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策略研究2026-10-22 · 文件更新于 2026-10-22 20:16(UTC+8)
这是团队内部研究日志的原文,用于纸面(虚拟资金)实验。文中的方向判断和「预案」只针对模拟账户,不是投资建议或交易信号。内部文件路径和个人信息已隐去。

跨币种检验(BTC)+ 55/27/2 风险版最坏情况

0. 规则(与 ETH 完全相同,没有改动)

1. 结论

1.1 BTC 上没有任何候选合格(ETH 上也是 0 个)

候选 ETH 未过项 BTC 未过项 BTC 关键数字(永续含资金费)
D 55/27/2 只有 Q5 Q2(全样本回撤)、Q5 样本外 +33.1%,持有 +6.4%;样本外回撤 −19.3%,持有 −54.7%;全样本回撤 −48.0%,持有 −78.0%,阈值是 −46.8%,超出 1.2 个百分点;邻域通过率 25%;21 笔(样本不足);资金费占毛收益 17.4%;窗口期贡献的对数收益占比 10.1%
C3 波动率目标 + 趋势 Q2、Q3 Q2(样本外回撤)、Q4、Q5 样本外 +28.2%,持有 +6.4%;样本外回撤 −34.8%,持有 −54.7%,阈值 −32.8%;全样本回撤 −42.2% ✓;剔除窗口后 +85.3% / −42.2% ✓;邻域 31%;37 笔,样本外 14 笔;资金费占毛收益 22.1%
C1 SMA200 Q2、Q3 Q2 样本外 +22.6%,持有 +6.4%;全样本回撤 −64.2%,持有 −78.0%;26 笔(样本不足)
C2 4h EMA200 Q2、Q3、Q5 Q1–Q5 全部未过 样本外 −21.7%,持有 +6.0%;1.2% 成本下 −51.1%(脆弱)。在 ETH 上的好表现在 BTC 上不成立
C4 纯波动率目标 全部 Q2–Q5 样本外与持有相同(+6.4%),回撤也相同。这条规则基本一直满仓,没有降低回撤
C5 唐奇安 20/10/3 Q2–Q5 Q2、Q4、Q5 样本外 +16.0%,持有 +6.4%;全样本回撤 −58.0%

1.2 55/27/2 在 BTC 上是否成立:方向成立,按标准不合格

年份 策略 持有
2021 −5.7% +28.1%
2022 −9.4% −67.3%
2023 +32.7% +136.4%
2024 +52.1% +99.4%
2025 +2.3% −13.2%
2026 −4.4% −8.5%

与 ETH 的模式一样:牛市年大幅跑输,熊市年少亏。 - 用程序自己的 walk-forward 选参流程做真正的样本外(〔内部文件〕 表 D,按程序口径): - 现货(2023-07-11 起):+29.4%,同期持有 +178.0%;回撤 −31.1%,持有 −53.3%。 - 永续价格(2022-12-30 起,不计资金费):+41.8%,持有 +407.1%。 - 结论:在 BTC 这轮大牛市里,选参流程版本的收益远远跑输持有。回撤约为持有的 0.56–0.58,也只是勉强"更小"。 - 当前最新选参:现货是 [55,27,2],永续价格是 [55,27,5],两种口径不一致。 - 可能错在哪: 1. 只差 1.2 个百分点就判不合格,结果对资金费的近似方法很敏感。资金费是按每根 K 线开盘时的名义金额算的。 2. 21 笔交易,样本不足。 3. BTC 后 1/3 期间持有只涨了 +6.4%,"跑赢持有"的门槛很低。 4. BTC 和 ETH 高度相关,所以这不是一次独立的复现,只算半个独立样本。

1.3 C3 在 BTC 上是否成立:不成立

1.4 任务 2:55/27/2 风险版(单笔风险 0.5%,已含 0.6% 成本,名义 ≤ 10%)的最坏情况

完整数据见 §附 表 4。下面摘录 0.6% 成本的结果;1.2% 成本见表 4。

品种 / 口径 版本 区间 收益 最大回撤(持续天数) 笔数 最长连亏(笔数 / 累计) 最差单笔占账户 亏损超过 0.5% 的笔数
ETH 现货 固定参数 全样本 2021-11-27 起 +6.03% −1.71%(282 天) 17 2 / −0.85% −0.58% 2
ETH 现货 固定参数 后 1/3 +4.52% −0.96%(373 天) 6 1 / −0.42% −0.42% 0
ETH 永续含资金费 固定参数 全样本 2020-12-11 起 +8.28% −1.66%(394 天) 23 2 / −0.86% −0.59% 4
ETH 永续含资金费 固定参数 后 1/3 +4.18% −0.96%(373 天) 6 1 / −0.41% −0.41% 0
ETH 现货 WF 选参流程 2023-07-10 起 +6.13% −2.02%(402 天) 16 3 / −1.48% −0.67% 2
ETH 永续含资金费 WF 选参流程 2022-12-30 起 +4.23% −2.30%(456 天) 23 5 / −1.38% −0.72% 4
BTC 现货 固定参数 全样本 +6.17% −1.89%(295 天) 16 3 / −1.12% −0.62% 4
BTC 永续含资金费 固定参数 全样本 +7.70% −2.81%(1,060 天) 21 3 / −1.13% −0.76% 7
BTC 永续含资金费 WF 选参流程 2022-12-30 起 +2.37% −2.55%(464 天,未修复) 13 4 / −1.90% −0.66% 4

2. ETH vs BTC 要点

3. 试验计数(脚本计数器,已与 JSON 核对)

4. 主要风险

  1. 样本少:所有唐奇安类候选都不到 30 笔,后 1/3 只有 6 笔。
  2. ETH 和 BTC 高度相关,所以 BTC 只能算半个独立样本。
  3. 后 1/3 区间里持有的表现很弱(ETH −13.5%,BTC +6.4%),"跑赢持有"的门槛偏低。
  4. 资金费按 K 线开盘时的名义金额近似计算;BTC 的 D 正好卡在 Q2 的阈值附近。
  5. 止损是收盘确认、次日开盘离场,单笔亏损会超过 0.5% 的预算;历史上最差 −0.79%,样本外的跳空可能更大。
  6. 程序 walk-forward 选参在 BTC 牛市中大幅跑输持有。如果程序按选参流程运行,牛市里会明显少赚。
  7. ETH 报告的勘误(这份报告不改,留给主管处理):〔内部文件〕 表 D 第二行写的是"永续日线·含资金费",应为"永续日线价格(不计资金费)"。数字本身没有错。

附 A:ETH vs BTC 对照表与 55/27/2 风险版最坏情况表(〔内部文件〕 生成)

表1 ETH vs BTC 判定对照(主口径永续含资金费;规则 Q1–Q5 两品种完全相同)

