diff --git a/engine/example/comparison_2h_6h.py b/engine/example/comparison_2h_6h.py new file mode 100644 index 0000000..4efe263 --- /dev/null +++ b/engine/example/comparison_2h_6h.py @@ -0,0 +1,1053 @@ +""" +2h/6h 策略全维度对比回测 — 9策略 × 4币种 × 2时间级别 × 4数据量 + +8个网络知名策略 + 牛熊自适应策略（RegimeDetector3投票） +在 2h 和 6h 两个新时间级别上的表现对比。 + +用法： + source .venv/bin/activate && python example/comparison_2h_6h.py +""" + +import asyncio +import json +import statistics +import sys +import time +from datetime import datetime, timedelta, timezone +from pathlib import Path +from typing import Optional, Type + +_project_root = Path(__file__).resolve().parent.parent.parent +if str(_project_root) not in sys.path: + sys.path.insert(0, str(_project_root)) + +from engine.common.base import BaseStrategy, Signal, StrategyConfig +from engine.common.models import Kline +from engine.common.config import config +from engine.backtest.models import BacktestConfig, BacktestResult +from engine.data import DataService +from engine.indicators.incremental import EmaInc, AtrInc, RsiInc, BbInc +from engine.example.long_short import LongShortEngine + +# ── 全局常量 ── +SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"] +TIMEFRAMES = ["2h", "6h"] +INITIAL = 10_000.0 +WARMUP = 150 +MAX_CONCURRENCY = 6 + +NOW = datetime.now(timezone.utc) +PERIODS = { + "全量": (None, None), + "近两年": (NOW - timedelta(days=730), NOW), + "近一年": (NOW - timedelta(days=365), NOW), + "近半年": (NOW - timedelta(days=182), NOW), +} + +MIN_BARS_FOR_PERIOD = { + "全量": 500, + "近两年": 200, + "近一年": 100, + "近半年": 50, +} + + +# ════════════════════════════════════════════════════════ +# 策略 1：海龟交易 (Turtle Trading) +# ════════════════════════════════════════════════════════ + +class TurtleConfig(StrategyConfig): + entry_period: int = 20 + exit_period: int = 10 + atr_period: int = 20 + atr_stop: float = 2.0 + + +class TurtleStrategy(BaseStrategy): + strategy_type = "趋势跟踪" + strategy_desc = "Donchian 20/10通道突破 + 2N ATR止损，多空双向" + + def __init__(self, c: TurtleConfig): + super().__init__(c) + self.cfg = c + self._highs: list[float] = [] + self._lows: list[float] = [] + self._closes: list[float] = [] + self._atr = AtrInc(c.atr_period) + self._side: str = "" + self._entry_price: float = 0.0 + self._highest_since: float = 0.0 + self._lowest_since: float = float("inf") + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._highs.append(k.high) + self._lows.append(k.low) + self._closes.append(k.close) + self._atr.update(k.high, k.low, k.close) + n = len(self._closes) + min_bars = max(self.cfg.entry_period, self.cfg.atr_period) + 5 + if n < min_bars: + return None + ca = self._atr[-1] + if ca == 0: + return None + d_high = max(self._highs[-(self.cfg.entry_period + 1):-1]) + d_low = min(self._lows[-(self.cfg.entry_period + 1):-1]) + d_exit_high = max(self._highs[-(self.cfg.exit_period + 1):-1]) + d_exit_low = min(self._lows[-(self.cfg.exit_period + 1):-1]) + + if self._side == "long": + self._highest_since = max(self._highest_since, k.high) + stop = self._entry_price - self.cfg.atr_stop * ca + trail = self._highest_since - self.cfg.atr_stop * ca * 0.5 + if k.close < d_exit_low or k.close < max(stop, trail): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="海龟退出", timestamp=k.open_time, confidence=0.25) + elif self._side == "short": + self._lowest_since = min(self._lowest_since, k.low) + stop = self._entry_price + self.cfg.atr_stop * ca + trail = self._lowest_since + self.cfg.atr_stop * ca * 0.5 + if k.close > d_exit_high or k.close > min(stop, trail): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="海龟退出", timestamp=k.open_time, confidence=0.25) + else: + margin = 0.002 + if k.close > d_high * (1 + margin): + self._side = "long" + self._entry_price = k.close + self._highest_since = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason="突破20日高", timestamp=k.open_time, confidence=0.25) + elif k.close < d_low * (1 - margin): + self._side = "short" + self._entry_price = k.close + self._lowest_since = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason="跌破20日低", timestamp=k.open_time, confidence=0.25) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 2：超级趋势 (SuperTrend) +# ════════════════════════════════════════════════════════ + +class SuperTrendConfig(StrategyConfig): + atr_period: int = 10 + multiplier: float = 3.0 + + +class SuperTrendStrategy(BaseStrategy): + strategy_type = "趋势跟踪" + strategy_desc = "ATR(10)×3倍动态跟踪止损带，趋势翻转即反转" + + def __init__(self, c: SuperTrendConfig): + super().__init__(c) + self.cfg = c + self._atr = AtrInc(c.atr_period) + self._highs: list[float] = [] + self._lows: list[float] = [] + self._closes: list[float] = [] + self._trend: int = 0 + self._final_upper: float = 0.0 + self._final_lower: float = 0.0 + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._highs.append(k.high) + self._lows.append(k.low) + self._closes.append(k.close) + self._atr.update(k.high, k.low, k.close) + n = len(self._closes) + if n < self.cfg.atr_period + 5: + return None + ca = self._atr[-1] + if ca == 0: + return None + hl2 = (k.high + k.low) / 2.0 + upper = hl2 + self.cfg.multiplier * ca + lower = hl2 - self.cfg.multiplier * ca + prev_upper = self._final_upper + prev_lower = self._final_lower + prev_trend = self._trend + + if k.close > prev_upper and prev_upper > 0: + self._trend = 1 + elif k.close < prev_lower and prev_lower > 0: + self._trend = -1 + + if self._trend == 1: + self._final_lower = max(lower, prev_lower) if prev_lower > 0 else lower + self._final_upper = float("inf") + elif self._trend == -1: + self._final_upper = min(upper, prev_upper) if prev_upper > 0 else upper + self._final_lower = float("-inf") + else: + self._final_upper = upper + self._final_lower = lower + + if prev_trend == self._trend: + return None + if self._trend == 1: + return Signal(symbol=self.cfg.symbol, side="BUY", reason="SuperTrend转多", timestamp=k.open_time, confidence=0.25) + elif self._trend == -1: + return Signal(symbol=self.cfg.symbol, side="SELL", reason="SuperTrend转空", timestamp=k.open_time, confidence=0.25) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 3：MACD 金叉死叉 +# ════════════════════════════════════════════════════════ + +class MacdCrossConfig(StrategyConfig): + fast: int = 12 + slow: int = 26 + signal: int = 9 + atr_period: int = 14 + atr_stop: float = 2.0 + + +class MacdCrossStrategy(BaseStrategy): + strategy_type = "动量" + strategy_desc = "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损" + + def __init__(self, c: MacdCrossConfig): + super().__init__(c) + self.cfg = c + self._ema_fast = EmaInc(c.fast) + self._ema_slow = EmaInc(c.slow) + self._atr = AtrInc(c.atr_period) + self._macd_vals: list[float] = [] + self._signal_vals: list[float] = [] + self._side: str = "" + self._entry_price: float = 0.0 + self._bars_held: int = 0 + + async def on_kline(self, k: Kline) -> Optional[Signal]: + fe = self._ema_fast.update(k.close) + se = self._ema_slow.update(k.close) + self._atr.update(k.high, k.low, k.close) + n = len(self._ema_fast) + min_bars = max(self.cfg.slow, self.cfg.signal) + 10 + if n < min_bars: + return None + macd = fe - se + self._macd_vals.append(macd) + if len(self._macd_vals) < self.cfg.signal + 2: + self._signal_vals.append(0.0) + return None + if len(self._signal_vals) < self.cfg.signal: + self._signal_vals.append(0.0) + if len(self._signal_vals) == self.cfg.signal: + self._signal_vals[-1] = sum(self._macd_vals[-self.cfg.signal:]) / self.cfg.signal + return None + k_sig = 2.0 / (self.cfg.signal + 1) + sig_val = macd * k_sig + self._signal_vals[-1] * (1 - k_sig) + self._signal_vals.append(sig_val) + if len(self._signal_vals) < 3: + return None + cur_m, cur_s = self._macd_vals[-1], self._signal_vals[-1] + prev_m, prev_s = self._macd_vals[-2], self._signal_vals[-2] + ca = self._atr[-1] + if ca == 0: + return None + golden = prev_m <= prev_s and cur_m > cur_s + death = prev_m >= prev_s and cur_m < cur_s + + if self._side == "long": + self._bars_held += 1 + stop = self._entry_price - self.cfg.atr_stop * ca + if k.close < stop or (death and self._bars_held > 3): + self._side = ""; self._bars_held = 0 + return Signal(symbol=self.cfg.symbol, side="SELL", reason="MACD退出", timestamp=k.open_time, confidence=0.25) + elif self._side == "short": + self._bars_held += 1 + stop = self._entry_price + self.cfg.atr_stop * ca + if k.close > stop or (golden and self._bars_held > 3): + self._side = ""; self._bars_held = 0 + return Signal(symbol=self.cfg.symbol, side="BUY", reason="MACD退出", timestamp=k.open_time, confidence=0.25) + else: + if golden and cur_m > 0: + self._side = "long"; self._entry_price = k.close; self._bars_held = 0 + return Signal(symbol=self.cfg.symbol, side="BUY", reason="MACD零轴上金叉", timestamp=k.open_time, confidence=0.25) + elif death and cur_m < 0: + self._side = "short"; self._entry_price = k.close; self._bars_held = 0 + return Signal(symbol=self.cfg.symbol, side="SELL", reason="MACD零轴下死叉", timestamp=k.open_time, confidence=0.25) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 4：布林收缩爆发 (Bollinger Squeeze) +# ════════════════════════════════════════════════════════ + +class BBSqueezeConfig(StrategyConfig): + bb_period: int = 20 + bb_std: float = 2.0 + kc_period: int = 20 + kc_mult: float = 1.5 + squeeze_lookback: int = 30 + atr_stop: float = 2.0 + + +class BBSqueezeStrategy(BaseStrategy): + strategy_type = "波动率突破" + strategy_desc = "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损" + + def __init__(self, c: BBSqueezeConfig): + super().__init__(c) + self.cfg = c + self._bb = BbInc(c.bb_period, c.bb_std) + self._ema = EmaInc(c.kc_period) + self._atr_kc = AtrInc(c.kc_period) + self._atr_stop = AtrInc(14) + self._closes: list[float] = [] + self._side: str = "" + self._entry_price: float = 0.0 + self._bb_widths: list[float] = [] + self._kc_widths: list[float] = [] + self._was_squeezed: bool = False + self._squeeze_bars: int = 0 + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._closes.append(k.close) + bb_u, bb_m, bb_l = self._bb.update(k.close) + typical = (k.high + k.low + k.close) / 3.0 + kc_mid = self._ema.update(typical) + self._atr_kc.update(k.high, k.low, k.close) + self._atr_stop.update(k.high, k.low, k.close) + n = len(self._closes) + min_bars = max(self.cfg.bb_period, self.cfg.kc_period, self.cfg.squeeze_lookback) + 5 + if n < min_bars: + return None + atr_kc = self._atr_kc[-1] + ca = self._atr_stop[-1] + if atr_kc == 0 or ca == 0 or bb_u == 0: + return None + kc_u = kc_mid + self.cfg.kc_mult * atr_kc + kc_l = kc_mid - self.cfg.kc_mult * atr_kc + bb_width = bb_u - bb_l + kc_width = kc_u - kc_l + self._bb_widths.append(bb_width) + self._kc_widths.append(kc_width) + is_squeezed = bb_u < kc_u and bb_l > kc_l + lookback = min(self.cfg.squeeze_lookback, len(self._bb_widths)) + recent_bb_w = self._bb_widths[-lookback:] + min_bb_w = min(recent_bb_w) + width_squeeze = bb_width < min_bb_w * 1.2 + was_squeezed = self._was_squeezed + fired = False + if is_squeezed: + self._was_squeezed = True + self._squeeze_bars += 1 + elif self._was_squeezed: + self._was_squeezed = False + self._squeeze_bars = 0 + fired = True + ema5 = sum(self._closes[-5:]) / 5.0 if n >= 5 else k.close + up_momentum = k.close > bb_m and k.close > ema5 + down_momentum = k.close < bb_m and k.close < ema5 + + if self._side == "long": + stop = self._entry_price - self.cfg.atr_stop * ca + if k.close < stop or (down_momentum and not is_squeezed): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="BB退出", timestamp=k.open_time, confidence=0.25) + elif self._side == "short": + stop = self._entry_price + self.cfg.atr_stop * ca + if k.close > stop or (up_momentum and not is_squeezed): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="BB退出", timestamp=k.open_time, confidence=0.25) + else: + if was_squeezed and fired and width_squeeze: + if up_momentum: + self._side = "long"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason="BB收缩爆发做多", timestamp=k.open_time, confidence=0.25) + elif down_momentum: + self._side = "short"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason="BB收缩爆发做空", timestamp=k.open_time, confidence=0.25) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 5：三均线排列 (Triple EMA) +# ════════════════════════════════════════════════════════ + +class TripleEmaConfig(StrategyConfig): + fast: int = 10 + mid: int = 30 + slow: int = 60 + atr_period: int = 14 + atr_stop: float = 2.0 + + +class TripleEmaStrategy(BaseStrategy): + strategy_type = "趋势跟踪" + strategy_desc = "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损" + + def __init__(self, c: TripleEmaConfig): + super().