1% | 45.0% |
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| v4|触发≥2+TP10+SL8 | 25.0% | 0.0% | 42.6% | 44.8% | 49.3% | 44.9% |
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| v4.2|延迟2天+TP10+SL8 | 11.1% | 100.0% | 45.5% | 40.8% | 56.7% | 47.8% |
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| v4|忽略卖出+TP10+SL8 | 11.1% | 100.0% | 53.1% | 40.7% | 67.1% | 59.8% |
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| v4|触发≥2+TP15+SL8 | 25.0% | 0.0% | 42.6% | 38.2% | 45.5% | 41.2% |
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| v4|触发≥2+TP10+SL5 | 25.0% | 0.0% | 38.2% | 41.7% | 44.4% | 41.2% |
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| v4.2|延迟2天+触发≥2+TP10+SL8 | 25.0% | 0.0% | 47.1% | 43.2% | 50.8% | 44.3% |
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| v4.1|跟踪止盈8/3+SL5 | 30.0% | 100.0% | 46.8% | 39.8% | 61.2% | 43.3% |
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| v4.1|跟踪止盈8/3+触发≥2+SL5 | 25.0% | 0.0% | 54.7% | 45.1% | 48.4% | 48.5% |
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| v4|触发≥2+TP10+SL8+持仓≤30天 | 25.0% | 0.0% | 42.6% | 44.6% | 49.3% | 46.1% |
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| v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | 25.0% | 0.0% | 47.0% | 43.3% | 52.5% | 44.8% |
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| v5.2|忽略卖出+TP10+SL8+信号加权 | 11.1% | 100.0% | 57.5% | 42.9% | 66.1% | 61.2% |
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| v5.2|跟踪止盈8/3+SL5+信号加权 | 30.0% | 100.0% | 45.6% | 39.6% | 56.2% | 44.2% |
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## 五、盈亏比
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| 算法 | 2025-Q1 | 2025-Q2 | 2025-Q3 | 2025-Q4 | 2026-Q1 | 全期间 |
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|------|--------|--------|--------|--------|--------|--------|
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| v3|基线(TP10+SL8) | 0.26 | 999.99 | 1.36 | 1.14 | 3.16 | 1.43 |
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| v4|触发≥2+TP10+SL8 | 1.15 | 999.99 | 1.72 | 1.14 | 2.12 | 1.66 |
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| v4.2|延迟2天+TP10+SL8 | 0.21 | 999.99 | 1.32 | 1.23 | 3.25 | 1.55 |
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| v4|忽略卖出+TP10+SL8 | 0.20 | 999.99 | 2.22 | 1.27 | 4.53 | 2.16 |
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| v4|触发≥2+TP15+SL8 | 1.15 | 999.99 | 1.54 | 1.00 | 2.02 | 1.58 |
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| v4|触发≥2+TP10+SL5 | 1.15 | 999.99 | 1.30 | 1.12 | 1.64 | 1.48 |
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| v4.2|延迟2天+触发≥2+TP10+SL8 | 0.54 | 999.99 | 1.93 | 1.00 | 1.91 | 1.56 |
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| v4.1|跟踪止盈8/3+SL5 | 0.35 | 999.99 | 1.20 | 0.87 | 2.48 | 1.03 |
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| v4.1|跟踪止盈8/3+触发≥2+SL5 | 0.27 | 999.99 | 2.51 | 1.12 | 1.54 | 1.76 |
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| v4|触发≥2+TP10+SL8+持仓≤30天 | 1.15 | 999.99 | 1.69 | 1.16 | 2.14 | 1.63 |
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| v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | 0.53 | 999.99 | 2.07 | 0.98 | 2.87 | 1.62 |
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| v5.2|忽略卖出+TP10+SL8+信号加权 | 0.19 | 999.99 | 3.29 | 1.19 | 4.08 | 2.30 |
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| v5.2|跟踪止盈8/3+SL5+信号加权 | 0.34 | 999.99 | 1.69 | 0.82 | 1.94 | 1.10 |
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## 六、最大占用资金(元)
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| 算法 | 2025-Q1 | 2025-Q2 | 2025-Q3 | 2025-Q4 | 2026-Q1 | 全期间 |
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|------|--------|--------|--------|--------|--------|--------|
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| v3|基线(TP10+SL8) | ¥29,692 | ¥19,956 | ¥210,978 | ¥205,770 | ¥217,079 | ¥228,420 |
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| v4|触发≥2+TP10+SL8 | ¥9,950 | ¥0 | ¥172,570 | ¥203,834 | ¥193,078 | ¥222,459 |
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| v4.2|延迟2天+TP10+SL8 | ¥29,692 | ¥19,956 | ¥211,691 | ¥205,436 | ¥214,508 | ¥235,524 |
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| v4|忽略卖出+TP10+SL8 | ¥29,692 | ¥19,956 | ¥227,716 | ¥210,810 | ¥221,473 | ¥250,123 |
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| v4|触发≥2+TP15+SL8 | ¥9,950 | ¥0 | ¥181,564 | ¥200,470 | ¥208,478 | ¥215,200 |
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| v4|触发≥2+TP10+SL5 | ¥9,950 | ¥0 | ¥154,230 | ¥202,104 | ¥180,278 | ¥217,594 |
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| v4.2|延迟2天+触发≥2+TP10+SL8 | ¥9,950 | ¥0 | ¥182,934 | ¥201,774 | ¥211,020 | ¥226,260 |
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| v4.1|跟踪止盈8/3+SL5 | ¥29,668 | ¥19,956 | ¥215,702 | ¥202,549 | ¥209,646 | ¥208,376 |
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| v4.1|跟踪止盈8/3+触发≥2+SL5 | ¥9,950 | ¥0 | ¥196,167 | ¥202,462 | ¥204,924 | ¥241,644 |
