From 626acb20d313aa81fe98214a562591e56380f443 Mon Sep 17 00:00:00 2001 From: Rekey Date: Wed, 17 Jun 2026 10:01:52 +0800 Subject: [PATCH] =?UTF-8?q?feat:=20=E5=85=A8=E9=93=BE=E8=B7=AF=E6=96=B0?= =?UTF-8?q?=E5=A2=9E=20type=20=E5=AD=97=E6=AE=B5=E6=94=AF=E6=8C=81=20+=20e?= =?UTF-8?q?xchange.ts=20=E8=B6=85=E6=97=B6=E9=80=80=E5=87=BA=E4=BC=98?= =?UTF-8?q?=E5=8C=96?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - TS: exit 函数统一管理进程退出与 DB 连接关闭；10s 超时 + 异常路径 clearTimeout - Python: PairType(spot/um/cm) 贯穿 Kline 模型、策略配置、数据查询 - 回测脚本升级: 9策略 × 4币种 × 6时间级别 × 2交易类型 - 新增 generate_report.py 回测报告生成工具 --- data/run/exchange.ts | 45 +- engine/backtest/engine.py | 3 + engine/backtest/models.py | 1 + engine/common/base.py | 1 + engine/common/models.py | 10 + engine/data/service.py | 53 +- engine/example/comparison_2h_6h.py | 126 +- engine/example/comparison_2h_6h_report.md | 1897 +- engine/example/comparison_2h_6h_result.json | 45008 ++++++++++++++++-- engine/example/generate_report.py | 285 + engine/example/long_short.py | 3 + engine/example/strategy_battle.py | 2 + reasonix.toml | 89 +- 13 files changed, 42394 insertions(+), 5129 deletions(-) create mode 100644 engine/example/generate_report.py diff --git a/data/run/exchange.ts b/data/run/exchange.ts index 8e2c3e9..199cdbc 100644 --- a/data/run/exchange.ts +++ b/data/run/exchange.ts @@ -3,6 +3,14 @@ import { getAllPairs, updatePairLastBackfillTime } from '../service/pair'; import { upsertOrUpdateKlines } from "../service/kline"; import { fetchKlines } from '../exchanges'; +import { AppDataSource } from '../db/data-source'; + +async function exit() { + AppDataSource.destroy().finally(() => { + process.exit(0); + }); +} + function getNowMinuteMS() { const minuteMS = 1000 * 60; return Math.floor(Date.now() / minuteMS) * minuteMS @@ -12,17 +20,19 @@ const allPairs = await getAllPairs(); for (const pair of allPairs) { let lastBackfillTime = pair.last_backfill_time.getTime(); - try { - while (lastBackfillTime < getNowMinuteMS()) { - console.log('lastBackfillTime', lastBackfillTime); + while (lastBackfillTime < getNowMinuteMS()) { + const timer = setTimeout(exit, 10000); + try { + logger.info({ lastBackfillTime }, '回补进度'); const klines = await fetchKlines({ exchange: 'binance', type: pair.type, symbol: pair.symbol, startTime: lastBackfillTime, - limit: 500, + limit: 1000, }); - console.log(`拉取到 ${klines.length} 条 K 线`); + clearTimeout(timer); + logger.info(`拉取到 ${klines.length} 条 K 线`); if (klines.length > 0) { await upsertOrUpdateKlines(klines); const lastK = klines[klines.length - 1]; @@ -34,20 +44,19 @@ for (const pair of allPairs) { lastBackfillTime = lastK.openTime; } } - await new Promise((resolve) => { - setTimeout(resolve, Math.random() * 1000); - }); + } catch (err) { + clearTimeout(timer); + logger.error({ err }, "拉取失败"); } - } catch (err) { - console.error("拉取失败:", err); + await new Promise((resolve) => { + setTimeout(resolve, Math.random() * 1000); + }); } } -// 所有币种回补完成以后等待1秒关闭pgsql连接退出此进程 -await new Promise((resolve) => setTimeout(resolve, 1000)); -const { AppDataSource } = await import("../db/data-source"); -if (AppDataSource.isInitialized) { - await AppDataSource.destroy(); - console.log("pgsql 连接已关闭"); -} -process.exit(0); \ No newline at end of file +// 所有交易对均已完成回补，等待 10~40 秒再退出， +// 避免外部进程管理立即重启导致高频空查触发 API 限流。 +await new Promise((resolve) => { + setTimeout(resolve, Math.random() * 30 * 1000 + 10000); +}); +exit(); \ No newline at end of file diff --git a/engine/backtest/engine.py b/engine/backtest/engine.py index 6b398e4..4c382fe 100644 --- a/engine/backtest/engine.py +++ b/engine/backtest/engine.py @@ -98,6 +98,7 @@ class BacktestEngine: # 确保 strategy_config 与回测配置对齐 strategy_config.symbol = self.config.symbol strategy_config.exchange = self.config.exchange + strategy_config.type = self.config.type # 1. 连接数据库并加载数据 from ..common.config import config as app_config @@ -113,6 +114,8 @@ class BacktestEngine: start_time=self.config.start_time, end_time=self.config.end_time, limit=1_000_000, # 足够大的 limit，实际由 start/end 约束 + type=self.config.type, + exchange=self.config.exchange, ) if len(klines) < self.config.warmup_bars + 2: diff --git a/engine/backtest/models.py b/engine/backtest/models.py index df4ed22..cdf2d3c 100644 --- a/engine/backtest/models.py +++ b/engine/backtest/models.py @@ -26,6 +26,7 @@ class BacktestConfig: symbol: str exchange: str = "binance" + type: str = "spot" interval: str = "1h" start_time: Optional[datetime] = None end_time: Optional[datetime] = None diff --git a/engine/common/base.py b/engine/common/base.py index 907e9b7..b9434cd 100644 --- a/engine/common/base.py +++ b/engine/common/base.py @@ -29,6 +29,7 @@ class StrategyConfig(BaseModel): name: str = "" symbol: str = "" exchange: str = "binance" + type: str = "spot" # 交易对类型：spot / um / cm enabled: bool = True max_position_pct: float = 0.1 # 最大仓位占总资金比例 stop_loss_pct: Optional[float] = None # 止损百分比 diff --git a/engine/common/models.py b/engine/common/models.py index d740e72..1d5bce4 100644 --- a/engine/common/models.py +++ b/engine/common/models.py @@ -16,6 +16,13 @@ from pydantic import BaseModel, Field, field_validator KlineInterval = Literal["1m", "3m", "5m", "15m", "30m", "1h", "2h", "4h", "6h", "8h", "1d", "1w", "1mon"] +# ============================================================ +# 交易对类型 +# ============================================================ + +PairType = Literal["spot", "um", "cm"] +"""交易对类型，与 TS data/types/kline.ts 的 PairType 对齐""" + # ============================================================ # 行情数据模型 @@ -125,6 +132,9 @@ class Kline(BaseModel): interval: KlineInterval """K 线周期""" + pair_type: PairType = Field(default="spot", alias="type") + """交易对类型（spot / um / cm），与 TS Kline.type 对齐""" + # 时间 open_time: float = Field(alias="openTime") """开盘时间（Unix 毫秒）""" diff --git a/engine/data/service.py b/engine/data/service.py index b9d38a4..a8750ec 100644 --- a/engine/data/service.py +++ b/engine/data/service.py @@ -27,7 +27,7 @@ from typing import AsyncGenerator import asyncpg from ..common.config import DBConfig -from ..common.models import Kline, KlineInterval +from ..common.models import Kline, KlineInterval, PairType # ── 周期 → 表名映射 ── INTERVAL_TO_TABLE: dict[KlineInterval, str] = { @@ -124,18 +124,25 @@ class DataService: # ── 元数据查询 ── async def fetch_available_symbols( - self, interval: KlineInterval = "1m" + self, + interval: KlineInterval = "1m", + type: PairType = "spot", + exchange: str = "binance", ) -> list[str]: """获取指定周期下所有有数据的交易对""" table = INTERVAL_TO_TABLE[interval] async with self._pool.acquire() as conn: rows = await conn.fetch( - f"SELECT DISTINCT symbol FROM {table} ORDER BY symbol" + f"SELECT DISTINCT symbol FROM {table} " + f"WHERE exchange = $1 AND type = $2 ORDER BY symbol", + exchange, type, ) return [r["symbol"] for r in rows] async def fetch_symbol_date_range( - self, symbol: str, interval: KlineInterval + self, symbol: str, interval: KlineInterval, + type: PairType = "spot", + exchange: str = "binance", ) -> tuple[datetime, datetime]: """获取指定交易对 + 周期的数据起止时间""" table = INTERVAL_TO_TABLE[interval] @@ -144,9 +151,9 @@ class DataService: f""" SELECT MIN(time) AS min_time, MAX(time) AS max_time FROM {table} - WHERE symbol = $1 + WHERE exchange = $1 AND symbol = $2 AND type = $3 """, - symbol, + exchange, symbol, type, ) if row is None or row["min_time"] is None: raise ValueError(f"无数据: {symbol} {interval}") @@ -158,12 +165,14 @@ class DataService: interval: KlineInterval, start_time: datetime | None = None, end_time: datetime | None = None, + type: PairType = "spot", + exchange: str = "binance", ) -> int: """获取指定条件的 K 线条数（用于预判数据量）""" table = INTERVAL_TO_TABLE[interval] - conditions = ["symbol = $1", "interval = $2"] - params: list = [symbol, interval] - idx = 3 + conditions = ["exchange = $1", "symbol = $2", "type = $3"] + params: list = [exchange, symbol, type] + idx = 4 if start_time is not None: conditions.append(f"time >= ${idx}") @@ -191,6 +200,8 @@ class DataService: end_time: datetime | None = None, limit: int = 1000, offset: int = 0, + type: PairType = "spot", + exchange: str = "binance", ) -> list[Kline]: """获取 K 线数据，返回 Pydantic 模型列表 @@ -201,6 +212,8 @@ class DataService: end_time: 结束时间（不包含） limit: 最大返回条数 offset: 分页偏移 + type: 交易对类型（spot / um / cm），默认 spot + exchange: 交易所标识，默认 binance Returns: 按时间升序排列的 Kline 列表 @@ -208,9 +221,9 @@ class DataService: table = INTERVAL_TO_TABLE[interval] interval_ms = INTERVAL_MS[interval] - conditions = ["symbol = $1", "interval = $2"] - params: list = [symbol, interval] - idx = 3 + conditions = ["exchange = $1", "symbol = $2", "type = $3"] + params: list = [exchange, symbol, type] + idx = 4 if start_time is not None: conditions.append(f"time >= ${idx}") @@ -225,7 +238,7 @@ class DataService: cols = await self._get_columns(table) select_cols = [ - "time", "exchange", "symbol", "interval", + "time", "exchange", "symbol", "type", "interval", "open", "high", "low", "close", "volume", ] for extra in ( @@ -249,7 +262,7 @@ class DataService: offset, ) - return [self._row_to_kline(r, interval, interval_ms) for r in rows] + return [self._row_to_kline(r, interval, interval_ms, type) for r in rows] async def stream_klines( self, @@ -258,6 +271,8 @@ class DataService: start_time: datetime | None = None, end_time: datetime | None = None, batch_size: int = DEFAULT_BATCH_SIZE, + type: PairType = "spot", + exchange: str = "binance", ) -> AsyncGenerator[list[Kline], None]: """流式获取 K 线数据，适合大数据集 @@ -275,6 +290,8 @@ class DataService: end_time=end_time, limit=batch_size, offset=offset, + type=type, + exchange=exchange, ) if not batch: break @@ -288,6 +305,8 @@ class DataService: start_time: datetime | None = None, end_time: datetime | None = None, limit: int = 1000, + type: PairType = "spot", + exchange: str = "binance", ) -> dict[str, list[Kline]]: """批量获取多个交易对的 K 线 @@ -301,6 +320,8 @@ class DataService: start_time=start_time, end_time=end_time, limit=limit, + type=type, + exchange=exchange, ) for sym in symbols ] @@ -326,7 +347,8 @@ class DataService: @staticmethod def _row_to_kline( - row: asyncpg.Record, interval: KlineInterval, interval_ms: int + row: asyncpg.Record, interval: KlineInterval, interval_ms: int, + pair_type: PairType = "spot", ) -> Kline: """将数据库行转换为 Kline 模型""" open_time = dt_to_unix_ms(row["time"]) @@ -335,6 +357,7 @@ class DataService: exchange=row["exchange"], symbol=row["symbol"], interval=interval, + type=row.get("type", pair_type), openTime=open_time, closeTime=open_time + interval_ms, open=_to_float(row["open"]), diff --git a/engine/example/comparison_2h_6h.py b/engine/example/comparison_2h_6h.py index 4efe263..04a5e00 100644 --- a/engine/example/comparison_2h_6h.py +++ b/engine/example/comparison_2h_6h.py @@ -1,8 +1,8 @@ """ -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 +1h-1d 策略全维度对比回测 — 9策略 × 4币种 × 6时间级别 × 2交易类型 × 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。 +在 1h/2h/4h/6h/8h/1d 六个时间级别上的表现对比。 用法： source .venv/bin/activate && python example/comparison_2h_6h.py @@ -31,7 +31,8 @@ from engine.example.long_short import LongShortEngine # ── 全局常量 ── SYMBOLS = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"] -TIMEFRAMES = ["2h", "6h"] +TIMEFRAMES = ["1h", "2h", "4h", "6h", "8h", "1d"] +PAIR_TYPES = ["spot", "um"] INITIAL = 10_000.0 WARMUP = 150 MAX_CONCURRENCY = 6 @@ -820,12 +821,13 @@ STRATEGY_PARAMS_STR = { # 执行 # ════════════════════════════════════════════════════════ -async def run_one(entry, symbol, interval, period_label, start, end): +async def run_one(entry, symbol, interval, pair_type, period_label, start, end): make_config = entry["make_config"] strategy_cls = entry["strategy_cls"] sc = make_config(symbol) bt = BacktestConfig( symbol=symbol, interval=interval, + type=pair_type, start_time=start, end_time=end, initial_capital=INITIAL, warmup_bars=WARMUP, ) @@ -852,14 +854,15 @@ async def main(): 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}") + for pair_type in PAIR_TYPES: + try: + s, e = await ds.fetch_symbol_date_range(symbol, tf, type=pair_type) + bar_ms = {"1h": 3_600_000, "2h": 7_200_000, "4h": 14_400_000, "6h": 21_600_000, "8h": 28_800_000, "1d": 86_400_000} + estimated_bars = int((e - s).total_seconds() * 1000 / bar_ms[tf]) + date_ranges[(symbol, tf, pair_type)] = (s, e, estimated_bars) + print(f" {symbol} {tf:<4} {pair_type:<5}: {s.date()} ~ {e.date()} (约{estimated_bars:,}根)") + except Exception as ex: + print(f" {symbol} {tf:<4} {pair_type:<5}: 获取失败 — {ex}") await ds.close() @@ -869,39 +872,41 @@ async def main(): 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: + for pair_type in PAIR_TYPES: + key = (symbol, tf, pair_type) + if key not in date_ranges: continue + fs, fe, est_bars = date_ranges[key] - 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]) + 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 - if actual_bars < min_bars: - 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 / { + "1h": 3_600_000, "2h": 7_200_000, "4h": 14_400_000, "6h": 21_600_000, "8h": 28_800_000, "1d": 86_400_000 + }[tf]) - tasks_info.append({ - "strat_name": strat_name, - "entry": entry, - "symbol": symbol, - "tf": tf, - "period_label": period_label, - "start": actual_start, - "end": actual_end, - }) + if actual_bars < min_bars: + continue + + tasks_info.append({ + "strat_name": strat_name, + "entry": entry, + "symbol": symbol, + "tf": tf, + "pair_type": pair_type, + "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)") + print(f"\n共 {total} 组回测任务 (9策略×4币种×6时间×2类型×4数据量 - 跳过数据不足)") results: list[dict] = [] completed = 0 @@ -911,7 +916,7 @@ async def main(): nonlocal completed, errors async with sem: r, elapsed, err = await run_one( - info["entry"], info["symbol"], info["tf"], + info["entry"], info["symbol"], info["tf"], info["pair_type"], info["period_label"], info["start"], info["end"], ) completed += 1 @@ -924,12 +929,13 @@ async def main(): 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) + print(f" [{completed}/{total}] {info['strat_name']} {info['symbol']} {info['tf']} {info['pair_type']} {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"], + "类型": info["pair_type"], "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"], ""), @@ -986,7 +992,7 @@ async def main(): # ── 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(" 1h-1d 全维度策略对比回测结果（9策略 × 4币种 × 6时间 × 2类型 × 4数据量）") print("═" * 195) print() @@ -997,35 +1003,36 @@ async def main(): 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) + print(f" {'币种':<10} {'时间':<5} {'类型':<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(" " + "─" * 195) - 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"]))) + strat_results.sort(key=lambda x: (SYMBOLS.index(x["币种"]), TIMEFRAMES.index(x["时间级别"]), PAIR_TYPES.index(x["类型"]), 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(f" {r['币种']:<10} {r['时间级别']:<5} {r['类型']:<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(" ■ 终极汇总：每组(时间级别+类型+数据量)下各币种最佳策略（按年化收益）\n（1h结果可能因数据量过大导致内存/耗时问题，已设MAX_CONCURRENCY=6）") 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) + for pair_type in PAIR_TYPES: + for period_label in PERIODS: + subset = [r for r in results if r["时间级别"] == tf and r["类型"] == pair_type 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() + print(f" ▲ {tf} | {pair_type} | {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(" " + "─" * 135) + 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" @@ -1034,6 +1041,7 @@ async def main(): "config": { "symbols": SYMBOLS, "timeframes": TIMEFRAMES, + "pair_types": PAIR_TYPES, "periods": list(PERIODS.keys()), "initial_capital": INITIAL, "warmup_bars": WARMUP, diff --git a/engine/example/comparison_2h_6h_report.md b/engine/example/comparison_2h_6h_report.md index 97f97f4..db37ecc 100644 --- a/engine/example/comparison_2h_6h_report.md +++ b/engine/example/comparison_2h_6h_report.md @@ -1,804 +1,1347 @@ -# 2h / 6h 策略全维度对比回测报告 +# 1h-1d 策略全维度对比回测报告（Spot + 合约） -> **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） - ---- +> **生成时间**：2026-06-17 