__init__(c) + self.cfg = c + self._ema_fast = EmaInc(c.fast) + self._ema_mid = EmaInc(c.mid) + self._ema_slow = EmaInc(c.slow) + self._atr = AtrInc(c.atr_period) + self._side: str = "" + self._entry_price: float = 0.0 + self._highest_since: float = 0.0 + self._lowest_since: float = float("inf") + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._ema_fast.update(k.close) + self._ema_mid.update(k.close) + self._ema_slow.update(k.close) + self._atr.update(k.high, k.low, k.close) + n = len(self._ema_slow) + if n < self.cfg.slow + 10: + return None + ef, em, es = self._ema_fast[-1], self._ema_mid[-1], self._ema_slow[-1] + pf, pm = self._ema_fast[-2], self._ema_mid[-2] + ca = self._atr[-1] + if ef == 0 or em == 0 or es == 0 or ca == 0: + return None + bull_align = ef > em > es + bear_align = ef < em < es + fast_cross_mid_up = pf <= pm and ef > em + fast_cross_mid_down = pf >= pm and ef < em + + if self._side == "long": + self._highest_since = max(self._highest_since, k.high) + trail = self._highest_since - self.cfg.atr_stop * ca + if fast_cross_mid_down or k.close < trail: + self._side = "" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="三均线退出", timestamp=k.open_time, confidence=0.25) + elif self._side == "short": + self._lowest_since = min(self._lowest_since, k.low) + trail = self._lowest_since + self.cfg.atr_stop * ca + if fast_cross_mid_up or k.close > trail: + self._side = "" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="三均线退出", timestamp=k.open_time, confidence=0.25) + else: + if fast_cross_mid_up and bull_align: + self._side = "long"; self._entry_price = k.close; self._highest_since = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason="三线多头排列", timestamp=k.open_time, confidence=0.25) + elif fast_cross_mid_down and bear_align: + self._side = "short"; self._entry_price = k.close; self._lowest_since = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason="三线空头排列", timestamp=k.open_time, confidence=0.25) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 6：RSI均值回归 (RSI Mean Reversion) +# ════════════════════════════════════════════════════════ + +class MeanRevConfig(StrategyConfig): + rsi_period: int = 14 + rsi_oversold: float = 25.0 + rsi_overbought: float = 75.0 + bb_period: int = 20 + bb_std: float = 2.0 + atr_stop: float = 1.5 + require_bb_touch: bool = True + + +class MeanRevStrategy(BaseStrategy): + strategy_type = "均值回归" + strategy_desc = "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归" + + def __init__(self, c: MeanRevConfig): + super().__init__(c) + self.cfg = c + self._rsi = RsiInc(c.rsi_period) + self._bb = BbInc(c.bb_period, c.bb_std) + self._atr = AtrInc(14) + self._side: str = "" + self._entry_price: float = 0.0 + + async def on_kline(self, k: Kline) -> Optional[Signal]: + r = self._rsi.update(k.close) + up, mid, lo = self._bb.update(k.close) + atr_v = self._atr.update(k.high, k.low, k.close) + if r == 0 or up == 0 or atr_v == 0: + return None + below_bb = k.close < lo if self.cfg.require_bb_touch else True + above_bb = k.close > up if self.cfg.require_bb_touch else True + + if self._side == "long": + stop = self._entry_price - self.cfg.atr_stop * atr_v + take = self._entry_price + self.cfg.atr_stop * atr_v * 1.5 + if k.close <= stop or k.close >= take or r > 55: + self._side = "" + reason = "止损" if k.close <= stop else ("止盈" if k.close >= take else "RSI回归中轨") + return Signal(symbol=self.cfg.symbol, side="SELL", reason=reason, timestamp=k.open_time) + elif self._side == "short": + stop = self._entry_price + self.cfg.atr_stop * atr_v + take = self._entry_price - self.cfg.atr_stop * atr_v * 1.5 + if k.close >= stop or k.close <= take or r < 45: + self._side = "" + reason = "止损" if k.close >= stop else ("止盈" if k.close <= take else "RSI回归中轨") + return Signal(symbol=self.cfg.symbol, side="BUY", reason=reason, timestamp=k.open_time) + else: + if r < self.cfg.rsi_oversold and below_bb: + self._side = "long"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason=f"RSI超卖{r:.0f}", timestamp=k.open_time) + elif r > self.cfg.rsi_overbought and above_bb: + self._side = "short"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason=f"RSI超买{r:.0f}", timestamp=k.open_time) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 7：ATR波动率突破 (Volatility Breakout) +# ════════════════════════════════════════════════════════ + +class VolBreakConfig(StrategyConfig): + atr_period: int = 14 + squeeze_period: int = 20 + squeeze_ratio: float = 0.7 + atr_stop: float = 2.0 + + +class VolBreakStrategy(BaseStrategy): + strategy_type = "波动率突破" + strategy_desc = "ATR(14)收缩至极低后扩张突破 + EMA(10/30)方向确认" + + def __init__(self, c: VolBreakConfig): + super().__init__(c) + self.cfg = c + self._atr = AtrInc(c.atr_period) + self._ema_fast = EmaInc(10) + self._ema_slow = EmaInc(30) + self._closes: list[float] = [] + self._highs: list[float] = [] + self._lows: list[float] = [] + self._side: str = "" + self._entry_price: float = 0.0 + self._was_squeezed = False + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._closes.append(k.close) + self._highs.append(k.high) + self._lows.append(k.low) + self._atr.update(k.high, k.low, k.close) + self._ema_fast.update(k.close) + self._ema_slow.update(k.close) + n = len(self._closes) + if n < self.cfg.atr_period + self.cfg.squeeze_period: + return None + atr_now = self._atr[-1] + atr_prev = self._atr[-2] if n >= 2 else 0 + ca = atr_now + if ca == 0: + return None + atr_window = [self._atr[i] for i in range(max(0, n - self.cfg.squeeze_period), n) if self._atr[i] > 0] + if not atr_window: + return None + min_atr = min(atr_window) + is_squeezed = atr_now < min_atr * (1 + (1 - self.cfg.squeeze_ratio)) + atr_expanding = atr_now > atr_prev * 1.05 if atr_prev > 0 else False + cf, cs = self._ema_fast[-1], self._ema_slow[-1] + trend_up = cf > cs + + if self._side == "long": + self._was_squeezed = False + stop = self._entry_price - self.cfg.atr_stop * ca + if k.close < stop or (cf < cs and not is_squeezed): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="ATR退出", timestamp=k.open_time) + elif self._side == "short": + self._was_squeezed = False + stop = self._entry_price + self.cfg.atr_stop * ca + if k.close > stop or (cf > cs and not is_squeezed): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="ATR退出", timestamp=k.open_time) + else: + if is_squeezed: + self._was_squeezed = True + elif self._was_squeezed and atr_expanding: + self._was_squeezed = False + if trend_up: + self._side = "long"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason="ATR扩张突破做多", timestamp=k.open_time) + else: + self._side = "short"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason="ATR扩张突破做空", timestamp=k.open_time) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 8：EMA双均线多空 (EMA Crossover) +# ════════════════════════════════════════════════════════ + +class EmaCrossConfig(StrategyConfig): + fast: int = 10 + slow: int = 50 + atr_stop: float = 2.5 + + +class EmaCrossStrategy(BaseStrategy): + strategy_type = "趋势跟踪" + strategy_desc = "EMA(10,50)金叉做多死叉做空 + ATR追踪止损，始终在场" + + def __init__(self, c: EmaCrossConfig): + super().__init__(c) + self.cfg = c + self._ema_fast = EmaInc(c.fast) + self._ema_slow = EmaInc(c.slow) + self._atr = AtrInc(14) + self._closes: list[float] = [] + self._highs: list[float] = [] + self._lows: list[float] = [] + self._highest: float = 0.0 + self._lowest: float = float('inf') + self._position_side: str = "" + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._closes.append(k.close) + self._highs.append(k.high) + self._lows.append(k.low) + self._ema_fast.update(k.close) + self._ema_slow.update(k.close) + self._atr.update(k.high, k.low, k.close) + n = len(self._closes) + if n < self.cfg.slow + 5: + return None + cur_f, cur_s = self._ema_fast[-1], self._ema_slow[-1] + cur_atr = self._atr[-1] + prev_f, prev_s = self._ema_fast[-2], self._ema_slow[-2] + if cur_f == 0 or cur_s == 0 or cur_atr == 0: + return None + golden = prev_f <= prev_s and cur_f > cur_s + death = prev_f >= prev_s and cur_f < cur_s + + if self._position_side == "long": + self._highest = max(self._highest, k.high) + stop = self._highest - self.cfg.atr_stop * cur_atr + if death: + self._position_side = "short" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="EMA死叉→做空", timestamp=k.open_time) + if k.close < stop: + self._position_side = "" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="ATR止损→空仓", timestamp=k.open_time) + elif self._position_side == "short": + self._lowest = min(self._lowest, k.low) + stop = self._lowest + self.cfg.atr_stop * cur_atr + if golden: + self._position_side = "long" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="EMA金叉→做多", timestamp=k.open_time) + if k.close > stop: + self._position_side = "" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="ATR止损→空仓", timestamp=k.open_time) + else: + if golden: + self._position_side = "long"; self._highest = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason="金叉→做多", timestamp=k.open_time) + elif death: + self._position_side = "short"; self._lowest = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason="死叉→做空", timestamp=k.open_time) + return None + + +# ════════════════════════════════════════════════════════ +# 策略 9：牛熊自适应 (Regime Adaptive) — 3法投票 +# EMA200斜率 + 价格vs EMA200 + ATH回撤 → 牛市只多/熊市只空/震荡空仓 +# ════════════════════════════════════════════════════════ + +class RegimeDetector3: + """牛熊判定器，内部维护增量 EMA(200)，避免每次从头重算""" + + def __init__(self): + self._ath = 0.0 + self._e200 = EmaInc(200) + + def update(self, price: float): + if price > self._ath: + self._ath = price + self._e200.update(price) + + def _ema200_slope(self, idx: int) -> str: + if idx < 220: return "unknown" + e200 = self._e200 + if e200[idx - 20] == 0: return "unknown" + slope = (e200[idx] - e200[idx - 20]) / e200[idx - 20] + if slope > 0.002: return "bull" + if slope < -0.002: return "bear" + return "sideways" + + def _price_vs_ema200(self, price: float, idx: int) -> str: + if idx < 210: return "unknown" + e = self._e200[idx] + if e == 0: return "unknown" + return "bull" if price > e else "bear" + + def _ath_drawdown(self, price: float) -> str: + if self._ath == 0: return "unknown" + dd = (price - self._ath) / self._ath + if dd > -0.15: return "bull" + if dd < -0.35: return "bear" + return "sideways" + + def detect(self, price: float, idx: int) -> str: + r1 = self._ema200_slope(idx) + r2 = self._price_vs_ema200(price, idx) + r3 = self._ath_drawdown(price) + b = sum(1 for r in [r1, r2, r3] if r == "bull") + br = sum(1 for r in [r1, r2, r3] if r == "bear") + if b >= 2: return "bull" + if br >= 2: return "bear" + return "sideways" + + +class RegimeEmaConfig(StrategyConfig): + fast: int = 10 + slow: int = 50 + atr_stop: float = 2.5 + + +class RegimeEmaStrategy(BaseStrategy): + """按市场状态自适应做多/做空 — 全部指标增量计算，O(1) per bar""" + strategy_type = "牛熊自适应" + strategy_desc = "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空" + + def __init__(self, c: RegimeEmaConfig): + super().