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| v4|触发≥2+TP10+SL8+持仓≤30天 | ¥9,950 | ¥0 | ¥172,570 | ¥203,454 | ¥193,078 | ¥222,686 |
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| v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | ¥14,778 | ¥0 | ¥200,032 | ¥204,190 | ¥209,762 | ¥230,860 |
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| v5.2|忽略卖出+TP10+SL8+信号加权 | ¥31,682 | ¥19,956 | ¥233,843 | ¥211,248 | ¥221,145 | ¥262,252 |
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| v5.2|跟踪止盈8/3+SL5+信号加权 | ¥29,668 | ¥19,956 | ¥221,058 | ¥203,087 | ¥209,122 | ¥214,326 |
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## 七、🏆 各季度最优算法
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| 季度 | 最优算法 | 盈利(元) | 真实收益 | 年化 | 胜率 | 盈亏比 |
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|------|---------|---------|---------|------|------|--------|
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| 2025-Q1 | **v4|触发≥2+TP10+SL8** | +235 | +2.4% | +9.8%(S) | 25.0% | 1.15 |
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| 2025-Q2 | **v3|基线(TP10+SL8)** | +726 | +3.6% | +15.6%(C) | 100.0% | 999.99 |
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| 2025-Q3 | **v5.2|忽略卖出+TP10+SL8+信号加权** | +29,224 | +12.5% | +60.4%(C) | 57.5% | 3.29 |
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| 2025-Q4 | **v4|触发≥2+TP10+SL8+持仓≤30天** | +4,491 | +2.2% | +9.2%(C) | 44.6% | 1.16 |
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| 2026-Q1 | **v5.2|延迟2天+触发≥2+TP10+SL8+信号加权** | +22,334 | +10.7% | +76.2%(S) | 52.5% | 2.87 |
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| 全期间 | **v5.2|忽略卖出+TP10+SL8+信号加权** | +56,375 | +21.5% | +18.5%(C) | 61.2% | 2.30 |
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## 八、算法全期间总收益排名
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| 排名 | 算法 | 全期间盈利 | 真实收益 | 年化(CAGR) | 胜率 | 盈亏比 | 最大回撤 | 占用资金 |
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|------|------|----------|---------|-----------|------|--------|---------|--------|
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| 🏆 | v5.2|忽略卖出+TP10+SL8+信号加权 | +56,375 | +21.5% | +18.5% | 61.2% | 2.30 | 7.9% | ¥262,252 |
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| 🥈 | v4|忽略卖出+TP10+SL8 | +46,303 | +18.5% | +15.9% | 59.8% | 2.16 | 7.7% | ¥250,123 |
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| 🥉 | v5.2|延迟2天+触发≥2+TP10+SL8+信号加权 | +44,039 | +19.1% | +16.4% | 44.8% | 1.62 | 8.4% | ¥230,860 |
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| #4 | v4.1|跟踪止盈8/3+触发≥2+SL5 | +43,784 | +18.1% | +15.6% | 48.5% | 1.76 | 5.0% | ¥241,644 |
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| #5 | v4|触发≥2+TP10+SL8 | +38,214 | +17.2% | +14.8% | 44.9% | 1.66 | 4.9% | ¥222,459 |
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| #6 | v4|触发≥2+TP10+SL8+持仓≤30天 | +36,754 | +16.5% | +14.2% | 46.1% | 1.63 | 4.5% | ¥222,686 |
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| #7 | v4.2|延迟2天+触发≥2+TP10+SL8 | +34,754 | +15.4% | +13.3% | 44.3% | 1.56 | 7.0% | ¥226,260 |
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| #8 | v4|触发≥2+TP15+SL8 | +31,840 | +14.8% | +12.8% | 41.2% | 1.58 | 4.9% | ¥215,200 |
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| #9 | v4|触发≥2+TP10+SL5 | +28,637 | +13.2% | +11.4% | 41.2% | 1.48 | 5.0% | ¥217,594 |
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| #10 | v4.2|延迟2天+TP10+SL8 | +24,818 | +10.5% | +9.1% | 47.8% | 1.55 | 10.5% | ¥235,524 |
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| #11 | v3|基线(TP10+SL8) | +10,128 | +4.4% | +3.9% | 45.0% | 1.43 | 15.3% | ¥228,420 |
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| #12 | v5.2|跟踪止盈8/3+SL5+信号加权 | -14,492 | -6.8% | -5.9% | 44.2% | 1.10 | 20.7% | ¥214,326 |
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| #13 | v4.1|跟踪止盈8/3+SL5 | -18,546 | -8.9% | -7.8% | 43.3% | 1.03 | 21.9% | ¥208,376 |
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## 九、分析结论
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### 🏆 全期间最优算法: v5.2|忽略卖出+TP10+SL8+信号加权
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- 总盈利: **¥+56,375**
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- 真实收益率: **+21.5%**
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- 年化收益率: **+18.5%**
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- 胜率: **61.2%**
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- 盈亏比: **2.30**
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- 最大回撤: **7.9%**
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- 最大占用资金: **¥262,252**（131%本金利用率）
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### 回报对比
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| 投资方式 | 年化收益 | 20万本金一年收益 |
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|---------|---------|----------------|
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| 银行定存 | 2.5% | ¥5,000 |
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| 余额宝 | 1.8% | ¥3,600 |
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| **本算法** | **+18.5%** | **¥+56,375**(实际) |
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