候选 品种 OOS 收益 vs 持有 OOS MDD vs 持有 全样本 MDD vs 持有 剔除窗口·逐根 收益/MDD 现货(复核)OOS 收益/MDD vs 持有 邻域 笔数 全/OOS 资金费/毛收益 窗口对数占比 1.2% OOS 未过 判定
C1_日线SMA趋势持有 ETH +7.7% vs -13.5% -40.9% vs -69.0% -63.0% vs -80.4% +44.6%/-49.5%(持有 -39.4%/-80.4%) +17.5%/-39.6% vs +0.1%/-67.4% 50.0% 16/6·不足 31.0% 窗口-29.0% +4.2% Q2、Q3 不符合
C1_日线SMA趋势持有 BTC +22.6% vs +6.4% -32.5% vs -54.7% -64.2% vs -78.0% +68.3%/-45.1%(持有 +50.6%/-77.9%) +31.5%/-31.2% vs +18.6%/-53.3% 50.0% 26/8·不足 39.2% 窗口-43.9% +16.8% Q2 不符合
C2_4h_EMA趋势持有 ETH +91.7% vs -13.3% -41.5% vs -69.6% -49.6% vs -81.9% +119.6%/-49.6%(持有 -39.2%/-81.9%) +106.1%/-40.8% vs +0.1%/-68.0% 25.0% 172/53 10.9% 61.2% +39.4% Q2、Q3、Q5 不符合
C2_4h_EMA趋势持有 BTC -21.7% vs +6.0% -54.3% vs -54.9% -55.5% vs -78.8% +43.7%/-55.5%(持有 +50.1%/-78.5%) -18.6%/-53.7% vs +18.1%/-53.4% 0.0% 185/78 14.4% 55.1% -51.1%(脆弱) Q1、Q2、Q3、Q4、Q5 不符合
C3_日线波动率目标+SMA趋势 ETH +44.2% vs -13.5% -37.8% vs -69.0% -57.3% vs -80.4% +6.7%/-57.3%(持有 -39.4%/-80.4%) +64.9%/-36.7% vs +0.1%/-67.4% 81.2% 40/11 27.4% 77.8% +35.3% Q2、Q3 不符合
C3_日线波动率目标+SMA趋势 BTC +28.2% vs +6.4% -34.8% vs -54.7% -42.2% vs -78.0% +85.3%/-42.2%(持有 +50.6%/-77.9%) +31.4%/-36.2% vs +18.6%/-53.3% 31.2% 37/14 22.1% 6.9% +17.8% Q2、Q4、Q5 不符合
C4_日线纯波动率目标 ETH -20.6% vs -13.5% -66.7% vs -69.0% -77.0% vs -80.4% -31.7%/-77.0%(持有 -39.4%/-80.4%) -6.0%/-65.1% vs +0.1%/-67.4% 0.0% 始终在场 24.9% 174.2% -21.7%(脆弱) Q1、Q2、Q3、Q4、Q5 不符合
C4_日线纯波动率目标 BTC +6.4% vs +6.4% -54.7% vs -54.7% -69.8% vs -78.0% +75.3%/-69.8%(持有 +50.6%/-77.9%) +18.6%/-53.3% vs +18.6%/-53.3% 0.0% 始终在场 24.6% 34.5% +6.4% Q2、Q3、Q4、Q5 不符合
C5_日线唐奇安20/10/3 ETH +67.1% vs -13.5% -50.2% vs -69.0% -50.2% vs -80.4% +100.4%/-50.2%(持有 -39.4%/-80.4%) +81.1%/-49.0% vs +0.1%/-67.4% 37.5% 29/9·不足 13.4% 62.0% +57.9% Q2、Q3、Q4、Q5 不符合
C5_日线唐奇安20/10/3 BTC +16.0% vs +6.4% -35.2% vs -54.7% -58.0% vs -78.0% +62.3%/-45.1%(持有 +50.6%/-77.9%) +24.2%/-32.2% vs +18.6%/-53.3% 25.0% 34/11 21.8% 20.3% +8.3% Q2、Q4、Q5 不符合
D_D1_DONCHIAN_ATR_55/27/2 ETH +81.9% vs -13.5% -17.5% vs -69.0% -38.2% vs -80.4% +82.9%/-37.2%(持有 -39.4%/-80.4%) +90.6%/-17.5% vs +0.1%/-67.4% 37.5% 23/6·不足 16.5% 47.3% +75.5% Q5 不符合
D_D1_DONCHIAN_ATR_55/27/2 BTC +33.1% vs +6.4% -19.3% vs -54.7% -48.0% vs -78.0% +112.6%/-23.4%(持有 +50.6%/-77.9%) +27.7%/-18.7% vs +18.6%/-53.3% 25.0% 21/6·不足 17.4% 10.1% +28.0% Q2、Q5 不符合

表2 买入持有基准对照

品种 口径 全样本 全样本MDD 后1/3 后1/3 MDD 2020-12~2021-05 剔除后·逐根 资金费占名义
ETH P1d +130.2% -80.4% -13.5% -69.0% +279.8% -39.4% 63.6%
ETH P4h +131.2% -81.9% -13.3% -69.6% +280.5% -39.2% 63.6%
ETH S1d -40.1% -79.1% +0.1% -67.4% 不在样本内 -40.1% —
ETH P4h_nofund +337.1% -81.2% +0.1% -68.0% +371.6% -7.3% —
ETH P1d_nofund +336.3% -79.6% -0.1% -67.5% +371.5% -7.5% —
BTC P1d +146.3% -78.0% +6.4% -54.7% +63.5% +50.6% 60.8%
BTC P4h +146.0% -78.8% +6.0% -54.9% +63.8% +50.1% 60.8%
BTC S1d +50.0% -72.5% +18.6% -53.3% 不在样本内 +50.0% —
BTC P4h_nofund +352.1% -77.0% +18.1% -53.4% +103.1% +122.5% —
BTC P1d_nofund +354.0% -76.4% +18.6% -53.3% +103.1% +123.5% —

表3 D_D1_DONCHIAN_ATR_55/27/2 分年:ETH vs BTC(策略 / 同期持有)

年份 ETH 永续含资金费 ETH 现货 BTC 永续含资金费 BTC 现货
2020 +9.1% / +30.1% UNKNOWN / UNKNOWN +37.3% / +56.9% UNKNOWN / UNKNOWN
2021 +100.0% / +297.9% +0.0% / -7.1% -5.7% / +28.1% +0.0% / -12.8%
2022 -18.6% / -68.1% -18.3% / -68.2% -9.4% / -67.3% -9.2% / -65.4%
2023 -2.1% / +72.3% +6.9% / +91.1% +32.7% / +136.4% +39.2% / +155.9%
2024 +20.8% / +26.6% +49.2% / +48.5% +52.1% / +99.4% +50.8% / +124.8%
2025 +33.4% / -19.2% +35.4% / -12.6% +2.3% / -13.2% +2.9% / -7.8%
2026 +12.2% / -20.8% +13.0% / -18.2% -4.4% / -8.5% -4.4% / -6.1%

表3 C3_日线波动率目标+SMA趋势 分年:ETH vs BTC(策略 / 同期持有)

年份 ETH 永续含资金费 ETH 现货 BTC 永续含资金费 BTC 现货
2020 +0.0% / +30.1% UNKNOWN / UNKNOWN +0.0% / +56.9% UNKNOWN / UNKNOWN
2021 +29.7% / +297.9% -13.3% / -7.1% +6.1% / +28.1% -12.6% / -12.8%
2022 -35.3% / -68.1% -34.8% / -68.2% -17.8% / -67.3% -17.4% / -65.4%
2023 +38.0% / +72.3% +49.3% / +91.1% +65.0% / +136.4% +77.6% / +155.9%
2024 -3.4% / +26.6% +14.6% / +48.5% +40.6% / +99.4% +56.2% / +124.8%
2025 +15.4% / -19.2% +20.3% / -12.6% -9.8% / -13.2% -10.2% / -7.8%
2026 +3.5% / -20.8% +5.1% / -18.2% +6.2% / -8.5% +6.7% / -6.1%