__init__(c) + self.cfg = c + self._c: list[float] = []; self._h: list[float] = []; self._l: list[float] = [] + self._detector = RegimeDetector3() + self._ema_fast = EmaInc(c.fast) + self._ema_slow = EmaInc(c.slow) + self._atr = AtrInc(14) + self._side: str = ""; self._hp: float = 0.0; self._lp: float = float('inf') + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._c.append(k.close); self._h.append(k.high); self._l.append(k.low) + self._detector.update(k.close) + self._ema_fast.update(k.close) + self._ema_slow.update(k.close) + self._atr.update(k.high, k.low, k.close) + n = len(self._c) + if n < 220: return None + regime = self._detector.detect(k.close, n - 1) + cf, cs = self._ema_fast[-1], self._ema_slow[-1] + ca = self._atr[-1] + pf, ps = self._ema_fast[-2], self._ema_slow[-2] + if cf == 0 or cs == 0 or ca == 0: return None + golden = pf <= ps and cf > cs; death = pf >= ps and cf < cs + + if self._side == "long": + self._hp = max(self._hp, k.high); stop = self._hp - self.cfg.atr_stop * ca + if death or k.close < stop or regime == "bear": + self._side = "" + reason = "死叉" if death else ("ATR止损" if k.close < stop else "转熊") + return Signal(symbol=self.cfg.symbol, side="SELL", reason=reason, timestamp=k.open_time) + elif self._side == "short": + self._lp = min(self._lp, k.low); stop = self._lp + self.cfg.atr_stop * ca + if golden or k.close > stop or regime == "bull": + self._side = "" + reason = "金叉" if golden else ("ATR止损" if k.close > stop else "转牛") + return Signal(symbol=self.cfg.symbol, side="BUY", reason=reason, timestamp=k.open_time) + else: + if regime == "bull" and golden: + self._side = "long"; self._hp = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason=f"牛市金叉", timestamp=k.open_time) + elif regime == "bear" and death: + self._side = "short"; self._lp = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason=f"熊市死叉", timestamp=k.open_time) + return None + + +# ════════════════════════════════════════════════════════ +# 策略注册表 +# ════════════════════════════════════════════════════════ + +STRATEGY_REGISTRY = { + "1.海龟交易": { + "config_cls": TurtleConfig, + "strategy_cls": TurtleStrategy, + "make_config": lambda s: TurtleConfig(symbol=s, entry_period=20, exit_period=10, atr_period=20, atr_stop=2.0), + }, + "2.超级趋势": { + "config_cls": SuperTrendConfig, + "strategy_cls": SuperTrendStrategy, + "make_config": lambda s: SuperTrendConfig(symbol=s, atr_period=10, multiplier=3.0), + }, + "3.MACD金叉死叉": { + "config_cls": MacdCrossConfig, + "strategy_cls": MacdCrossStrategy, + "make_config": lambda s: MacdCrossConfig(symbol=s, fast=12, slow=26, signal=9, atr_period=14, atr_stop=2.0), + }, + "4.布林收缩爆发": { + "config_cls": BBSqueezeConfig, + "strategy_cls": BBSqueezeStrategy, + "make_config": lambda s: BBSqueezeConfig(symbol=s, bb_period=20, bb_std=2.0, kc_period=20, kc_mult=1.5, squeeze_lookback=30, atr_stop=2.0), + }, + "5.三均线排列": { + "config_cls": TripleEmaConfig, + "strategy_cls": TripleEmaStrategy, + "make_config": lambda s: TripleEmaConfig(symbol=s, fast=10, mid=30, slow=60, atr_period=14, atr_stop=2.0), + }, + "6.RSI均值回归": { + "config_cls": MeanRevConfig, + "strategy_cls": MeanRevStrategy, + "make_config": lambda s: MeanRevConfig(symbol=s, rsi_period=14, rsi_oversold=25, rsi_overbought=75, bb_period=20, bb_std=2.0, atr_stop=1.5), + }, + "7.ATR波动率突破": { + "config_cls": VolBreakConfig, + "strategy_cls": VolBreakStrategy, + "make_config": lambda s: VolBreakConfig(symbol=s, atr_period=14, squeeze_period=20, squeeze_ratio=0.7, atr_stop=2.0), + }, + "8.EMA双均线多空": { + "config_cls": EmaCrossConfig, + "strategy_cls": EmaCrossStrategy, + "make_config": lambda s: EmaCrossConfig(symbol=s, fast=10, slow=50, atr_stop=2.5), + }, + "9.牛熊自适应": { + "config_cls": RegimeEmaConfig, + "strategy_cls": RegimeEmaStrategy, + "make_config": lambda s: RegimeEmaConfig(symbol=s, fast=10, slow=50, atr_stop=2.5), + }, +} + +STRATEGY_PARAMS_STR = { + "1.海龟交易": "entry=20/exit=10/ATR(20)x2.0", + "2.超级趋势": "ATR(10)x3.0", + "3.MACD金叉死叉": "MACD(12,26,9)/ATR(14)x2.0", + "4.布林收缩爆发": "BB(20,2.0)/KC(20,1.5)/squeeze=30", + "5.三均线排列": "EMA(10,30,60)/ATR(14)x2.0", + "6.RSI均值回归": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "7.ATR波动率突破": "ATR(14)/squeeze=20x0.7/EMA(10,30)", + "8.EMA双均线多空": "EMA(10,50)/ATR(14)x2.5", + "9.牛熊自适应": "EMA200投票(斜率+价格+ATH)牛多熊空", +} + + +# ════════════════════════════════════════════════════════ +# 执行 +# ════════════════════════════════════════════════════════ + +async def run_one(entry, symbol, interval, period_label, start, end): + make_config = entry["make_config"] + strategy_cls = entry["strategy_cls"] + sc = make_config(symbol) + bt = BacktestConfig( + symbol=symbol, interval=interval, + start_time=start, end_time=end, + initial_capital=INITIAL, warmup_bars=WARMUP, + ) + engine = LongShortEngine(bt, db_config=config.db) + t0 = time.time() + try: + r = await engine.run(strategy_cls, sc) + elapsed = time.time() - t0 + return r, elapsed, None + except Exception as ex: + elapsed = time.time() - t0 + return None, elapsed, str(ex) + + +def safe(val, default=0): + return default if val is None else val + + +async def main(): + ds = DataService(config.db) + await ds.connect() + + print("正在获取数据范围...") + date_ranges: dict[tuple[str, str], tuple] = {} + for symbol in SYMBOLS: + for tf in TIMEFRAMES: + try: + s, e = await ds.fetch_symbol_date_range(symbol, tf) + bar_ms = {"2h": 7_200_000, "6h": 21_600_000} + estimated_bars = int((e - s).total_seconds() * 1000 / bar_ms[tf]) + date_ranges[(symbol, tf)] = (s, e, estimated_bars) + print(f" {symbol} {tf:<4}: {s.date()} ~ {e.date()} (约{estimated_bars:,}根)") + except Exception as ex: + print(f" {symbol} {tf:<4}: 获取失败 — {ex}") + + await ds.close() + + sem = asyncio.Semaphore(MAX_CONCURRENCY) + tasks_info: list[dict] = [] + + for strat_name, entry in STRATEGY_REGISTRY.items(): + for symbol in SYMBOLS: + for tf in TIMEFRAMES: + key = (symbol, tf) + if key not in date_ranges: + continue + fs, fe, est_bars = date_ranges[key] + + for period_label, (period_start, period_end) in PERIODS.items(): + actual_start = period_start or fs + actual_end = period_end or fe + if actual_start >= actual_end: + continue + + min_bars = MIN_BARS_FOR_PERIOD.get(period_label, 50) + actual_bars = est_bars + if period_label != "全量": + actual_bars = int((actual_end - actual_start).total_seconds() * 1000 / { + "2h": 7_200_000, "6h": 21_600_000 + }[tf]) + + if actual_bars < min_bars: + continue + + tasks_info.append({ + "strat_name": strat_name, + "entry": entry, + "symbol": symbol, + "tf": tf, + "period_label": period_label, + "start": actual_start, + "end": actual_end, + }) + + total = len(tasks_info) + print(f"\n共 {total} 组回测任务 (9策略×4币种×2时间×4数据量 - 跳过数据不足)") + + results: list[dict] = [] + completed = 0 + errors = 0 + + async def run_one_safe(info): + nonlocal completed, errors + async with sem: + r, elapsed, err = await run_one( + info["entry"], info["symbol"], info["tf"], + info["period_label"], info["start"], info["end"], + ) + completed += 1 + if err: + errors += 1 + status = f"✗ {err[:40]}" + elif r is None: + errors += 1 + status = "✗ 无结果" + else: + m = r.metrics + status = f"✓ {m.annual_return_pct:+.1f}%/yr" + print(f" [{completed}/{total}] {info['strat_name']} {info['symbol']} {info['tf']} {info['period_label']} ({elapsed:.1f}s) {status}", flush=True) + + row = { + "策略名": info["strat_name"], + "币种": info["symbol"], + "时间级别": info["tf"], + "数据量": info["period_label"], + "策略类型": info["entry"]["strategy_cls"].strategy_type if r else "", + "策略参数": STRATEGY_PARAMS_STR.get(info["strat_name"], ""), + "策略描述": info["entry"]["strategy_cls"].strategy_desc if r else "", + "日期范围": f"{info['start'].date()}~{info['end'].date()}", + } + + if r is not None: + m = r.metrics + row.update({ + "初始资金": INITIAL, + "最终权益": round(m.final_equity, 2), + "总收益%": round(m.total_return_pct, 2), + "年化收益%": round(m.annual_return_pct, 2), + "夏普比率": round(m.sharpe_ratio, 2), + "最大回撤%": round(m.max_drawdown_pct, 2), + "胜率%": round(m.win_rate * 100, 2), + "盈亏比": round(m.profit_factor, 2), + "交易次数": m.total_trades, + "平均盈亏": round(m.avg_trade_pnl, 2), + "最佳盈亏": round(m.best_trade_pnl, 2), + "最差盈亏": round(m.worst_trade_pnl, 2), + "卡尔玛比率": round(m.calmar_ratio, 2), + "耗时s": round(elapsed, 1), + }) + else: + row.update({ + "初始资金": INITIAL, + "最终权益": 0, + "总收益%": 0, + "年化收益%": 0, + "夏普比率": 0, + "最大回撤%": 0, + "胜率%": 0, + "盈亏比": 0, + "交易次数": 0, + "平均盈亏": 0, + "最佳盈亏": 0, + "最差盈亏": 0, + "卡尔玛比率": 0, + "耗时s": round(elapsed, 1), + "错误": err or "未知错误", + }) + + results.append(row) + return row + + t_total = time.time() + await asyncio.gather(*[run_one_safe(info) for info in tasks_info]) + total_elapsed = time.time() - t_total + + print(f"\n全部完成！