数据集 4h：4h（HTX U本位永续价格作现货代理，只做多不计资金费）
- 文件 〔内部文件〕，13145 根已收盘K线（剔除未收盘 1 根），数据 2020-10-21 08:00 ~ 2026-10-21 00:00 UTC（K线开盘时间）
- 评估起点（预热 210 天后）2021-05-19 12:00 UTC；固定拆分点（前 60% 为样本内）2024-08-19 20:00 UTC
- 买入持有（同评估区间，含 0.3% 入场成本）：总收益 -10.4%，年化 -2.0%，最大回撤 -81.2%，最长水下 1806 天；样本内 -4.6% / 样本外 -6.3%
- 市况天数：牛市 838 天（持有 ETH 该段累计 -0.5%），熊市 738 天（持有 ETH 该段累计 -19.3%），震荡 405 天（持有 ETH 该段累计 11.5%）
默认参数（事先固定，非优化）全区间，成本来回 0.6%
| 策略 | 参数 | 交易笔数 | 胜率 | 总收益 | 年化 | 最大回撤 | 最长水下(天) | 最长连亏(笔) | 盈亏比 | 持仓时间占比 | 来回1.2%总收益 | 脆弱? |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | fast_d=20,slow_d=100 | 12（样本不足） | 50.0% | 18.0% | 3.1% | -61.1% | 1366 | 2 | 1.53 | 51.2% | 10.1% | 否 |
| 唐奇安突破+ATR跟踪 | n_d=20,k=6 | 34 | 44.1% | 173.4% | 20.4% | -46.4% | 562 | 7 | 2.48 | 33.3% | 122.8% | 否 |
| RSI均值回归(200日线过滤) | n=14,lo=30,hi=60 | 33 | 48.5% | -34.3% | -7.5% | -44.4% | 1777 | 4 | 0.65 | 12.2% | -46.2% | 本身为负 |
| 附录A 波动率目标+趋势 | slow_d=100,tv=0.6 | 98 | 7.1% | 0.2% | 0.0% | -56.2% | 847 | 22 | 16.43 | 51.7% | -40.7% | 脆弱 |
| 附录B 布林压缩突破 | n_d=20,q=0.2 | 27（样本不足） | 44.4% | 31.0% | 5.1% | -31.9% | 591 | 3 | 1.85 | 16.7% | 11.4% | 否 |
| 附录C 均线多空(永续,资金费UNKNOWN) | fast_d=20,slow_d=100 | 23（样本不足） | 39.1% | -62.3% | -16.5% | -87.7% | 1980 | 3 | 1.41 | 100.0% | -67.1% | 本身为负 |
| 买入持有 | - | 1 | - | -10.4% | -2.0% | -81.2% | 1806 | - | - | 100% | -10.6% | - |
样本内 / 样本外（固定 60/40 拆分）
| 策略 | 默认参数 样本内 | 默认参数 样本外(笔数) | 样本内最优参数(按Sharpe) | 其样本内 | 其样本外(笔数) | 最优参数邻域(±1档)样本外中位数 | 全网格样本外中位数 | 样本外为正的参数占比 | 买入持有 内/外 |
|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -38.3% | 91.2%(4) | fast_d=10,slow_d=50 | 48.6% | 64.3%(9) | 85.5%（6组） | 15.6% | 78.9% | -4.6% / -6.3% |
| 唐奇安突破+ATR跟踪 | 123.9% | 22.1%(15) | n_d=20,k=8 | 141.3% | -6.4%(15) | 20.8%（9组） | 20.3% | 80.0% | -4.6% / -6.3% |
| RSI均值回归(200日线过滤) | -24.4% | -13.2%(9) | n=7,lo=40,hi=70 | -0.9% | -47.8%(35) | -27.3%（8组） | -22.6% | 8.3% | -4.6% / -6.3% |
| 附录A 波动率目标+趋势 | -29.0% | 41.1%(31) | slow_d=200,tv=0.8 | 88.5% | 5.2%(15) | 24.1%（6组） | 40.2% | 100.0% | -4.6% / -6.3% |
| 附录B 布林压缩突破 | 5.5% | 24.1%(15) | n_d=10,q=0.1 | 141.1% | 84.8%(18) | 28.7%（4组） | 33.2% | 88.9% | -4.6% / -6.3% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -83.3% | 124.6%(8) | fast_d=10,slow_d=200 | -10.5% | -39.4%(6) | -33.3%（4组） | -33.1% | 22.2% | -4.6% / -6.3% |
Walk-forward（滚动：训练 730 天按 Sharpe 选参 → 检验后 182 天，样本外拼接）
| 策略 | WF 区间起点 | 笔数 | 胜率 | 总收益 | 年化 | 最大回撤 | 最长水下(天) | 最长连亏 | 盈亏比 | 来回1.2% 总收益 | 同期买入持有 总收益/年化/回撤 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 2023-05-19 | 12（样本不足） | 41.7% | 31.2% | 8.2% | -52.0% | 953 | 3 | 2.63 | 22.4% | 35.1% / 9.2% / -68.0% |
| 唐奇安突破+ATR跟踪 | 2023-05-19 | 16（样本不足） | 37.5% | 14.1% | 3.9% | -41.4% | 683 | 4 | 2.29 | 3.6% | 35.1% / 9.2% / -68.0% |
| RSI均值回归(200日线过滤) | 2023-05-19 | 51 | 49.0% | -43.5% | -15.3% | -60.9% | 950 | 9 | 0.69 | -58.5% | 35.1% / 9.2% / -68.0% |
| 附录A 波动率目标+趋势 | 2023-05-19 | 33 | 18.2% | 119.3% | 25.8% | -27.8% | 522 | 9 | 15.17 | 85.5% | 35.1% / 9.2% / -68.0% |
| 附录B 布林压缩突破 | 2023-05-19 | 22（样本不足） | 45.5% | 92.6% | 21.1% | -19.4% | 342 | 4 | 3.39 | 68.7% | 35.1% / 9.2% / -68.0% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 2023-05-19 | 15（样本不足） | 40.0% | 35.7% | 9.3% | -75.4% | 953 | 4 | 2.40 | 24.3% | 35.1% / 9.2% / -68.0% |
