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feat(engine): 新增 2h/6h 与 1h 策略对比回测

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- comparison_2h_6h: 9 策略 × 4 币种 × 2 周期 × 4 数据量 = 288 次回测
  - 包含海龟、超级趋势、MACD、布林收缩、三均线、RSI 回归、
    ATR 波动率突破、EMA 多空、牛熊自适应
  - 结论：6h 夏普显著优于 2h（69% 组合），ATR 策略霸榜
  - 自动生成 Markdown 回测报告

- vol_break_1h_6h: ATR 波动率突破 × 1h/2h/4h/6h 近半年对比
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engine/example/comparison_2h_6h.py
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# 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。*
engine/example/comparison_2h_6h_result.json
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{
"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": 9726.77,
"总收益%": -2.73,
"年化收益%": -5.67,
"夏普比率": 0.01,
"最大回撤%": -32.4,
"胜率%": 25.64,
"盈亏比": 1.02,
"交易次数": 39,
"平均盈亏": 2.37,
"最佳盈亏": 1960.9,
"最差盈亏": -713.74,
"耗时s": 0.3
},
{
"币种": "BNBUSDT",
"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": 11586.76,
"总收益%": 15.87,
"年化收益%": 36.37,
"夏普比率": 1.09,
"最大回撤%": -19.14,
"胜率%": 28.12,
"盈亏比": 1.51,
"交易次数": 32,
"平均盈亏": 58.9,
"最佳盈亏": 2400.68,
"最差盈亏": -411.05,
"耗时s": 0.2
},
{
"币种": "SOLUSDT",
"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": 8240.83,
"总收益%": -17.59,
"年化收益%": -33.47,
"夏普比率": -0.57,
"最大回撤%": -49.62,
"胜率%": 23.08,
"盈亏比": 0.8,
"交易次数": 39,
"平均盈亏": -37.47,
"最佳盈亏": 2837.53,
"最差盈亏": -814.13,
"耗时s": 0.3
},
{
"币种": "ETHUSDT",
"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": 12686.34,
"总收益%": 26.86,
"年化收益%": 68.25,
"夏普比率": 1.36,
"最大回撤%": -21.84,
"胜率%": 29.41,
"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
}
]
}
engine/example/vol_break_1h_6h.py
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"""
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())