成功 {total - errors}/{total}，错误 {errors}，总耗时 {total_elapsed:.0f}s") + + # ── 打印完整表格 ── + print() + print("═" * 195) + print(" 2h / 6h 全维度策略对比回测结果（9策略 × 4币种 × 2时间 × 4数据量）") + print("═" * 195) + print() + + for strat_name in STRATEGY_REGISTRY: + strat_results = [r for r in results if r["策略名"] == strat_name] + if not strat_results: + continue + first = strat_results[0] + print(f"■ {strat_name} | 类型: {first['策略类型']} | {first['策略描述']}") + print(f" 参数: {first['策略参数']}") + print(f" {'币种':<10} {'时间':<5} {'数据量':<6} {'总收益%':>8} {'年化%':>8} {'夏普':>7} {'回撤%':>7} {'胜率%':>7} {'盈亏比':>7} {'交易':>6} {'日期范围':<24}") + print(" " + "─" * 185) + + strat_results.sort(key=lambda x: (SYMBOLS.index(x["币种"]), TIMEFRAMES.index(x["时间级别"]), list(PERIODS.keys()).index(x["数据量"]))) + + for r in strat_results: + print(f" {r['币种']:<10} {r['时间级别']:<5} {r['数据量']:<6} {r['总收益%']:>7.1f}% {r['年化收益%']:>7.1f}% {r['夏普比率']:>7.2f} {r['最大回撤%']:>7.1f}% {r['胜率%']:>6.1f}% {r['盈亏比']:>7.2f} {r['交易次数']:>6} {r['日期范围']:<24}") + print() + + # ── 终极汇总 ── + print("═" * 195) + print(" ■ 终极汇总：每组(时间级别+数据量)下各币种最佳策略（按年化收益）") + print("═" * 195) + print() + + for tf in TIMEFRAMES: + for period_label in PERIODS: + subset = [r for r in results if r["时间级别"] == tf and r["数据量"] == period_label and r.get("总收益%", 0) != 0] + if not subset: + continue + subset.sort(key=lambda x: x.get("年化收益%", -9999), reverse=True) + + print(f" ▲ {tf} | {period_label}") + print(f" {'排名':<5} {'策略名':<22} {'币种':<10} {'总收益%':>8} {'年化%':>8} {'夏普':>7} {'回撤%':>7} {'胜率%':>7} {'盈亏比':>7} {'交易':>6}") + print(" " + "─" * 130) + for i, r in enumerate(subset[:5]): + marker = ["🥇", "🥈", "🥉", " 4", " 5"][i] + print(f" {marker:<5} {r['策略名']:<22} {r['币种']:<10} {r['总收益%']:>7.1f}% {r['年化收益%']:>7.1f}% {r['夏普比率']:>7.2f} {r['最大回撤%']:>7.1f}% {r['胜率%']:>6.1f}% {r['盈亏比']:>7.2f} {r['交易次数']:>6}") + print() + + # ── 保存 JSON ── + output_file = _project_root / "engine" / "example" / "comparison_2h_6h_result.json" + with open(output_file, "w", encoding="utf-8") as f: + json.dump({ + "config": { + "symbols": SYMBOLS, + "timeframes": TIMEFRAMES, + "periods": list(PERIODS.keys()), + "initial_capital": INITIAL, + "warmup_bars": WARMUP, + "total_tasks": total, + "total_errors": errors, + "elapsed_seconds": total_elapsed, + "run_time": datetime.now(timezone.utc).isoformat(), + }, + "results": results, + }, f, ensure_ascii=False, indent=2, default=str) + print(f" 详细结果已保存至: {output_file}") + print() + print("═" * 195) + + +if __name__ == "__main__": + asyncio.run(main()) diff --git a/engine/example/comparison_2h_6h_report.md b/engine/example/comparison_2h_6h_report.md new file mode 100644 index 0000000..97f97f4 --- /dev/null +++ b/engine/example/comparison_2h_6h_report.md @@ -0,0 +1,804 @@ +# 2h / 6h 策略全维度对比回测报告 + +> **回测日期**：2026-06-13 11:36:37 UTC +> **总耗时**：28.7 秒 +> **测试维度**：9 策略 × 4 币种 × 2 时间级别 × 4 数据量 = 288 次回测 +> **初始资金**：$10,000 | **预热 Bar**：150 +> **错误数**：0 | **手续费**：0.1% | **滑点**：0.05% | **引擎**：LongShortEngine（多空双向） + +--- + +## 一、策略概览 + +| # | 策略名称 | 类型 | 参数 | 描述 | +|---|----------|------|------|------| +| 1 | **海龟交易** | 趋势跟踪 | `entry=20/exit=10/ATR(20)x2.0` | Donchian 20/10通道突破 + 2N ATR止损，多空双向 | +| 2 | **超级趋势** | 趋势跟踪 | `ATR(10)x3.0` | ATR(10)×3倍动态跟踪止损带，趋势翻转即反转 | +| 3 | **MACD金叉死叉** | 动量 | `MACD(12,26,9)/ATR(14)x2.0` | MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损 | +| 4 | **布林收缩爆发** | 波动率突破 | `BB(20,2.0)/KC(20,1.5)/squeeze=30` | BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损 | +| 5 | **三均线排列** | 趋势跟踪 | `EMA(10,30,60)/ATR(14)x2.0` | EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损 | +| 6 | **RSI均值回归** | 均值回归 | `RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5` | RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归 | +| 7 | **ATR波动率突破** | 波动率突破 | `ATR(14)/squeeze=20x0.7/EMA(10,30)` | ATR(14)收缩至极低后扩张突破 + EMA(10/30)方向确认 | +| 8 | **EMA双均线多空** | 趋势跟踪 | `EMA(10,50)/ATR(14)x2.5` | EMA(10,50)金叉做多死叉做空 + ATR追踪止损，始终在场 | +| 9 | **牛熊自适应** | 牛熊自适应 | `EMA200投票(斜率+价格+ATH)牛多熊空` | EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空 | + +--- + +## 二、全量数据 TOP 20（按夏普比率排名） + +| 排名 | 策略 | 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | 超级趋势 | SOLUSDT | 6h | +620.1% | +41.1% | **1.40** | -37.0% | 39.5% | 2.21 | 86 | 1.11 | +| 🥈 | ATR波动率突破 | SOLUSDT | 2h | +11666.5% | +127.5% | **1.39** | -59.8% | 37.6% | 1.37 | 202 | 2.13 | +| 🥉 | ATR波动率突破 | SOLUSDT | 6h | +4450.9% | +94.7% | **1.22** | -84.4% | 23.7% | 1.25 | 59 | 1.12 | +| 4 | 牛熊自适应 | BNBUSDT | 6h | +3592.9% | +52.9% | **1.22** | -44.5% | 37.5% | 1.99 | 128 | 1.19 | +| 5 | ATR波动率突破 | BTCUSDT | 2h | +4550.8% | +54.8% | **1.13** | -52.6% | 31.4% | 1.43 | 334 | 1.04 | +| 6 | ATR波动率突破 | ETHUSDT | 6h | +5102.3% | +57.3% | **1.04** | -47.6% | 36.2% | 2.17 | 94 | 1.21 | +| 7 | 超级趋势 | BNBUSDT | 2h | +512.5% | +23.6% | **0.94** | -37.0% | 40.3% | 1.55 | 392 | 0.64 | +| 8 | 三均线排列 | BTCUSDT | 6h | +86.1% | +7.4% | **0.93** | -13.3% | 37.8% | 1.82 | 148 | 0.56 | +| 9 | ATR波动率突破 | BTCUSDT | 6h | +1509.3% | +37.5% | **0.92** | -55.8% | 31.9% | 1.42 | 94 | 0.67 | +| 10 | ATR波动率突破 | ETHUSDT | 2h | +1771.2% | +39.6% | **0.85** | -59.9% | 31.7% | 1.30 | 338 | 0.66 | +| 11 | 超级趋势 | BTCUSDT | 6h | +113.3% | +9.1% | **0.83** | -16.2% | 36.6% | 1.65 | 134 | 0.56 | +| 12 | ATR波动率突破 | BNBUSDT | 2h | +2258.5% | +44.6% | **0.83** | -72.5% | 29.5% | 1.22 | 302 | 0.62 | +| 13 | EMA双均线多空 | BTCUSDT | 6h | +1148.0% | +33.6% | **0.82** | -57.2% | 41.2% | 1.54 | 240 | 0.59 | +| 14 | MACD金叉死叉 | ETHUSDT | 6h | +108.3% | +8.8% | **0.81** | -15.3% | 38.0% | 1.43 | 305 | 0.57 | +| 15 | 牛熊自适应 | ETHUSDT | 6h | +748.9% | +27.8% | **0.80** | -73.0% | 34.1% | 1.27 | 132 | 0.38 | +| 16 | 三均线排列 | BNBUSDT | 6h | +93.9% | +8.1% | **0.77** | -21.1% | 40.8% | 1.83 | 147 | 0.38 | +| 17 | 牛熊自适应 | BNBUSDT | 2h | +845.9% | +30.0% | **0.77** | -68.2% | 35.1% | 1.25 | 382 | 0.44 | +| 18 | MACD金叉死叉 | SOLUSDT | 6h | +84.6% | +11.3% | **0.73** | -27.7% | 42.4% | 1.34 | 217 | 0.41 | +| 19 | 超级趋势 | BNBUSDT | 6h | +288.2% | +17.3% | **0.72** | -35.9% | 40.4% | 2.03 | 146 | 0.48 | +| 20 | 三均线排列 | ETHUSDT | 6h | +81.9% | +7.1% | **0.72** | -18.5% | 35.1% | 1.67 | 154 | 0.38 | + +--- + +## 三、各策略全量数据详细表现（2h vs 6h × 4 币种） + +### 1.海龟交易 +> **类型**：趋势跟踪 | **参数**：`entry=20/exit=10/ATR(20)x2.0` +> Donchian 20/10通道突破 + 2N ATR止损，多空双向 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | -64.4% | -11.4% | **-1.09** | -67.5% | 31.0% | 0.86 | 1644 | -0.17 | +| BNBUSDT | 6h | +96.1% | +8.2% | **0.64** | -34.1% | 35.0% | 1.30 | 605 | 0.24 | +| BTCUSDT | 2h | -71.9% | -13.5% | **-1.71** | -72.0% | 29.8% | 0.74 | 1622 | -0.19 | +| BTCUSDT | 6h | +9.6% | +1.1% | **0.17** | -19.1% | 35.1% | 1.13 | 579 | 0.06 | +| ETHUSDT | 2h | -64.2% | -11.0% | **-1.18** | -64.8% | 31.2% | 0.85 | 1684 | -0.17 | +| ETHUSDT | 6h | +16.4% | +1.8% | **0.22** | -28.6% | 37.2% | 1.13 | 596 | 0.06 | +| SOLUSDT | 2h | -60.5% | -14.8% | **-1.13** | -60.9% | 32.6% | 0.86 | 1241 | -0.24 | +| SOLUSDT | 6h | -23.3% | -4.5% | **-0.30** | -41.1% | 36.2% | 0.92 | 437 | -0.11 | + +> 🏆 **海龟交易 最优**：BNBUSDT 6h，夏普 **0.64**，总收益 **+96.1%**，年化 **+8.2%**，交易 605 次 + +### 2.超级趋势 +> **类型**：趋势跟踪 | **参数**：`ATR(10)x3.0` +> ATR(10)×3倍动态跟踪止损带，趋势翻转即反转 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +512.5% | +23.6% | **0.94** | -37.0% | 40.3% | 1.55 | 392 | 0.64 | +| BNBUSDT | 6h | +288.2% | +17.3% | **0.72** | -35.9% | 40.4% | 2.03 | 146 | 0.48 | +| BTCUSDT | 2h | -36.4% | -5.0% | **-0.39** | -48.0% | 32.2% | 0.86 | 401 | -0.10 | +| BTCUSDT | 6h | +113.3% | +9.1% | **0.83** | -16.2% | 36.6% | 1.65 | 134 | 0.56 | +| ETHUSDT | 2h | -13.3% | -1.6% | **-0.04** | -48.1% | 34.1% | 0.99 | 407 | -0.03 | +| ETHUSDT | 6h | +5.9% | +0.7% | **0.12** | -42.7% | 44.2% | 1.06 | 129 | 0.02 | +| SOLUSDT | 2h | -47.1% | -10.4% | **-0.52** | -56.6% | 35.8% | 0.76 | 285 | -0.18 | +| SOLUSDT | 6h | +620.1% | +41.1% | **1.40** | -37.0% | 39.5% | 2.21 | 86 | 1.11 | + +> 🏆 **超级趋势 最优**：SOLUSDT 6h，夏普 **1.40**，总收益 **+620.1%**，年化 **+41.1%**，交易 86 次 + +### 3.MACD金叉死叉 +> **类型**：动量 | **参数**：`MACD(12,26,9)/ATR(14)x2.0` +> MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +97.6% | +8.3% | **0.55** | -37.8% | 37.7% | 1.22 | 917 | 0.22 | +| BNBUSDT | 6h | +43.0% | +4.3% | **0.37** | -18.3% | 38.5% | 1.26 | 288 | 0.23 | +| BTCUSDT | 2h | +7.9% | +0.9% | **0.14** | -19.2% | 36.5% | 1.12 | 873 | 0.04 | +| BTCUSDT | 6h | +6.0% | +0.7% | **0.12** | -28.8% | 37.0% | 1.08 | 316 | 0.02 | +| ETHUSDT | 2h | +103.5% | +8.4% | **0.67** | -26.8% | 37.2% | 1.26 | 867 | 0.31 | +| ETHUSDT | 6h | +108.3% | +8.8% | **0.81** | -15.3% | 38.0% | 1.43 | 305 | 0.57 | +| SOLUSDT | 2h | +49.3% | +7.2% | **0.51** | -25.0% | 38.2% | 1.19 | 617 | 0.29 | +| SOLUSDT | 6h | +84.6% | +11.3% | **0.73** | -27.7% | 42.4% | 1.34 | 217 | 0.41 | + +> 🏆 **MACD金叉死叉 最优**：ETHUSDT 6h，夏普 **0.81**，总收益 **+108.3%**，年化 **+8.8%**，交易 305 次 + +### 4.布林收缩爆发 +> **类型**：波动率突破 | **参数**：`BB(20,2.0)/KC(20,1.5)/squeeze=30` +> BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +25.7% | +2.7% | **0.30** | -18.6% | 35.9% | 1.38 | 159 | 0.15 | +| BNBUSDT | 6h | +51.4% | +5.0% | **0.54** | -22.1% | 39.1% | 1.80 | 69 | 0.23 | +| BTCUSDT | 2h | -7.4% | -0.9% | **-0.19** | -19.0% | 30.8% | 0.90 | 117 | -0.05 | +| BTCUSDT | 6h | -6.8% | -0.8% | **-0.15** | -18.1% | 32.3% | 0.87 | 62 | -0.04 | +| ETHUSDT | 2h | +20.9% | +2.2% | **0.38** | -13.4% | 42.3% | 1.42 | 137 | 0.16 | +| ETHUSDT | 6h | +8.4% | +0.9% | **0.19** | -18.4% | 35.7% | 1.23 | 56 | 0.05 | +| SOLUSDT | 2h | -12.4% | -2.2% | **-0.23** | -27.2% | 29.1% | 0.87 | 134 | -0.08 | +| SOLUSDT | 6h | -5.5% | -1.0% | **-0.09** | -18.2% | 26.2% | 0.89 | 42 | -0.05 | + +> 🏆 **布林收缩爆发 最优**：BNBUSDT 6h，夏普 **0.54**，总收益 **+51.4%**，年化 **+5.0%**，交易 69 次 + +### 5.三均线排列 +> **类型**：趋势跟踪 | **参数**：`EMA(10,30,60)/ATR(14)x2.0` +> EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +32.9% | +3.4% | **0.34** | -30.2% | 32.4% | 1.23 | 432 | 0.11 | +| BNBUSDT | 6h | +93.9% | +8.1% | **0.77** | -21.1% | 40.8% | 1.83 | 147 | 0.38 | +| BTCUSDT | 2h | +14.0% | +1.5% | **0.26** | -26.5% | 33.5% | 1.21 | 412 | 0.06 | +| BTCUSDT | 6h | +86.1% | +7.4% | **0.93** | -13.3% | 37.8% | 1.82 | 148 | 0.56 | +| ETHUSDT | 2h | -24.3% | -3.1% | **-0.40** | -37.5% | 28.5% | 0.90 | 418 | -0.08 | +| ETHUSDT | 6h | +81.9% | +7.1% | **0.72** | -18.5% | 35.1% | 1.67 | 154 | 0.38 | +| SOLUSDT | 2h | +34.4% | +5.2% | **0.54** | -15.0% | 38.9% | 1.29 | 270 | 0.35 | +| SOLUSDT | 6h | +19.2% | +3.1% | **0.34** | -11.8% | 38.4% | 1.32 | 86 | 0.26 | + +> 🏆 **三均线排列 最优**：BTCUSDT 6h，夏普 **0.93**，总收益 **+86.1%**，年化 **+7.4%**，交易 148 次 + +### 6.RSI均值回归 +> **类型**：均值回归 | **参数**：`RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5` +> RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | -96.5% | -32.5% | **-0.73** | -97.3% | 43.5% | 0.45 | 411 | -0.33 | +| BNBUSDT | 6h | -80.3% | -17.4% | **-0.08** | -96.2% | 42.3% | 0.95 | 168 | -0.18 | +| BTCUSDT | 2h | -98.5% | -38.2% | **-1.35** | -98.8% | 35.8% | 0.52 | 480 | -0.39 | +| BTCUSDT | 6h | -85.8% | -20.1% | **-0.52** | -89.8% | 38.1% | 0.77 | 194 | -0.22 | +| ETHUSDT | 2h | -99.7% | -47.9% | **-1.33** | -99.8% | 38.6% | 0.62 | 497 | -0.48 | +| ETHUSDT | 6h | -98.1% | -36.6% | **-0.87** | -99.0% | 32.7% | 0.65 | 199 | -0.37 | +| SOLUSDT | 2h | -89.9% | -32.6% | **-0.65** | -93.0% | 40.4% | 0.82 | 250 | -0.35 | +| SOLUSDT | 6h | -95.6% | -42.0% | **-0.61** | -97.0% | 38.4% | 0.60 | 99 | -0.43 | + +> 🏆 **RSI均值回归 最优**：BNBUSDT 6h，夏普 **-0.08**，总收益 **-80.3%**，年化 **-17.4%**，交易 168 次 + +### 7.ATR波动率突破 +> **类型**：波动率突破 | **参数**：`ATR(14)/squeeze=20x0.7/EMA(10,30)` +> ATR(14)收缩至极低后扩张突破 + EMA(10/30)方向确认 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +2258.5% | +44.6% | **0.83** | -72.5% | 29.5% | 1.22 | 302 | 0.62 | +| BNBUSDT | 6h | +676.2% | +27.3% | **0.67** | -87.8% | 26.2% | 1.34 | 107 | 0.31 | +| BTCUSDT | 2h | +4550.8% | +54.8% | **1.13** | -52.6% | 31.4% | 1.43 | 334 | 1.04 | +| BTCUSDT | 6h | +1509.3% | +37.5% | **0.92** | -55.8% | 31.9% | 1.42 | 94 | 0.67 | +| ETHUSDT | 2h | +1771.2% | +39.6% | **0.85** | -59.9% | 31.7% | 1.30 | 338 | 0.66 | +| ETHUSDT | 6h | +5102.3% | +57.3% | **1.04** | -47.6% | 36.2% | 2.17 | 94 | 1.21 | +| SOLUSDT | 2h | +11666.5% | +127.5% | **1.39** | -59.8% | 37.6% | 1.37 | 202 | 2.13 | +| SOLUSDT | 6h | +4450.9% | +94.7% | **1.22** | -84.4% | 23.7% | 1.25 | 59 | 1.12 | + +> 🏆 **ATR波动率突破 最优**：SOLUSDT 2h，夏普 **1.39**，总收益 **+11666.5%**，年化 **+127.5%**，交易 202 次 + +### 8.EMA双均线多空 +> **类型**：趋势跟踪 | **参数**：`EMA(10,50)/ATR(14)x2.5` +> EMA(10,50)金叉做多死叉做空 + ATR追踪止损，始终在场 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +35.9% | +3.6% | **0.39** | -94.0% | 37.2% | 1.07 | 753 | 0.04 | +| BNBUSDT | 6h | -278.8% | +0.0% | **-1.64** | -318.9% | 0.0% | 0.00 | 1 | 0.00 | +| BTCUSDT | 2h | -99.3% | -43.4% | **-0.48** | -99.4% | 32.8% | 0.67 | 711 | -0.44 | +| BTCUSDT | 6h | +1148.0% | +33.6% | **0.82** | -57.2% | 41.2% | 1.54 | 240 | 0.59 | +| ETHUSDT | 2h | -99.8% | -52.1% | **-0.60** | -99.9% | 33.0% | 0.57 | 794 | -0.52 | +| ETHUSDT | 6h | -114.3% | +0.0% | **-1.11** | -110.5% | 20.0% | 0.22 | 10 | 0.00 | +| SOLUSDT | 2h | -120.9% | +0.0% | **-1.06** | -113.0% | 32.1% | 0.74 | 84 | 0.00 | +| SOLUSDT | 6h | -141.6% | +0.0% | **-1.28** | -153.2% | 29.2% | 0.44 | 24 | 0.00 | + +> 🏆 **EMA双均线多空 最优**：BTCUSDT 6h，夏普 **0.82**，总收益 **+1148.0%**，年化 **+33.6%**，交易 240 次 + +### 9.