数据：15m=2023-10-22~2026-10-21T07:00 UTC（105119 根，HTX 永续价格），4h=2021-05-01~2026-10-21T00:00 UTC（11995 根）。前半/后半按样本中点切分（15m 中点 2025-04-21，4h 中点 2024-01-25），按平仓时间归属。
| 组 | 策略 | 周期 | 笔数 | 胜率% | 收益% | 最大回撤% | PF | 前半$ | 后半$ | 成本翻倍收益% | 备注 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| strategy_pool_v1(只做多) | donchian | 15m | 31 | 32.3 | -0.69 | 2.25 | 0.82 | -0.48 | -0.21 | -2.17 | |
| strategy_pool_v1(只做多) | ema | 15m | 271 | 22.5 | -10.07 | 10.14 | 0.60 | -10.07 | +0.00 | -9.98 | 回撤≥10%后低于5U最小下单额停摆（跳过38516次，末笔2024-09-01） |
| strategy_pool_v1(只做多) | bollinger | 15m | 221 | 13.1 | -10.01 | 10.06 | 0.07 | -10.01 | +0.00 | -10.03 | 回撤≥10%后低于5U最小下单额停摆（跳过2952次，末笔2024-02-23） |
| strategy_pool_v1(只做多) | rsi | 15m | 171 | 41.5 | -10.04 | 10.18 | 0.28 | -10.04 | +0.00 | -10.07 | 回撤≥10%后低于5U最小下单额停摆（跳过983次，末笔2024-08-07） |
| strategy_pool_v1(只做多) | keltner | 15m | 262 | 23.3 | -10.01 | 10.02 | 0.48 | -10.01 | +0.00 | -10.03 | 回撤≥10%后低于5U最小下单额停摆（跳过4810次，末笔2024-06-26） |
| strategy_pool_v1(只做多) | pullback | 15m | 199 | 11.6 | -10.02 | 10.02 | 0.25 | -10.02 | +0.00 | -10.08 | 回撤≥10%后低于5U最小下单额停摆（跳过6197次，末笔2024-02-22） |
| strategy_pool_v1(只做多) | local_mix | 15m | 186 | 3.8 | -10.04 | 10.05 | 0.03 | -10.04 | +0.00 | -10.01 | 回撤≥10%后低于5U最小下单额停摆（跳过13861次，末笔2023-11-13） |
| directional_v1(价格路径,资金费UNKNOWN) | donchian_long | 15m | 31 | 32.3 | -0.69 | 2.25 | 0.82 | -0.48 | -0.21 | -2.17 | |
| directional_v1(价格路径,资金费UNKNOWN) | donchian_short | 15m | 59 | 35.6 | -3.89 | 4.08 | 0.53 | -3.08 | -0.81 | -6.33 | 空单59笔-3.89$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | donchian_both | 15m | 90 | 34.4 | -4.56 | 5.76 | 0.62 | -3.54 | -1.01 | -8.37 | 空单59笔-3.89$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | ema_long | 15m | 271 | 22.5 | -10.07 | 10.14 | 0.60 | -10.07 | +0.00 | -9.98 | 回撤≥10%后低于5U最小下单额停摆（跳过38516次，末笔2024-09-01） |
| directional_v1(价格路径,资金费UNKNOWN) | ema_short | 15m | 174 | 19.5 | -9.97 | 10.06 | 0.41 | -9.97 | +0.00 | -10.06 | 回撤≥10%后低于5U最小下单额停摆（跳过41430次，末笔2024-05-17）；空单174笔-9.97$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | ema_both | 15m | 212 | 20.3 | -9.93 | 10.00 | 0.46 | -9.93 | +0.00 | -10.06 | 回撤≥10%后低于5U最小下单额停摆（跳过93405次，末笔2024-02-21）；空单103笔-7.16$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | bollinger_long | 15m | 221 | 13.1 | -10.01 | 10.06 | 0.07 | -10.01 | +0.00 | -10.03 | 回撤≥10%后低于5U最小下单额停摆（跳过2952次，末笔2024-02-23） |