WF 每段选中的参数： - MA趋势(均线交叉): 2023-05-19→fast_d=10,slow_d=50; 2023-11-17→fast_d=10,slow_d=200; 2024-05-17→fast_d=5,slow_d=200; 2024-11-15→fast_d=30,slow_d=50; 2025-05-16→fast_d=30,slow_d=50; 2025-11-14→fast_d=30,slow_d=50; 2026-05-15→fast_d=10,slow_d=100 - 唐奇安突破+ATR跟踪: 2023-05-19→n_d=20,k=6; 2023-11-17→n_d=20,k=6; 2024-05-17→n_d=80,k=8; 2024-11-15→n_d=80,k=8; 2025-05-16→n_d=30,k=8; 2025-11-14→n_d=55,k=10; 2026-05-15→n_d=55,k=10 - RSI均值回归(200日线过滤): 2023-05-19→n=7,lo=40,hi=70; 2023-11-17→n=7,lo=35,hi=70; 2024-05-17→n=7,lo=35,hi=70; 2024-11-15→n=14,lo=35,hi=70; 2025-05-16→n=14,lo=35,hi=60; 2025-11-14→n=14,lo=25,hi=60; 2026-05-15→n=14,lo=25,hi=50 - 附录A 波动率目标+趋势: 2023-05-19→slow_d=200,tv=0.8; 2023-11-17→slow_d=200,tv=0.4; 2024-05-17→slow_d=200,tv=0.4; 2024-11-15→slow_d=150,tv=0.4; 2025-05-16→slow_d=50,tv=0.4; 2025-11-14→slow_d=50,tv=0.4; 2026-05-15→slow_d=50,tv=0.6 - 附录B 布林压缩突破: 2023-05-19→n_d=30,q=0.3; 2023-11-17→n_d=30,q=0.3; 2024-05-17→n_d=10,q=0.1; 2024-11-15→n_d=10,q=0.1; 2025-05-16→n_d=10,q=0.1; 2025-11-14→n_d=10,q=0.1; 2026-05-15→n_d=10,q=0.1 - 附录C 均线多空(永续,资金费UNKNOWN): 2023-05-19→fast_d=10,slow_d=200; 2023-11-17→fast_d=10,slow_d=200; 2024-05-17→fast_d=10,slow_d=200; 2024-11-15→fast_d=20,slow_d=150; 2025-05-16→fast_d=10,slow_d=100; 2025-11-14→fast_d=10,slow_d=100; 2026-05-15→fast_d=10,slow_d=100
参数网格汇总（全区间，来回 0.6%）
| 策略 | 参数组数 | 全网格总收益中位数 | 年化中位数 | 回撤中位数 | 笔数中位数 | 总收益>0 的参数占比 | 来回1.2% 中位数 | 来回1.2% 仍>0 占比 |
|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 19 | 33.1% | 5.4% | -55.8% | 12 | 68.4% | 24.7% | 68.4% |
| 唐奇安突破+ATR跟踪 | 20 | 66.9% | 9.9% | -43.8% | 28 | 100.0% | 41.5% | 95.0% |
| RSI均值回归(200日线过滤) | 24 | -46.4% | -10.9% | -60.8% | 74 | 4.2% | -66.8% | 0.0% |
| 附录A 波动率目标+趋势 | 16 | 69.6% | 10.2% | -45.4% | 78 | 87.5% | 31.3% | 62.5% |
| 附录B 布林压缩突破 | 9 | 71.3% | 10.4% | -36.6% | 27 | 100.0% | 53.7% | 88.9% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 9 | -62.3% | -16.5% | -83.1% | 15 | 0.0% | -67.1% | 0.0% |
参数敏感性热力表（全区间总收益；若有第三个参数取其中位数）
MA趋势(均线交叉)（行=fast_d，列=slow_d）
| fast_d \ slow_d | 50 | 100 | 150 | 200 |
|---|---|---|---|---|
| 5 | 72.6% | 62.5% | 33.1% | 32.8% |
| 10 | 144.1% | 68.5% | 34.0% | 39.7% |
| 20 | 85.0% | 18.0% | 17.5% | -3.4% |
| 30 | 67.0% | -36.5% | 42.2% | -32.3% |
| 50 | - | -51.0% | -8.2% | -25.8% |
唐奇安突破+ATR跟踪（行=n_d，列=k）
| n_d \ k | 4 | 6 | 8 | 10 |
|---|---|---|---|---|
| 10 | 13.3% | 96.2% | 65.8% | 65.1% |
| 20 | 99.5% | 173.4% | 125.9% | 110.6% |
| 30 | 121.3% | 165.0% | 149.6% | 123.6% |
| 55 | 49.8% | 68.1% | 56.0% | 22.0% |
| 80 | 29.7% | 46.5% | 51.9% | 19.5% |
RSI均值回归(200日线过滤)（行=lo，列=hi）
| lo \ hi | 50 | 60 | 70 |
|---|---|---|---|
| 25 | -14.3% | -30.1% | -44.9% |
| 30 | -47.6% | -40.6% | -44.5% |
| 35 | -31.8% | -34.5% | -26.0% |
| 40 | -61.8% | -64.3% | -52.2% |
附录A 波动率目标+趋势（行=slow_d，列=tv）
| slow_d \ tv | 0.4 | 0.6 | 0.8 | 1.0 |
|---|---|---|---|---|
| 50 | 165.0% | 211.3% | 198.4% | 191.7% |
| 100 | 15.1% | 0.2% | -14.1% | -18.6% |
| 150 | 68.2% | 43.6% | 36.2% | 31.7% |
| 200 | 83.4% | 87.1% | 98.3% | 70.9% |
附录B 布林压缩突破（行=n_d，列=q）
| n_d \ q | 0.1 | 0.2 | 0.3 |
|---|---|---|---|
| 10 | 345.6% | 195.4% | 180.1% |
| 20 | 8.8% | 31.0% | 28.8% |
| 30 | 35.9% | 71.3% | 116.0% |
附录C 均线多空(永续,资金费UNKNOWN)（行=fast_d，列=slow_d）
| fast_d \ slow_d | 100 | 150 | 200 |
|---|---|---|---|
| 10 | -21.2% | -50.0% | -45.6% |
| 20 | -62.3% | -62.1% | -73.4% |
| 50 | -93.1% | -77.7% | -83.1% |
分市况（默认参数全区间 / WF 样本外，各段 bar 收益连乘；规则见正文）