01:03:37 UTC +> **总耗时**：188.0 秒 +> **测试维度**：9 策略 × 4 币种 × 2 时间级别 × 2 交易类型 × 4 数据量 = 1728 次回测 +> **初始资金**：$10,000 | **预热 Bar**：150 +> **错误数**：0 ## 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 | - ---- +| 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 | +| 排名 | 策略 | 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | EMA双均线多空 | ETHUSDT | 1d | um | -125.4% | +0.0% | **1.63** | -156.4% | 0.0% | 0.00 | 1 | 0.00 | +| 🥈 | 超级趋势 | SOLUSDT | 8h | um | +1161.8% | +57.0% | **1.51** | -35.0% | 45.9% | 3.00 | 61 | 1.63 | +| 🥉 | 超级趋势 | SOLUSDT | 8h | spot | +756.6% | +45.6% | **1.44** | -35.2% | 47.5% | 2.94 | 59 | 1.29 | +| 4 | 牛熊自适应 | BNBUSDT | 6h | um | +2076.9% | +63.7% | **1.44** | -35.6% | 39.4% | 2.15 | 94 | 1.79 | +| 5 | 超级趋势 | SOLUSDT | 6h | um | +608.5% | +41.4% | **1.42** | -37.1% | 41.9% | 2.25 | 86 | 1.11 | +| 6 | ATR波动率突破 | SOLUSDT | 2h | um | +10658.9% | +126.5% | **1.41** | -61.9% | 36.5% | 1.40 | 200 | 2.04 | +| 7 | 超级趋势 | SOLUSDT | 6h | spot | +625.8% | +41.2% | **1.40** | -37.0% | 40.2% | 2.22 | 87 | 1.11 | +| 8 | ATR波动率突破 | SOLUSDT | 2h | spot | +10978.1% | +124.6% | **1.38** | -59.8% | 37.9% | 1.34 | 203 | 2.08 | +| 9 | ATR波动率突破 | SOLUSDT | 8h | um | +6002.2% | +107.8% | **1.30** | -78.0% | 34.1% | 1.36 | 41 | 1.38 | +| 10 | ATR波动率突破 | SOLUSDT | 4h | um | +6725.3% | +110.1% | **1.29** | -75.8% | 26.4% | 1.22 | 91 | 1.45 | +| 11 | ATR波动率突破 | SOLUSDT | 8h | spot | +5956.7% | +105.1% | **1.29** | -78.5% | 34.1% | 1.36 | 41 | 1.34 | +| 12 | 牛熊自适应 | BTCUSDT | 1d | um | +640.3% | +37.0% | **1.25** | -30.6% | 50.0% | 2.91 | 22 | 1.21 | +| 13 | 牛熊自适应 | ETHUSDT | 4h | spot | +4239.5% | +53.7% | **1.24** | -37.3% | 40.5% | 1.75 | 205 | 1.44 | +| 14 | MACD金叉死叉 | SOLUSDT | 8h | um | +210.6% | +22.3% | **1.23** | -15.3% | 47.7% | 1.86 | 153 | 1.46 | +| 15 | 牛熊自适应 | BNBUSDT | 6h | spot | +3592.9% | +52.8% | **1.21** | -44.5% | 37.5% | 1.99 | 128 | 1.19 | +| 16 | MACD金叉死叉 | SOLUSDT | 8h | spot | +206.9% | +21.7% | **1.19** | -15.5% | 47.8% | 1.81 | 157 | 1.40 | +| 17 | ATR波动率突破 | SOLUSDT | 6h | spot | +3897.4% | +90.0% | **1.19** | -84.4% | 22.0% | 1.22 | 59 | 1.07 | +| 18 | ATR波动率突破 | SOLUSDT | 6h | um | +3152.2% | +85.1% | **1.16** | -85.8% | 22.4% | 1.20 | 58 | 0.99 | +| 19 | 牛熊自适应 | BNBUSDT | 1d | um | +1363.3% | +57.1% | **1.13** | -45.3% | 38.1% | 2.19 | 21 | 1.26 | +| 20 | ATR波动率突破 | BTCUSDT | 2h | spot | +4378.7% | +54.0% | **1.12** | -52.6% | 31.4% | 1.41 | 334 | 1.03 | ---- - -## 三、各策略全量数据详细表现（2h vs 6h × 4 币种） +## 三、各策略全量数据详细表现（2h vs 6h × 4 币种 × spot/um） ### 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -87.7% | -21.2% | **-3.18** | -87.8% | 27.6% | 0.68 | 2854 | -0.24 | +| BTCUSDT | 1h | um | -73.8% | -18.0% | **-2.99** | -74.4% | 27.8% | 0.76 | 2096 | -0.24 | +| BTCUSDT | 2h | spot | -71.8% | -13.4% | **-1.71** | -72.0% | 29.9% | 0.74 | 1624 | -0.19 | +| BTCUSDT | 2h | um | -55.8% | -11.4% | **-1.63** | -57.8% | 30.6% | 0.79 | 1194 | -0.20 | +| BTCUSDT | 4h | spot | -23.5% | -3.0% | **-0.33** | -37.6% | 33.9% | 0.98 | 836 | -0.08 | +| BTCUSDT | 4h | um | -20.2% | -3.3% | **-0.44** | -26.2% | 33.3% | 0.96 | 628 | -0.13 | +| BTCUSDT | 6h | spot | +9.8% | +1.1% | **0.17** | -19.1% | 35.2% | 1.13 | 580 | 0.06 | +| BTCUSDT | 6h | um | -7.5% | -1.2% | **-0.13** | -16.8% | 32.3% | 1.02 | 437 | -0.07 | +| BTCUSDT | 8h | spot | +18.6% | +2.0% | **0.28** | -14.1% | 34.1% | 1.16 | 443 | 0.14 | +| BTCUSDT | 8h | um | -2.9% | -0.4% | **-0.03** | -11.2% | 34.0% | 1.05 | 326 | -0.04 | +| BTCUSDT | 1d | spot | +13.4% | +1.5% | **0.21** | -14.6% | 35.2% | 1.17 | 162 | 0.10 | +| BTCUSDT | 1d | um | +14.7% | +2.2% | **0.30** | -14.2% | 34.7% | 1.22 | 121 | 0.15 | +| ETHUSDT | 1h | spot | -92.8% | -25.8% | **-3.18** | -92.9% | 28.3% | 0.68 | 3147 | -0.28 | +| ETHUSDT | 1h | um | -82.3% | -23.3% | **-3.14** | -83.6% | 27.9% | 0.74 | 2279 | -0.28 | +| ETHUSDT | 2h | spot | -64.1% | -11.0% | **-1.18** | -64.8% | 31.2% | 0.85 | 1687 | -0.17 | +| ETHUSDT | 2h | um | -50.7% | -10.3% | **-1.14** | -54.7% | 31.0% | 0.87 | 1233 | -0.19 | +| ETHUSDT | 4h | spot | -13.0% | -1.6% | **-0.11** | -29.1% | 35.7% | 1.03 | 894 | -0.05 | +| ETHUSDT | 4h | um | -15.2% | -2.5% | **-0.23** | -28.0% | 35.3% | 1.00 | 648 | -0.09 | +| ETHUSDT | 6h | spot | +17.0% | +1.8% | **0.23** | -28.6% | 37.4% | 1.13 | 597 | 0.06 | +| ETHUSDT | 6h | um | -1.5% | -0.2% | **0.02** | -25.4% | 35.9% | 1.06 | 435 | -0.01 | +| ETHUSDT | 8h | spot | +27.2% | +2.8% | **0.32** | -16.6% | 40.6% | 1.17 | 453 | 0.17 | +| ETHUSDT | 8h | um | +8.9% | +1.3% | **0.19** | -15.7% | 39.3% | 1.12 | 328 | 0.09 | +| ETHUSDT | 1d | spot | +46.2% | +4.6% | **0.45** | -14.3% | 39.1% | 1.31 | 156 | 0.32 | +| ETHUSDT | 1d | um | +28.9% | +4.2% | **0.46** | -14.3% | 37.7% | 1.32 | 114 | 0.30 | +| BNBUSDT | 1h | spot | -87.8% | -21.7% | **-2.14** | -88.2% | 28.9% | 0.77 | 3048 | -0.25 | +| BNBUSDT | 1h | um | -70.1% | -17.4% | **-1.88** | -73.2% | 27.4% | 0.86 | 2166 | -0.24 | +| BNBUSDT | 2h | spot | -64.3% | -11.3% | **-1.08** | -67.5% | 31.0% | 0.86 | 1647 | -0.17 | +| BNBUSDT | 2h | um | -55.2% | -11.9% | **-1.26** | -58.6% | 31.1% | 0.82 | 1169 | -0.20 | +| BNBUSDT | 4h | spot | +31.6% | +3.3% | **0.34** | -32.3% | 33.6% | 1.18 | 858 | 0.10 | +| BNBUSDT | 4h | um | -7.7% | -1.3% | **-0.07** | -29.0% | 32.1% | 1.05 | 614 | -0.04 | +| BNBUSDT | 6h | spot | +95.7% | +8.2% | **0.64** | -34.1% | 35.0% | 1.30 | 606 | 0.24 | +| BNBUSDT | 6h | um | -9.6% | -1.6% | **-0.11** | -32.3% | 32.1% | 1.01 | 436 | -0.05 | +| BNBUSDT | 8h | spot | +71.2% | +6.5% | **0.54** | -21.0% | 38.1% | 1.36 | 428 | 0.31 | +| BNBUSDT | 8h | um | +46.5% | +6.3% | **0.56** | -13.9% | 37.5% | 1.37 | 309 | 0.46 | +| BNBUSDT | 1d | spot | +107.3% | +9.3% | **0.71** | -16.2% | 42.9% | 1.82 | 147 | 0.57 | +| BNBUSDT | 1d | um | +88.9% | +11.3% | **0.81** | -20.7% | 44.3% | 1.95 | 97 | 0.55 | +| SOLUSDT | 1h | spot | -88.3% | -30.8% | **-2.76** | -89.2% | 29.8% | 0.76 | 2355 | -0.35 | +| SOLUSDT | 1h | um | -89.3% | -32.2% | **-3.02** | -89.4% | 29.4% | 0.71 | 2302 | -0.36 | +| SOLUSDT | 2h | spot | -60.3% | -14.7% | **-1.12** | -61.1% | 32.6% | 0.86 | 1244 | -0.24 | +| SOLUSDT | 2h | um | -61.5% | -15.4% | **-1.18** | -64.2% | 33.1% | 0.86 | 1210 | -0.24 | +| SOLUSDT | 4h | spot | -46.5% | -10.2% | **-0.70** | -53.8% | 31.9% | 0.85 | 653 | -0.19 | +| SOLUSDT | 4h | um | -50.4% | -11.6% | **-0.85** | -54.4% | 32.5% | 0.81 | 637 | -0.21 | +| SOLUSDT | 6h | spot | -22.7% | -4.4% | **-0.29** | -41.1% | 36.3% | 0.92 | 438 | -0.11 | +| SOLUSDT | 6h | um | -23.9% | -4.7% | **-0.32** | -37.4% | 36.7% | 0.91 | 422 | -0.13 | +| SOLUSDT | 8h | spot | +17.2% | +2.8% | **0.27** | -25.6% | 39.8% | 1.13 | 334 | 0.11 | +| SOLUSDT | 8h | um | +5.2% | +0.9% | **0.13** | -27.4% | 39.1% | 1.07 | 327 | 0.03 | +| SOLUSDT | 1d | spot | +85.0% | +12.0% | **0.84** | -19.6% | 47.6% | 1.60 | 105 | 0.61 | +| SOLUSDT | 1d | um | -1.0% | -0.2% | **0.07** | -44.0% | 44.9% | 1.01 | 98 | -0.00 | -> 🏆 **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 +> 🏆 **海龟交易 最优**：SOLUSDT 1d spot，夏普 **0.84**，总收益 **+85.0%**，年化 **+12.0%**，交易 105 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -50.6% | -7.7% | **-0.62** | -60.6% | 33.8% | 0.87 | 782 | -0.13 | +| BTCUSDT | 1h | um | -50.5% | -9.9% | **-0.92** | -61.5% | 33.2% | 0.78 | 617 | -0.16 | +| BTCUSDT | 2h | spot | -36.8% | -5.1% | **-0.39** | -48.0% | 31.9% | 0.86 | 401 | -0.11 | +| BTCUSDT | 2h | um | -31.2% | -5.4% | **-0.49** | -47.4% | 32.3% | 0.83 | 310 | -0.11 | +| BTCUSDT | 4h | spot | +144.8% | +10.8% | **0.90** | -15.7% | 39.4% | 1.60 | 213 | 0.69 | +| BTCUSDT | 4h | um | -26.5% | -4.5% | **-0.40** | -35.8% | 32.7% | 0.77 | 165 | -0.13 | +| BTCUSDT | 6h | spot | +113.4% | +9.1% | **0.83** | -16.2% | 37.0% | 1.65 | 135 | 0.56 | +| BTCUSDT | 6h | um | -23.0% | -3.8% | **-0.32** | -34.5% | 33.0% | 0.75 | 109 | -0.11 | +| BTCUSDT | 8h | spot | +159.7% | +11.6% | **1.00** | -16.8% | 35.0% | 1.96 | 100 | 0.69 | +| BTCUSDT | 8h | um | -1.5% | -0.2% | **0.03** | -23.6% | 39.0% | 1.01 | 77 | -0.01 | +| BTCUSDT | 1d | spot | +112.8% | +9.4% | **0.73** | -19.8% | 40.5% | 2.01 | 37 | 0.47 | +| BTCUSDT | 1d | um | -29.2% | -5.3% | **-0.50** | -41.6% | 24.1% | 0.53 | 29 | -0.13 | +| ETHUSDT | 1h | spot | -49.1% | -7.4% | **-0.45** | -57.7% | 32.7% | 0.89 | 811 | -0.13 | +| ETHUSDT | 1h | um | -53.9% | -11.2% | **-0.81** | -61.1% | 31.7% | 0.77 | 608 | -0.18 | +| ETHUSDT | 2h | spot | -14.3% | -1.7% | **-0.05** | -48.1% | 34.1% | 0.99 | 407 | -0.04 | +| ETHUSDT | 2h | um | -36.8% | -6.8% | **-0.45** | -49.3% | 31.8% | 0.81 | 308 | -0.14 | +| ETHUSDT | 4h | spot | +198.1% | +13.3% | **0.86** | -21.5% | 35.5% | 1.50 | 214 | 0.62 | +| ETHUSDT | 4h | um | -26.1% | -4.6% | **-0.29** | -39.7% | 37.1% | 0.80 | 159 | -0.11 | +| ETHUSDT | 6h | spot | +4.3% | +0.5% | **0.10** | -42.7% | 44.2% | 1.05 | 129 | 0.01 | +| ETHUSDT | 6h | um | -6.4% | -1.0% | **-0.01** | -42.1% | 47.4% | 0.95 | 95 | -0.02 | +| ETHUSDT | 8h | spot | +2.7% | +0.3% | **0.09** | -36.2% | 39.3% | 1.04 | 89 | 0.01 | +| ETHUSDT | 8h | um | -10.1% | -1.6% | **-0.06** | -37.8% | 36.6% | 0.90 | 71 | -0.04 | +| ETHUSDT | 1d | spot | -2.5% | -0.3% | **0.03** | -31.5% | 42.4% | 0.99 | 33 | -0.01 | +| ETHUSDT | 1d | um | -10.5% | -1.8% | **-0.10** | -28.4% | 37.5% | 0.83 | 24 | -0.06 | +| BNBUSDT | 1h | spot | +105.7% | +8.8% | **0.49** | -38.5% | 37.3% | 1.19 | 831 | 0.23 | +| BNBUSDT | 1h | um | +22.1% | +3.2% | **0.26** | -38.5% | 37.7% | 1.12 | 632 | 0.08 | +| BNBUSDT | 2h | spot | +512.2% | +23.5% | **0.94** | -37.0% | 40.2% | 1.55 | 393 | 0.64 | +| BNBUSDT | 2h | um | +239.3% | +21.3% | **0.88** | -17.6% | 37.5% | 1.53 | 293 | 1.21 | +| BNBUSDT | 4h | spot | +305.1% | +17.8% | **0.72** | -38.4% | 42.4% | 1.72 | 210 | 0.46 | +| BNBUSDT | 4h | um | -41.7% | -8.2% | **-0.65** | -47.6% | 35.3% | 0.59 | 153 | -0.17 | +| BNBUSDT | 6h | spot | +285.4% | +17.2% | **0.72** | -35.9% | 40.1% | 2.01 | 147 | 0.48 | +| BNBUSDT | 6h | um | +165.3% | +16.9% | **0.72** | -27.7% | 40.4% | 2.10 | 104 | 0.61 | +| BNBUSDT | 8h | spot | +117.6% | +9.6% | **0.49** | -40.4% | 36.0% | 1.66 | 111 | 0.24 | +| BNBUSDT | 8h | um | +145.8% | +15.6% | **0.69** | -31.8% | 40.5% | 2.06 | 74 | 0.49 | +| BNBUSDT | 1d | spot | -7.2% | -0.9% | **-0.03** | -30.5% | 37.5% | 0.90 | 32 | -0.03 | +| BNBUSDT | 1d | um | -11.1% | -2.0% | **-0.15** | -30.4% | 33.3% | 0.77 | 24 | -0.06 | +| SOLUSDT | 1h | spot | +29.2% | +4.5% | **0.31** | -35.3% | 37.0% | 1.10 | 602 | 0.13 | +| SOLUSDT | 1h | um | -73.7% | -20.7% | **-1.15** | -76.0% | 34.3% | 0.65 | 586 | -0.27 | +| SOLUSDT | 2h | spot | -47.6% | -10.5% | **-0.53** | -56.6% | 35.4% | 