| directional_v1(价格路径,资金费UNKNOWN) | bollinger_short | 15m | 176 | 11.4 | -10.03 | 10.12 | 0.06 | -10.03 | +0.00 | -10.03 | 回撤≥10%后低于5U最小下单额停摆（跳过2918次，末笔2024-01-26）；空单176笔-10.03$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | bollinger_both | 15m | 204 | 13.2 | -10.00 | 10.06 | 0.07 | -10.00 | +0.00 | -10.09 | 回撤≥10%后低于5U最小下单额停摆（跳过6189次，末笔2023-12-17）；空单106笔-5.67$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | rsi_long | 15m | 171 | 41.5 | -10.04 | 10.18 | 0.28 | -10.04 | +0.00 | -10.07 | 回撤≥10%后低于5U最小下单额停摆（跳过983次，末笔2024-08-07） |
| directional_v1(价格路径,资金费UNKNOWN) | rsi_short | 15m | 132 | 36.4 | -10.33 | 10.43 | 0.19 | -10.33 | +0.00 | -10.19 | 回撤≥10%后低于5U最小下单额停摆（跳过1095次，末笔2024-05-21）；空单132笔-10.33$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | rsi_both | 15m | 153 | 39.2 | -10.15 | 10.30 | 0.18 | -10.15 | +0.00 | -9.99 | 回撤≥10%后低于5U最小下单额停摆（跳过2395次，末笔2024-03-05）；空单86笔-7.94$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | keltner_long | 15m | 262 | 23.3 | -10.01 | 10.02 | 0.48 | -10.01 | +0.00 | -10.03 | 回撤≥10%后低于5U最小下单额停摆（跳过4810次，末笔2024-06-26） |
| directional_v1(价格路径,资金费UNKNOWN) | keltner_short | 15m | 149 | 10.1 | -9.92 | 10.01 | 0.16 | -9.92 | +0.00 | -10.05 | 回撤≥10%后低于5U最小下单额停摆（跳过5546次，末笔2024-03-14）；空单149笔-9.92$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | keltner_both | 15m | 197 | 17.3 | -9.94 | 10.03 | 0.32 | -9.94 | +0.00 | -10.04 | 回撤≥10%后低于5U最小下单额停摆（跳过11534次，末笔2024-01-20）；空单98笔-6.43$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | pullback_long | 15m | 199 | 11.6 | -10.02 | 10.02 | 0.25 | -10.02 | +0.00 | -10.08 | 回撤≥10%后低于5U最小下单额停摆（跳过6197次，末笔2024-02-22） |
| directional_v1(价格路径,资金费UNKNOWN) | pullback_short | 15m | 158 | 6.3 | -10.02 | 10.02 | 0.12 | -10.02 | +0.00 | -10.04 | 回撤≥10%后低于5U最小下单额停摆（跳过5781次，末笔2024-03-09）；空单158笔-10.02$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | pullback_both | 15m | 177 | 9.0 | -10.05 | 10.05 | 0.16 | -10.05 | +0.00 | -10.04 | 回撤≥10%后低于5U最小下单额停摆（跳过12742次，末笔2023-12-20）；空单74笔-4.86$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | local_mix_long | 15m | 186 | 3.8 | -10.04 | 10.05 | 0.03 | -10.04 | +0.00 | -10.01 | 回撤≥10%后低于5U最小下单额停摆（跳过13861次，末笔2023-11-13） |