| 策略 | 牛市 默认 | 熊市 默认 | 震荡 默认 | 牛市 WF | 熊市 WF | 震荡 WF | 持有ETH 牛/熊/震(全区间) | 持有ETH 牛/熊/震(WF区间) |
|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -11.4% | -34.8% | 104.5% | 29.7% | 7.8% | -6.2% | -0.5%/-19.3%/11.5% | -4.0%/51.0%/-6.5% |
| 唐奇安突破+ATR跟踪 | 17.5% | 31.1% | 77.5% | -21.3% | -12.3% | 65.3% | -0.5%/-19.3%/11.5% | -4.0%/51.0%/-6.5% |
| RSI均值回归(200日线过滤) | -47.2% | 0.9% | 23.4% | -43.7% | 1.7% | -1.3% | -0.5%/-19.3%/11.5% | -4.0%/51.0%/-6.5% |
| 附录A 波动率目标+趋势 | -20.1% | -25.4% | 68.1% | 39.8% | -1.2% | 58.8% | -0.5%/-19.3%/11.5% | -4.0%/51.0%/-6.5% |
| 附录B 布林压缩突破 | -3.9% | -22.9% | 76.8% | 7.1% | 23.2% | 46.0% | -0.5%/-19.3%/11.5% | -4.0%/51.0%/-6.5% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -36.2% | -76.7% | 152.7% | 2.1% | -53.9% | 188.1% | -0.5%/-19.3%/11.5% | -4.0%/51.0%/-6.5% |
分年度（默认参数，来回 0.6%）
| 策略 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -15.6% | -42.6% | 24.0% | 25.6% | 39.3% | 12.2% |
| 唐奇安突破+ATR跟踪 | 51.4% | 2.5% | 23.7% | 17.0% | 11.0% | 9.7% |
| RSI均值回归(200日线过滤) | -10.6% | -13.3% | -7.2% | 4.1% | -5.1% | -7.6% |
| 附录A 波动率目标+趋势 | -0.9% | -43.4% | 35.1% | 9.1% | 28.1% | -5.4% |
| 附录B 布林压缩突破 | 3.8% | -11.7% | 7.8% | 28.5% | 3.6% | -0.3% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -54.1% | -43.0% | -23.4% | -7.9% | 59.8% | 27.9% |
| 买入持有 | 34.6% | -67.5% | 91.1% | 46.1% | -11.0% | -17.6% |
仓位约束换算（名义仓位≤10%；单笔风险≤0.5%）
| 策略 | 10%名义 默认 总收益/年化/回撤 | 10%名义 最差单笔(账户) | 单笔亏损>0.5%账户的笔数占比 | 风险预算版 平均仓位 | 风险预算版 总收益/年化/回撤 | 风险预算版 最差单笔(账户) | WF 风险预算版 总收益/年化/回撤 |
|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 7.6%/1.4%/-8.0% | -2.5% | 50.0% | 5.9% | 7.1%/1.3%/-3.9% | -1.4% | 4.6%/1.3%/-4.3% |
| 唐奇安突破+ATR跟踪 | 14.1%/2.5%/-5.9% | -2.0% | 38.2% | 5.1% | 7.1%/1.3%/-2.7% | -0.9% | 4.0%/1.1%/-2.7% |
| RSI均值回归(200日线过滤) | -2.1%/-0.4%/-5.4% | -1.7% | 21.2% | 5.7% | -1.9%/-0.4%/-3.0% | -1.0% | -2.3%/-0.7%/-4.5% |
| 附录A 波动率目标+趋势 | 4.0%/0.7%/-7.4% | -1.2% | 6.1% | 6.2% | 6.0%/1.1%/-4.5% | -0.4% | 6.5%/1.8%/-1.9% |
| 附录B 布林压缩突破 | 4.2%/0.8%/-3.7% | -1.0% | 33.3% | 6.3% | 3.7%/0.7%/-1.9% | -0.5% | 4.2%/1.2%/-1.3% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 2.3%/0.4%/-13.5% | -5.5% | 52.2% | 5.4% | 6.3%/1.1%/-6.2% | -1.4% | 6.9%/2.0%/-6.0% |
数据集 1d：日线（HTX 现货）
- 文件 〔内部文件〕，1999 根已收盘K线（剔除未收盘 1 根），数据 2021-04-30 16:00 ~ 2026-10-19 16:00 UTC（K线开盘时间）
- 评估起点（预热 210 天后）2021-11-27 16:00 UTC；固定拆分点（前 60% 为样本内）2024-11-03 16:00 UTC
- 买入持有（同评估区间，含 0.3% 入场成本）：总收益 -42.2%，年化 -10.6%，最大回撤 -79.1%，最长水下 1360 天；样本内 -41.1% / 样本外 -2.2%
- 市况天数：牛市 660 天（持有 ETH 该段累计 -20.0%），熊市 739 天（持有 ETH 该段累计 -19.2%），震荡 389 天（持有 ETH 该段累计 -10.6%）
默认参数（事先固定，非优化）全区间，成本来回 0.6%
| 策略 | 参数 | 交易笔数 | 胜率 | 总收益 | 年化 | 最大回撤 | 最长水下(天) | 最长连亏(笔) | 盈亏比 | 持仓时间占比 | 来回1.2%总收益 | 脆弱? |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | fast_d=20,slow_d=100 | 11（样本不足） | 45.5% | 33.9% | 6.1% | -56.4% | 828 | 3 | 2.06 | 48.8% | 25.7% | 否 |
| 唐奇安突破+ATR跟踪 | n_d=20,k=3 | 25（样本不足） | 44.0% | 69.2% | 11.3% | -49.0% | 575 | 5 | 2.11 | 39.9% | 45.7% | 否 |
| RSI均值回归(200日线过滤) | n=14,lo=30,hi=60 | 1（样本不足） | 100.0% | 13.6% | 2.6% | -1.0% | 1216 | 0 | UNKNOWN | 0.4% | 12.9% | 否 |
| 附录A 波动率目标+趋势 | slow_d=100,tv=0.6 | 36 | 16.7% | 18.4% | 3.5% | -50.7% | 816 | 9 | 7.03 | 49.7% | -3.5% | 脆弱 |
| 附录B 布林压缩突破 | n_d=20,q=0.2 | 18（样本不足） | 33.3% | 4.9% | 1.0% | -27.1% | 682 | 6 | 2.44 | 14.7% | -5.8% | 脆弱 |
