85 lines
8.3 KiB
Plaintext
85 lines
8.3 KiB
Plaintext
回测区间 2025-12-22 ~ 2026-09-18 (182 个交易日)
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== 数据 ==
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588000.SH bars=242 20250919..20260918 区间涨跌=+21.87%
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510300.SH bars=242 20250919..20260918 区间涨跌=-0.48%
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518880.SH bars=242 20250919..20260918 区间涨跌=+14.07%
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== 三种成交模型的组合结果 ==
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mode net ret% maxDD% base add exit lvl fees util% maxDep
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touch -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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bounce -28229.46 1.685 0.558 28 5 27 0 343.75 3.40 89248
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close -110743.34 -0.510 1.676 15 6 13 0 197.34 6.71 124144
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== 逐标的归因 ==
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588000.SH 轮次=12 已了结+未了结成本= 2011.94 未实现= 0.00 按市价= 2011.94 （未了结 0 股，成本 0.00）
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510300.SH 轮次=13 已了结+未了结成本=-15961.17 未实现= -155.14 按市价=-16116.31 （未了结 4000 股，成本 18483.14）
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518880.SH 轮次= 7 已了结+未了结成本= 1732.07 未实现= 0.00 按市价= 1732.07 （未了结 0 股，成本 0.00）
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按成本口径合计=-12217.16 ←→ 权益变动=6110.84（应相等）
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按市价口径合计=-12372.31 = 权益变动 6110.84 + 未实现 -155.14 - 持仓成本 18483.14
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== 敏感性 ==
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label net ret% maxDD% base add exit lvl fees util% maxDep
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基准（当前 _etf.yaml） -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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add_pct=2.0 -30799.95 1.171 0.362 32 4 31 0 378.00 2.78 53968
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add_pct=4.0 -12533.69 1.159 0.356 33 3 32 0 382.15 2.37 68020
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add_pct=5.0 -13223.75 1.021 0.412 31 1 30 0 339.29 2.71 50104
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min_profit_pct=0.5 -14852.61 0.695 0.498 41 4 40 0 477.22 1.56 87052
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min_profit_pct=0.8 -13107.19 1.044 0.486 37 4 36 0 432.96 1.80 87052
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min_profit_pct=1.5 -11767.41 1.312 0.438 23 4 22 0 284.56 3.21 68020
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min_profit_pct=2.0 -30665.81 1.136 0.448 19 5 17 2 246.20 3.96 68982
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channel_pct=10.0 -12977.28 1.070 1.289 27 6 26 0 349.58 5.46 138530
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channel_pct=20.0 -31076.06 1.116 0.480 28 6 27 0 352.61 3.25 71464
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channel_pct=30.0 -13548.26 0.956 0.381 23 4 22 0 295.36 2.53 56244
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max_adds=3 -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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max_adds=5 -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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max_adds=15 -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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佣金率=0.0 -12178.48 1.230 0.478 33 5 32 0 350.00 2.24 87052
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佣金率=0.0003 -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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佣金率=0.001 -12684.39 1.129 0.491 32 6 31 0 1317.22 2.33 87052
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无副出口 -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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成交=反弹确认价（贴近实盘） -28229.46 1.685 0.558 28 5 27 0 343.75 3.40 89248
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成交=当日收盘价（悲观） -110743.34 -0.510 1.676 15 6 13 0 197.34 6.71 124144
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无 T+1 限制（min_hold_days=0） -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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inner_step=0.2（副出口可达） -12479.32 1.170 0.478 35 5 34 1 423.10 2.01 87052
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inner_step=0.4（副出口可达） -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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buy_shares×0.25 -3163.36 0.284 0.124 32 6 31 0 345.35 0.58 21763
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buy_shares×0.5 -6086.81 0.615 0.242 33 6 32 0 361.83 1.11 43526
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buy_shares×2.0 -24429.60 2.445 0.952 33 5 32 0 790.55 4.49 174104