| directional_v1(价格路径,资金费UNKNOWN) | local_mix_short | 15m | 177 | 4.0 | -10.01 | 10.05 | 0.02 | -10.01 | +0.00 | -10.07 | 回撤≥10%后低于5U最小下单额停摆（跳过12776次，末笔2023-11-25）；空单177笔-10.01$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | local_mix_both | 15m | 179 | 3.4 | -9.99 | 10.03 | 0.01 | -9.99 | +0.00 | -10.07 | 回撤≥10%后低于5U最小下单额停摆（跳过26233次，末笔2023-11-07）；空单63笔-3.79$，资金费UNKNOWN |
| EMA_FILTERED_200(27/73) | fast15 | 15m | 255 | 26.3 | -10.02 | 10.10 | 0.62 | -10.02 | +0.00 | -10.00 | 回撤≥10%后低于5U最小下单额停摆（跳过242次，末笔2025-04-21） |
| chatgpt_shadow/candidate_audit(Donchian) | default4h | 15m | 31 | 32.3 | -0.69 | 2.25 | 0.82 | -0.48 | -0.21 | -2.17 | |
| chatgpt_shadow/candidate_audit(Donchian) | audited4h | 15m | 7 | 28.6 | +0.09 | 1.11 | 1.10 | +0.68 | -0.59 | -0.26 | 样本不足 |
| chatgpt_shadow/candidate_audit(Donchian) | channel24 | 15m | 12 | 41.7 | +1.22 | 0.72 | 2.05 | +0.89 | +0.33 | +0.51 | 样本不足 |
| chatgpt_shadow/candidate_audit(Donchian) | channel34 | 15m | 11 | 45.5 | +1.24 | 0.72 | 2.08 | +0.91 | +0.33 | +0.58 | 样本不足 |
| chatgpt_shadow/candidate_audit(Donchian) | exit14 | 15m | 11 | 45.5 | +1.14 | 0.78 | 1.92 | +0.88 | +0.26 | +0.49 | 样本不足 |
| chatgpt_shadow/candidate_audit(Donchian) | channel48 | 15m | 7 | 28.6 | +0.26 | 1.12 | 1.26 | +0.86 | -0.59 | -0.11 | 样本不足 |
| strategy_pool_v1(只做多) | donchian | 240m | 70 | 32.9 | +3.84 | 4.50 | 1.21 | -3.14 | +6.98 | -0.20 | |
| strategy_pool_v1(只做多) | ema | 240m | 144 | 23.6 | +3.97 | 8.59 | 1.09 | +2.10 | +1.87 | -6.25 | |
| strategy_pool_v1(只做多) | bollinger | 240m | 201 | 55.7 | -9.90 | 10.11 | 0.71 | -5.81 | -4.09 | -9.95 | 回撤≥10%后低于5U最小下单额停摆（跳过112次，末笔2025-01-09） |
| strategy_pool_v1(只做多) | rsi | 240m | 138 | 50.7 | -4.59 | 5.59 | 0.86 | -1.24 | -3.35 | -10.05 | |
| strategy_pool_v1(只做多) | keltner | 240m | 114 | 36.0 | +7.94 | 3.92 | 1.37 | +3.21 | +4.73 | +1.29 | |
| strategy_pool_v1(只做多) | pullback | 240m | 140 | 22.1 | +2.16 | 7.85 | 1.07 | -2.91 | +5.07 | -4.84 | |
| strategy_pool_v1(只做多) | local_mix | 240m | 295 | 35.6 | -10.10 | 10.13 | 0.59 | -10.10 | +0.00 | -10.06 | 回撤≥10%后低于5U最小下单额停摆（跳过1214次，末笔2023-03-02） |
| directional_v1(价格路径,资金费UNKNOWN) | donchian_long | 240m | 70 | 32.9 | +3.84 | 4.50 | 1.21 | -3.14 | +6.98 | -0.20 | |