表4 D1_DONCHIAN_ATR 55/27/2 风险版(0.5%风险含0.6%成本、名义≤10%)最坏情况;另附满仓1x与程序 WF 选参流程

止损为程序口径:收盘价确认、次日开盘离场,非盘中硬止损,所以单笔亏损可能超过 0.5%。"超预算笔数" = 账户亏损 > 0.5% 的已平仓笔数。

品种 口径 版本 成本 区间 收益 最大回撤 峰→谷→修复 持续天数 笔数 最长连亏(笔/累计) 最差单笔(账户) 超预算笔数 平均名义 资金费(账户)
ETH 现货 固定55/27/2·风险版 0.6% 全样本 2021-11-27~2026-10-21 +6.03% -1.71% 2023-02-04→2023-03-15→2023-11-13 282 17(样本不足) 2 / -0.85% -0.58%(2022-03-29) 2 5.9% —
ETH 现货 固定55/27/2·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +4.52% -0.96% 2025-08-13→2026-05-13→2026-08-21 373 6(样本不足) 1 / -0.42% -0.42%(2026-04-18) 0 5.7% —
ETH 现货 固定55/27/2·风险版 0.6% WF同期 2023-07-10~2026-10-21 +6.65% -1.03% 2024-03-11→2024-06-10→2024-11-23 257 11(样本不足) 2 / -0.19% -0.42%(2026-04-18) 0 6.0% —
ETH 现货 固定55/27/2·风险版 1.2% 全样本 2021-11-27~2026-10-21 +5.39% -1.78% 2023-02-04→2023-03-15→2024-02-28 389 17(样本不足) 2 / -0.90% -0.61%(2022-03-29) 2 5.9% —
ETH 现货 固定55/27/2·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +4.31% -1.01% 2025-08-13→2026-05-13→2026-08-21 373 6(样本不足) 1 / -0.45% -0.45%(2026-04-18) 0 5.7% —
ETH 现货 固定55/27/2·风险版 1.2% WF同期 2023-07-10~2026-10-21 +6.21% -1.08% 2024-03-11→2024-06-10→2024-11-25 259 11(样本不足) 2 / -0.26% -0.45%(2026-04-18) 0 6.0% —
ETH 现货 固定55/27/2·满仓1x 0.6% 全样本 2021-11-27~2026-10-21 +99.25% -28.64% 2022-04-03→2023-03-15→2024-02-29 697 17(样本不足) 2 / -18.31% -11.09%(2022-03-29) 8 100.0% —
ETH 现货 固定55/27/2·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +90.58% -17.49% 2025-08-13→2026-05-13→2026-09-11 394 6(样本不足) 1 / -7.91% -7.91%(2026-04-18) 1 100.0% —
ETH 现货 固定55/27/2·满仓1x 0.6% WF同期 2023-07-10~2026-10-21 +144.81% -17.49% 2025-08-13→2026-05-13→2026-09-11 394 11(样本不足) 2 / -4.16% -7.91%(2026-04-18) 4 100.0% —
ETH 现货 WF选参流程·风险版 0.6% 全样本 2023-07-10~2026-10-21 +6.13% -2.02% 2025-08-13→2026-05-13→2026-09-19 402 16(样本不足) 3 / -1.48% -0.67%(2026-01-15) 2 6.4% —
ETH 现货 WF选参流程·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +4.05% -2.02% 2025-08-13→2026-05-13→2026-09-19 402 8(样本不足) 3 / -1.48% -0.67%(2026-01-15) 1 5.7% —
ETH 现货 WF选参流程·风险版 1.2% 全样本 2023-07-10~2026-10-21 +5.49% -2.13% 2025-08-13→2026-05-13→2026-09-21 404 16(样本不足) 3 / -1.58% -0.71%(2026-01-15) 2 6.4% —
ETH 现货 WF选参流程·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +3.77% -2.13% 2025-08-13→2026-05-13→2026-09-21 404 8(样本不足) 3 / -1.58% -0.71%(2026-01-15) 1 5.7% —
ETH 现货 WF选参流程·满仓1x 0.6% 全样本 2023-07-10~2026-10-21 +120.02% -32.22% 2025-08-13→2026-05-13→未修复 434 16(样本不足) 3 / -24.35% -9.86%(2026-01-15) 8 100.0% —
ETH 现货 WF选参流程·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +75.70% -32.22% 2025-08-13→2026-05-13→未修复 434 8(样本不足) 3 / -24.35% -9.86%(2026-01-15) 3 100.0% —
ETH 永续含资金费 固定55/27/2·风险版 0.6% 全样本 2020-12-11~2026-10-21 +8.28% -1.66% 2023-02-04→2024-02-17→2024-03-04 394 23(样本不足) 2 / -0.86% -0.59%(2022-03-29) 4 5.3% -1.55%
ETH 永续含资金费 固定55/27/2·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +4.18% -0.96% 2025-08-13→2026-05-13→2026-08-21 373 6(样本不足) 1 / -0.41% -0.41%(2026-04-18) 0 5.6% -0.28%
ETH 永续含资金费 固定55/27/2·风险版 0.6% WF同期 2022-12-30~2026-10-21 +5.01% -1.66% 2023-02-04→2024-02-17→2024-03-04 394 15(样本不足) 2 / -0.59% -0.52%(2024-05-22) 3 6.0% -0.91%
ETH 永续含资金费 固定55/27/2·风险版 1.2% 全样本 2020-12-11~2026-10-21 +7.50% -1.94% 2021-11-10→2024-02-17→2024-03-05 846 23(样本不足) 2 / -0.92% -0.62%(2022-03-29) 4 5.3% -1.55%
ETH 永续含资金费 固定55/27/2·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +3.97% -1.01% 2025-08-13→2026-05-13→2026-08-21 373 6(样本不足) 1 / -0.44% -0.44%(2026-04-18) 0 5.6% -0.28%
ETH 永续含资金费 固定55/27/2·风险版 1.2% WF同期 2022-12-30~2026-10-21 +4.44% -1.92% 2023-02-04→2024-02-17→2024-03-05 395 15(样本不足) 2 / -0.66% -0.55%(2024-05-22) 3 6.0% -0.91%
ETH 永续含资金费 固定55/27/2·满仓1x 0.6% 全样本 2020-12-11~2026-10-21 +214.34% -38.24% 2021-01-10→2021-01-21→2021-05-06 116 23(样本不足) 2 / -18.61% -11.31%(2022-03-29) 9 100.0% -33.37%
ETH 永续含资金费 固定55/27/2·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +81.90% -17.49% 2025-08-13→2026-05-13→2026-09-11 394 6(样本不足) 1 / -7.75% -7.75%(2026-04-18) 1 100.0% -5.01%
ETH 永续含资金费 固定55/27/2·满仓1x 0.6% WF同期 2022-12-30~2026-10-21 +76.97% -26.66% 2023-02-04→2024-02-17→2024-03-07 397 15(样本不足) 2 / -11.22% -10.12%(2023-02-17) 6 100.0% -14.36%
ETH 永续含资金费 WF选参流程·风险版 0.6% 全样本 2022-12-30~2026-10-21 +4.23% -2.30% 2024-03-11→2025-03-29→2025-06-10 456 23(样本不足) 5 / -1.38% -0.72%(2025-03-25) 4 5.6% -0.89%
ETH 永续含资金费 WF选参流程·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +2.91% -2.03% 2025-08-13→2026-05-13→2026-09-21 404 10(样本不足) 3 / -1.48% -0.72%(2025-03-25) 2 5.6% -0.29%
ETH 永续含资金费 WF选参流程·风险版 1.2% 全样本 2022-12-30~2026-10-21 +3.43% -2.55% 2024-03-11→2025-03-29→2025-06-11 457 23(样本不足) 5 / -1.52% -0.76%(2025-03-25) 4 5.6% -0.89%
ETH 永续含资金费 WF选参流程·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +2.56% -2.14% 2025-08-13→2026-05-13→2026-09-21 404 10(样本不足) 3 / -1.58% -0.76%(2025-03-25) 2 5.6% -0.29%
ETH 永续含资金费 WF选参流程·满仓1x 0.6% 全样本 2022-12-30~2026-10-21 +66.46% -32.37% 2025-08-13→2026-05-13→未修复 434 23(样本不足) 5 / -25.31% -10.97%(2025-03-25) 13 100.0% -15.76%
ETH 永续含资金费 WF选参流程·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +58.35% -32.37% 2025-08-13→2026-05-13→未修复 434 10(样本不足) 3 / -24.38% -10.97%(2025-03-25) 5 100.0% -5.87%
BTC 现货 固定55/27/2·风险版 0.6% 全样本 2021-11-28~2026-10-21 +6.17% -1.89% 2023-02-02→2023-03-15→2023-11-24 295 16(样本不足) 3 / -1.12% -0.62%(2026-01-15) 4 7.6% —
BTC 现货 固定55/27/2·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +2.05% -1.66% 2025-05-22→2026-04-20→2026-09-03 469 7(样本不足) 3 / -1.12% -0.62%(2026-01-15) 1 8.2% —
BTC 现货 固定55/27/2·风险版 0.6% WF同期 2023-07-11~2026-10-21 +5.93% -1.70% 2024-03-13→2024-10-23→2024-11-13 245 11(样本不足) 3 / -1.12% -0.62%(2026-01-15) 1 7.9% —
BTC 现货 固定55/27/2·风险版 1.2% 全样本 2021-11-28~2026-10-21 +5.39% -1.97% 2023-02-02→2023-03-15→2023-12-02 303 16(样本不足) 3 / -1.27% -0.67%(2026-01-15) 6 7.6% —
BTC 现货 固定55/27/2·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +1.70% -1.82% 2025-05-22→2026-04-20→未修复 517 7(样本不足) 3 / -1.27% -0.67%(2026-01-15) 2 8.2% —
BTC 现货 固定55/27/2·风险版 1.2% WF同期 2023-07-11~2026-10-21 +5.35% -1.82% 2025-05-22→2026-04-20→未修复 517 11(样本不足) 3 / -1.27% -0.67%(2026-01-15) 3 7.9% —
BTC 现货 固定55/27/2·满仓1x 0.6% 全样本 2021-11-28~2026-10-21 +87.68% -22.23% 2023-02-02→2023-03-15→2023-11-24 295 16(样本不足) 3 / -12.68% -9.17%(2022-03-29) 9 100.0% —
BTC 现货 固定55/27/2·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +27.72% -18.73% 2025-05-22→2026-04-20→未修复 517 7(样本不足) 3 / -12.68% -6.84%(2026-01-15) 4 100.0% —
BTC 现货 固定55/27/2·满仓1x 0.6% WF同期 2023-07-11~2026-10-21 +94.75% -21.33% 2024-03-13→2024-10-23→2024-11-13 245 11(样本不足) 3 / -12.68% -6.86%(2024-09-28) 6 100.0% —
BTC 现货 WF选参流程·风险版 0.6% 全样本 2023-07-11~2026-10-21 +2.45% -2.31% 2025-07-14→2026-05-24→未修复 464 13(样本不足) 4 / -1.83% -0.62%(2025-10-03) 3 6.2% —
BTC 现货 WF选参流程·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +1.09% -2.31% 2025-07-14→2026-05-24→未修复 464 9(样本不足) 4 / -1.83% -0.62%(2025-10-03) 3 6.4% —
BTC 现货 WF选参流程·风险版 1.2% 全样本 2023-07-11~2026-10-21 +1.96% -2.46% 2025-07-14→2026-05-24→未修复 464 13(样本不足) 4 / -1.96% -0.65%(2025-10-03) 5 6.2% —
BTC 现货 WF选参流程·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +0.74% -2.46% 2025-07-14→2026-05-24→未修复 464 9(样本不足) 4 / -1.96% -0.65%(2025-10-03) 4 6.4% —
BTC 现货 WF选参流程·满仓1x 0.6% 全样本 2023-07-11~2026-10-21 +47.42% -36.32% 2025-05-22→2026-05-24→未修复 517 13(样本不足) 4 / -28.68% -12.32%(2025-10-03) 7 100.0% —
BTC 现货 WF选参流程·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +5.94% -36.32% 2025-05-22→2026-05-24→未修复 517 9(样本不足) 4 / -28.68% -12.32%(2025-10-03) 5 100.0% —
BTC 永续含资金费 固定55/27/2·风险版 0.6% 全样本 2020-12-11~2026-10-21 +7.70% -2.81% 2021-01-08→2021-08-03→2023-12-04 1060 21(样本不足) 3 / -1.13% -0.76%(2021-04-14) 7 6.7% -1.48%
BTC 永续含资金费 固定55/27/2·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +2.49% -1.72% 2025-05-22→2026-04-20→2026-09-03 469 6(样本不足) 3 / -1.13% -0.63%(2026-01-15) 1 8.4% -0.23%
BTC 永续含资金费 固定55/27/2·风险版 0.6% WF同期 2022-12-30~2026-10-21 +6.16% -1.92% 2023-02-02→2023-03-15→2023-12-03 304 14(样本不足) 3 / -1.13% -0.64%(2024-09-28) 4 7.7% -0.95%
BTC 永续含资金费 固定55/27/2·风险版 1.2% 全样本 2020-12-11~2026-10-21 +6.80% -2.90% 2021-01-08→2021-08-03→2023-12-05 1061 21(样本不足) 3 / -1.28% -0.79%(2021-04-14) 8 6.7% -1.48%
BTC 永续含资金费 固定55/27/2·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +2.15% -1.87% 2025-05-22→2026-04-20→未修复 517 6(样本不足) 3 / -1.28% -0.69%(2026-01-15) 2 8.4% -0.23%
BTC 永续含资金费 固定55/27/2·风险版 1.2% WF同期 2022-12-30~2026-10-21 +5.48% -2.00% 2023-02-02→2023-03-15→2023-12-04 305 14(样本不足) 3 / -1.28% -0.69%(2026-01-15) 5 7.7% -0.95%
BTC 永续含资金费 固定55/27/2·满仓1x 0.6% 全样本 2020-12-11~2026-10-21 +131.41% -48.03% 2021-01-08→2021-08-03→2024-03-04 1151 21(样本不足) 3 / -12.56% -16.24%(2021-03-14) 10 100.0% -25.11%
BTC 永续含资金费 固定55/27/2·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +33.06% -19.26% 2025-05-22→2026-04-20→未修复 517 6(样本不足) 3 / -12.56% -6.99%(2026-01-15) 4 100.0% -2.77%
BTC 永续含资金费 固定55/27/2·满仓1x 0.6% WF同期 2022-12-30~2026-10-21 +97.31% -23.42% 2024-03-13→2024-10-23→2024-11-13 245 14(样本不足) 3 / -12.56% -9.04%(2023-02-17) 7 100.0% -12.24%
BTC 永续含资金费 WF选参流程·风险版 0.6% 全样本 2022-12-30~2026-10-21 +2.37% -2.55% 2025-07-14→2026-04-20→未修复 464 13(样本不足) 4 / -1.90% -0.66%(2025-10-03) 4 6.2% -0.63%
BTC 永续含资金费 WF选参流程·风险版 0.6% 后1/3 2024-11-06~2026-10-21 +1.48% -2.55% 2025-07-14→2026-04-20→未修复 464 8(样本不足) 4 / -1.90% -0.66%(2025-10-03) 3 7.0% -0.26%
BTC 永续含资金费 WF选参流程·风险版 1.2% 全样本 2022-12-30~2026-10-21 +1.87% -2.71% 2025-07-14→2026-04-20→未修复 464 13(样本不足) 5 / -2.07% -0.69%(2025-10-03) 5 6.2% -0.63%
BTC 永续含资金费 WF选参流程·风险版 1.2% 后1/3 2024-11-06~2026-10-21 +1.12% -2.71% 2025-07-14→2026-04-20→未修复 464 8(样本不足) 5 / -2.07% -0.69%(2025-10-03) 4 7.0% -0.26%
BTC 永续含资金费 WF选参流程·满仓1x 0.6% 全样本 2022-12-30~2026-10-21 +49.59% -35.74% 2025-05-22→2026-04-20→未修复 517 13(样本不足) 4 / -26.69% -12.96%(2025-10-03) 7 100.0% -13.73%
BTC 永续含资金费 WF选参流程·满仓1x 0.6% 后1/3 2024-11-06~2026-10-21 +13.11% -35.74% 2025-05-22→2026-04-20→未修复 517 8(样本不足) 4 / -26.69% -12.96%(2025-10-03) 5 100.0% -3.42%