| 附录C 均线多空(永续,资金费UNKNOWN) | fast_d=20,slow_d=100 | 21（样本不足） | 42.9% | -12.7% | -2.7% | -83.9% | 1585 | 3 | 1.67 | 100.0% | -22.8% | 本身为负 |
| 买入持有 | - | 1 | - | -42.2% | -10.6% | -79.1% | 1360 | - | - | 100% | -42.4% | - |
样本内 / 样本外（固定 60/40 拆分）
| 策略 | 默认参数 样本内 | 默认参数 样本外(笔数) | 样本内最优参数(按Sharpe) | 其样本内 | 其样本外(笔数) | 最优参数邻域(±1档)样本外中位数 | 全网格样本外中位数 | 样本外为正的参数占比 | 买入持有 内/外 |
|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -31.8% | 96.4%(4) | fast_d=5,slow_d=150 | 19.4% | 16.5%(3) | 14.0%（6组） | 12.5% | 73.7% | -41.1% / -2.2% |
| 唐奇安突破+ATR跟踪 | -6.5% | 80.4%(10) | n_d=30,k=2 | 49.3% | 95.3%(8) | 87.7%（6组） | 67.7% | 100.0% | -41.1% / -2.2% |
| RSI均值回归(200日线过滤) | 13.6% | 0.0%(0) | n=14,lo=35,hi=60 | 50.0% | 16.8%(5) | -0.1%（18组） | 0.0% | 37.5% | -41.1% / -2.2% |
| 附录A 波动率目标+趋势 | -26.8% | 61.7%(11) | slow_d=200,tv=0.4 | 58.0% | 18.5%(6) | 18.5%（4组） | 36.2% | 100.0% | -41.1% / -2.2% |
| 附录B 布林压缩突破 | -10.2% | 16.8%(9) | n_d=10,q=0.1 | 67.3% | 59.1%(6) | 37.9%（4组） | 54.3% | 100.0% | -41.1% / -2.2% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -65.8% | 154.3%(8) | fast_d=50,slow_d=150 | 3.2% | -45.3%(6) | -39.0%（6组） | -28.3% | 22.2% | -41.1% / -2.2% |
Walk-forward（滚动：训练 730 天按 Sharpe 选参 → 检验后 182 天，样本外拼接）
| 策略 | WF 区间起点 | 笔数 | 胜率 | 总收益 | 年化 | 最大回撤 | 最长水下(天) | 最长连亏 | 盈亏比 | 来回1.2% 总收益 | 同期买入持有 总收益/年化/回撤 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 2023-11-27 | 12（样本不足） | 41.7% | -4.1% | -1.4% | -58.0% | 953 | 3 | 1.68 | -10.5% | 19.2% / 6.2% / -67.4% |
| 唐奇安突破+ATR跟踪 | 2023-11-27 | 12（样本不足） | 50.0% | 94.1% | 25.7% | -32.2% | 433 | 3 | 3.34 | 80.8% | 19.2% / 6.2% / -67.4% |
| RSI均值回归(200日线过滤) | 2023-11-27 | 8（样本不足） | 75.0% | 18.9% | 6.2% | -13.4% | 372 | 2 | 0.85 | 13.4% | 19.2% / 6.2% / -67.4% |
| 附录A 波动率目标+趋势 | 2023-11-27 | 15（样本不足） | 33.3% | 107.2% | 28.6% | -34.8% | 519 | 6 | 7.64 | 91.9% | 19.2% / 6.2% / -67.4% |
| 附录B 布林压缩突破 | 2023-11-27 | 19（样本不足） | 52.6% | 144.0% | 36.0% | -21.1% | 450 | 2 | 2.96 | 117.8% | 19.2% / 6.2% / -67.4% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 2023-11-27 | 11（样本不足） | 45.5% | 44.0% | 13.4% | -68.0% | 953 | 5 | 2.17 | 35.2% | 19.2% / 6.2% / -67.4% |
WF 每段选中的参数： - MA趋势(均线交叉): 2023-11-27→fast_d=5,slow_d=50; 2024-05-27→fast_d=5,slow_d=200; 2024-11-25→fast_d=30,slow_d=50; 2025-05-26→fast_d=30,slow_d=50; 2025-11-24→fast_d=20,slow_d=50; 2026-05-25→fast_d=20,slow_d=100 - 唐奇安突破+ATR跟踪: 2023-11-27→n_d=30,k=2; 2024-05-27→n_d=30,k=2; 2024-11-25→n_d=55,k=2; 2025-05-26→n_d=30,k=2; 2025-11-24→n_d=30,k=2; 2026-05-25→n_d=55,k=2 - RSI均值回归(200日线过滤): 2023-11-27→n=7,lo=25,hi=70; 2024-05-27→n=14,lo=35,hi=60; 2024-11-25→n=14,lo=35,hi=60; 2025-05-26→n=14,lo=35,hi=50; 2025-11-24→n=7,lo=30,hi=50; 2026-05-25→n=14,lo=35,hi=60 - 附录A 波动率目标+趋势: 2023-11-27→slow_d=200,tv=0.4; 2024-05-27→slow_d=200,tv=0.4; 2024-11-25→slow_d=150,tv=0.4; 2025-05-26→slow_d=50,tv=0.4; 2025-11-24→slow_d=50,tv=0.4; 2026-05-25→slow_d=50,tv=0.8 - 附录B 布林压缩突破: 2023-11-27→n_d=10,q=0.1; 2024-05-27→n_d=10,q=0.3; 2024-11-25→n_d=10,q=0.3; 2025-05-26→n_d=10,q=0.3; 2025-11-24→n_d=10,q=0.3; 2026-05-25→n_d=10,q=0.2 - 附录C 均线多空(永续,资金费UNKNOWN): 2023-11-27→fast_d=10,slow_d=200; 2024-05-27→fast_d=10,slow_d=200; 2024-11-25→fast_d=20,slow_d=150; 2025-05-26→fast_d=20,slow_d=150; 2025-11-24→fast_d=20,slow_d=100; 2026-05-25→fast_d=20,slow_d=100
参数网格汇总（全区间，来回 0.6%）
| 策略 | 参数组数 | 全网格总收益中位数 | 年化中位数 | 回撤中位数 | 笔数中位数 | 总收益>0 的参数占比 | 来回1.2% 中位数 | 来回1.2% 仍>0 占比 |