| directional_v1(价格路径,资金费UNKNOWN) | donchian_short | 240m | 79 | 40.5 | -1.36 | 4.66 | 0.93 | +1.59 | -2.95 | -6.40 | 空单79笔-1.36$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | donchian_both | 240m | 143 | 36.4 | +2.48 | 8.43 | 1.07 | -1.44 | +3.92 | -6.30 | 空单76笔-1.82$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | ema_long | 240m | 144 | 23.6 | +3.97 | 8.59 | 1.09 | +2.10 | +1.87 | -6.25 | |
| directional_v1(价格路径,资金费UNKNOWN) | ema_short | 240m | 89 | 22.5 | -6.83 | 10.12 | 0.71 | -3.89 | -2.94 | -7.75 | 空单89笔-6.83$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | ema_both | 240m | 194 | 20.6 | -5.79 | 10.21 | 0.89 | -3.29 | -2.50 | -6.78 | 空单95笔-8.70$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | bollinger_long | 240m | 201 | 55.7 | -9.90 | 10.11 | 0.71 | -5.81 | -4.09 | -9.95 | 回撤≥10%后低于5U最小下单额停摆（跳过112次，末笔2025-01-09） |
| directional_v1(价格路径,资金费UNKNOWN) | bollinger_short | 240m | 135 | 50.4 | -9.42 | 10.14 | 0.63 | -9.42 | +0.00 | -9.47 | 回撤≥10%后低于5U最小下单额停摆（跳过202次，末笔2023-12-02）；空单135笔-9.42$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | bollinger_both | 240m | 141 | 50.4 | -9.08 | 10.00 | 0.72 | -9.08 | +0.00 | -9.67 | 回撤≥10%后低于5U最小下单额停摆（跳过535次，末笔2022-08-20）；空单67笔-3.89$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | rsi_long | 240m | 138 | 50.7 | -4.59 | 5.59 | 0.86 | -1.24 | -3.35 | -10.05 | |
| directional_v1(价格路径,资金费UNKNOWN) | rsi_short | 240m | 80 | 45.0 | -10.20 | 10.20 | 0.50 | -5.67 | -4.53 | -10.02 | 回撤≥10%后低于5U最小下单额停摆（跳过77次，末笔2024-09-23）；空单80笔-10.20$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | rsi_both | 240m | 139 | 48.2 | -10.08 | 10.11 | 0.70 | -6.84 | -3.24 | -10.32 | 回撤≥10%后低于5U最小下单额停摆（跳过177次，末笔2024-03-04）；空单73笔-9.03$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | keltner_long | 240m | 114 | 36.0 | +7.94 | 3.92 | 1.37 | +3.21 | +4.73 | +1.29 | |
| directional_v1(价格路径,资金费UNKNOWN) | keltner_short | 240m | 113 | 37.2 | +2.28 | 4.97 | 1.10 | +1.94 | +0.33 | -4.71 | 空单113笔+2.28$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | keltner_both | 240m | 227 | 36.6 | +10.19 | 4.37 | 1.22 | +5.22 | +4.97 | -3.65 | 空单113笔+2.04$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | pullback_long | 240m | 140 | 22.1 | +2.16 | 7.85 | 1.07 | -2.91 | +5.07 | -4.84 | |