表5 试验计数(脚本计数器,读自 JSON)

来源 (候选,数据集,参数)组 去重(信号,参数,数据集) 去重(信号,参数) 回测次数
ETH 〔内部文件〕(10/22 已报,未重跑覆盖) 176 128 44 568
BTC 〔内部文件〕 176 128 44 568
ETH 〔内部文件〕(配置组) 48 — — 256
BTC 〔内部文件〕(配置组) 48 — — 256

附 B:BTC 各候选完整表格(〔内部文件〕 --in 〔内部文件〕 生成)

表A 数据与口径

数据集 根数 评估起点(UTC+8) 最后一根开盘(UTC+8) 剔除未收盘 资金费
永续日线·含资金费 2192 2020-12-11 00:00 2026-10-21 00:00 0 计
永续4h·含资金费 13153 2020-12-11 00:00 2026-10-22 16:00 0 计
现货日线 1999 2021-11-28 00:00 2026-10-21 00:00 0 不计
永续4h·不含资金费 13153 2020-12-11 00:00 2026-10-22 16:00 0 不计
永续日线·不含资金费 2192 2020-12-11 00:00 2026-10-21 00:00 0 不计

样本外切分:2024-11-06(UTC+8)起为后 1/3(按永续评估区间 2020-12-11~2026-10-21 计算,现货用同一日期以便同期对比)。资金费记录 6576 条。

表B 买入持有基准

口径 全样本 全样本MDD 前2/3 后1/3(OOS) OOS MDD 2020-12~2021-05 剔除后·逐根 剔除后MDD 剔除后·2021-06-01重新买入 资金费占名义
永续日线·含资金费 +146.3% -78.0% +131.5% +6.4% -54.7% +63.5% +50.6% -77.9% +50.2% 60.8%
永续4h·含资金费 +146.0% -78.8% +132.1% +6.0% -54.9% +63.8% +50.1% -78.5% +49.7% 60.8%
现货日线 +50.0% -72.5% +26.4% +18.6% -53.3% 不在样本内 +50.0% -72.5% +122.8% —
永续4h·不含资金费 +352.1% -77.0% +282.7% +18.1% -53.4% +103.1% +122.5% -77.0% +121.9% —
永续日线·不含资金费 +354.0% -76.4% +282.7% +18.6% -53.3% +103.1% +123.5% -76.4% +122.8% —

表C 判定总表(主口径=永续含资金费;复核口径=日线看现货、4h 看永续不含资金费)