0.76 | 285 | -0.19 | +| SOLUSDT | 2h | um | -46.4% | -10.3% | **-0.53** | -59.5% | 35.6% | 0.77 | 278 | -0.17 | +| SOLUSDT | 4h | spot | -40.6% | -8.6% | **-0.43** | -53.0% | 37.2% | 0.71 | 145 | -0.16 | +| SOLUSDT | 4h | um | +178.5% | +19.7% | **0.94** | -29.4% | 40.1% | 1.59 | 132 | 0.67 | +| SOLUSDT | 6h | spot | +625.8% | +41.2% | **1.40** | -37.0% | 40.2% | 2.22 | 87 | 1.11 | +| SOLUSDT | 6h | um | +608.5% | +41.4% | **1.42** | -37.1% | 41.9% | 2.25 | 86 | 1.11 | +| SOLUSDT | 8h | spot | +756.6% | +45.6% | **1.44** | -35.2% | 47.5% | 2.94 | 59 | 1.29 | +| SOLUSDT | 8h | um | +1161.8% | +57.0% | **1.51** | -35.0% | 45.9% | 3.00 | 61 | 1.63 | +| SOLUSDT | 1d | spot | +139.3% | +17.4% | **0.80** | -26.7% | 47.4% | 2.71 | 19 | 0.65 | +| SOLUSDT | 1d | um | +138.7% | +17.7% | **0.81** | -28.2% | 47.4% | 2.75 | 19 | 0.63 | -> 🏆 **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 +> 🏆 **超级趋势 最优**：SOLUSDT 8h um，夏普 **1.51**，总收益 **+1161.8%**，年化 **+57.0%**，交易 61 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -49.2% | -7.4% | **-0.69** | -58.3% | 33.1% | 0.97 | 1916 | -0.13 | +| BTCUSDT | 1h | um | -42.0% | -7.8% | **-0.80** | -47.8% | 32.2% | 0.95 | 1442 | -0.16 | +| BTCUSDT | 2h | spot | +7.8% | +0.9% | **0.13** | -19.2% | 36.6% | 1.12 | 875 | 0.04 | +| BTCUSDT | 2h | um | -3.2% | -0.5% | **-0.01** | -18.9% | 35.2% | 1.08 | 679 | -0.03 | +| BTCUSDT | 4h | spot | +26.5% | +2.7% | **0.33** | -26.3% | 37.3% | 1.18 | 458 | 0.10 | +| BTCUSDT | 4h | um | -1.8% | -0.3% | **0.01** | -27.1% | 37.2% | 1.05 | 357 | -0.01 | +| BTCUSDT | 6h | spot | +6.0% | +0.7% | **0.12** | -28.8% | 37.0% | 1.08 | 316 | 0.02 | +| BTCUSDT | 6h | um | -10.8% | -1.7% | **-0.18** | -28.5% | 33.6% | 0.95 | 235 | -0.06 | +| BTCUSDT | 8h | spot | +60.4% | +5.6% | **0.59** | -34.4% | 38.6% | 1.40 | 228 | 0.16 | +| BTCUSDT | 8h | um | +13.2% | +1.9% | **0.26** | -34.5% | 38.1% | 1.20 | 173 | 0.05 | +| BTCUSDT | 1d | spot | +86.7% | +7.7% | **0.81** | -12.8% | 47.9% | 2.04 | 71 | 0.60 | +| BTCUSDT | 1d | um | +26.1% | +3.7% | **0.49** | -12.9% | 42.3% | 1.53 | 52 | 0.29 | +| ETHUSDT | 1h | spot | -22.8% | -2.9% | **-0.16** | -51.5% | 35.6% | 1.05 | 1858 | -0.06 | +| ETHUSDT | 1h | um | -41.6% | -7.9% | **-0.61** | -54.4% | 35.3% | 0.96 | 1398 | -0.15 | +| ETHUSDT | 2h | spot | +104.8% | +8.5% | **0.67** | -26.8% | 37.3% | 1.26 | 869 | 0.32 | +| ETHUSDT | 2h | um | +10.2% | +1.5% | **0.18** | -29.4% | 35.3% | 1.11 | 641 | 0.05 | +| ETHUSDT | 4h | spot | +53.3% | +5.0% | **0.44** | -33.8% | 37.6% | 1.18 | 465 | 0.15 | +| ETHUSDT | 4h | um | +6.3% | +0.9% | **0.14** | -31.1% | 37.2% | 1.08 | 344 | 0.03 | +| ETHUSDT | 6h | spot | +108.3% | +8.8% | **0.81** | -15.3% | 38.0% | 1.43 | 305 | 0.57 | +| ETHUSDT | 6h | um | +22.2% | +3.1% | **0.35** | -18.2% | 35.5% | 1.20 | 228 | 0.17 | +| ETHUSDT | 8h | spot | +118.4% | +9.4% | **0.76** | -17.9% | 37.5% | 1.48 | 224 | 0.53 | +| ETHUSDT | 8h | um | +48.8% | +6.4% | **0.51** | -19.0% | 33.1% | 1.36 | 172 | 0.34 | +| ETHUSDT | 1d | spot | +110.9% | +9.3% | **0.76** | -23.5% | 42.1% | 1.73 | 76 | 0.39 | +| ETHUSDT | 1d | um | +31.9% | +4.6% | **0.43** | -23.6% | 37.9% | 1.39 | 58 | 0.20 | +| BNBUSDT | 1h | spot | -42.7% | -6.3% | **-0.32** | -61.1% | 35.2% | 1.00 | 1843 | -0.10 | +| BNBUSDT | 1h | um | -44.3% | -8.8% | **-0.64** | -54.7% | 33.3% | 0.94 | 1365 | -0.16 | +| BNBUSDT | 2h | spot | +96.8% | +8.2% | **0.55** | -37.8% | 37.6% | 1.22 | 919 | 0.22 | +| BNBUSDT | 2h | um | -6.0% | -1.0% | **-0.01** | -38.1% | 36.5% | 1.05 | 696 | -0.03 | +| BNBUSDT | 4h | spot | +168.3% | +12.2% | **0.72** | -26.7% | 41.8% | 1.42 | 457 | 0.46 | +| BNBUSDT | 4h | um | +29.6% | +4.2% | **0.35** | -28.2% | 39.8% | 1.21 | 359 | 0.15 | +| BNBUSDT | 6h | spot | +43.0% | +4.3% | **0.37** | -18.3% | 38.5% | 1.26 | 288 | 0.23 | +| BNBUSDT | 6h | um | +18.3% | +2.7% | **0.26** | -14.3% | 35.8% | 1.20 | 221 | 0.19 | +| BNBUSDT | 8h | spot | +38.9% | +4.0% | **0.34** | -24.2% | 41.6% | 1.25 | 221 | 0.16 | +| BNBUSDT | 8h | um | +31.0% | +4.4% | **0.38** | -14.0% | 40.6% | 1.30 | 165 | 0.32 | +| BNBUSDT | 1d | spot | +191.7% | +13.9% | **0.72** | -25.8% | 47.1% | 2.66 | 70 | 0.54 | +| BNBUSDT | 1d | um | +120.9% | +14.3% | **0.67** | -26.1% | 44.4% | 2.78 | 45 | 0.55 | +| SOLUSDT | 1h | spot | -54.4% | -12.6% | **-0.72** | -57.5% | 36.1% | 0.90 | 1248 | -0.22 | +| SOLUSDT | 1h | um | -55.6% | -13.2% | **-0.73** | -57.3% | 36.1% | 0.89 | 1241 | -0.23 | +| SOLUSDT | 2h | spot | +51.1% | +7.3% | **0.52** | -25.0% | 38.5% | 1.20 | 619 | 0.29 | +| SOLUSDT | 2h | um | +65.0% | +9.1% | **0.63** | -17.7% | 38.7% | 1.22 | 612 | 0.52 | +| SOLUSDT | 4h | spot | +62.8% | +8.8% | **0.61** | -20.1% | 41.9% | 1.27 | 322 | 0.44 | +| SOLUSDT | 4h | um | +57.3% | +8.3% | **0.58** | -19.1% | 42.5% | 1.26 | 318 | 0.43 | +| SOLUSDT | 6h | spot | +84.6% | +11.3% | **0.73** | -27.7% | 42.4% | 1.34 | 217 | 0.41 | +| SOLUSDT | 6h | um | +86.7% | +11.7% | **0.73** | -27.6% | 42.7% | 1.35 | 213 | 0.42 | +| SOLUSDT | 8h | spot | +206.9% | +21.7% | **1.19** | -15.5% | 47.8% | 1.81 | 157 | 1.40 | +| SOLUSDT | 8h | um | +210.6% | +22.3% | **1.23** | -15.3% | 47.7% | 1.86 | 153 | 1.46 | +| SOLUSDT | 1d | spot | +110.8% | +14.7% | **0.89** | -20.5% | 48.9% | 2.18 | 47 | 0.72 | +| SOLUSDT | 1d | um | -5.7% | -1.1% | **0.02** | -39.3% | 42.5% | 0.94 | 47 | -0.03 | -> 🏆 **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 +> 🏆 **MACD金叉死叉 最优**：SOLUSDT 8h um，夏普 **1.23**，总收益 **+210.6%**，年化 **+22.3%**，交易 153 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | +12.9% | +1.4% | **0.25** | -15.3% | 34.0% | 1.27 | 271 | 0.09 | +| BTCUSDT | 1h | um | -4.8% | -0.7% | **-0.10** | -16.2% | 33.0% | 1.01 | 206 | -0.04 | +| BTCUSDT | 2h | spot | -7.0% | -0.8% | **-0.18** | -19.0% | 31.4% | 0.91 | 118 | -0.04 | +| BTCUSDT | 2h | um | -5.9% | -0.9% | **-0.26** | -18.5% | 36.8% | 0.85 | 87 | -0.05 | +| BTCUSDT | 4h | spot | -7.1% | -0.8% | **-0.17** | -19.6% | 27.3% | 0.87 | 77 | -0.04 | +| BTCUSDT | 4h | um | -9.5% | -1.5% | **-0.35** | -15.4% | 30.0% | 0.73 | 60 | -0.10 | +| BTCUSDT | 6h | spot | -6.0% | -0.7% | **-0.13** | -18.1% | 33.3% | 0.89 | 63 | -0.04 | +| BTCUSDT | 6h | um | -14.5% | -2.3% | **-0.65** | -16.3% | 31.7% | 0.39 | 41 | -0.14 | +| BTCUSDT | 8h | spot | +8.8% | +1.0% | **0.24** | -12.4% | 36.8% | 1.43 | 38 | 0.08 | +| BTCUSDT | 8h | um | -1.9% | -0.3% | **-0.04** | -15.6% | 28.6% | 0.95 | 35 | -0.02 | +| BTCUSDT | 1d | spot | +0.3% | +0.0% | **0.03** | -13.6% | 44.4% | 1.04 | 18 | 0.00 | +| BTCUSDT | 1d | um | -3.1% | -0.5% | **-0.09** | -16.1% | 38.5% | 0.78 | 13 | -0.03 | +| ETHUSDT | 1h | spot | -20.7% | -2.6% | **-0.44** | -25.8% | 31.5% | 0.84 | 340 | -0.10 | +| ETHUSDT | 1h | um | -4.6% | -0.7% | **-0.08** | -13.1% | 35.3% | 1.01 | 207 | -0.05 | +| ETHUSDT | 2h | spot | +20.9% | +2.2% | **0.38** | -13.4% | 42.3% | 1.42 | 137 | 0.16 | +| ETHUSDT | 2h | um | +14.9% | +2.1% | **0.41** | -8.8% | 45.4% | 1.51 | 86 | 0.25 | +| ETHUSDT | 4h | spot | +92.5% | +7.8% | **0.99** | -9.1% | 42.9% | 2.39 | 84 | 0.85 | +| ETHUSDT | 4h | um | +13.6% | +2.0% | **0.38** | -10.3% | 38.9% | 1.61 | 54 | 0.19 | +| ETHUSDT | 6h | spot | +9.4% | +1.0% | **0.21** | -18.4% | 36.8% | 1.26 | 57 | 0.06 | +| ETHUSDT | 6h | um | -20.6% | -3.5% | **-0.70** | -23.0% | 28.6% | 0.44 | 49 | -0.15 | +| ETHUSDT | 8h | spot | +20.6% | +2.2% | **0.34** | -14.4% | 28.6% | 1.41 | 49 | 0.15 | +| ETHUSDT | 8h | um | +3.1% | +0.5% | **0.11** | -11.6% | 31.6% | 1.12 | 38 | 0.04 | +| ETHUSDT | 1d | spot | +21.0% | +2.3% | **0.36** | -11.1% | 41.2% | 1.89 | 17 | 0.21 | +| ETHUSDT | 1d | um | -11.1% | -1.9% | **-0.46** | -18.0% | 25.0% | 0.16 | 8 | -0.11 | +| BNBUSDT | 1h | spot | +29.1% | +3.0% | **0.42** | -17.0% | 33.1% | 1.36 | 356 | 0.18 | +| BNBUSDT | 1h | um | +9.1% | +1.4% | **0.22** | -17.9% | 29.7% | 1.22 | 276 | 0.08 | +| BNBUSDT | 2h | spot | +25.7% | +2.7% | **0.30** | -18.6% | 35.9% | 1.38 | 159 | 0.14 | +| BNBUSDT | 2h | um | -9.1% | -1.5% | **-0.30** | -21.8% | 32.2% | 0.85 | 121 | -0.07 | +| BNBUSDT | 4h | spot | +62.1% | +5.8% | **0.67** | -20.2% | 39.7% | 2.18 | 68 | 0.29 | +| BNBUSDT | 4h | um | -10.2% | -1.7% | **-0.37** | -16.4% | 31.1% | 0.59 | 45 | -0.10 | +| BNBUSDT | 6h | spot | +51.4% | +5.0% | **0.54** | -22.1% | 38.6% | 1.80 | 70 | 0.23 | +| BNBUSDT | 6h | um | -22.4% | -4.0% | **-0.81** | -27.2% | 25.9% | 0.39 | 54 | -0.15 | +| BNBUSDT | 8h | spot | -10.9% | -1.4% | **-0.29** | -18.4% | 27.5% | 0.66 | 40 | -0.07 | +| BNBUSDT | 8h | um | -11.0% | -1.9% | **-0.39** | -14.6% | 26.5% | 0.57 | 34 | -0.13 | +| BNBUSDT | 1d | spot | -0.1% | -0.0% | **0.03** | -12.6% | 45.5% | 1.02 | 22 | -0.00 | +| BNBUSDT | 1d | um | -7.7% | -1.3% | **-0.29** | -11.0% | 33.3% | 0.45 | 12 | -0.12 | +| SOLUSDT | 1h | spot | -0.6% | -0.1% | **0.03** | -17.1% | 35.7% | 1.06 | 244 | -0.01 | +| SOLUSDT | 1h | um | +1.6% | +0.3% | **0.07** | -15.0% | 34.2% | 1.08 | 219 | 0.02 | +| SOLUSDT | 2h | spot | -12.4% | -2.2% | **-0.23** | -27.2% | 29.1% | 0.87 | 134 | -0.08 | +| SOLUSDT | 2h | um | -12.7% | -2.4% | **-0.28** | -29.5% | 26.1% | 0.85 | 119 | -0.08 | +| SOLUSDT | 4h | spot | +3.2% | +0.6% | **0.11** | -12.9% | 35.5% | 1.13 | 62 | 0.04 | +| SOLUSDT | 4h | um | -11.8% | -2.2% | **-0.31** | -17.8% | 33.3% | 0.75 | 63 | -0.12 | +| SOLUSDT | 6h | spot | -5.5% | -1.0% | **-0.09** | -18.2% | 26.2% | 0.89 | 42 | -0.05 | +| SOLUSDT | 6h | um | -11.4% | -2.1% | **-0.17** | -22.0% | 27.7% | 0.78 | 47 | -0.10 | +| SOLUSDT | 8h | spot | +89.5% | +11.8% | **0.98** | -11.7% | 38.6% | 2.53 | 44 | 1.02 | +| SOLUSDT | 8h | um | +36.5% | +5.7% | **0.60** | -9.8% | 41.0% | 1.91 | 39 | 0.58 | +| SOLUSDT | 1d | spot | -17.5% | -3.5% | **-0.67** | -20.3% | 20.0% | 0.21 | 10 | -0.17 | +| SOLUSDT | 1d | um | -17.7% | -3.6% | **-0.67** | -20.5% | 20.0% | 0.21 | 10 | -0.17 | -> 🏆 **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 +> 🏆 **布林收缩爆发 最优**：ETHUSDT 4h spot，夏普 **0.99**，总收益 **+92.5%**，年化 **+7.8%**，交易 84 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -26.6% | -3.4% | **-0.51** | -37.2% | 31.4% | 0.97 | 900 | -0.09 | +| BTCUSDT | 1h | um | -22.9% | -3.8% | **-0.68** | -32.5% | 32.5% | 0.94 | 698 | -0.12 | +| BTCUSDT | 2h | spot | +14.0% | +1.5% | **0.26** | -26.5% | 33.5% | 1.21 | 412 | 0.06 | +| BTCUSDT | 2h | um | -14.7% | -2.3% | **-0.44** | -27.9% | 32.0% | 0.91 | 322 | -0.08 | +| BTCUSDT | 4h | spot | +23.3% | +2.4% | **0.40** | -25.9% | 36.0% | 1.28 | 228 | 0.09 | +| BTCUSDT | 4h | um | -18.2% | -3.0% | **-0.53** | -28.7% | 32.2% | 0.78 | 180 | -0.10 | +| BTCUSDT | 6h | spot | +86.1% | +7.4% | **0.93** | -13.3% | 37.8% | 1.82 | 148 | 0.55 | +| BTCUSDT | 6h | um | +23.3% | +3.2% | **0.46** | -13.7% | 