| directional_v1(价格路径,资金费UNKNOWN) | pullback_short | 240m | 89 | 15.7 | -7.12 | 10.07 | 0.64 | -4.57 | -2.55 | -7.79 | 空单89笔-7.12$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | pullback_both | 240m | 108 | 19.4 | -4.18 | 10.05 | 0.84 | -4.18 | +0.00 | -5.30 | 空单59笔-2.11$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | local_mix_long | 240m | 295 | 35.6 | -10.10 | 10.13 | 0.59 | -10.10 | +0.00 | -10.06 | 回撤≥10%后低于5U最小下单额停摆（跳过1214次，末笔2023-03-02） |
| directional_v1(价格路径,资金费UNKNOWN) | local_mix_short | 240m | 244 | 42.6 | -10.00 | 10.00 | 0.61 | -10.00 | +0.00 | -10.09 | 回撤≥10%后低于5U最小下单额停摆（跳过1262次，末笔2022-08-24）；空单244笔-10.00$，资金费UNKNOWN |
| directional_v1(价格路径,资金费UNKNOWN) | local_mix_both | 240m | 240 | 38.8 | -10.06 | 10.09 | 0.58 | -10.06 | +0.00 | -10.36 | 回撤≥10%后低于5U最小下单额停摆（跳过2911次，末笔2022-02-15）；空单114笔-4.56$，资金费UNKNOWN |
| EMA_FILTERED_200(27/73) | paper_account | 240m | 51 | 29.4 | +19.81 | 4.02 | 2.22 | +9.05 | +10.77 | +15.28 | |
| chatgpt_shadow/candidate_audit(Donchian) | default4h | 240m | 73 | 31.5 | +2.29 | 5.87 | 1.12 | -4.58 | +6.87 | -1.69 | |
| chatgpt_shadow/candidate_audit(Donchian) | audited4h | 240m | 14 | 35.7 | +1.50 | 3.56 | 1.37 | -2.93 | +4.44 | +0.73 | 样本不足 |
| chatgpt_shadow/candidate_audit(Donchian) | channel24 | 240m | 39 | 35.9 | +4.84 | 2.67 | 1.50 | -1.72 | +6.56 | +2.27 | |
| chatgpt_shadow/candidate_audit(Donchian) | channel34 | 240m | 33 | 36.4 | +5.11 | 2.81 | 1.61 | -0.66 | +5.77 | +2.81 | |
| chatgpt_shadow/candidate_audit(Donchian) | exit14 | 240m | 33 | 42.4 | +5.64 | 3.17 | 1.71 | -0.51 | +6.16 | +3.54 | |
| chatgpt_shadow/candidate_audit(Donchian) | channel48 | 240m | 13 | 38.5 | +1.98 | 3.08 | 1.56 | -2.93 | +4.92 | +1.21 | 样本不足 |
组合过滤：日线唐奇安(20日,k=3,现货日线)持仓时才允许开多
过滤开启时间占比：15m 46.0%，4h 39.6%。G1=只门控入场；G2=门控入场且日线状态转空时下一根离场。
| 策略 | 周期 | 原版 笔数/收益%/回撤%/PF | G1 笔数/收益%/回撤%/PF | G1 前半$/后半$ | G1 成本翻倍% | G2 收益% | 结论 |
|---|---|---|---|---|---|---|---|
| donchian | 15m | 31/-0.69/2.25/0.82 | 10/+0.21/0.73/1.18 | +0.34/-0.13 | -0.31 | +0.21 | 改善，样本不足 |
| ema | 15m | 271/-10.07/10.14/0.60 | 313/-9.85/10.04/0.68 | -5.71/-4.14 | -10.15 | -9.85 | 改善，仍为负 |
| bollinger | 15m | 221/-10.01/10.06/0.07 | 221/-10.05/10.10/0.08 | -10.05/+0.00 | -10.03 | -10.05 | ≈不变，仍为负 |
| rsi | 15m | 171/-10.04/10.18/0.28 | 236/-9.95/10.05/0.34 | -5.62/-4.33 | -10.05 | -10.02 | ≈不变，仍为负 |
| keltner | 15m | 262/-10.01/10.02/0.48 | 208/-10.04/10.06/0.39 | -10.04/+0.00 | -10.03 | -10.04 | ≈不变，仍为负 |