候选 OOS收益 vs 持有 OOS MDD vs 持有 全样本MDD vs 持有 剔除·逐根 收益/MDD vs 持有 剔除·只算之后开仓 收益/MDD vs 持有 复核口径OOS 邻域通过率 笔数(全/OOS) 资金费/毛收益 判定
C1_日线SMA趋势持有 +22.6% vs +6.4% ✓ -32.5% vs -54.7% ✓ -64.2% vs -78.0% ✗ +68.3%/-45.1% vs +50.6%/-77.9% ✓ +68.3%/-45.1% vs +50.2%/-77.9% ✓ +31.5%/-31.2% vs +18.6%/-53.3% ✓ 50.0% ✓ 26/8(样本不足) 39.2% 不符合;未过:Q2_full_dd
C2_4h_EMA趋势持有 -21.7% vs +6.0% ✗ -54.3% vs -54.9% ✗ -55.5% vs -78.8% ✗ +43.7%/-55.5% vs +50.1%/-78.5% ✗ +43.7%/-55.5% vs +49.7%/-78.5% ✗ -18.6%/-53.7% vs +18.1%/-53.4% ✗ 0.0% ✗ 185/78 14.4% 不符合;未过:Q1_oos_ret、Q2_oos_dd、Q2_full_dd、Q3_exwin_bar、Q3_exwin_trade、Q4复核、Q5邻域
C3_日线波动率目标+SMA趋势 +28.2% vs +6.4% ✓ -34.8% vs -54.7% ✗ -42.2% vs -78.0% ✓ +85.3%/-42.2% vs +50.6%/-77.9% ✓ +85.3%/-42.2% vs +50.2%/-77.9% ✓ +31.4%/-36.2% vs +18.6%/-53.3% ✗ 31.2% ✗ 37/14 22.1% 不符合;未过:Q2_oos_dd、Q4复核、Q5邻域
C4_日线纯波动率目标 +6.4% vs +6.4% ✓ -54.7% vs -54.7% ✗ -69.8% vs -78.0% ✗ +75.3%/-69.8% vs +50.6%/-77.9% ✗ +75.0%/-69.8% vs +50.2%/-77.9% ✗ +18.6%/-53.3% vs +18.6%/-53.3% ✗ 0.0% ✗ 0/0(样本不足) 24.6% 不符合;未过:Q2_oos_dd、Q2_full_dd、Q3_exwin_bar、Q3_exwin_trade、Q4复核、Q5邻域
C5_日线唐奇安20/10/3 +16.0% vs +6.4% ✓ -35.2% vs -54.7% ✗ -58.0% vs -78.0% ✗ +62.3%/-45.1% vs +50.6%/-77.9% ✓ +62.3%/-45.1% vs +50.2%/-77.9% ✓ +24.2%/-32.2% vs +18.6%/-53.3% ✗ 25.0% ✗ 34/11 21.8% 不符合;未过:Q2_oos_dd、Q2_full_dd、Q4复核、Q5邻域
D_D1_DONCHIAN_ATR_55/27/2 +33.1% vs +6.4% ✓ -19.3% vs -54.7% ✓ -48.0% vs -78.0% ✗ +112.6%/-23.4% vs +50.6%/-77.9% ✓ +112.6%/-23.4% vs +50.2%/-77.9% ✓ +27.7%/-18.7% vs +18.6%/-53.3% ✓ 25.0% ✗ 21/6(样本不足) 17.4% 不符合;未过:Q2_full_dd、Q5邻域

C1_日线SMA趋势持有

规则:日线收盘 > SMA(n日) 则次日开盘持有现货/永续多单,收盘跌破则次日开盘平仓;满仓 1x,不加杠杆。默认参数(事先固定):{"n": 200}。

年份(UTC+8) 永续日线·含资金费 策略 同期持有 现货日线 策略 同期持有 永续日线·不含资金费 策略 同期持有
2020 +0.0% +56.9% UNKNOWN UNKNOWN +0.0% +58.3%
2021 -60.8% +28.1% -24.7% -12.8% -58.7% +66.7%
2022 -2.3% -67.3% -2.2% -65.4% -2.3% -65.4%
2023 +67.9% +136.4% +81.8% +155.9% +81.7% +156.0%
2024 +60.4% +99.4% +79.7% +124.8% +79.5% +124.5%
2025 -18.8% -13.2% -15.6% -7.8% -15.5% -7.8%
2026 +12.9% -8.5% +13.7% -6.1% +13.7% -6.1%
指标 永续日线·含资金费 现货日线 永续日线·不含资金费
全样本收益 -5.6% +130.8% +26.6%
前2/3 / 后1/3 -23.0% / +22.6% +75.5% / +31.5% -3.9% / +31.7%
最大回撤(峰→谷→修复,持续天数) -64.2%(2021-05-10→2023-03-10→2024-03-11,1036天) -33.7%(2021-12-01→2023-03-10→2023-04-11,496天) -61.7%(2021-05-10→2023-03-10→2024-02-28,1024天)
OOS 最大回撤(持续) -32.5%(673天,修复:未修复) -31.2%(673天,修复:未修复) -31.2%(673天,修复:未修复)
2020-12~2021-05 收益 / 占总对数收益 -43.9% / 不适用(窗口内亏损) 不在样本内 -43.3% / 不适用(窗口内亏损)
剔除后·逐根连乘 +68.3%(MDD -45.1%) +130.8%(MDD -33.7%) +123.0%(MDD -43.3%)
剔除后·只算之后开仓 +68.3%(MDD -45.1%) +112.4%(MDD -35.0%) +123.0%(MDD -43.3%)
已平仓笔数 / OOS开仓笔数 26 / 8(样本不足) 20 / 8(样本不足) 26 / 8(样本不足)
胜率 / 平均每笔 19.2% / +0.8% 25.0% / +5.7% 19.2% / +2.4%
在场时间 / 平均仓位 49.2% / 1.00 52.9% / 1.00 49.2% / 1.00
资金费合计(账户) / 毛收益合计 -29.2% / +74.5%,占 39.2% -0.0% / +122.9%,占 0.0% -0.0% / +74.5%,占 0.0%
资金费占名义(持仓期费率累加) 29.2% 0.0% 0.0%
1.2%来回成本:全样本 / OOS -19.6% / +16.8% +104.0% / +25.4% +7.8% / +25.5%
0.5%风险/名义≤10%:全样本 / MDD / OOS +7.3% / -4.2% / +2.8% +12.2% / -3.4% / +3.5% +10.2% / -4.0% / +3.5%
0.5%风险版 最差单笔(账户) -0.6% -0.6% -0.6%
最近3个月 +12.9% +13.7% +13.7%

邻域参数(永续日线·含资金费,OOS 后1/3,持有 OOS +6.4% / MDD -54.7%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 100} +28.2% -34.8% +163.4% -43.3% 37 ✗
{"n": 150} +11.3% -34.2% +20.3% -46.8% 34 ✗
{"n": 200} +22.6% -32.5% -5.6% -64.2% 26 ✓
{"n": 250} +38.1% -28.2% +60.5% -45.2% 25 ✓

邻域参数(现货日线,OOS 后1/3,持有 OOS +18.6% / MDD -53.3%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 100} +31.4% -36.2% +99.6% -40.4% 35 ✗
{"n": 150} +18.4% -31.9% +104.5% -32.2% 31 ✓
{"n": 200} +31.5% -31.2% +130.8% -33.7% 20 ✓
{"n": 250} +49.1% -26.5% +171.4% -39.6% 17 ✓

C2_4h_EMA趋势持有

规则:4h 收盘 > EMA(n根4h) 则下一根开盘持多,跌破则下一根开盘平;满仓 1x。默认参数(事先固定):{"n": 200}。

年份(UTC+8) 永续4h·含资金费 策略 同期持有 永续4h·不含资金费 策略 同期持有
2020 +56.9% +56.9% +58.3% +58.3%
2021 +40.3% +28.4% +73.4% +66.7%
2022 -26.2% -67.3% -24.9% -65.4%
2023 +71.9% +136.5% +81.7% +156.0%
2024 +18.2% +99.4% +29.4% +124.5%
2025 -20.7% -13.1% -19.7% -7.8%
2026 -14.3% -8.8% -14.0% -6.5%
指标 永续4h·含资金费 永续4h·不含资金费
全样本收益 +124.4% +234.5%
前2/3 / 后1/3 +186.7% / -21.7% +311.1% / -18.6%
最大回撤(峰→谷→修复,持续天数) -55.5%(2024-03-14→2026-08-18→未修复,953天) -53.7%(2024-12-17→2026-08-18→未修复,674天)
OOS 最大回撤(持续) -54.3%(674天,修复:未修复) -53.7%(674天,修复:未修复)
2020-12~2021-05 收益 / 占总对数收益 +56.1% / 55.1% +89.0% / 52.7%
剔除后·逐根连乘 +43.7%(MDD -55.5%) +77.0%(MDD -53.7%)
剔除后·只算之后开仓 +43.7%(MDD -55.5%) +77.0%(MDD -53.7%)
已平仓笔数 / OOS开仓笔数 185 / 78 185 / 78
胜率 / 平均每笔 14.1% / +0.8% 15.7% / +1.1%
在场时间 / 平均仓位 52.2% / 1.00 52.2% / 1.00
资金费合计(账户) / 毛收益合计 -39.9% / +278.1%,占 14.4% -0.0% / +278.1%,占 0.0%
资金费占名义(持仓期费率累加) 39.9% 0.0%
1.2%来回成本:全样本 / OOS -26.7% / -51.1%(脆弱) +9.3% / -49.2%(脆弱)
0.5%风险/名义≤10%:全样本 / MDD / OOS +11.9% / -7.1% / -1.7% +16.4% / -7.0% / -1.4%
0.5%风险版 最差单笔(账户) -0.6% -0.6%
最近3个月 +1.4% +2.3%

邻域参数(永续4h·含资金费,OOS 后1/3,持有 OOS +6.0% / MDD -54.9%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 100} -10.9% -47.2% -2.8% -70.8% 282 ✗
{"n": 200} -21.7% -54.3% +124.4% -55.5% 185 ✗
{"n": 300} +15.1% -39.4% +279.4% -52.2% 154 ✗
{"n": 600} +25.5% -38.4% +81.5% -51.2% 86 ✗