|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 19 | 17.5% | 3.4% | -54.8% | 10 | 73.7% | 10.6% | 68.4% |
| 唐奇安突破+ATR跟踪 | 20 | 69.8% | 11.4% | -44.5% | 18 | 95.0% | 44.1% | 90.0% |
| RSI均值回归(200日线过滤) | 24 | 17.5% | 3.3% | -13.7% | 16 | 83.3% | 6.8% | 54.2% |
| 附录A 波动率目标+趋势 | 16 | 60.4% | 10.1% | -49.8% | 27 | 100.0% | 27.4% | 81.2% |
| 附录B 布林压缩突破 | 9 | 28.2% | 5.2% | -30.1% | 18 | 88.9% | 16.6% | 66.7% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 9 | -43.4% | -11.0% | -82.3% | 13 | 0.0% | -46.9% | 0.0% |
参数敏感性热力表（全区间总收益；若有第三个参数取其中位数）
MA趋势(均线交叉)（行=fast_d，列=slow_d）
| fast_d \ slow_d | 50 | 100 | 150 | 200 |
|---|---|---|---|---|
| 5 | 41.9% | 17.5% | 39.1% | 16.4% |
| 10 | 102.1% | 21.4% | 5.1% | 29.9% |
| 20 | 47.5% | 33.9% | 11.4% | -16.1% |
| 30 | 28.8% | -24.6% | 25.3% | -43.1% |
| 50 | - | -51.9% | 10.5% | -48.5% |
唐奇安突破+ATR跟踪（行=n_d，列=k）
| n_d \ k | 2 | 3 | 4 | 5 |
|---|---|---|---|---|
| 10 | 85.0% | 70.3% | 70.3% | 70.3% |
| 20 | 86.5% | 69.2% | 67.2% | 67.2% |
| 30 | 191.6% | 108.0% | 21.0% | 49.6% |
| 55 | 99.3% | 68.1% | -13.7% | 1.7% |
| 80 | 77.3% | 77.0% | 24.1% | 50.1% |
RSI均值回归(200日线过滤)（行=lo，列=hi）
| lo \ hi | 50 | 60 | 70 |
|---|---|---|---|
| 25 | 37.5% | 32.4% | 43.1% |
| 30 | 43.3% | 20.6% | 26.5% |
| 35 | 39.4% | 39.1% | 42.8% |
| 40 | 6.6% | 13.9% | 5.1% |
附录A 波动率目标+趋势（行=slow_d，列=tv）
| slow_d \ tv | 0.4 | 0.6 | 0.8 | 1.0 |
|---|---|---|---|---|
| 50 | 92.8% | 69.6% | 77.2% | 69.9% |
| 100 | 31.9% | 18.4% | 21.4% | 20.9% |
| 150 | 51.2% | 31.5% | 27.3% | 29.9% |
| 200 | 87.2% | 69.6% | 70.0% | 70.0% |
附录B 布林压缩突破（行=n_d，列=q）
| n_d \ q | 0.1 | 0.2 | 0.3 |
|---|---|---|---|
| 10 | 166.1% | 190.3% | 177.9% |
| 20 | 26.0% | 4.9% | 30.3% |
| 30 | -29.1% | 28.2% | 11.1% |
附录C 均线多空(永续,资金费UNKNOWN)（行=fast_d，列=slow_d）
| fast_d \ slow_d | 100 | 150 | 200 |
|---|---|---|---|
| 10 | -22.1% | -43.4% | -22.0% |
| 20 | -12.7% | -36.8% | -66.8% |
| 50 | -88.3% | -43.4% | -86.8% |
分市况（默认参数全区间 / WF 样本外，各段 bar 收益连乘；规则见正文）
| 策略 | 牛市 默认 | 熊市 默认 | 震荡 默认 | 牛市 WF | 熊市 WF | 震荡 WF | 持有ETH 牛/熊/震(全区间) | 持有ETH 牛/熊/震(WF区间) |
|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -10.1% | -31.7% | 117.9% | 1.6% | 7.9% | -12.5% | -20.0%/-19.2%/-10.6% | -4.2%/39.4%/-10.6% |
| 唐奇安突破+ATR跟踪 | -15.4% | 17.6% | 70.1% | 23.5% | 5.5% | 49.0% | -20.0%/-19.2%/-10.6% | -4.2%/39.4%/-10.6% |
| RSI均值回归(200日线过滤) | 13.6% | 0.0% | 0.0% | 7.9% | 0.0% | 10.2% | -20.0%/-19.2%/-10.6% | -4.2%/39.4%/-10.6% |
| 附录A 波动率目标+趋势 | -25.2% | -15.2% | 86.5% | 31.3% | 5.8% | 49.1% | -20.0%/-19.2%/-10.6% | -4.2%/39.4%/-10.6% |
| 附录B 布林压缩突破 | -21.7% | -1.4% | 35.9% | 55.5% | 15.2% | 36.2% | -20.0%/-19.2%/-10.6% | -4.2%/39.4%/-10.6% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -12.1% | -74.5% | 288.9% | -20.1% | -51.6% | 272.2% | -20.0%/-19.2%/-10.6% | -4.2%/39.4%/-10.6% |
分年度（默认参数，来回 0.6%）
| 策略 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -6.2% | -41.8% | 23.6% | 28.4% | 40.5% | 10.2% |
| 唐奇安突破+ATR跟踪 | 0.0% | -12.3% | 8.8% | 34.9% | 16.6% | 12.7% |
| RSI均值回归(200日线过滤) | 0.0% | 0.0% | 13.6% | 0.0% | 0.0% | 0.0% |
| 附录A 波动率目标+趋势 | -14.5% | -34.8% | 50.4% | 12.2% | 22.1% | 3.1% |
| 附录B 布林压缩突破 | 0.0% | -7.7% | 8.6% | 11.6% | -5.4% | -1.0% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -2.4% | -43.7% | -24.4% | -3.9% | 75.0% | 25.0% |
| 买入持有 | -10.1% | -67.9% | 93.4% | 44.9% | -10.8% | -19.9% |
仓位约束换算（名义仓位≤10%；单笔风险≤0.5%）