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atr_multiplier×0.5（仅格距） -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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atr_multiplier×2.0（仅格距） -12217.16 1.222 0.478 33 5 32 0 401.79 2.24 87052
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channel_pct=1（贴近区间下沿） -14730.49 0.658 0.677 23 4 22 0 283.33 3.07 79608
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== 完整轮次明细 ==
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2026-01-21 → 2026-01-29 510300.SH 8天 档位=1 买= 18918.20 卖= 19113.11 净利= 183.50 收益率= 0.970%
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2026-01-30 → 2026-02-10 510300.SH 11天 档位=1 买= 18761.80 卖= 18955.10 净利= 181.99 收益率= 0.970%
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2026-03-05 → 2026-03-06 588000.SH 1天 档位=1 买= 14788.00 卖= 14940.93 净利= 142.93 收益率= 0.967%
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2026-03-09 → 2026-03-10 510300.SH 1天 档位=1 买= 18370.80 卖= 18560.07 净利= 178.20 收益率= 0.970%
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2026-03-09 → 2026-03-10 588000.SH 1天 档位=1 买= 14486.00 卖= 14635.91 净利= 139.91 收益率= 0.966%
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2026-03-12 → 2026-03-13 588000.SH 1天 档位=1 买= 14465.00 卖= 14614.70 净利= 139.70 收益率= 0.966%
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2026-03-16 → 2026-03-17 588000.SH 1天 档位=1 买= 14431.00 卖= 14580.36 净利= 139.36 收益率= 0.966%
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2026-03-24 → 2026-03-25 518880.SH 1天 档位=1 买= 18565.90 卖= 18757.18 净利= 180.09 收益率= 0.970%
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2026-03-19 → 2026-04-08 510300.SH 20天 档位=2 买= 36190.48 卖= 36563.35 净利= 351.04 收益率= 0.970%
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2026-03-18 → 2026-04-10 588000.SH 23天 档位=2 买= 28429.07 卖= 28723.46 净利= 275.77 收益率= 0.970%
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2026-04-28 → 2026-05-07 518880.SH 9天 档位=1 买= 19435.60 卖= 19635.84 净利= 188.52 收益率= 0.970%
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2026-05-22 → 2026-05-25 518880.SH 3天 档位=1 买= 18866.80 卖= 19061.18 净利= 183.01 收益率= 0.970%
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2026-06-09 → 2026-06-10 510300.SH 1天 档位=1 买= 18991.47 卖= 19187.14 净利= 184.22 收益率= 0.970%
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2026-06-11 → 2026-06-12 510300.SH 1天 档位=1 买= 19002.40 卖= 19198.18 净利= 184.32 收益率= 0.970%
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2026-06-05 → 2026-06-15 518880.SH 10天 档位=4 买= 70565.57 卖= 71292.61 净利= 684.48 收益率= 0.970%
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2026-06-29 → 2026-07-03 518880.SH 4天 档位=1 买= 16878.10 卖= 17052.00 净利= 163.72 收益率= 0.970%
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2026-07-14 → 2026-07-15 510300.SH 1天 档位=1 买= 19023.40 卖= 19219.40 净利= 184.53 收益率= 0.970%
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2026-07-20 → 2026-07-21 510300.SH 1天 档位=1 买= 18513.40 卖= 18704.14 净利= 179.58 收益率= 0.970%
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2026-07-14 → 2026-07-21 518880.SH 7天 档位=1 买= 16676.60 卖= 16848.42 净利= 161.76 收益率= 0.970%
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2026-07-21 → 2026-07-22 588000.SH 1天 档位=1 买= 18349.50 卖= 18538.55 净利= 177.99 收益率= 0.970%
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2026-07-27 → 2026-07-28 588000.SH 1天 档位=1 买= 18349.50 卖= 18538.55 净利= 177.99 收益率= 0.970%
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2026-07-28 → 2026-07-29 510300.SH 1天 档位=1 买= 18488.80 卖= 18679.29 净利= 179.34 收益率= 0.970%
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2026-07-30 → 2026-07-31 510300.SH 1天 档位=1 买= 18391.80 卖= 18581.29 净利= 178.40 收益率= 0.970%
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2026-08-03 → 2026-08-04 510300.SH 1天 档位=1 买= 18391.80 卖= 18581.29 净利= 178.40 收益率= 0.970%
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2026-08-05 → 2026-08-06 588000.SH 1天 档位=1 买= 17476.50 卖= 17656.56 净利= 169.52 收益率= 0.970%
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2026-08-24 → 2026-08-25 588000.SH 1天 档位=1 买= 16746.00 卖= 16918.53 净利= 162.43 收益率= 0.970%
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2026-08-31 → 2026-09-01 510300.SH 1天 档位=1 买= 18477.60 卖= 18667.97 净利= 179.23 收益率= 0.970%
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2026-09-02 → 2026-09-04 510300.SH 2天 档位=1 买= 18477.60 卖= 18667.97 净利= 179.23 收益率= 0.970%
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2026-09-03 → 2026-09-04 588000.SH 1天 档位=1 买= 16882.00 卖= 17055.94 净利= 163.75 收益率= 0.970%
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2026-09-07 → 2026-09-08 588000.SH 1天 档位=1 买= 16882.00 卖= 17055.94 净利= 163.75 收益率= 0.970%
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2026-09-15 → 2026-09-16 588000.SH 1天 档位=1 买= 16377.50 卖= 16546.33 净利= 158.83 收益率= 0.970%
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2026-09-17 → 2026-09-18 518880.SH 1天 档位=1 买= 17577.03 卖= 17758.13 净利= 170.50 收益率= 0.970% |