C3_日线波动率目标+SMA趋势

规则:收盘 > SMA(slow日) 时仓位 = min(1, tv / 20日实现波动率年化),否则空仓;仓位变化 ≥0.2 才调仓。默认参数(事先固定):{"slow": 100, "tv": 0.6}。

年份(UTC+8) 永续日线·含资金费 策略 同期持有 现货日线 策略 同期持有 永续日线·不含资金费 策略 同期持有
2020 +0.0% +56.9% UNKNOWN UNKNOWN +0.0% +58.3%
2021 +6.1% +28.1% -12.6% -12.8% +20.8% +66.7%
2022 -17.8% -67.3% -17.4% -65.4% -17.4% -65.4%
2023 +65.0% +136.4% +77.6% +155.9% +77.9% +156.0%
2024 +40.6% +99.4% +56.2% +124.8% +56.5% +124.5%
2025 -9.8% -13.2% -10.2% -7.8% -7.4% -7.8%
2026 +6.2% -8.5% +6.7% -6.1% +6.7% -6.1%
指标 永续日线·含资金费 现货日线 永续日线·不含资金费
全样本收益 +94.0% +91.9% +174.5%
前2/3 / 后1/3 +51.3% / +28.2% +46.0% / +31.4% +102.6% / +35.5%
最大回撤(峰→谷→修复,持续天数) -42.2%(2024-03-13→2024-10-13→2025-07-11,485天) -40.4%(2024-03-13→2024-10-13→2024-12-16,278天) -40.8%(2021-11-10→2022-11-09→2023-12-04,754天)
OOS 最大回撤(持续) -34.8%(464天,修复:未修复) -36.2%(434天,修复:未修复) -34.3%(434天,修复:未修复)
2020-12~2021-05 收益 / 占总对数收益 +4.7% / 6.9% 不在样本内 +14.7% / 13.6%
剔除后·逐根连乘 +85.3%(MDD -42.2%) +91.9%(MDD -40.4%) +139.3%(MDD -40.8%)
剔除后·只算之后开仓 +85.3%(MDD -42.2%) +119.2%(MDD -41.7%) +139.3%(MDD -40.8%)
已平仓笔数 / OOS开仓笔数 37 / 14 35 / 14 37 / 14
胜率 / 平均每笔 21.6% / +2.3% 17.1% / +2.7% 21.6% / +3.6%
在场时间 / 平均仓位 51.9% / 0.95 49.9% / 0.99 51.9% / 0.95
资金费合计(账户) / 毛收益合计 -34.6% / +156.7%,占 22.1% -0.0% / +110.1%,占 0.0% -0.0% / +156.7%,占 0.0%
资金费占名义(持仓期费率累加) 40.4% 0.0% 0.0%
1.2%来回成本:全样本 / OOS +55.1% / +17.8% +54.8% / +20.8% +119.5% / +24.5%
0.5%风险/名义≤10%:全样本 / MDD / OOS +9.4% / -5.0% / +3.2% +9.6% / -4.7% / +3.4% +12.2% / -4.7% / +3.7%
0.5%风险版 最差单笔(账户) -0.9% -1.0% -0.9%
最近3个月 +19.3% +20.2% +20.2%

邻域参数(永续日线·含资金费,OOS 后1/3,持有 OOS +6.4% / MDD -54.7%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"slow": 50, "tv": 0.4} +29.2% -37.2% +204.8% -49.2% 60 ✗
{"slow": 50, "tv": 0.6} +25.8% -39.4% +269.2% -55.6% 60 ✗
{"slow": 50, "tv": 0.8} +25.8% -39.4% +328.7% -57.9% 60 ✗
{"slow": 50, "tv": 1.0} +25.8% -39.4% +352.7% -58.7% 60 ✗
{"slow": 100, "tv": 0.4} +31.6% -33.2% +95.8% -36.8% 37 ✗
{"slow": 100, "tv": 0.6} +28.2% -34.8% +94.0% -42.2% 37 ✗
{"slow": 100, "tv": 0.8} +28.2% -34.8% +114.7% -42.4% 37 ✗
{"slow": 100, "tv": 1.0} +28.2% -34.8% +132.0% -43.3% 37 ✗
{"slow": 150, "tv": 0.4} +14.8% -31.7% +54.0% -33.8% 34 ✓
{"slow": 150, "tv": 0.6} +11.5% -34.1% +23.1% -43.3% 34 ✗
{"slow": 150, "tv": 0.8} +11.3% -34.2% +28.3% -43.1% 34 ✗
{"slow": 150, "tv": 1.0} +11.3% -34.2% +20.3% -46.8% 34 ✗
{"slow": 200, "tv": 0.4} +23.2% -30.3% +39.9% -42.9% 26 ✓
{"slow": 200, "tv": 0.6} +23.3% -32.2% +8.4% -57.0% 26 ✓
{"slow": 200, "tv": 0.8} +22.6% -32.5% -1.4% -62.6% 26 ✓
{"slow": 200, "tv": 1.0} +22.6% -32.5% -4.4% -63.8% 26 ✓

邻域参数(现货日线,OOS 后1/3,持有 OOS +18.6% / MDD -53.3%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"slow": 50, "tv": 0.4} +27.9% -36.5% +143.9% -40.2% 55 ✗
{"slow": 50, "tv": 0.6} +25.0% -38.8% +115.3% -45.0% 55 ✗
{"slow": 50, "tv": 0.8} +25.0% -38.8% +118.1% -46.5% 55 ✗
{"slow": 50, "tv": 1.0} +25.0% -38.8% +116.1% -47.7% 55 ✗
{"slow": 100, "tv": 0.4} +34.6% -34.5% +109.3% -34.9% 35 ✗
{"slow": 100, "tv": 0.6} +31.4% -36.2% +91.9% -40.4% 35 ✗
{"slow": 100, "tv": 0.8} +31.4% -36.2% +99.6% -40.4% 35 ✗
{"slow": 100, "tv": 1.0} +31.4% -36.2% +99.6% -40.4% 35 ✗
{"slow": 150, "tv": 0.4} +21.6% -30.0% +122.5% -30.2% 31 ✓
{"slow": 150, "tv": 0.6} +18.6% -31.8% +100.5% -32.2% 31 ✓
{"slow": 150, "tv": 0.8} +18.4% -31.9% +105.9% -32.2% 31 ✓
{"slow": 150, "tv": 1.0} +18.4% -31.9% +104.5% -32.2% 31 ✓
{"slow": 200, "tv": 0.4} +31.2% -29.6% +138.2% -29.6% 20 ✓
{"slow": 200, "tv": 0.6} +32.3% -30.8% +125.5% -32.4% 20 ✓
{"slow": 200, "tv": 0.8} +31.5% -31.2% +132.2% -33.2% 20 ✓
{"slow": 200, "tv": 1.0} +31.5% -31.2% +130.8% -33.7% 20 ✓

C4_日线纯波动率目标

规则:始终持多,仓位 = min(1, tv / 20日实现波动率年化);变化 ≥0.2 才调仓(无趋势过滤)。默认参数(事先固定):{"tv": 0.6}。

年份(UTC+8) 永续日线·含资金费 策略 同期持有 现货日线 策略 同期持有 永续日线·不含资金费 策略 同期持有
2020 +51.1% +56.9% UNKNOWN UNKNOWN +52.3% +58.3%
2021 +9.0% +28.1% -10.1% -12.8% +30.0% +66.7%
2022 -58.7% -67.3% -56.7% -65.4% -56.8% -65.4%
2023 +118.7% +136.4% +136.7% +155.9% +136.6% +156.0%
2024 +99.4% +99.4% +124.8% +124.8% +124.5% +124.5%
2025 -13.2% -13.2% -7.8% -7.8% -7.8% -7.8%
2026 -8.5% -8.5% -6.1% -6.1% -6.1% -6.1%
指标 永续日线·含资金费 现货日线 永续日线·不含资金费
全样本收益 +135.6% +79.4% +293.6%
前2/3 / 后1/3 +121.4% / +6.4% +51.2% / +18.6% +231.7% / +18.6%
最大回撤(峰→谷→修复,持续天数) -69.8%(2021-11-10→2022-11-28→2024-03-04,845天) -63.9%(2021-12-01→2022-11-21→2024-02-12,803天) -68.1%(2021-11-10→2022-11-21→2024-02-27,839天)
OOS 最大回撤(持续) -54.7%(380天,修复:未修复) -53.3%(380天,修复:未修复) -53.3%(380天,修复:未修复)
2020-12~2021-05 收益 / 占总对数收益 +34.4% / 34.5% 不在样本内 +54.7% / 31.8%
剔除后·逐根连乘 +75.3%(MDD -69.8%) +79.4%(MDD -63.9%) +154.4%(MDD -68.1%)
剔除后·只算之后开仓 +75.0%(MDD -69.8%) +155.5%(MDD -68.0%) +154.0%(MDD -68.1%)
已平仓笔数 / OOS开仓笔数 始终在场(连续调仓,无独立交易可计) 始终在场(连续调仓,无独立交易可计) 始终在场(连续调仓,无独立交易可计)
胜率 / 平均每笔 UNKNOWN / UNKNOWN UNKNOWN / UNKNOWN UNKNOWN / UNKNOWN
在场时间 / 平均仓位 100.0% / 0.92 100.0% / 0.95 100.0% / 0.92
资金费合计(账户) / 毛收益合计 -51.0% / +207.2%,占 24.6% -0.0% / +108.7%,占 0.0% -0.0% / +207.2%,占 0.0%
资金费占名义(持仓期费率累加) 60.8% 0.0% 0.0%
1.2%来回成本:全样本 / OOS +133.2% / +6.4% +78.4% / +18.6% +289.5% / +18.6%
0.5%风险/名义≤10%:全样本 / MDD / OOS +7.1% / -4.6% / +1.0% +4.6% / -3.7% / +1.4% +9.5% / -4.4% / +1.5%
0.5%风险版 最差单笔(账户) +7.1% +4.6% +9.5%
最近3个月 +22.2% +23.9% +23.9%