| 策略 | 10%名义 默认 总收益/年化/回撤 | 10%名义 最差单笔(账户) | 单笔亏损>0.5%账户的笔数占比 | 风险预算版 平均仓位 | 风险预算版 总收益/年化/回撤 | 风险预算版 最差单笔(账户) | WF 风险预算版 总收益/年化/回撤 |
|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 6.6%/1.3%/-7.2% | -2.7% | 54.5% | 6.3% | 5.9%/1.2%/-3.4% | -1.3% | 2.1%/0.7%/-4.6% |
| 唐奇安突破+ATR跟踪 | 8.5%/1.7%/-6.1% | -2.0% | 44.0% | 4.2% | 4.0%/0.8%/-2.4% | -0.9% | 5.7%/1.9%/-2.2% |
| RSI均值回归(200日线过滤) | 1.3%/0.3%/-0.1% | 1.3% | 0.0% | 6.8% | 0.9%/0.2%/-0.1% | 0.9% | 0.9%/0.3%/-0.6% |
| 附录A 波动率目标+趋势 | 4.9%/1.0%/-6.4% | -1.4% | 25.0% | 6.4% | 5.6%/1.1%/-4.3% | -0.7% | 5.5%/1.9%/-2.1% |
| 附录B 布林压缩突破 | 1.5%/0.3%/-2.9% | -1.1% | 27.8% | 6.6% | 1.9%/0.4%/-2.2% | -0.7% | 6.8%/2.3%/-1.3% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 8.1%/1.6%/-13.7% | -2.6% | 42.9% | 5.6% | 6.4%/1.3%/-6.4% | -1.2% | 5.6%/1.9%/-4.7% |
数据集 1d_swap：日线（HTX 永续价格，稳健性对照，更长样本）
- 文件 〔内部文件〕，2191 根已收盘K线（剔除未收盘 1 根），数据 2020-10-20 16:00 ~ 2026-10-19 16:00 UTC（K线开盘时间）
- 评估起点（预热 210 天后）2021-05-19 16:00 UTC；固定拆分点（前 60% 为样本内）2024-08-19 16:00 UTC
- 买入持有（同评估区间，含 0.3% 入场成本）：总收益 -13.0%，年化 -2.5%，最大回撤 -79.6%，最长水下 1805 天；样本内 -6.1% / 样本外 -7.6%
- 市况天数：牛市 837 天（持有 ETH 该段累计 -2.7%），熊市 738 天（持有 ETH 该段累计 -19.3%），震荡 405 天（持有 ETH 该段累计 10.8%）
默认参数（事先固定，非优化）全区间，成本来回 0.6%
| 策略 | 参数 | 交易笔数 | 胜率 | 总收益 | 年化 | 最大回撤 | 最长水下(天) | 最长连亏(笔) | 盈亏比 | 持仓时间占比 | 来回1.2%总收益 | 脆弱? |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | fast_d=20,slow_d=100 | 12（样本不足） | 50.0% | 22.4% | 3.8% | -57.5% | 851 | 2 | 1.56 | 51.2% | 14.2% | 否 |
| 唐奇安突破+ATR跟踪 | n_d=20,k=3 | 27（样本不足） | 48.1% | 153.0% | 18.7% | -49.4% | 569 | 5 | 2.18 | 40.3% | 115.2% | 否 |
| RSI均值回归(200日线过滤) | n=14,lo=30,hi=60 | 1（样本不足） | 100.0% | 13.6% | 2.4% | -1.0% | 1216 | 0 | UNKNOWN | 0.4% | 12.9% | 否 |
| 附录A 波动率目标+趋势 | slow_d=100,tv=0.6 | 41 | 17.1% | 22.9% | 3.9% | -52.9% | 953 | 8 | 6.87 | 52.0% | -1.5% | 脆弱 |
| 附录B 布林压缩突破 | n_d=20,q=0.2 | 20（样本不足） | 40.0% | 9.9% | 1.8% | -26.8% | 682 | 6 | 1.96 | 15.0% | -2.5% | 脆弱 |
| 附录C 均线多空(永续,资金费UNKNOWN) | fast_d=20,slow_d=100 | 23（样本不足） | 43.5% | -56.7% | -14.3% | -87.7% | 1979 | 3 | 1.27 | 100.0% | -62.2% | 本身为负 |
| 买入持有 | - | 1 | - | -13.0% | -2.5% | -79.6% | 1805 | - | - | 100% | -13.2% | - |
样本内 / 样本外（固定 60/40 拆分）
| 策略 | 默认参数 样本内 | 默认参数 样本外(笔数) | 样本内最优参数(按Sharpe) | 其样本内 | 其样本外(笔数) | 最优参数邻域(±1档)样本外中位数 | 全网格样本外中位数 | 样本外为正的参数占比 | 买入持有 内/外 |
|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -37.7% | 96.6%(4) | fast_d=10,slow_d=50 | 48.2% | 79.5%(9) | 84.8%（6组） | 12.2% | 73.7% | -6.1% / -7.6% |
| 唐奇安突破+ATR跟踪 | 71.1% | 47.8%(11) | n_d=10,k=3 | 115.4% | 58.3%(19) | 60.1%（6组） | 61.9% | 100.0% | -6.1% / -7.6% |
| RSI均值回归(200日线过滤) | 13.6% | 0.0%(0) | n=7,lo=25,hi=70 | 185.8% | 9.4%(6) | 0.0%（8组） | 0.0% | 37.5% | -6.1% / -7.6% |
| 附录A 波动率目标+趋势 | -16.0% | 46.2%(13) | slow_d=200,tv=0.6 | 110.4% | 13.3%(6) | 16.1%（6组） | 30.5% | 100.0% | -6.1% / -7.6% |
| 附录B 布林压缩突破 | -1.5% | 11.6%(10) | n_d=10,q=0.3 | 80.5% | 39.5%(15) | 39.1%（4组） | 39.5% | 100.0% | -6.1% / -7.6% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -83.1% | 154.8%(8) | fast_d=10,slow_d=200 | -4.5% | -23.0%(6) | -25.8%（4组） | -28.5% | 22.2% | -6.1% / -7.6% |
Walk-forward（滚动：训练 730 天按 Sharpe 选参 → 检验后 182 天，样本外拼接）
| 策略 | WF 区间起点 | 笔数 | 胜率 | 总收益 | 年化 | 最大回撤 | 最长水下(天) | 最长连亏 | 盈亏比 | 来回1.2% 总收益 | 同期买入持有 总收益/年化/回撤 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 2023-05-19 | 14（样本不足） | 35.7% | 18.7% | 5.1% | -47.1% | 953 | 3 | 2.74 | 9.5% | 31.5% / 8.3% / -67.5% |