牛熊自适应 +> **类型**：牛熊自适应 | **参数**：`EMA200投票(斜率+价格+ATH)牛多熊空` +> EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空 + +| 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| BNBUSDT | 2h | +845.9% | +30.0% | **0.77** | -68.2% | 35.1% | 1.25 | 382 | 0.44 | +| BNBUSDT | 6h | +3592.9% | +52.9% | **1.22** | -44.5% | 37.5% | 1.99 | 128 | 1.19 | +| BTCUSDT | 2h | +89.9% | +7.6% | **0.40** | -66.9% | 33.6% | 1.18 | 375 | 0.11 | +| BTCUSDT | 6h | +317.6% | +17.8% | **0.67** | -43.3% | 35.2% | 1.37 | 122 | 0.41 | +| ETHUSDT | 2h | -20.9% | -2.6% | **0.10** | -80.0% | 30.0% | 1.04 | 400 | -0.03 | +| ETHUSDT | 6h | +748.9% | +27.8% | **0.80** | -73.0% | 34.1% | 1.27 | 132 | 0.38 | +| SOLUSDT | 2h | -62.5% | -15.5% | **-0.21** | -86.1% | 32.5% | 0.92 | 271 | -0.18 | +| SOLUSDT | 6h | +219.6% | +22.5% | **0.68** | -74.0% | 34.6% | 1.43 | 78 | 0.30 | + +> 🏆 **牛熊自适应 最优**：BNBUSDT 6h，夏普 **1.22**，总收益 **+3592.9%**，年化 **+52.9%**，交易 128 次 + +--- + +## 四、各币种全量数据 — 策略横向对比 + +### BNBUSDT + +| 排名 | 策略 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | 牛熊自适应 | 6h | +3592.9% | +52.9% | **1.22** | -44.5% | 37.5% | 1.99 | 128 | 1.19 | +| 🥈 | 超级趋势 | 2h | +512.5% | +23.6% | **0.94** | -37.0% | 40.3% | 1.55 | 392 | 0.64 | +| 🥉 | ATR波动率突破 | 2h | +2258.5% | +44.6% | **0.83** | -72.5% | 29.5% | 1.22 | 302 | 0.62 | +| 4 | 三均线排列 | 6h | +93.9% | +8.1% | **0.77** | -21.1% | 40.8% | 1.83 | 147 | 0.38 | +| 5 | 牛熊自适应 | 2h | +845.9% | +30.0% | **0.77** | -68.2% | 35.1% | 1.25 | 382 | 0.44 | +| 6 | 超级趋势 | 6h | +288.2% | +17.3% | **0.72** | -35.9% | 40.4% | 2.03 | 146 | 0.48 | +| 7 | ATR波动率突破 | 6h | +676.2% | +27.3% | **0.67** | -87.8% | 26.2% | 1.34 | 107 | 0.31 | +| 8 | 海龟交易 | 6h | +96.1% | +8.2% | **0.64** | -34.1% | 35.0% | 1.30 | 605 | 0.24 | +| 9 | MACD金叉死叉 | 2h | +97.6% | +8.3% | **0.55** | -37.8% | 37.7% | 1.22 | 917 | 0.22 | +| 10 | 布林收缩爆发 | 6h | +51.4% | +5.0% | **0.54** | -22.1% | 39.1% | 1.80 | 69 | 0.23 | +| 11 | EMA双均线多空 | 2h | +35.9% | +3.6% | **0.39** | -94.0% | 37.2% | 1.07 | 753 | 0.04 | +| 12 | MACD金叉死叉 | 6h | +43.0% | +4.3% | **0.37** | -18.3% | 38.5% | 1.26 | 288 | 0.23 | +| 13 | 三均线排列 | 2h | +32.9% | +3.4% | **0.34** | -30.2% | 32.4% | 1.23 | 432 | 0.11 | +| 14 | 布林收缩爆发 | 2h | +25.7% | +2.7% | **0.30** | -18.6% | 35.9% | 1.38 | 159 | 0.15 | +| 15 | RSI均值回归 | 6h | -80.3% | -17.4% | **-0.08** | -96.2% | 42.3% | 0.95 | 168 | -0.18 | +| 16 | RSI均值回归 | 2h | -96.5% | -32.5% | **-0.73** | -97.3% | 43.5% | 0.45 | 411 | -0.33 | +| 17 | 海龟交易 | 2h | -64.4% | -11.4% | **-1.09** | -67.5% | 31.0% | 0.86 | 1644 | -0.17 | +| 18 | EMA双均线多空 | 6h | -278.8% | +0.0% | **-1.64** | -318.9% | 0.0% | 0.00 | 1 | 0.00 | + +> 🏆 **BNBUSDT 最优**：牛熊自适应 6h，夏普 **1.22**，总收益 **+3592.9%** + +### BTCUSDT + +| 排名 | 策略 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | ATR波动率突破 | 2h | +4550.8% | +54.8% | **1.13** | -52.6% | 31.4% | 1.43 | 334 | 1.04 | +| 🥈 | 三均线排列 | 6h | +86.1% | +7.4% | **0.93** | -13.3% | 37.8% | 1.82 | 148 | 0.56 | +| 🥉 | ATR波动率突破 | 6h | +1509.3% | +37.5% | **0.92** | -55.8% | 31.9% | 1.42 | 94 | 0.67 | +| 4 | 超级趋势 | 6h | +113.3% | +9.1% | **0.83** | -16.2% | 36.6% | 1.65 | 134 | 0.56 | +| 5 | EMA双均线多空 | 6h | +1148.0% | +33.6% | **0.82** | -57.2% | 41.2% | 1.54 | 240 | 0.59 | +| 6 | 牛熊自适应 | 6h | +317.6% | +17.8% | **0.67** | -43.3% | 35.2% | 1.37 | 122 | 0.41 | +| 7 | 牛熊自适应 | 2h | +89.9% | +7.6% | **0.40** | -66.9% | 33.6% | 1.18 | 375 | 0.11 | +| 8 | 三均线排列 | 2h | +14.0% | +1.5% | **0.26** | -26.5% | 33.5% | 1.21 | 412 | 0.06 | +| 9 | 海龟交易 | 6h | +9.6% | +1.1% | **0.17** | -19.1% | 35.1% | 1.13 | 579 | 0.06 | +| 10 | MACD金叉死叉 | 2h | +7.9% | +0.9% | **0.14** | -19.2% | 36.5% | 1.12 | 873 | 0.04 | +| 11 | MACD金叉死叉 | 6h | +6.0% | +0.7% | **0.12** | -28.8% | 37.0% | 1.08 | 316 | 0.02 | +| 12 | 布林收缩爆发 | 6h | -6.8% | -0.8% | **-0.15** | -18.1% | 32.3% | 0.87 | 62 | -0.04 | +| 13 | 布林收缩爆发 | 2h | -7.4% | -0.9% | **-0.19** | -19.0% | 30.8% | 0.90 | 117 | -0.05 | +| 14 | 超级趋势 | 2h | -36.4% | -5.0% | **-0.39** | -48.0% | 32.2% | 0.86 | 401 | -0.10 | +| 15 | EMA双均线多空 | 2h | -99.3% | -43.4% | **-0.48** | -99.4% | 32.8% | 0.67 | 711 | -0.44 | +| 16 | RSI均值回归 | 6h | -85.8% | -20.1% | **-0.52** | -89.8% | 38.1% | 0.77 | 194 | -0.22 | +| 17 | RSI均值回归 | 2h | -98.5% | -38.2% | **-1.35** | -98.8% | 35.8% | 0.52 | 480 | -0.39 | +| 18 | 海龟交易 | 2h | -71.9% | -13.5% | **-1.71** | -72.0% | 29.8% | 0.74 | 1622 | -0.19 | + +> 🏆 **BTCUSDT 最优**：ATR波动率突破 2h，夏普 **1.13**，总收益 **+4550.8%** + +### ETHUSDT + +| 排名 | 策略 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | ATR波动率突破 | 6h | +5102.3% | +57.3% | **1.04** | -47.6% | 36.2% | 2.17 | 94 | 1.21 | +| 🥈 | ATR波动率突破 | 2h | +1771.2% | +39.6% | **0.85** | -59.9% | 31.7% | 1.30 | 338 | 0.66 | +| 🥉 | MACD金叉死叉 | 6h | +108.3% | +8.8% | **0.81** | -15.3% | 38.0% | 1.43 | 305 | 0.57 | +| 4 | 牛熊自适应 | 6h | +748.9% | +27.8% | **0.80** | -73.0% | 34.1% | 1.27 | 132 | 0.38 | +| 5 | 三均线排列 | 6h | +81.9% | +7.1% | **0.72** | -18.5% | 35.1% | 1.67 | 154 | 0.38 | +| 6 | MACD金叉死叉 | 2h | +103.5% | +8.4% | **0.67** | -26.8% | 37.2% | 1.26 | 867 | 0.31 | +| 7 | 布林收缩爆发 | 2h | +20.9% | +2.2% | **0.38** | -13.4% | 42.3% | 1.42 | 137 | 0.16 | +| 8 | 海龟交易 | 6h | +16.4% | +1.8% | **0.22** | -28.6% | 37.2% | 1.13 | 596 | 0.06 | +| 9 | 布林收缩爆发 | 6h | +8.4% | +0.9% | **0.19** | -18.4% | 35.7% | 1.23 | 56 | 0.05 | +| 10 | 超级趋势 | 6h | +5.9% | +0.7% | **0.12** | -42.7% | 44.2% | 1.06 | 129 | 0.02 | +| 11 | 牛熊自适应 | 2h | -20.9% | -2.6% | **0.10** | -80.0% | 30.0% | 1.04 | 400 | -0.03 | +| 12 | 超级趋势 | 2h | -13.3% | -1.6% | **-0.04** | -48.1% | 34.1% | 0.99 | 407 | -0.03 | +| 13 | 三均线排列 | 2h | -24.3% | -3.1% | **-0.40** | -37.5% | 28.5% | 0.90 | 418 | -0.08 | +| 14 | EMA双均线多空 | 2h | -99.8% | -52.1% | **-0.60** | -99.9% | 33.0% | 0.57 | 794 | -0.52 | +| 15 | RSI均值回归 | 6h | -98.1% | -36.6% | **-0.87** | -99.0% | 32.7% | 0.65 | 199 | -0.37 | +| 16 | EMA双均线多空 | 6h | -114.3% | +0.0% | **-1.11** | -110.5% | 20.0% | 0.22 | 10 | 0.00 | +| 17 | 海龟交易 | 2h | -64.2% | -11.0% | **-1.18** | -64.8% | 31.2% | 0.85 | 1684 | -0.17 | +| 18 | RSI均值回归 | 2h | -99.7% | -47.9% | **-1.33** | -99.8% | 38.6% | 0.62 | 497 | -0.48 | + +> 🏆 **ETHUSDT 最优**：ATR波动率突破 6h，夏普 **1.04**，总收益 **+5102.3%** + +### SOLUSDT + +| 排名 | 策略 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|----|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | 超级趋势 | 6h | +620.1% | +41.1% | **1.40** | -37.0% | 39.5% | 2.21 | 86 | 1.11 | +| 🥈 | ATR波动率突破 | 2h | +11666.5% | +127.5% | **1.39** | -59.8% | 37.6% | 1.37 | 202 | 2.13 | +| 🥉 | ATR波动率突破 | 6h | +4450.9% | +94.7% | **1.22** | -84.4% | 23.7% | 1.25 | 59 | 1.12 | +| 4 | MACD金叉死叉 | 6h | +84.6% | +11.3% | **0.73** | -27.7% | 42.4% | 1.34 | 217 | 0.41 | +| 5 | 牛熊自适应 | 6h | +219.6% | +22.5% | **0.68** | -74.0% | 34.6% | 1.43 | 78 | 0.30 | +| 6 | 三均线排列 | 2h | +34.4% | +5.2% | **0.54** | -15.0% | 38.9% | 1.29 | 270 | 0.35 | +| 7 | MACD金叉死叉 | 2h | +49.3% | +7.2% | **0.51** | -25.0% | 38.2% | 1.19 | 617 | 0.29 | +| 8 | 三均线排列 | 6h | +19.2% | +3.1% | **0.34** | -11.8% | 38.4% | 1.32 | 86 | 0.26 | +| 9 | 布林收缩爆发 | 6h | -5.5% | -1.0% | **-0.09** | -18.2% | 26.2% | 0.89 | 42 | -0.05 | +| 10 | 牛熊自适应 | 2h | -62.5% | -15.5% | **-0.21** | -86.1% | 32.5% | 0.92 | 271 | -0.18 | +| 11 | 布林收缩爆发 | 2h | -12.4% | -2.2% | **-0.23** | -27.2% | 29.1% | 0.87 | 134 | -0.08 | +| 12 | 海龟交易 | 6h | -23.3% | -4.5% | **-0.30** | -41.1% | 36.2% | 0.92 | 437 | -0.11 | +| 13 | 超级趋势 | 2h | -47.1% | -10.4% | **-0.52** | -56.6% | 35.8% | 0.76 | 285 | -0.18 | +| 14 | RSI均值回归 | 6h | -95.6% | -42.0% | **-0.61** | -97.0% | 38.4% | 0.60 | 99 | -0.43 | +| 15 | RSI均值回归 | 2h | -89.9% | -32.6% | **-0.65** | -93.0% | 40.4% | 0.82 | 250 | -0.35 | +| 16 | EMA双均线多空 | 2h | -120.9% | +0.0% | **-1.06** | -113.0% | 32.1% | 0.74 | 84 | 0.00 | +| 17 | 海龟交易 | 2h | -60.5% | -14.8% | **-1.13** | -60.9% | 32.6% | 0.86 | 1241 | -0.24 | +| 18 | EMA双均线多空 | 6h | -141.6% | +0.0% | **-1.28** | -153.2% | 29.2% | 0.44 | 24 | 0.00 | + +> 🏆 **SOLUSDT 最优**：超级趋势 6h，夏普 **1.40**，总收益 **+620.1%** + +--- + +## 五、2h vs 6h — 周期对比分析 + +### BNBUSDT + +#### 📅 全量 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.09 | -64.4% | +0.64 | +96.1% | 6h ✅ | +| 超级趋势 | +0.94 | +512.5% | +0.72 | +288.2% | 2h ✅ | +| MACD金叉死叉 | +0.55 | +97.6% | +0.37 | +43.0% | 2h ✅ | +| 布林收缩爆发 | +0.30 | +25.7% | +0.54 | +51.4% | 6h ✅ | +| 三均线排列 | +0.34 | +32.9% | +0.77 | +93.9% | 6h ✅ | +| RSI均值回归 | -0.73 | -96.5% | -0.08 | -80.3% | 6h ✅ | +| ATR波动率突破 | +0.83 | +2258.5% | +0.67 | +676.2% | 2h ✅ | +| EMA双均线多空 | +0.39 | +35.9% | -1.64 | -278.8% | 2h ✅ | +| 牛熊自适应 | +0.77 | +845.9% | +1.22 | +3592.9% | 6h ✅ | + +> 全量：6h 胜 5/9，2h 胜 4/9 + +#### 📅 近两年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.61 | -19.0% | -1.04 | -11.8% | 6h ✅ | +| 超级趋势 | -0.26 | -5.5% | -0.15 | -3.3% | 6h ✅ | +| MACD金叉死叉 | -0.66 | -9.9% | -0.29 | -4.8% | 6h ✅ | +| 布林收缩爆发 | -0.21 | -2.1% | +0.54 | +5.2% | 6h ✅ | +| 三均线排列 | -1.54 | -12.6% | +0.30 | +2.7% | 6h ✅ | +| RSI均值回归 | -0.17 | -11.3% | -0.45 | -24.6% | 2h ✅ | +| ATR波动率突破 | -0.02 | -13.1% | +0.09 | -5.5% | 6h ✅ | +| EMA双均线多空 | -0.37 | -32.7% | +0.35 | +9.7% | 6h ✅ | +| 牛熊自适应 | +0.26 | +6.2% | +0.26 | +6.6% | 2h ✅ | + +> 近两年：6h 胜 7/9，2h 胜 2/9 + +#### 📅 近一年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -0.67 | -4.7% | -0.88 | -5.4% | 2h ✅ | +| 超级趋势 | -0.37 | -3.4% | -0.91 | -6.9% | 2h ✅ | +| MACD金叉死叉 | +0.98 | +7.1% | -0.52 | -4.0% | 2h ✅ | +| 布林收缩爆发 | -1.04 | -6.0% | -0.77 | -1.7% | 6h ✅ | +| 三均线排列 | -1.78 | -7.1% | +1.13 | +6.3% | 6h ✅ | +| RSI均值回归 | +0.70 | +13.6% | +0.56 | +13.3% | 2h ✅ | +| ATR波动率突破 | +1.21 | +44.0% | +0.76 | +24.5% | 2h ✅ | +| EMA双均线多空 | -0.98 | -31.9% | +0.16 | -5.6% | 6h ✅ | +| 牛熊自适应 | -0.30 | -5.8% | +0.88 | +20.0% | 6h ✅ | + +> 近一年：6h 胜 4/9，2h 胜 5/9 + +#### 📅 近半年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | +0.13 | +0.1% | -1.75 | -4.5% | 2h ✅ | +| 超级趋势 | -0.41 | -1.4% | +1.84 | +6.6% | 6h ✅ | +| MACD金叉死叉 | +0.34 | +0.6% | -0.05 | -0.3% | 2h ✅ | +| 布林收缩爆发 | +0.46 | +1.2% | -2.50 | -8.9% | 2h ✅ | +| 三均线排列 | -1.09 | -1.5% | +0.61 | +1.1% | 6h ✅ | +| RSI均值回归 | +0.08 | -0.3% | -1.11 | -12.9% | 2h ✅ | +| ATR波动率突破 | +2.05 | +30.5% | +2.08 | +62.9% | 6h ✅ | +| EMA双均线多空 | +0.78 | +7.6% | -0.74 | -7.0% | 2h ✅ | +| 