邻域参数(永续日线·含资金费,OOS 后1/3,持有 OOS +6.4% / MDD -54.7%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"tv": 0.4} +7.0% -52.1% +87.4% -67.5% 0 ✗
{"tv": 0.6} +6.4% -54.7% +135.6% -69.8% 0 ✗
{"tv": 0.8} +6.4% -54.7% +136.3% -78.0% 0 ✗
{"tv": 1.0} +6.8% -53.2% +136.6% -76.5% 0 ✗

邻域参数(现货日线,OOS 后1/3,持有 OOS +18.6% / MDD -53.3%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"tv": 0.4} +20.2% -51.3% +74.3% -63.0% 0 ✗
{"tv": 0.6} +18.6% -53.3% +79.4% -63.9% 0 ✗
{"tv": 0.8} +18.4% -49.0% +51.8% -67.9% 0 ✗
{"tv": 1.0} +18.0% -46.1% +51.9% -64.5% 0 ✗

C5_日线唐奇安20/10/3

规则:程序定义 qi_strategies.donchian_state:收盘 > 前 n 根最高价入场;收盘 < 前 m 根最低价,或 < 持仓最高收盘 − k×ATR14(Wilder) 离场;次根开盘成交。默认参数(事先固定):{"n": 20, "m": 10, "k": 3}。

年份(UTC+8) 永续日线·含资金费 策略 同期持有 现货日线 策略 同期持有 永续日线·不含资金费 策略 同期持有
2020 +56.9% +56.9% UNKNOWN UNKNOWN +58.3% +58.3%
2021 -6.4% +28.1% +0.0% -12.8% +9.1% +66.7%
2022 -37.2% -67.3% -35.9% -65.4% -36.1% -65.4%
2023 +46.6% +136.4% +49.8% +155.9% +54.3% +156.0%
2024 +53.2% +99.4% +47.5% +124.8% +66.4% +124.5%
2025 -12.1% -13.2% -8.5% -7.8% -10.6% -7.8%
2026 +0.9% -8.5% +1.6% -6.1% +1.9% -6.1%
指标 永续日线·含资金费 现货日线 永续日线·不含资金费
全样本收益 +83.7% +31.7% +158.0%
前2/3 / 后1/3 +58.3% / +16.0% +6.0% / +24.2% +111.7% / +21.9%
最大回撤(峰→谷→修复,持续天数) -58.0%(2021-01-08→2022-12-23→2024-11-22,1414天) -37.3%(2022-02-10→2022-12-18→2024-01-09,698天) -52.7%(2021-02-21→2022-12-23→2024-03-04,1107天)
OOS 最大回撤(持续) -35.2%(673天,修复:未修复) -32.2%(673天,修复:未修复) -33.8%(464天,修复:未修复)
2020-12~2021-05 收益 / 占总对数收益 +13.2% / 20.3% 不在样本内 +29.8% / 27.5%
剔除后·逐根连乘 +62.3%(MDD -45.1%) +31.7%(MDD -37.3%) +98.7%(MDD -44.0%)
剔除后·只算之后开仓 +62.3%(MDD -45.1%) +74.8%(MDD -43.8%) +98.7%(MDD -44.0%)
已平仓笔数 / OOS开仓笔数 34 / 11 29 / 11(样本不足) 34 / 11
胜率 / 平均每笔 38.2% / +3.0% 34.5% / +2.0% 41.2% / +4.3%
在场时间 / 平均仓位 43.6% / 1.00 42.1% / 1.00 43.6% / 1.00
资金费合计(账户) / 毛收益合计 -33.8% / +154.6%,占 21.8% -0.0% / +64.6%,占 0.0% -0.0% / +154.6%,占 0.0%
资金费占名义(持仓期费率累加) 33.8% 0.0% 0.0%
1.2%来回成本:全样本 / OOS +49.7% / +8.3% +10.5% / +15.9% +110.2% / +13.7%(脆弱)
0.5%风险/名义≤10%:全样本 / MDD / OOS +9.1% / -4.6% / +0.8% +3.9% / -2.2% / +1.2% +11.1% / -3.9% / +1.1%
0.5%风险版 最差单笔(账户) -0.6% -0.6% -0.6%
最近3个月 +9.4% +10.4% +10.7%

邻域参数(永续日线·含资金费,OOS 后1/3,持有 OOS +6.4% / MDD -54.7%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 10, "m": 5, "k": 2} +5.2% -30.9% +12.6% -67.3% 61 ✓
{"n": 10, "m": 5, "k": 3} +0.9% -34.4% +4.8% -68.2% 60 ✗
{"n": 10, "m": 5, "k": 4} +0.9% -34.4% +4.8% -68.2% 60 ✗
{"n": 10, "m": 5, "k": 5} +0.9% -34.4% +4.8% -68.2% 60 ✗
{"n": 20, "m": 10, "k": 2} +10.5% -33.6% +66.9% -54.1% 37 ✗
{"n": 20, "m": 10, "k": 3} +16.0% -35.2% +83.7% -58.0% 34 ✗
{"n": 20, "m": 10, "k": 4} -0.8% -44.6% +128.3% -50.4% 32 ✗
{"n": 20, "m": 10, "k": 5} -0.8% -44.6% +139.0% -50.3% 31 ✗
{"n": 30, "m": 15, "k": 2} +22.9% -29.7% +37.6% -57.3% 31 ✓
{"n": 30, "m": 15, "k": 3} +18.6% -36.5% +41.8% -67.9% 27 ✗
{"n": 30, "m": 15, "k": 4} +17.9% -41.3% +150.0% -55.4% 24 ✗
{"n": 30, "m": 15, "k": 5} +14.4% -43.0% +183.1% -51.4% 23 ✗
{"n": 55, "m": 27, "k": 2} +33.1% -19.3% +131.4% -48.0% 21 ✓
{"n": 55, "m": 27, "k": 3} +29.3% -27.7% +73.3% -56.3% 17 ✓
{"n": 55, "m": 27, "k": 4} +18.5% -33.8% +263.5% -34.0% 13 ✗
{"n": 55, "m": 27, "k": 5} +9.5% -38.8% +181.0% -39.5% 13 ✗

邻域参数(现货日线,OOS 后1/3,持有 OOS +18.6% / MDD -53.3%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 10, "m": 5, "k": 2} +8.3% -30.1% +6.6% -47.5% 50 ✗
{"n": 10, "m": 5, "k": 3} +2.9% -33.6% +9.9% -43.0% 49 ✗
{"n": 10, "m": 5, "k": 4} +2.9% -33.6% +9.9% -43.0% 49 ✗
{"n": 10, "m": 5, "k": 5} +2.9% -33.6% +9.9% -43.0% 49 ✗
{"n": 20, "m": 10, "k": 2} +10.1% -30.8% -0.6% -44.6% 33 ✗
{"n": 20, "m": 10, "k": 3} +24.2% -32.2% +31.7% -37.3% 29 ✗
{"n": 20, "m": 10, "k": 4} +6.8% -41.7% +9.3% -41.7% 29 ✗
{"n": 20, "m": 10, "k": 5} +6.8% -41.7% +9.3% -41.7% 29 ✗
{"n": 30, "m": 15, "k": 2} +18.2% -29.3% +7.4% -39.1% 26 ✓
{"n": 30, "m": 15, "k": 3} +22.8% -36.1% +37.5% -40.8% 21 ✗
{"n": 30, "m": 15, "k": 4} +20.8% -41.7% +35.3% -41.7% 20 ✗
{"n": 30, "m": 15, "k": 5} +19.6% -42.3% +33.9% -42.3% 20 ✗
{"n": 55, "m": 27, "k": 2} +27.7% -18.7% +87.7% -22.2% 16 ✓
{"n": 55, "m": 27, "k": 3} +34.2% -27.0% +87.8% -27.0% 12 ✓
{"n": 55, "m": 27, "k": 4} +25.3% -32.7% +75.7% -32.7% 11 ✗
{"n": 55, "m": 27, "k": 5} +15.9% -37.0% +46.8% -37.0% 11 ✗