| pullback | 15m | 199/-10.02/10.02/0.25 | 206/-10.07/10.07/0.30 | -10.07/+0.00 | -10.08 | -10.07 | ≈不变，仍为负 |
| local_mix | 15m | 186/-10.04/10.05/0.03 | 186/-10.09/10.09/0.03 | -10.09/+0.00 | -10.07 | -10.09 | ≈不变，仍为负 |
| fast15 | 15m | 255/-10.02/10.10/0.62 | 243/-7.20/8.24/0.72 | -2.16/-5.04 | -10.19 | -7.20 | 改善，仍为负 |
| default4h | 15m | 31/-0.69/2.25/0.82 | 10/+0.21/0.73/1.18 | +0.34/-0.13 | -0.31 | +0.21 | 改善，样本不足 |
| audited4h | 15m | 7/+0.09/1.11/1.10 | 4/-0.34/0.87/0.47 | +0.00/-0.34 | -0.51 | -0.34 | 变差，仍为负，样本不足 |
| channel24 | 15m | 12/+1.22/0.72/2.05 | 5/+0.28/0.65/1.43 | +0.00/+0.28 | +0.00 | +0.28 | 变差，样本不足 |
| channel34 | 15m | 11/+1.24/0.72/2.08 | 5/+0.28/0.65/1.43 | +0.00/+0.28 | +0.00 | +0.28 | 变差，样本不足 |
| exit14 | 15m | 11/+1.14/0.78/1.92 | 5/+0.22/0.65/1.31 | +0.00/+0.22 | -0.05 | +0.22 | 变差，样本不足 |
| channel48 | 15m | 7/+0.26/1.12/1.26 | 4/-0.34/0.88/0.47 | +0.00/-0.34 | -0.51 | -0.34 | 变差，仍为负，样本不足 |
| donchian | 240m | 70/+3.84/4.50/1.21 | 31/+6.60/2.95/2.10 | -2.17/+8.77 | +4.26 | +6.60 | 改善 |
| ema | 240m | 144/+3.97/8.59/1.09 | 78/+4.68/7.60/1.22 | +2.74/+1.95 | +0.54 | +4.68 | 改善 |
| bollinger | 240m | 201/-9.90/10.11/0.71 | 99/-3.64/6.31/0.76 | +0.71/-4.35 | -8.24 | -2.78 | 改善，仍为负 |
| rsi | 240m | 138/-4.59/5.59/0.86 | 22/+0.25/1.68/1.06 | +0.49/-0.24 | -1.47 | -0.97 | 改善，样本不足 |
| keltner | 240m | 114/+7.94/3.92/1.37 | 69/+2.78/3.85/1.22 | -0.59/+3.37 | -0.86 | +2.78 | 变差 |
| pullback | 240m | 140/+2.16/7.85/1.07 | 108/-6.73/9.13/0.69 | -5.11/-1.62 | -8.87 | -6.73 | 变差，仍为负 |
| local_mix | 240m | 295/-10.10/10.13/0.59 | 249/-9.09/10.10/0.57 | -9.09/+0.00 | -9.63 | -9.09 | 改善，仍为负 |
| paper_account | 240m | 51/+19.81/4.02/2.22 | 15/+0.47/3.79/1.10 | -1.77/+2.24 | -0.26 | +0.47 | 变差，样本不足 |
| default4h | 240m | 73/+2.29/5.87/1.12 | 31/+6.60/2.95/2.10 | -2.17/+8.77 | +4.26 | +6.60 | 改善 |
| audited4h | 240m | 14/+1.50/3.56/1.37 | 9/+1.31/2.53/1.64 | -1.95/+3.26 | +0.77 | +1.31 | 变差，样本不足 |
| channel24 | 240m | 39/+4.84/2.67/1.50 | 21/+4.47/2.80/1.99 | -2.62/+7.09 | +2.85 | +4.47 | 变差，样本不足 |
| channel34 | 240m | 33/+5.11/2.81/1.61 | 20/+3.96/2.80/1.80 | -2.62/+6.58 | +2.45 | +3.96 | 变差，样本不足 |
| exit14 | 240m | 33/+5.64/3.17/1.71 | 20/+3.42/2.83/1.68 | -2.65/+6.07 | +2.18 | +3.42 | 变差，样本不足 |
| channel48 | 240m | 13/+1.98/3.08/1.56 | 9/+1.31/2.53/1.64 | -1.95/+3.26 | +0.77 | +1.31 | 变差，样本不足 |