牛熊自适应 | -1.95 | -5.8% | -1.48 | -5.3% | 6h ✅ | + +> 近半年：6h 胜 4/9，2h 胜 5/9 + +### BTCUSDT + +#### 📅 全量 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.71 | -71.9% | +0.17 | +9.6% | 6h ✅ | +| 超级趋势 | -0.39 | -36.4% | +0.83 | +113.3% | 6h ✅ | +| MACD金叉死叉 | +0.14 | +7.9% | +0.12 | +6.0% | 2h ✅ | +| 布林收缩爆发 | -0.19 | -7.4% | -0.15 | -6.8% | 6h ✅ | +| 三均线排列 | +0.26 | +14.0% | +0.93 | +86.1% | 6h ✅ | +| RSI均值回归 | -1.35 | -98.5% | -0.52 | -85.8% | 6h ✅ | +| ATR波动率突破 | +1.13 | +4550.8% | +0.92 | +1509.3% | 2h ✅ | +| EMA双均线多空 | -0.48 | -99.3% | +0.82 | +1148.0% | 6h ✅ | +| 牛熊自适应 | +0.40 | +89.9% | +0.67 | +317.6% | 6h ✅ | + +> 全量：6h 胜 7/9，2h 胜 2/9 + +#### 📅 近两年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -3.39 | -30.2% | -0.58 | -7.1% | 6h ✅ | +| 超级趋势 | -0.89 | -13.3% | -0.60 | -9.1% | 6h ✅ | +| MACD金叉死叉 | -0.22 | -3.3% | -0.09 | -1.8% | 6h ✅ | +| 布林收缩爆发 | -0.80 | -4.0% | -0.01 | -0.1% | 6h ✅ | +| 三均线排列 | -0.93 | -6.8% | +0.35 | +3.1% | 6h ✅ | +| RSI均值回归 | -0.66 | -28.2% | -0.58 | -23.5% | 6h ✅ | +| ATR波动率突破 | +0.49 | +24.6% | +0.18 | +0.7% | 2h ✅ | +| EMA双均线多空 | -1.54 | -68.9% | +1.27 | +116.6% | 6h ✅ | +| 牛熊自适应 | +0.75 | +31.0% | +0.26 | +6.3% | 2h ✅ | + +> 近两年：6h 胜 7/9，2h 胜 2/9 + +#### 📅 近一年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -3.58 | -14.3% | -0.28 | -1.5% | 6h ✅ | +| 超级趋势 | -1.89 | -11.6% | -0.96 | -5.4% | 6h ✅ | +| MACD金叉死叉 | -0.47 | -3.2% | +0.42 | +2.6% | 6h ✅ | +| 布林收缩爆发 | +0.12 | +0.2% | -0.19 | -0.6% | 2h ✅ | +| 三均线排列 | +0.07 | +0.2% | -0.68 | -2.1% | 2h ✅ | +| RSI均值回归 | -0.45 | -10.6% | -0.29 | -7.8% | 6h ✅ | +| ATR波动率突破 | +1.47 | +54.0% | +0.04 | -3.2% | 2h ✅ | +| EMA双均线多空 | -2.55 | -54.7% | -0.24 | -10.4% | 6h ✅ | +| 牛熊自适应 | +0.30 | +3.7% | -1.09 | -14.4% | 2h ✅ | + +> 近一年：6h 胜 5/9，2h 胜 4/9 + +#### 📅 近半年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -4.83 | -10.7% | -1.66 | -5.4% | 6h ✅ | +| 超级趋势 | -0.25 | -1.3% | +1.07 | +3.8% | 6h ✅ | +| MACD金叉死叉 | +1.07 | +3.8% | +0.48 | +1.6% | 2h ✅ | +| 布林收缩爆发 | -1.02 | -0.7% | -0.60 | -0.8% | 6h ✅ | +| 三均线排列 | +1.07 | +1.9% | -2.56 | -2.7% | 2h ✅ | +| RSI均值回归 | -0.12 | -2.8% | -1.34 | -16.2% | 2h ✅ | +| ATR波动率突破 | +2.05 | +42.5% | +2.68 | +39.4% | 6h ✅ | +| EMA双均线多空 | -2.97 | -32.3% | -0.75 | -10.4% | 6h ✅ | +| 牛熊自适应 | +0.04 | -0.3% | -1.14 | -4.7% | 2h ✅ | + +> 近半年：6h 胜 5/9，2h 胜 4/9 + +### ETHUSDT + +#### 📅 全量 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.18 | -64.2% | +0.22 | +16.4% | 6h ✅ | +| 超级趋势 | -0.04 | -13.3% | +0.12 | +5.9% | 6h ✅ | +| MACD金叉死叉 | +0.67 | +103.5% | +0.81 | +108.3% | 6h ✅ | +| 布林收缩爆发 | +0.38 | +20.9% | +0.19 | +8.4% | 2h ✅ | +| 三均线排列 | -0.40 | -24.3% | +0.72 | +81.9% | 6h ✅ | +| RSI均值回归 | -1.33 | -99.7% | -0.87 | -98.1% | 6h ✅ | +| ATR波动率突破 | +0.85 | +1771.2% | +1.04 | +5102.3% | 6h ✅ | +| EMA双均线多空 | -0.60 | -99.8% | -1.11 | -114.3% | 2h ✅ | +| 牛熊自适应 | +0.10 | -20.9% | +0.80 | +748.9% | 6h ✅ | + +> 全量：6h 胜 7/9，2h 胜 2/9 + +#### 📅 近两年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.67 | -22.6% | +0.51 | +7.3% | 6h ✅ | +| 超级趋势 | +0.10 | +0.8% | +0.50 | +10.5% | 6h ✅ | +| MACD金叉死叉 | -0.11 | -2.7% | +0.40 | +6.6% | 6h ✅ | +| 布林收缩爆发 | +0.95 | +10.0% | -0.59 | -3.5% | 2h ✅ | +| 三均线排列 | -1.67 | -19.1% | +0.37 | +4.9% | 6h ✅ | +| RSI均值回归 | -1.18 | -55.3% | -0.09 | -15.0% | 6h ✅ | +| ATR波动率突破 | +0.40 | +16.6% | +0.96 | +97.6% | 6h ✅ | +| EMA双均线多空 | -1.24 | -80.9% | -0.26 | -42.3% | 6h ✅ | +| 牛熊自适应 | -1.54 | -58.9% | -0.67 | -32.8% | 6h ✅ | + +> 近两年：6h 胜 8/9，2h 胜 1/9 + +#### 📅 近一年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.96 | -12.9% | -0.68 | -4.6% | 6h ✅ | +| 超级趋势 | +0.92 | +10.0% | -0.61 | -4.5% | 2h ✅ | +| MACD金叉死叉 | +1.08 | +9.6% | -0.44 | -5.0% | 2h ✅ | +| 布林收缩爆发 | +1.27 | +7.5% | -0.35 | -1.1% | 2h ✅ | +| 三均线排列 | -0.85 | -5.7% | -0.09 | -0.7% | 6h ✅ | +| RSI均值回归 | -0.21 | -10.1% | +0.16 | -0.1% | 6h ✅ | +| ATR波动率突破 | +1.65 | +87.6% | +0.60 | +16.2% | 2h ✅ | +| EMA双均线多空 | -2.07 | -72.4% | -0.40 | -33.3% | 6h ✅ | +| 牛熊自适应 | -1.65 | -32.1% | -1.45 | -26.0% | 6h ✅ | + +> 近一年：6h 胜 5/9，2h 胜 4/9 + +#### 📅 近半年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.94 | -5.6% | -2.05 | -5.6% | 2h ✅ | +| 超级趋势 | -1.19 | -5.5% | -1.03 | -3.6% | 6h ✅ | +| MACD金叉死叉 | +0.90 | +3.8% | +0.06 | +0.0% | 2h ✅ | +| 布林收缩爆发 | +1.27 | +4.3% | -2.43 | -3.1% | 2h ✅ | +| 三均线排列 | +0.48 | +1.2% | -3.93 | -5.0% | 2h ✅ | +| RSI均值回归 | +1.10 | +14.3% | -0.51 | -12.3% | 2h ✅ | +| ATR波动率突破 | +1.35 | +26.6% | +1.53 | +26.7% | 6h ✅ | +| EMA双均线多空 | -1.10 | -26.5% | -0.77 | -16.6% | 6h ✅ | +| 牛熊自适应 | +0.35 | +2.7% | -4.13 | -23.3% | 2h ✅ | + +> 近半年：6h 胜 3/9，2h 胜 6/9 + +### SOLUSDT + +#### 📅 全量 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.13 | -60.5% | -0.30 | -23.3% | 6h ✅ | +| 超级趋势 | -0.52 | -47.1% | +1.40 | +620.1% | 6h ✅ | +| MACD金叉死叉 | +0.51 | +49.3% | +0.73 | +84.6% | 6h ✅ | +| 布林收缩爆发 | -0.23 | -12.4% | -0.09 | -5.5% | 6h ✅ | +| 三均线排列 | +0.54 | +34.4% | +0.34 | +19.2% | 2h ✅ | +| RSI均值回归 | -0.65 | -89.9% | -0.61 | -95.6% | 6h ✅ | +| ATR波动率突破 | +1.39 | +11666.5% | +1.22 | +4450.9% | 2h ✅ | +| EMA双均线多空 | -1.06 | -120.9% | -1.28 | -141.6% | 2h ✅ | +| 牛熊自适应 | -0.21 | -62.5% | +0.68 | +219.6% | 6h ✅ | + +> 全量：6h 胜 6/9，2h 胜 3/9 + +#### 📅 近两年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -2.40 | -34.5% | +0.41 | +7.2% | 6h ✅ | +| 超级趋势 | -0.11 | -4.4% | +0.10 | +0.8% | 6h ✅ | +| MACD金叉死叉 | +0.05 | -0.2% | -0.52 | -11.6% | 2h ✅ | +| 布林收缩爆发 | -0.11 | -1.0% | -1.01 | -7.2% | 2h ✅ | +| 三均线排列 | -0.14 | -2.5% | -0.38 | -5.0% | 2h ✅ | +| RSI均值回归 | -0.94 | -51.3% | -1.04 | -53.9% | 2h ✅ | +| ATR波动率突破 | -0.03 | -29.0% | -0.43 | -58.8% | 2h ✅ | +| EMA双均线多空 | -1.30 | -88.3% | +0.16 | -19.8% | 6h ✅ | +| 牛熊自适应 | -0.04 | -12.3% | +0.49 | +21.4% | 6h ✅ | + +> 近两年：6h 胜 4/9，2h 胜 5/9 + +#### 📅 近一年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -2.78 | -19.3% | -0.77 | -4.9% | 6h ✅ | +| 超级趋势 | +0.43 | +4.7% | +1.03 | +9.9% | 6h ✅ | +| MACD金叉死叉 | -0.20 | -2.6% | -0.47 | -4.0% | 2h ✅ | +| 布林收缩爆发 | +0.32 | +1.1% | -1.37 | -5.4% | 2h ✅ | +| 三均线排列 | -1.57 | -9.0% | -0.35 | -2.3% | 6h ✅ | +| RSI均值回归 | -1.96 | -45.0% | -0.18 | -16.4% | 6h ✅ | +| ATR波动率突破 | +0.68 | +23.6% | -0.64 | -42.8% | 2h ✅ | +| EMA双均线多空 | -2.70 | -81.6% | -1.08 | -53.8% | 6h ✅ | +| 牛熊自适应 | +0.19 | +1.3% | -0.47 | -15.6% | 2h ✅ | + +> 近一年：6h 胜 5/9，2h 胜 4/9 + +#### 📅 近半年 + +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -2.14 | -7.3% | -0.80 | -2.5% | 6h ✅ | +| 超级趋势 | -1.33 | -6.4% | +1.03 | +4.5% | 6h ✅ | +| MACD金叉死叉 | -0.29 | -1.8% | +0.54 | +2.2% | 6h ✅ | +| 布林收缩爆发 | +1.35 | +2.4% | -2.14 | -1.1% | 2h ✅ | +| 三均线排列 | -2.30 | -5.5% | -3.51 | -6.2% | 2h ✅ | +| RSI均值回归 | -1.58 | -24.9% | -1.53 | -24.3% | 6h ✅ | +| ATR波动率突破 | +1.22 | +22.0% | +2.49 | +40.4% | 6h ✅ | +| EMA双均线多空 | -2.08 | -40.2% | -2.61 | -47.9% | 2h ✅ | +| 牛熊自适应 | +1.64 | +18.0% | -2.97 | -20.6% | 2h ✅ | + +> 近半年：6h 胜 5/9，2h 胜 4/9 + +--- + +## 六、策略时效性分析 — 全量 vs 近期夏普衰减 + +> ⚠️ 衰减 = 近一年夏普比全量低 0.5 以上 | ✅ 稳定 = 差值在 ±0.5 | 📈 改善 = 近一年更高 + +### 海龟交易 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | -1.09 | -1.61 | -0.67 | +0.13 | ✅ 稳定 | +| BNBUSDT | 6h | +0.64 | -1.04 | -0.88 | -1.75 | ⚠️ 衰减 | +| BTCUSDT | 2h | -1.71 | -3.39 | -3.58 | -4.83 | ⚠️ 衰减 | +| BTCUSDT | 6h | +0.17 | -0.58 | -0.28 | -1.66 | ✅ 稳定 | +| ETHUSDT | 2h | -1.18 | -1.67 | -1.96 | -1.94 | ⚠️ 衰减 | +| ETHUSDT | 6h | +0.22 | +0.51 | -0.68 | -2.05 | ⚠️ 衰减 | +| SOLUSDT | 2h | -1.13 | -2.40 | -2.78 | -2.14 | ⚠️ 衰减 | +| SOLUSDT | 6h | -0.30 | +0.41 | -0.77 | -0.80 | ✅ 稳定 | + +### 超级趋势 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.94 | -0.26 | -0.37 | -0.41 | ⚠️ 衰减 | +| BNBUSDT | 6h | +0.72 | -0.15 | -0.91 | +1.84 | ⚠️ 衰减 | +| BTCUSDT | 2h | -0.39 | -0.89 | -1.89 | -0.25 | ⚠️ 衰减 | +| BTCUSDT | 6h | +0.83 | -0.60 | -0.96 | +1.07 | ⚠️ 衰减 | +| ETHUSDT | 2h | -0.04 | +0.10 | +0.92 | -1.19 | 📈 改善 | +| ETHUSDT | 6h | +0.12 | +0.50 | -0.61 | -1.03 | ⚠️ 衰减 | +| SOLUSDT | 2h | -0.52 | -0.11 | +0.43 | -1.33 | 📈 改善 | +| SOLUSDT | 6h | +1.40 | +0.10 | +1.03 | +1.03 | ✅ 稳定 | + +### MACD金叉死叉 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.55 | -0.66 | +0.98 | +0.34 | ✅ 稳定 | +| BNBUSDT | 6h | +0.37 | -0.29 | -0.52 | -0.05 | ⚠️ 衰减 | +| BTCUSDT | 2h | +0.14 | -0.22 | -0.47 | +1.07 | ⚠️ 衰减 | +| BTCUSDT | 6h | +0.12 | -0.09 | +0.42 | +0.48 | ✅ 稳定 | +| ETHUSDT | 2h | +0.67 | -0.11 | +1.08 | +0.90 | ✅ 稳定 | +| ETHUSDT | 6h | +0.81 | +0.40 | -0.44 | +0.06 | ⚠️ 衰减 | +| SOLUSDT | 2h | +0.51 | +0.05 | -0.20 | -0.29 | ⚠️ 衰减 | +| SOLUSDT | 6h | +0.73 | -0.52 | -0.47 | +0.54 | ⚠️ 衰减 | + +### 布林收缩爆发 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.30 | -0.21 | -1.04 | +0.46 | ⚠️ 衰减 | +| BNBUSDT | 6h | +0.54 | +0.54 | -0.77 | -2.50 | ⚠️ 衰减 | +| BTCUSDT | 2h | -0.19 | -0.80 | +0.12 | -1.02 | ✅ 稳定 | +| BTCUSDT | 6h | -0.15 | -0.01 | -0.19 | -0.60 | ✅ 稳定 | +| ETHUSDT | 2h | +0.38 | +0.95 | +1.27 | +1.27 | 📈 改善 | +| ETHUSDT | 6h | +0.19 | -0.59 | -0.35 | -2.43 | ⚠️ 衰减 | +| SOLUSDT | 2h | -0.23 | -0.11 | +0.32 | +1.35 | 📈 改善 | +| SOLUSDT | 6h | -0.09 | -1.01 | -1.37 | -2.14 | ⚠️ 衰减 | + +### 三均线排列 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.34 | -1.54 | -1.78 | -1.09 | ⚠️ 衰减 | +| BNBUSDT | 6h | +0.77 | +0.30 | +1.13 | +0.61 | ✅ 稳定 | +| BTCUSDT | 2h | +0.26 | -0.93 | +0.07 | +1.07 | ✅ 稳定 | +| BTCUSDT | 6h | +0.93 | +0.35 | -0.68 | -2.56 | ⚠️ 衰减 | +| ETHUSDT | 2h | -0.40 | -1.67 | -0.85 | +0.48 | ✅ 稳定 | +| ETHUSDT | 6h | +0.72 | +0.37 | -0.09 | -3.93 | ⚠️ 衰减 | +| SOLUSDT | 2h | +0.54 | -0.14 | -1.57 | -2.30 | ⚠️ 衰减 | +| SOLUSDT | 6h | +0.34 | -0.38 | -0.35 | -3.51 | ⚠️ 衰减 | + +### RSI均值回归 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | -0.73 | -0.17 | +0.70 | +0.08 | 📈 改善 | +| BNBUSDT | 6h | -0.08 | -0.45 | +0.56 | -1.11 | 📈 改善 | +| BTCUSDT | 2h | -1.35 | -0.66 | -0.45 | -0.12 | 📈 改善 | +| BTCUSDT | 6h | -0.52 | -0.58 | -0.29 | -1.34 | ✅ 稳定 | +| ETHUSDT | 2h | -1.33 | -1.18 | -0.21 | +1.10 | 📈 改善 | +| ETHUSDT | 6h | -0.87 | -0.09 | +0.16 | -0.51 | 📈 改善 | +| SOLUSDT | 2h | -0.65 | -0.94 | -1.96 | -1.58 | ⚠️ 衰减 | +| SOLUSDT | 6h | -0.61 | -1.04 | -0.18 | -1.53 | ✅ 稳定 | + +### ATR波动率突破 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.83 | -0.02 | +1.21 | +2.05 | ✅ 稳定 | +| BNBUSDT | 6h | +0.67 | +0.09 | +0.76 | +2.08 | ✅ 稳定 | +| BTCUSDT | 2h | +1.13 | +0.49 | +1.47 | +2.05 | ✅ 稳定 | +| BTCUSDT | 6h | +0.92 | +0.18 | +0.04 | +2.68 | ⚠️ 衰减 | +| ETHUSDT | 2h | +0.85 | +0.40 | +1.65 | +1.35 | 📈 改善 | +| ETHUSDT | 6h | +1.04 | +0.96 | +0.60 | +1.53 | ✅ 稳定 | +| SOLUSDT | 2h | +1.39 | -0.03 | +0.68 | +1.22 | ⚠️ 衰减 | +| SOLUSDT | 6h | +1.22 | -0.43 | -0.64 | +2.49 | ⚠️ 衰减 | + +### EMA双均线多空 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.39 | -0.37 | -0.98 | +0.78 | ⚠️ 衰减 | +| BNBUSDT | 6h | -1.64 | +0.35 | +0.16 | -0.74 | 📈 改善 | +| BTCUSDT | 2h | -0.48 | -1.54 | -2.55 | -2.97 | ⚠️ 衰减 | +| BTCUSDT | 6h | +0.82 | +1.27 | -0.24 | -0.75 | ⚠️ 衰减 | +| ETHUSDT | 2h | -0.60 | -1.24 | -2.07 | -1.10 | ⚠️ 衰减 | +| ETHUSDT | 6h | -1.11 | -0.26 | -0.40 | -0.77 | 📈 改善 | +| SOLUSDT | 2h | -1.06 | -1.30 | -2.70 | -2.08 | ⚠️ 衰减 | +| SOLUSDT | 6h | -1.28 | +0.16 | -1.08 | -2.61 | ✅ 稳定 | + +### 牛熊自适应 + +| 币种 | TF | 全量夏普 | 近两年 | 近一年 | 近半年 | 趋势 | +|------|----|----------|--------|--------|--------|------| +| BNBUSDT | 2h | +0.77 | +0.26 | -0.30 | -1.95 | ⚠️ 衰减 | +| BNBUSDT | 6h | +1.22 | +0.26 | +0.88 | -1.48 | ✅ 稳定 | +| BTCUSDT | 2h | +0.40 | +0.75 | +0.30 | +0.04 | ✅ 稳定 | +| BTCUSDT | 6h | +0.67 | +0.26 | -1.09 | -1.14 | ⚠️ 衰减 | +| ETHUSDT | 2h | +0.10 | -1.54 | -1.65 | +0.35 | ⚠️ 衰减 | +| ETHUSDT | 6h | +0.80 | -0.67 | -1.45 | -4.13 | ⚠️ 衰减 | +| SOLUSDT | 2h | -0.21 | -0.04 | +0.19 | +1.64 | ✅ 稳定 | +| SOLUSDT | 6h | +0.68 | +0.49 | -0.47 | -2.97 | ⚠️ 衰减 | + +--- + +## 七、全量数据 综合评分 TOP 20 + +> 综合评分 = 夏普比率×0.4 + 年化收益归一化×0.3 + 卡尔玛归一化×0.2 - 回撤归一化×0.1 + +| 排名 | 策略 | 币种 | TF | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 综合评分 | +|------|------|------|----|---------|-------|------|-------|-------|--------|----------| +| 🥇 | ATR波动率突破 | SOLUSDT | 2h | +11666.5% | +127.5% | **1.39** | -59.8% | 37.6% | 1.37 | **1.037** | +| 🥈 | ATR波动率突破 | SOLUSDT | 6h | +4450.9% | +94.7% | **1.22** | -84.4% | 23.7% | 1.25 | **0.789** | +| 🥉 | 超级趋势 | SOLUSDT | 6h | +620.1% | +41.1% | **1.40** | -37.0% | 39.5% | 2.21 | **0.749** | +| 4 | 牛熊自适应 | BNBUSDT | 6h | +3592.9% | +52.9% | **1.22** | -44.5% | 37.5% | 1.99 | **0.710** | +| 5 | ATR波动率突破 | BTCUSDT | 2h | +4550.8% | +54.8% | **1.13** | -52.6% | 31.4% | 1.43 | **0.662** | +| 6 | ATR波动率突破 | ETHUSDT | 6h | +5102.3% | +57.3% | **1.04** | -47.6% | 36.2% | 2.17 | **0.650** | +| 7 | ATR波动率突破 | BTCUSDT | 6h | +1509.3% | +37.5% | **0.92** | -55.8% | 31.9% | 1.42 | **0.502** | +| 8 | 超级趋势 | BNBUSDT | 2h | +512.5% | +23.6% | **0.94** | -37.0% | 40.3% | 1.55 | **0.480** | +| 9 | ATR波动率突破 | ETHUSDT | 2h | +1771.2% | +39.6% | **0.85** | -59.9% | 31.7% | 1.30 | **0.476** | +| 10 | ATR波动率突破 | BNBUSDT | 2h | +2258.5% | +44.6% | **0.83** | -72.5% | 29.5% | 1.22 | **0.472** | +| 11 | EMA双均线多空 | BTCUSDT | 6h | +1148.0% | +33.6% | **0.82** | -57.2% | 41.2% | 1.54 | **0.444** | +| 12 | 三均线排列 | BTCUSDT | 6h | +86.1% | +7.4% | **0.93** | -13.3% | 37.8% | 1.82 | **0.438** | +| 13 | 超级趋势 | BTCUSDT | 6h | +113.3% | +9.1% | **0.83** | -16.2% | 36.6% | 1.65 | **0.401** | +| 14 | 牛熊自适应 | BNBUSDT | 2h | +845.9% | +30.0% | **0.77** | -68.2% | 35.1% | 1.25 | **0.399** | +| 15 | 牛熊自适应 | ETHUSDT | 6h | +748.9% | +27.8% | **0.80** | -73.0% | 34.1% | 1.27 | **0.398** | +| 16 | MACD金叉死叉 | ETHUSDT | 6h | +108.3% | +8.8% | **0.81** | -15.3% | 38.0% | 1.43 | **0.393** | +| 17 | 超级趋势 | BNBUSDT | 6h | +288.2% | +17.3% | **0.72** | -35.9% | 40.4% | 2.03 | **0.363** | +| 18 | 三均线排列 | BNBUSDT | 6h | +93.9% | +8.1% | **0.77** | -21.1% | 40.8% | 1.83 | **0.356** | +| 19 | MACD金叉死叉 | SOLUSDT | 6h | +84.6% | +11.3% | **0.73** | -27.7% | 42.4% | 1.34 | **0.348** | +| 20 | 牛熊自适应 | BTCUSDT | 6h | +317.6% | +17.8% | **0.67** | -43.3% | 35.2% | 1.37 | **0.335** | + +--- + +## 八、关键发现 + +### 🔑 周期选择：6h 显著优于 2h + +在全量数据中，**25/36（69%）** 的策略-币种组合在 6h 上夏普比率更高。 + +**原因分析**：2h 交易频率过高，手续费侵蚀严重。以海龟交易 BTC 为例： +- 2h 全量：1,622 笔交易 → 终值仅 $2,807（亏损 71.9%），夏普 -1.71 +- 6h 全量：579 笔交易 → 终值 $10,963（盈利 9.6%），夏普 +0.17 +- 差异：2h 比 6h 多产生 1,043 笔交易，多付 2 倍以上手续费 +- 手续费成本 = 0.1% × 2（开平）= 0.2% / 笔 × 1,622 笔 ≈ 324% 本金摩擦成本 + +### 🏆 综合最优策略 + +**ATR波动率突破** — SOLUSDT 2h +- 总收益：**+11666.5%** +- 年化收益：**+127.5%** +- 夏普比率：**1.39** +- 最大回撤：-59.8% +- 盈亏比：1.37 +- 交易次数：202 + +### 📊 各币种最优策略（全量，按夏普） + +| 币种 | 最优策略 | TF | 总收益% | 年化% | 夏普 | 回撤% | 交易数 | +|------|----------|----|---------|-------|------|-------|--------| +| BNBUSDT | **牛熊自适应** | 6h | +3592.9% | +52.9% | **1.22** | -44.5% | 128 | +| BTCUSDT | **ATR波动率突破** | 2h | +4550.8% | +54.8% | **1.13** | -52.6% | 334 | +| ETHUSDT | **ATR波动率突破** | 6h | +5102.3% | +57.3% | **1.04** | -47.6% | 94 | +| SOLUSDT | **超级趋势** | 6h | +620.1% | +41.1% | **1.40** | -37.0% | 86 | + +### 💡 ATR 策略对比 + +| 维度 | 超级趋势（纯ATR跟踪） | ATR波动率突破（squeeze-expand） | +|------|----------------------|-------------------------------| +| 最优夏普 | 1.40 (SOLUSDT 6h) | 1.39 (SOLUSDT 2h) | +| 最优总收益 | +620.1% | +11666.5% | +| 参数 | ATR(10)×3.0 | ATR(14) squeeze=20×0.7 + EMA(10,30) | +| 特点 | 简单、始终在场 | 需要 squeeze 检测，非始终在场 | +| 适用场景 | 强趋势市场（BNB SOL 全量表现突出）| 波动率周期明显的市场（SOL ETH 极佳）| + +**结论**：ATR波动率突破在高波动币种（SOL）上能产生天文数字级收益（+11,667%），但回撤也极大（-59.8%～-84.4%）。超级趋势更稳定，在 BNB 上夏普 0.94，回撤仅 -37%，适合稳健配置。 + +### ⚡ 高频策略亏损分析 + +在 2h 周期上，交易次数 > 500 的组合： +- 亏损组合：6 个（平均交易 1282 次） +- 盈利组合：5 个（平均交易 805 次） + +高交易频率 ≠ 高收益。2h 上 MACD金叉死叉是全量 2h 中唯一普遍不亏的策略（BTC 2h 全量 +7.9%），因为它有 zero-line 方向过滤和 3 bar 最小持仓限制。 + +### 📈 策略类型平均表现（全量，4币种×2TF 平均） + +| 类型 | 策略 | 平均夏普 | 平均收益% | 平均回撤% | +|------|------|----------|-----------|-----------| +| 趋势跟踪 | 海龟交易 | -0.55 | -20.3% | -48.5% | +| 趋势跟踪 | 超级趋势 | +0.38 | +180.4% | -40.2% | +| 动量 | MACD金叉死叉 | +0.49 | +62.5% | -24.9% | +| 波动率突破 | 布林收缩爆发 | +0.09 | +9.3% | -19.4% | +| 趋势跟踪 | 三均线排列 | +0.44 | +42.3% | -21.7% | +| 均值回归 | RSI均值回归 | -0.77 | -93.1% | -96.4% | +| 波动率突破 | ATR波动率突破 | +1.01 | +3998.2% | -65.0% | +| 趋势跟踪 | EMA双均线多空 | -0.62 | +41.1% | -130.8% | +| 牛熊自适应 | 牛熊自适应 | +0.55 | +716.4% | -67.0% | + +--- + +*报告由 `comparison_2h_6h_result.json` 自动生成于 2026-06-13 11:36:37 UTC。回测引擎：LongShortEngine，初始本金 $10,000，单边手续费 0.1%，滑点 0.05%。* + +*所有收益均为回测模拟结果，不构成投资建议。历史表现不代表未来收益。* \ No newline at end of file diff --git a/engine/example/comparison_2h_6h_result.json b/engine/example/comparison_2h_6h_result.json new file mode 100644 index 0000000..984eb45 --- /dev/null +++ b/engine/example/comparison_2h_6h_result.json @@ -0,0 +1,6940 @@ +{ + "config": { + "symbols": [ + "BTCUSDT", + "ETHUSDT", + "BNBUSDT", + "SOLUSDT" + ], + "timeframes": [ + "2h", + "6h" + ], + "periods": [ + "全量", + "近两年", + "近一年", + "近半年" + ], + "initial_capital": 10000.0, + "warmup_bars": 150, + "total_tasks": 288, + "total_errors": 0, + "elapsed_seconds": 28.711908102035522, + "run_time": "2026-06-13T11:36:37.508375+00:00" + }, + "results": [ + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "2h", + "数据量": "近半年", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2025-12-13~2026-06-13", + "初始资金": 10000.0, + "最终权益": 8929.37, + "总收益%": -10.71, + "年化收益%": -21.92, + "夏普比率": -4.83, + "最大回撤%": -11.1, + "胜率%": 25.84, + "盈亏比": 0.42, + "交易次数": 89, + "平均盈亏": -9.66, + "最佳盈亏": 65.5, + "最差盈亏": -84.69, + "卡尔玛比率": -1.97, + "耗时s": 0.1 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "6h", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2024-06-13~2026-06-13", + "初始资金": 10000.0, + "最终权益": 9286.85, + "总收益%": -7.13, + "年化收益%": -3.84, + "夏普比率": -0.58, + "最大回撤%": -9.58, + "胜率%": 32.61, + "盈亏比": 0.88, + "交易次数": 138, + "平均盈亏": -2.78, + "最佳盈亏": 282.29, + "最差盈亏": -208.2, + "卡尔玛比率": -0.4, + "耗时s": 0.4 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "2h", + "数据量": "近一年", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2025-06-13~2026-06-13", + "初始资金": 10000.0, + "最终权益": 8570.94, + "总收益%": -14.29, + "年化收益%": -14.85, + "夏普比率": -3.58, + "最大回撤%": -14.5, + "胜率%": 28.49, + "盈亏比": 0.57, + "交易次数": 179, + "平均盈亏": -5.63, + "最佳盈亏": 90.94, + "最差盈亏": -81.29, + "卡尔玛比率": -1.02, + "耗时s": 0.4 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "2h", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2024-06-13~2026-06-13", + "初始资金": 10000.0, + "最终权益": 6978.69, + "总收益%": -30.21, + "年化收益%": -16.77, + "夏普比率": -3.39, + "最大回撤%": -30.44, + "胜率%": 29.63, + "盈亏比": 0.57, + "交易次数": 378, + "平均盈亏": -5.88, + "最佳盈亏": 176.23, + "最差盈亏": -109.64, + "卡尔玛比率": -0.55, + "耗时s": 0.5 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "6h", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2017-08-17~2026-06-11", + "初始资金": 10000.0, + "最终权益": 10962.51, + "总收益%": 9.63, + "年化收益%": 1.06, + "夏普比率": 0.17, + "最大回撤%": -19.1, + "胜率%": 35.06, + "盈亏比": 1.13, + "交易次数": 579, + "平均盈亏": 4.59, + "最佳盈亏": 737.67, + "最差盈亏": -339.47, + "卡尔玛比率": 0.06, + "耗时s": 0.5 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "2h", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2017-08-17~2026-06-11", + "初始资金": 10000.0, + "最终权益": 2806.79, + "总收益%": -71.93, + "年化收益%": -13.46, + "夏普比率": -1.71, + "最大回撤%": -71.96, + "胜率%": 29.84, + "盈亏比": 0.74, + "交易次数": 1622, + "平均盈亏": -3.1, + "最佳盈亏": 280.43, + "最差盈亏": -423.41, + "卡尔玛比率": -0.19, + "耗时s": 0.8 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "6h", + "数据量": "近一年", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2025-06-13~2026-06-13", + "初始资金": 10000.0, + "最终权益": 9850.05, + "总收益%": -1.5, + "年化收益%": -1.68, + "夏普比率": -0.28, + "最大回撤%": -5.16, + "胜率%": 31.25, + "盈亏比": 1.01, + "交易次数": 64, + "平均盈亏": 0.12, + "最佳盈亏": 223.21, + "最差盈亏": -62.84, + "卡尔玛比率": -0.33, + "耗时s": 0.7 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "6h", + "数据量": "近半年", + "策略类型": "趋势跟踪", + "策略参数": "entry=20/exit=10/ATR(20)x2.0", + "策略描述": "Donchian 20/10通道突破 + 2N ATR止损，多空双向", + "日期范围": "2025-12-13~2026-06-13", + "初始资金": 10000.0, + "最终权益": 9461.0, + "总收益%": -5.39, + "年化收益%": -13.27, + "夏普比率": -1.66, + "最大回撤%": -7.2, + "胜率%": 17.86, + "盈亏比": 0.46, + "交易次数": 28, + "平均盈亏": -16.8, + "最佳盈亏": 230.59, + "最差盈亏": -147.35, + "卡尔玛比率": -1.84, + "耗时s": 0.5 + }, + { + "策略名": "1.海龟交易", + "币种": "ETHUSDT", + 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+ } + ] +} \ No newline at end of file diff --git a/engine/example/vol_break_1h_6h.json b/engine/example/vol_break_1h_6h.json new file mode 100644 index 0000000..4dcd3d1 --- /dev/null +++ b/engine/example/vol_break_1h_6h.json @@ -0,0 +1,312 @@ +{ + "config": { + "strategy": "ATR波动率突破", + "symbols": [ + "BTCUSDT", + "ETHUSDT", + "BNBUSDT", + "SOLUSDT" + ], + "timeframes": [ + "1h", + "2h", + "4h", + "6h" + ], + "period": "近半年", + "initial_capital": 10000.0, + "warmup_bars": 150, + "elapsed_seconds": 0.6400730609893799, + "run_time": "2026-06-13T12:01:08.097745+00:00" + }, + "results": [ + { + "币种": "ETHUSDT", + "时间级别": "1h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 9103.91, + "总收益%": -8.96, + "年化收益%": -17.94, + "夏普比率": -0.17, + "最大回撤%": -38.98, + "胜率%": 20.0, + "盈亏比": 0.91, + "交易次数": 40, + "平均盈亏": -12.76, + "最佳盈亏": 2363.57, + "最差盈亏": -496.06, + "耗时s": 0.3 + }, + { + "币种": "BTCUSDT", + "时间级别": "1h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 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"盈亏比": 1.91, + "交易次数": 17, + "平均盈亏": 173.85, + "最佳盈亏": 2685.48, + "最差盈亏": -507.73, + "耗时s": 0.3 + }, + { + "币种": "BTCUSDT", + "时间级别": "2h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 14294.36, + "总收益%": 42.94, + "年化收益%": 118.42, + "夏普比率": 2.06, + "最大回撤%": -17.1, + "胜率%": 57.14, + "盈亏比": 3.7, + "交易次数": 14, + "平均盈亏": 326.07, + "最佳盈亏": 2115.62, + "最差盈亏": -546.69, + "耗时s": 0.3 + }, + { + "币种": "BNBUSDT", + "时间级别": "2h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 13051.99, + "总收益%": 30.52, + "年化收益%": 79.04, + "夏普比率": 2.05, + "最大回撤%": -13.6, + "胜率%": 46.15, + "盈亏比": 3.62, + "交易次数": 13, + "平均盈亏": 246.85, + "最佳盈亏": 2718.8, + "最差盈亏": -292.95, + "耗时s": 0.2 + }, + { + "币种": "SOLUSDT", + "时间级别": "2h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 12207.75, + "总收益%": 22.08, + "年化收益%": 54.68, + "夏普比率": 1.22, + "最大回撤%": -25.2, + "胜率%": 35.29, + "盈亏比": 1.75, + "交易次数": 17, + "平均盈亏": 150.9, + "最佳盈亏": 2571.92, + "最差盈亏": -719.69, + "耗时s": 0.2 + }, + { + "币种": "BTCUSDT", + "时间级别": "4h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 12105.54, + "总收益%": 21.06, + "年化收益%": 57.21, + "夏普比率": 1.41, + "最大回撤%": -13.55, + "胜率%": 54.55, + "盈亏比": 2.38, + "交易次数": 11, + "平均盈亏": 195.47, + "最佳盈亏": 1727.66, + "最差盈亏": -580.61, + "耗时s": 0.3 + }, + { + "币种": "BNBUSDT", + "时间级别": "4h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 10800.73, + "总收益%": 8.01, + "年化收益%": 20.01, + "夏普比率": 0.64, + "最大回撤%": -21.48, + "胜率%": 57.14, + "盈亏比": 1.95, + "交易次数": 7, + "平均盈亏": 127.36, + "最佳盈亏": 907.82, + "最差盈亏": -465.17, + "耗时s": 0.2 + }, + { + "币种": "ETHUSDT", + "时间级别": "4h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 20044.4, + "总收益%": 100.44, + "年化收益%": 418.79, + "夏普比率": 2.52, + "最大回撤%": -21.71, + "胜率%": 30.0, + "盈亏比": 3.55, + "交易次数": 10, + "平均盈亏": 1013.41, + "最佳盈亏": 8978.94, + "最差盈亏": -1167.65, + "耗时s": 0.2 + }, + { + "币种": "SOLUSDT", + "时间级别": "4h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 16846.12, + "总收益%": 68.46, + "年化收益%": 243.76, + "夏普比率": 2.02, + "最大回撤%": -36.03, + "胜率%": 22.22, + "盈亏比": 2.38, + "交易次数": 9, + "平均盈亏": 768.98, + "最佳盈亏": 9654.28, + "最差盈亏": -1427.23, + "耗时s": 0.2 + }, + { + "币种": "BTCUSDT", + "时间级别": "6h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 14121.75, + "总收益%": 41.22, + "年化收益%": 143.58, + "夏普比率": 2.79, + "最大回撤%": -11.58, + "胜率%": 75.0, + "盈亏比": 6.87, + "交易次数": 4, + "平均盈亏": 1015.11, + "最佳盈亏": 2377.43, + "最差盈亏": -692.0, + "耗时s": 0.3 + }, + { + "币种": "ETHUSDT", + "时间级别": "6h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 12832.56, + "总收益%": 28.33, + "年化收益%": 90.28, + "夏普比率": 1.61, + "最大回撤%": -18.93, + "胜率%": 40.0, + "盈亏比": 3.54, + "交易次数": 5, + "平均盈亏": 561.57, + "最佳盈亏": 2473.69, + "最差盈亏": -528.44, + "耗时s": 0.1 + }, + { + "币种": "BNBUSDT", + "时间级别": "6h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 16288.39, + "总收益%": 62.88, + "年化收益%": 252.0, + "夏普比率": 2.08, + "最大回撤%": -18.31, + "胜率%": 25.0, + "盈亏比": 4.45, + "交易次数": 4, + "平均盈亏": 1593.04, + "最佳盈亏": 8218.32, + "最差盈亏": -1176.64, + "耗时s": 0.2 + }, + { + "币种": "SOLUSDT", + "时间级别": "6h", + "日期范围": "2025-12-13~2026-06-11", + "初始资金": 10000.0, + "最终权益": 14329.33, + "总收益%": 43.29, + "年化收益%": 152.92, + "夏普比率": 2.65, + "最大回撤%": -13.51, + "胜率%": 50.0, + "盈亏比": 6.8, + "交易次数": 4, + "平均盈亏": 1054.76, + "最佳盈亏": 3189.27, + "最差盈亏": -701.15, + "耗时s": 0.2 + } + ] +} \ No newline at end of file diff --git a/engine/example/vol_break_1h_6h.py b/engine/example/vol_break_1h_6h.py new file mode 100644 index 0000000..e52161c --- /dev/null +++ b/engine/example/vol_break_1h_6h.py @@ -0,0 +1,285 @@ +""" +ATR波动率突破 — 1h/2h/4h/6h 近半年横向对比回测 + +用法： + source .venv/bin/activate && python example/vol_break_1h_6h.py +""" + +import asyncio +import json +import sys +import time +from datetime import datetime, timedelta, timezone +from pathlib import Path +from typing import Optional + +_project_root = Path(__file__).resolve().parent.parent.parent +if str(_project_root) not in sys.path: + sys.path.insert(0, str(_project_root)) + +from engine.common.base import BaseStrategy, Signal, StrategyConfig +from engine.common.models import Kline +from engine.common.config import config +from engine.backtest.models import BacktestConfig +from engine.data import DataService +from engine.indicators.incremental import EmaInc, AtrInc, RsiInc, BbInc +from engine.example.long_short import LongShortEngine + +# ── 全局常量 ── +SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"] +TIMEFRAMES = ["1h", "2h", "4h", "6h"] +INITIAL = 10_000.0 +WARMUP = 150 +MAX_CONCURRENCY = 6 + +NOW = datetime.now(timezone.utc) +PERIOD_START = NOW - timedelta(days=182) # 近半年 +PERIOD_END = NOW + +# ════════════════════════════════════════════════════════ +# ATR波动率突破策略 +# ════════════════════════════════════════════════════════ + +class VolBreakConfig(StrategyConfig): + atr_period: int = 14 + squeeze_period: int = 20 + squeeze_ratio: float = 0.7 + atr_stop: float = 2.0 + + +class VolBreakStrategy(BaseStrategy): + strategy_type = "波动率突破" + strategy_desc = "ATR(14)收缩至极低后扩张突破 + EMA(10/30)方向确认" + + def __init__(self, c: VolBreakConfig): + super().__init__(c) + self.cfg = c + self._atr = AtrInc(c.atr_period) + self._ema_fast = EmaInc(10) + self._ema_slow = EmaInc(30) + self._closes: list[float] = [] + self._highs: list[float] = [] + self._lows: list[float] = [] + self._side: str = "" + self._entry_price: float = 0.0 + self._was_squeezed = False + + async def on_kline(self, k: Kline) -> Optional[Signal]: + self._closes.append(k.close) + self._highs.append(k.high) + self._lows.append(k.low) + self._atr.update(k.high, k.low, k.close) + self._ema_fast.update(k.close) + self._ema_slow.update(k.close) + n = len(self._closes) + if n < self.cfg.atr_period + self.cfg.squeeze_period: + return None + atr_now = self._atr[-1] + atr_prev = self._atr[-2] if n >= 2 else 0 + ca = atr_now + if ca == 0: + return None + atr_window = [self._atr[i] for i in range(max(0, n - self.cfg.squeeze_period), n) if self._atr[i] > 0] + if not atr_window: + return None + min_atr = min(atr_window) + is_squeezed = atr_now < min_atr * (1 + (1 - self.cfg.squeeze_ratio)) + atr_expanding = atr_now > atr_prev * 1.05 if atr_prev > 0 else False + cf, cs = self._ema_fast[-1], self._ema_slow[-1] + trend_up = cf > cs + + if self._side == "long": + self._was_squeezed = False + stop = self._entry_price - self.cfg.atr_stop * ca + if k.close < stop or (cf < cs and not is_squeezed): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="SELL", reason="ATR退出", timestamp=k.open_time) + elif self._side == "short": + self._was_squeezed = False + stop = self._entry_price + self.cfg.atr_stop * ca + if k.close > stop or (cf > cs and not is_squeezed): + self._side = "" + return Signal(symbol=self.cfg.symbol, side="BUY", reason="ATR退出", timestamp=k.open_time) + else: + if is_squeezed: + self._was_squeezed = True + elif self._was_squeezed and atr_expanding: + self._was_squeezed = False + if trend_up: + self._side = "long"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="BUY", reason="ATR扩张突破做多", timestamp=k.open_time) + else: + self._side = "short"; self._entry_price = k.close + return Signal(symbol=self.cfg.symbol, side="SELL", reason="ATR扩张突破做空", timestamp=k.open_time) + return None + + +async def run_one(symbol, interval, start, end): + sc = VolBreakConfig(symbol=symbol) + bt = BacktestConfig( + symbol=symbol, interval=interval, + start_time=start, end_time=end, + initial_capital=INITIAL, warmup_bars=WARMUP, + ) + engine = LongShortEngine(bt, db_config=config.db) + t0 = time.time() + try: + r = await engine.run(VolBreakStrategy, sc) + elapsed = time.time() - t0 + return r, elapsed, None + except Exception as ex: + elapsed = time.time() - t0 + return None, elapsed, str(ex) + + +async def main(): + ds = DataService(config.db) + await ds.connect() + + print("正在获取数据范围...") + date_ranges = {} + for symbol in SYMBOLS: + for tf in TIMEFRAMES: + try: + s, e = await ds.fetch_symbol_date_range(symbol, tf) + bar_ms = {"1h": 3_600_000, "2h": 7_200_000, "4h": 14_400_000, "6h": 21_600_000} + estimated_bars = int((e - s).total_seconds() * 1000 / bar_ms[tf]) + date_ranges[(symbol, tf)] = (s, e, estimated_bars) + print(f" {symbol} {tf:<4}: {s.date()} ~ {e.date()} (约{estimated_bars:,}根)") + except Exception as ex: + print(f" {symbol} {tf:<4}: 获取失败 — {ex}") + + await ds.close() + + sem = asyncio.Semaphore(MAX_CONCURRENCY) + tasks_info = [] + for symbol in SYMBOLS: + for tf in TIMEFRAMES: + key = (symbol, tf) + if key not in date_ranges: + continue + fs, fe, est_bars = date_ranges[key] + actual_start = max(PERIOD_START, fs) + actual_end = min(PERIOD_END, fe) + if actual_start >= actual_end: + continue + tasks_info.append({"symbol": symbol, "tf": tf, "start": actual_start, "end": actual_end}) + + total = len(tasks_info) + print(f"\n共 {total} 组回测任务 (ATR波动率突破 × 4币种 × 4时间 × 近半年)") + + results = [] + completed = 0 + errors = 0 + + async def run_one_safe(info): + nonlocal completed, errors + async with sem: + r, elapsed, err = await run_one(info["symbol"], info["tf"], info["start"], info["end"]) + completed += 1 + if err: + errors += 1 + status = f"✗ {err[:40]}" + elif r is None: + errors += 1 + status = "✗ 无结果" + else: + m = r.metrics + status = f"✓ {m.annual_return_pct:+.1f}%/yr" + print(f" [{completed}/{total}] {info['symbol']} {info['tf']} ({elapsed:.1f}s) {status}", flush=True) + + row = { + "币种": info["symbol"], + "时间级别": info["tf"], + "日期范围": f"{info['start'].date()}~{info['end'].date()}", + } + if r is not None: + m = r.metrics + row.update({ + "初始资金": INITIAL, + "最终权益": round(m.final_equity, 2), + "总收益%": round(m.total_return_pct, 2), + "年化收益%": round(m.annual_return_pct, 2), + "夏普比率": round(m.sharpe_ratio, 2), + "最大回撤%": round(m.max_drawdown_pct, 2), + "胜率%": round(m.win_rate * 100, 2), + "盈亏比": round(m.profit_factor, 2), + "交易次数": m.total_trades, + "平均盈亏": round(m.avg_trade_pnl, 2), + "最佳盈亏": round(m.best_trade_pnl, 2), + "最差盈亏": round(m.worst_trade_pnl, 2), + "耗时s": round(elapsed, 1), + }) + else: + row.update({ + "初始资金": INITIAL, "最终权益": 0, "总收益%": 0, "年化收益%": 0, + "夏普比率": 0, "最大回撤%": 0, "胜率%": 0, "盈亏比": 0, + "交易次数": 0, "平均盈亏": 0, "最佳盈亏": 0, "最差盈亏": 0, + "耗时s": round(elapsed, 1), "错误": err or "未知错误", + }) + results.append(row) + return row + + t_total = time.time() + await asyncio.gather(*[run_one_safe(info) for info in tasks_info]) + total_elapsed = time.time() - t_total + + print(f"\n全部完成！成功 {total - errors}/{total}，错误 {errors}，总耗时 {total_elapsed:.0f}s") + + # ── 打印 ── + print() + print("═" * 145) + print(" ATR波动率突破 — 1h / 2h / 4h / 6h 近半年横向对比") + print(" 策略: ATR(14)/squeeze=20x0.7/EMA(10,30) | 本金 $10,000 | 多空双向") + print("═" * 145) + print() + + # 按时间级别排序 + results.sort(key=lambda x: TIMEFRAMES.index(x["时间级别"])) + + print(f" {'币种':<10} {'时间':<5} {'总收益%':>8} {'年化%':>8} {'夏普':>7} {'回撤%':>7} {'胜率%':>7} {'盈亏比':>7} {'交易':>6} {'最佳盈亏':>10} {'最差盈亏':>10} {'日期范围':<24}") + print(" " + "─" * 140) + for r in results: + print(f" {r['币种']:<10} {r['时间级别']:<5} {r['总收益%']:>7.1f}% {r['年化收益%']:>7.1f}% {r['夏普比率']:>7.2f} {r['最大回撤%']:>7.1f}% {r['胜率%']:>6.1f}% {r['盈亏比']:>7.2f} {r['交易次数']:>6} {r['最佳盈亏']:>+9.0f} {r['最差盈亏']:>+9.0f} {r['日期范围']:<24}") + print() + + # ── 各时间级别汇总 ── + print("═" * 145) + print(" ■ 各时间级别排名（按年化收益）") + print("═" * 145) + for tf in TIMEFRAMES: + subset = [r for r in results if r["时间级别"] == tf] + if not subset: + continue + subset.sort(key=lambda x: x.get("年化收益%", -9999), reverse=True) + print(f"\n ▲ {tf} 近半年") + print(f" {'排名':<5} {'币种':<10} {'总收益%':>8} {'年化%':>8} {'夏普':>7} {'回撤%':>7} {'胜率%':>7} {'盈亏比':>7} {'交易':>6}") + print(" " + "─" * 100) + for i, r in enumerate(subset): + marker = ["🥇", "🥈", "🥉", " 4"][i] + print(f" {marker:<5} {r['币种']:<10} {r['总收益%']:>7.1f}% {r['年化收益%']:>7.1f}% {r['夏普比率']:>7.2f} {r['最大回撤%']:>7.1f}% {r['胜率%']:>6.1f}% {r['盈亏比']:>7.2f} {r['交易次数']:>6}") + + print() + print("═" * 145) + + # ── 保存 JSON ── + output_file = _project_root / "engine" / "example" / "vol_break_1h_6h.json" + with open(output_file, "w", encoding="utf-8") as f: + json.dump({ + "config": { + "strategy": "ATR波动率突破", + "symbols": SYMBOLS, + "timeframes": TIMEFRAMES, + "period": "近半年", + "initial_capital": INITIAL, + "warmup_bars": WARMUP, + "elapsed_seconds": total_elapsed, + "run_time": datetime.now(timezone.utc).isoformat(), + }, + "results": results, + }, f, ensure_ascii=False, indent=2, default=str) + print(f" 结果已保存至: {output_file}") + + +if __name__ == "__main__": + asyncio.run(main())