D_D1_DONCHIAN_ATR_55/27/2

规则:同上(程序 GRID_D1 中 n=55, m=n//2=27, k=2);本报告用满仓 1x 与 0.5%/10% 两种仓位,程序实盘用 8% 风险/100% 上限 + 40% 账户回撤停机(未复现该账户层守卫)。默认参数(事先固定):{"n": 55, "m": 27, "k": 2}。

年份(UTC+8) 永续日线·含资金费 策略 同期持有 现货日线 策略 同期持有 永续日线·不含资金费 策略 同期持有
2020 +37.3% +56.9% UNKNOWN UNKNOWN +39.0% +58.3%
2021 -5.7% +28.1% +0.0% -12.8% +5.8% +66.7%
2022 -9.4% -67.3% -9.2% -65.4% -9.2% -65.4%
2023 +32.7% +136.4% +39.2% +155.9% +39.6% +156.0%
2024 +52.1% +99.4% +50.8% +124.8% +62.3% +124.5%
2025 +2.3% -13.2% +2.9% -7.8% +3.0% -7.8%
2026 -4.4% -8.5% -4.4% -6.1% -4.4% -6.1%
指标 永续日线·含资金费 现货日线 永续日线·不含资金费
全样本收益 +131.4% +87.7% +197.8%
前2/3 / 后1/3 +73.9% / +33.1% +46.9% / +27.7% +117.7% / +36.8%
最大回撤(峰→谷→修复,持续天数) -48.0%(2021-01-08→2021-08-03→2024-03-04,1151天) -22.2%(2023-02-02→2023-03-15→2023-11-24,295天) -44.1%(2021-02-21→2021-08-03→2024-01-09,1052天)
OOS 最大回撤(持续) -19.3%(517天,修复:未修复) -18.7%(517天,修复:未修复) -18.7%(517天,修复:未修复)
2020-12~2021-05 收益 / 占总对数收益 +8.9% / 10.1% 不在样本内 +21.4% / 17.7%
剔除后·逐根连乘 +112.6%(MDD -23.4%) +87.7%(MDD -22.2%) +145.4%(MDD -22.8%)
剔除后·只算之后开仓 +112.6%(MDD -23.4%) +123.8%(MDD -22.2%) +145.4%(MDD -22.8%)
已平仓笔数 / OOS开仓笔数 21 / 6(样本不足) 16 / 7(样本不足) 21 / 6(样本不足)
胜率 / 平均每笔 52.4% / +5.3% 43.8% / +4.9% 52.4% / +6.7%
在场时间 / 平均仓位 25.8% / 1.00 24.1% / 1.00 25.8% / 1.00
资金费合计(账户) / 毛收益合计 -25.1% / +144.6%,占 17.4% -0.0% / +82.6%,占 0.0% -0.0% / +144.6%,占 0.0%
资金费占名义(持仓期费率累加) 25.1% 0.0% 0.0%
1.2%来回成本:全样本 / OOS +104.0% / +28.0% +70.5% / +22.5% +162.6% / +31.6%
0.5%风险/名义≤10%:全样本 / MDD / OOS +7.7% / -2.8% / +2.5% +6.2% / -1.9% / +2.1% +9.3% / -2.5% / +2.7%
0.5%风险版 最差单笔(账户) -0.8% -0.6% -0.7%
最近3个月 +4.4% +5.0% +4.9%

邻域参数(永续日线·含资金费,OOS 后1/3,持有 OOS +6.4% / MDD -54.7%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 10, "m": 5, "k": 2} +5.2% -30.9% +12.6% -67.3% 61 ✓
{"n": 10, "m": 5, "k": 3} +0.9% -34.4% +4.8% -68.2% 60 ✗
{"n": 10, "m": 5, "k": 4} +0.9% -34.4% +4.8% -68.2% 60 ✗
{"n": 10, "m": 5, "k": 5} +0.9% -34.4% +4.8% -68.2% 60 ✗
{"n": 20, "m": 10, "k": 2} +10.5% -33.6% +66.9% -54.1% 37 ✗
{"n": 20, "m": 10, "k": 3} +16.0% -35.2% +83.7% -58.0% 34 ✗
{"n": 20, "m": 10, "k": 4} -0.8% -44.6% +128.3% -50.4% 32 ✗
{"n": 20, "m": 10, "k": 5} -0.8% -44.6% +139.0% -50.3% 31 ✗
{"n": 30, "m": 15, "k": 2} +22.9% -29.7% +37.6% -57.3% 31 ✓
{"n": 30, "m": 15, "k": 3} +18.6% -36.5% +41.8% -67.9% 27 ✗
{"n": 30, "m": 15, "k": 4} +17.9% -41.3% +150.0% -55.4% 24 ✗
{"n": 30, "m": 15, "k": 5} +14.4% -43.0% +183.1% -51.4% 23 ✗
{"n": 55, "m": 27, "k": 2} +33.1% -19.3% +131.4% -48.0% 21 ✓
{"n": 55, "m": 27, "k": 3} +29.3% -27.7% +73.3% -56.3% 17 ✓
{"n": 55, "m": 27, "k": 4} +18.5% -33.8% +263.5% -34.0% 13 ✗
{"n": 55, "m": 27, "k": 5} +9.5% -38.8% +181.0% -39.5% 13 ✗

邻域参数(现货日线,OOS 后1/3,持有 OOS +18.6% / MDD -53.3%):

参数 OOS收益 OOS MDD 全样本收益 全样本MDD 笔数 过Q1&Q2
{"n": 10, "m": 5, "k": 2} +8.3% -30.1% +6.6% -47.5% 50 ✗
{"n": 10, "m": 5, "k": 3} +2.9% -33.6% +9.9% -43.0% 49 ✗
{"n": 10, "m": 5, "k": 4} +2.9% -33.6% +9.9% -43.0% 49 ✗
{"n": 10, "m": 5, "k": 5} +2.9% -33.6% +9.9% -43.0% 49 ✗
{"n": 20, "m": 10, "k": 2} +10.1% -30.8% -0.6% -44.6% 33 ✗
{"n": 20, "m": 10, "k": 3} +24.2% -32.2% +31.7% -37.3% 29 ✗
{"n": 20, "m": 10, "k": 4} +6.8% -41.7% +9.3% -41.7% 29 ✗
{"n": 20, "m": 10, "k": 5} +6.8% -41.7% +9.3% -41.7% 29 ✗
{"n": 30, "m": 15, "k": 2} +18.2% -29.3% +7.4% -39.1% 26 ✓
{"n": 30, "m": 15, "k": 3} +22.8% -36.1% +37.5% -40.8% 21 ✗
{"n": 30, "m": 15, "k": 4} +20.8% -41.7% +35.3% -41.7% 20 ✗
{"n": 30, "m": 15, "k": 5} +19.6% -42.3% +33.9% -42.3% 20 ✗
{"n": 55, "m": 27, "k": 2} +27.7% -18.7% +87.7% -22.2% 16 ✓
{"n": 55, "m": 27, "k": 3} +34.2% -27.0% +87.8% -27.0% 12 ✓
{"n": 55, "m": 27, "k": 4} +25.3% -32.7% +75.7% -32.7% 11 ✗
{"n": 55, "m": 27, "k": 5} +15.9% -37.0% +46.8% -37.0% 11 ✗

表D 程序自身选参流程的 walk-forward(qi_strategies.walk_forward,GRID_D1 16组,训练730/测试182,按1.2%成本选参;程序仓位 8%风险/上限100%/40%回撤停机;不计资金费)

数据 OOS起点 WF·1.2%成本 WF·0.6%成本 WF MDD(0.6%) WF笔数 固定55/27/2·0.6% 固定55/27/2 MDD 固定55/27/2 笔数 同期持有 持有MDD 当前最新选参
现货日线 2023-07-11 +20.7% +29.4% -31.1% 13 +103.4% -21.3% 11 +178.0% -53.3% [55, 27, 2]
永续日线价格(不计资金费) 2022-12-30 +32.5% +41.8% -30.0% 13 +121.1% -22.8% 14 +407.1% -53.3% [55, 27, 5]

表E 试验计数(脚本计数器)