| 唐奇安突破+ATR跟踪 | 2023-05-19 | 18（样本不足） | 33.3% | 67.9% | 16.3% | -38.3% | 422 | 4 | 3.86 | 50.8% | 31.5% / 8.3% / -67.5% |
| RSI均值回归(200日线过滤) | 2023-05-19 | 9（样本不足） | 77.8% | 27.5% | 7.4% | -13.4% | 372 | 2 | 0.89 | 20.8% | 31.5% / 8.3% / -67.5% |
| 附录A 波动率目标+趋势 | 2023-05-19 | 15（样本不足） | 33.3% | 86.7% | 20.0% | -41.2% | 923 | 5 | 5.61 | 72.0% | 31.5% / 8.3% / -67.5% |
| 附录B 布林压缩突破 | 2023-05-19 | 17（样本不足） | 41.2% | 51.1% | 12.8% | -21.5% | 450 | 3 | 2.92 | 36.5% | 31.5% / 8.3% / -67.5% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 2023-05-19 | 15（样本不足） | 33.3% | 21.1% | 5.7% | -71.0% | 953 | 7 | 2.86 | 10.9% | 31.5% / 8.3% / -67.5% |
WF 每段选中的参数： - MA趋势(均线交叉): 2023-05-19→fast_d=10,slow_d=50; 2023-11-17→fast_d=5,slow_d=50; 2024-05-17→fast_d=5,slow_d=200; 2024-11-15→fast_d=30,slow_d=50; 2025-05-16→fast_d=30,slow_d=50; 2025-11-14→fast_d=20,slow_d=50; 2026-05-15→fast_d=20,slow_d=100 - 唐奇安突破+ATR跟踪: 2023-05-19→n_d=30,k=2; 2023-11-17→n_d=30,k=2; 2024-05-17→n_d=10,k=3; 2024-11-15→n_d=10,k=3; 2025-05-16→n_d=30,k=5; 2025-11-14→n_d=30,k=3; 2026-05-15→n_d=80,k=2 - RSI均值回归(200日线过滤): 2023-05-19→n=7,lo=25,hi=70; 2023-11-17→n=7,lo=25,hi=70; 2024-05-17→n=7,lo=25,hi=70; 2024-11-15→n=14,lo=35,hi=60; 2025-05-16→n=14,lo=35,hi=50; 2025-11-14→n=7,lo=30,hi=50; 2026-05-15→n=14,lo=35,hi=60 - 附录A 波动率目标+趋势: 2023-05-19→slow_d=200,tv=0.6; 2023-11-17→slow_d=200,tv=0.6; 2024-05-17→slow_d=200,tv=0.4; 2024-11-15→slow_d=150,tv=0.4; 2025-05-16→slow_d=150,tv=0.4; 2025-11-14→slow_d=50,tv=0.8; 2026-05-15→slow_d=50,tv=0.8 - 附录B 布林压缩突破: 2023-05-19→n_d=20,q=0.3; 2023-11-17→n_d=20,q=0.1; 2024-05-17→n_d=10,q=0.1; 2024-11-15→n_d=10,q=0.3; 2025-05-16→n_d=10,q=0.2; 2025-11-14→n_d=10,q=0.3; 2026-05-15→n_d=10,q=0.2 - 附录C 均线多空(永续,资金费UNKNOWN): 2023-05-19→fast_d=10,slow_d=200; 2023-11-17→fast_d=10,slow_d=200; 2024-05-17→fast_d=10,slow_d=200; 2024-11-15→fast_d=20,slow_d=150; 2025-05-16→fast_d=20,slow_d=150; 2025-11-14→fast_d=20,slow_d=100; 2026-05-15→fast_d=20,slow_d=100
参数网格汇总（全区间，来回 0.6%）
| 策略 | 参数组数 | 全网格总收益中位数 | 年化中位数 | 回撤中位数 | 笔数中位数 | 总收益>0 的参数占比 | 来回1.2% 中位数 | 来回1.2% 仍>0 占比 |
|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 19 | 22.4% | 3.8% | -54.7% | 12 | 68.4% | 14.2% | 63.2% |
| 唐奇安突破+ATR跟踪 | 20 | 158.2% | 19.1% | -45.2% | 20 | 90.0% | 123.0% | 90.0% |
| RSI均值回归(200日线过滤) | 24 | 14.6% | 2.5% | -24.8% | 19 | 66.7% | 7.4% | 58.3% |
| 附录A 波动率目标+趋势 | 16 | 100.8% | 13.7% | -51.7% | 31 | 100.0% | 65.9% | 93.8% |
| 附录B 布林压缩突破 | 9 | 63.3% | 9.5% | -30.0% | 20 | 88.9% | 43.1% | 77.8% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 9 | -68.4% | -19.1% | -82.6% | 15 | 0.0% | -71.0% | 0.0% |
参数敏感性热力表（全区间总收益；若有第三个参数取其中位数）
MA趋势(均线交叉)（行=fast_d，列=slow_d）
| fast_d \ slow_d | 50 | 100 | 150 | 200 |
|---|---|---|---|---|
| 5 | 94.0% | 54.9% | 54.6% | 19.1% |
| 10 | 166.1% | 50.1% | 19.8% | 56.9% |
| 20 | 91.6% | 22.4% | 1.4% | -2.0% |
| 30 | 59.2% | -30.8% | 36.6% | -39.9% |
| 50 | - | -52.1% | -4.0% | -34.5% |
唐奇安突破+ATR跟踪（行=n_d，列=k）
| n_d \ k | 2 | 3 | 4 | 5 |
|---|---|---|---|---|
| 10 | 236.5% | 241.0% | 241.0% | 241.0% |
| 20 | 176.1% | 153.0% | 170.5% | 170.5% |
| 30 | 281.4% | 163.4% | 63.3% | 163.8% |
| 55 | 116.8% | 77.1% | -37.6% | 27.1% |
| 80 | 93.8% | 80.8% | -26.0% | 54.7% |
RSI均值回归(200日线过滤)（行=lo，列=hi）
| lo \ hi | 50 | 60 | 70 |
|---|---|---|---|
| 25 | 84.5% | 88.5% | 106.4% |
| 30 | 32.8% | 14.3% | 22.6% |
| 35 | 68.5% | 70.8% | 75.5% |
| 40 | 29.0% | 12.6% | 4.9% |
附录A 波动率目标+趋势（行=slow_d，列=tv）
| slow_d \ tv | 0.4 | 0.6 | 0.8 | 1.0 |
|---|---|---|---|---|
| 50 | 123.9% | 121.0% | 145.3% | 133.3% |
| 100 | 37.2% | 22.9% | 38.0% | 27.4% |
| 150 | 85.6% | 71.0% | 76.1% | 68.7% |
| 200 | 116.0% | 138.3% | 145.7% | 121.7% |
附录B 布林压缩突破（行=n_d，列=q）
| n_d \ q | 0.1 | 0.2 | 0.3 |
|---|---|---|---|
| 10 | 130.8% | 168.4% | 151.9% |
| 20 | 32.1% | 9.9% | 63.3% |
| 30 | -8.8% | 64.8% | 42.8% |
附录C 均线多空(永续,资金费UNKNOWN)（行=fast_d，列=slow_d）
| fast_d \ slow_d | 100 | 150 | 200 |
|---|---|---|---|
| 10 | -30.3% | -55.0% | -26.2% |
| 20 | -56.7% | -68.4% | -70.7% |
| 50 | -92.9% | -73.5% | -86.1% |
分市况（默认参数全区间 / WF 样本外，各段 bar 收益连乘；规则见正文）
| 策略 | 牛市 默认 | 熊市 默认 | 震荡 默认 | 牛市 WF | 熊市 WF | 震荡 WF | 持有ETH 牛/熊/震(全区间) | 持有ETH 牛/熊/震(WF区间) |
|---|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -12.2% | -31.5% | 103.5% | 16.1% | 4.2% | -1.9% | -2.7%/-19.3%/10.8% | -6.5%/51.0%/-6.5% |
| 唐奇安突破+ATR跟踪 | 26.7% | 16.5% | 71.3% | 17.5% | -2.6% | 46.8% | -2.7%/-19.3%/10.8% | -6.5%/51.0%/-6.5% |
| RSI均值回归(200日线过滤) | 13.6% | 0.0% | 0.0% | 20.8% | 0.0% | 5.5% | -2.7%/-19.3%/10.8% | -6.5%/51.0%/-6.5% |
| 附录A 波动率目标+趋势 | -9.1% | -16.6% | 62.1% | 19.0% | -3.8% | 63.0% | -2.7%/-19.3%/10.8% | -6.5%/51.0%/-6.5% |
| 附录B 布林压缩突破 | -18.2% | -1.3% | 36.1% | 0.0% | 11.0% | 36.1% | -2.7%/-19.3%/10.8% | -6.5%/51.0%/-6.5% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -35.7% | -74.3% | 162.4% | -22.7% | -55.5% | 252.3% | -2.7%/-19.3%/10.8% | -6.5%/51.0%/-6.5% |
分年度（默认参数，来回 0.6%）
| 策略 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | -14.1% | -41.8% | 23.6% | 28.1% | 40.5% | 10.2% |
| 唐奇安突破+ATR跟踪 | 39.6% | -12.2% | 9.4% | 44.7% | 16.9% | 11.5% |
| RSI均值回归(200日线过滤) | 0.0% | 0.0% | 13.6% | 0.0% | 0.0% | 0.0% |
| 附录A 波动率目标+趋势 | -6.0% | -35.8% | 51.2% | 6.8% | 22.5% | 3.0% |
| 附录B 布林压缩突破 | 4.6% | -7.8% | 8.9% | 11.9% | -5.3% | -1.1% |
| 附录C 均线多空(永续,资金费UNKNOWN) | -51.4% | -43.7% | -24.4% | -4.3% | 75.3% | 24.9% |
| 买入持有 | 35.5% | -67.9% | 93.6% | 44.8% | -10.9% | -19.9% |
仓位约束换算（名义仓位≤10%；单笔风险≤0.5%）
| 策略 | 10%名义 默认 总收益/年化/回撤 | 10%名义 最差单笔(账户) | 单笔亏损>0.5%账户的笔数占比 | 风险预算版 平均仓位 | 风险预算版 总收益/年化/回撤 | 风险预算版 最差单笔(账户) | WF 风险预算版 总收益/年化/回撤 |
|---|---|---|---|---|---|---|---|
| MA趋势(均线交叉) | 7.7%/1.4%/-7.3% | -2.7% | 50.0% | 5.9% | 7.3%/1.3%/-3.5% | -1.3% | 3.8%/1.1%/-3.7% |
| 唐奇安突破+ATR跟踪 | 13.7%/2.4%/-6.2% | -2.0% | 44.4% | 4.0% | 5.5%/1.0%/-2.4% | -0.9% | 5.2%/1.5%/-2.6% |
| RSI均值回归(200日线过滤) | 1.3%/0.2%/-0.1% | 1.3% | 0.0% | 6.9% | 0.9%/0.2%/-0.1% | 0.9% | 1.5%/0.4%/-0.6% |
| 附录A 波动率目标+趋势 | 6.0%/1.1%/-6.6% | -1.6% | 22.0% | 5.9% | 6.3%/1.1%/-4.2% | -0.7% | 5.9%/1.7%/-2.7% |
| 附录B 布林压缩突破 | 2.2%/0.4%/-2.9% | -1.1% | 25.0% | 6.3% | 2.2%/0.4%/-2.1% | -0.6% | 2.7%/0.8%/-1.3% |
| 附录C 均线多空(永续,资金费UNKNOWN) | 3.3%/0.6%/-13.8% | -6.1% | 47.8% | 5.4% | 6.6%/1.2%/-6.4% | -1.3% | 5.9%/1.7%/-5.5% |
总计测试参数组数：291（明细：4h|MA趋势(均线交叉) 19，4h|唐奇安突破+ATR跟踪 20，4h|RSI均值回归(200日线过滤) 24，4h|附录A 波动率目标+趋势 16，4h|附录B 布林压缩突破 9，4h|附录C 均线多空(永续,资金费UNKNOWN) 9，1d|MA趋势(均线交叉) 19，1d|唐奇安突破+ATR跟踪 20，1d|RSI均值回归(200日线过滤) 24，1d|附录A 波动率目标+趋势 16，1d|附录B 布林压缩突破 9，1d|附录C 均线多空(永续,资金费UNKNOWN) 9，1d_swap|MA趋势(均线交叉) 19，1d_swap|唐奇安突破+ATR跟踪 20，1d_swap|RSI均值回归(200日线过滤) 24，1d_swap|附录A 波动率目标+趋势 16，1d_swap|附录B 布林压缩突破 9，1d_swap|附录C 均线多空(永续,资金费UNKNOWN) 9）