34.7% | 1.38 | 124 | 0.23 | +| BTCUSDT | 8h | spot | +55.6% | +5.2% | **0.74** | -10.0% | 37.4% | 1.81 | 107 | 0.52 | +| BTCUSDT | 8h | um | +17.0% | +2.4% | **0.41** | -10.0% | 38.8% | 1.41 | 85 | 0.24 | +| BTCUSDT | 1d | spot | +35.2% | +3.6% | **0.62** | -9.9% | 43.3% | 2.28 | 30 | 0.37 | +| BTCUSDT | 1d | um | +40.3% | +5.5% | **0.90** | -7.2% | 52.2% | 2.97 | 23 | 0.76 | +| ETHUSDT | 1h | spot | -23.9% | -3.0% | **-0.32** | -41.6% | 30.4% | 1.00 | 923 | -0.07 | +| ETHUSDT | 1h | um | -27.8% | -4.8% | **-0.61** | -34.0% | 28.2% | 0.91 | 694 | -0.14 | +| ETHUSDT | 2h | spot | -23.7% | -3.0% | **-0.39** | -37.5% | 28.4% | 0.91 | 419 | -0.08 | +| ETHUSDT | 2h | um | -29.1% | -5.1% | **-0.77** | -37.4% | 26.5% | 0.77 | 313 | -0.14 | +| ETHUSDT | 4h | spot | +64.3% | +5.8% | **0.65** | -21.0% | 34.6% | 1.45 | 237 | 0.28 | +| ETHUSDT | 4h | um | +24.9% | +3.5% | **0.41** | -21.9% | 32.4% | 1.29 | 182 | 0.16 | +| ETHUSDT | 6h | spot | +81.9% | +7.1% | **0.72** | -18.5% | 35.1% | 1.67 | 154 | 0.38 | +| ETHUSDT | 6h | um | +62.5% | +7.8% | **0.80** | -17.9% | 34.1% | 1.71 | 123 | 0.44 | +| ETHUSDT | 8h | spot | +108.0% | +8.8% | **0.92** | -23.0% | 34.9% | 1.89 | 109 | 0.38 | +| ETHUSDT | 8h | um | +59.6% | +7.5% | **0.80** | -23.8% | 37.4% | 1.73 | 83 | 0.32 | +| ETHUSDT | 1d | spot | +21.8% | +2.4% | **0.37** | -15.1% | 38.7% | 1.48 | 31 | 0.16 | +| ETHUSDT | 1d | um | +28.6% | +4.2% | **0.55** | -15.2% | 37.0% | 1.65 | 27 | 0.28 | +| BNBUSDT | 1h | spot | -18.4% | -2.3% | **-0.22** | -39.8% | 31.1% | 1.03 | 957 | -0.06 | +| BNBUSDT | 1h | um | -24.1% | -4.2% | **-0.50** | -39.6% | 30.2% | 0.96 | 734 | -0.11 | +| BNBUSDT | 2h | spot | +32.9% | +3.4% | **0.34** | -30.2% | 32.4% | 1.23 | 432 | 0.11 | +| BNBUSDT | 2h | um | -15.4% | -2.6% | **-0.31** | -31.8% | 30.2% | 0.92 | 318 | -0.08 | +| BNBUSDT | 4h | spot | +84.1% | +7.4% | **0.77** | -16.3% | 37.6% | 1.69 | 194 | 0.45 | +| BNBUSDT | 4h | um | +15.1% | +2.3% | **0.35** | -12.8% | 36.0% | 1.32 | 147 | 0.18 | +| BNBUSDT | 6h | spot | +93.9% | +8.1% | **0.77** | -21.1% | 40.8% | 1.83 | 147 | 0.38 | +| BNBUSDT | 6h | um | +26.4% | +3.8% | **0.50** | -10.3% | 40.8% | 1.48 | 98 | 0.37 | +| BNBUSDT | 8h | spot | +102.6% | +8.7% | **0.88** | -12.2% | 46.3% | 2.09 | 108 | 0.71 | +| BNBUSDT | 8h | um | +43.9% | +6.0% | **0.73** | -8.5% | 42.3% | 1.87 | 78 | 0.71 | +| BNBUSDT | 1d | spot | +29.3% | +3.2% | **0.57** | -6.0% | 59.3% | 2.92 | 27 | 0.53 | +| BNBUSDT | 1d | um | +27.0% | +4.1% | **0.74** | -5.9% | 60.0% | 4.12 | 20 | 0.69 | +| SOLUSDT | 1h | spot | +51.4% | +7.4% | **0.68** | -13.4% | 38.9% | 1.30 | 584 | 0.55 | +| SOLUSDT | 1h | um | +40.1% | +6.1% | **0.60** | -13.1% | 38.2% | 1.26 | 578 | 0.46 | +| SOLUSDT | 2h | spot | +34.4% | +5.2% | **0.54** | -15.0% | 38.9% | 1.29 | 270 | 0.35 | +| SOLUSDT | 2h | um | +28.1% | +4.4% | **0.47** | -15.1% | 39.5% | 1.25 | 271 | 0.29 | +| SOLUSDT | 4h | spot | +32.2% | +5.0% | **0.53** | -11.5% | 35.7% | 1.40 | 140 | 0.43 | +| SOLUSDT | 4h | um | +23.1% | +3.7% | **0.41** | -13.5% | 34.3% | 1.30 | 140 | 0.28 | +| SOLUSDT | 6h | spot | +19.2% | +3.1% | **0.34** | -11.8% | 38.4% | 1.32 | 86 | 0.26 | +| SOLUSDT | 6h | um | +18.7% | +3.1% | **0.34** | -11.0% | 36.4% | 1.31 | 88 | 0.28 | +| SOLUSDT | 8h | spot | +28.2% | +4.5% | **0.49** | -18.0% | 35.4% | 1.47 | 65 | 0.25 | +| SOLUSDT | 8h | um | +24.5% | +4.0% | **0.45** | -16.9% | 34.9% | 1.44 | 63 | 0.23 | +| SOLUSDT | 1d | spot | -8.0% | -1.5% | **-0.17** | -18.3% | 33.3% | 0.72 | 18 | -0.08 | +| SOLUSDT | 1d | um | -12.4% | -2.5% | **-0.23** | -23.8% | 33.3% | 0.61 | 18 | -0.10 | -> 🏆 **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 +> 🏆 **三均线排列 最优**：BTCUSDT 6h spot，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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -99.2% | -42.1% | **-1.65** | -99.2% | 39.5% | 0.64 | 832 | -0.42 | +| BTCUSDT | 1h | um | -96.4% | -38.8% | **-1.60** | -96.5% | 43.1% | 0.63 | 684 | -0.40 | +| BTCUSDT | 2h | spot | -98.5% | -38.0% | **-1.34** | -98.8% | 36.0% | 0.52 | 481 | -0.38 | +| BTCUSDT | 2h | um | -90.4% | -29.4% | **-0.98** | -91.7% | 39.0% | 0.67 | 362 | -0.32 | +| BTCUSDT | 4h | spot | -94.2% | -27.8% | **-0.82** | -95.9% | 35.0% | 0.66 | 286 | -0.29 | +| BTCUSDT | 4h | um | -82.1% | -22.6% | **-0.68** | -86.9% | 36.2% | 0.69 | 207 | -0.26 | +| BTCUSDT | 6h | spot | -85.8% | -20.0% | **-0.52** | -89.8% | 38.1% | 0.77 | 194 | -0.22 | +| BTCUSDT | 6h | um | -85.6% | -25.2% | **-0.83** | -87.7% | 35.8% | 0.58 | 137 | -0.29 | +| BTCUSDT | 8h | spot | -87.5% | -21.3% | **-0.56** | -92.8% | 33.8% | 0.68 | 136 | -0.23 | +| BTCUSDT | 8h | um | -85.8% | -25.4% | **-0.73** | -86.3% | 35.0% | 0.40 | 100 | -0.29 | +| BTCUSDT | 1d | spot | -82.0% | -18.4% | **-0.58** | -84.9% | 21.3% | 0.41 | 47 | -0.22 | +| BTCUSDT | 1d | um | -58.7% | -13.0% | **-0.34** | -75.9% | 27.3% | 0.65 | 33 | -0.17 | +| ETHUSDT | 1h | spot | -99.9% | -54.4% | **-1.81** | -99.9% | 38.8% | 0.62 | 878 | -0.54 | +| ETHUSDT | 1h | um | -98.9% | -49.8% | **-1.57** | -99.0% | 40.0% | 0.68 | 638 | -0.50 | +| ETHUSDT | 2h | spot | -99.7% | -47.8% | **-1.33** | -99.8% | 38.7% | 0.62 | 499 | -0.48 | +| ETHUSDT | 2h | um | -95.8% | -38.6% | **-1.07** | -97.3% | 40.3% | 0.54 | 352 | -0.40 | +| ETHUSDT | 4h | spot | -98.8% | -39.9% | **-1.01** | -99.4% | 35.9% | 0.60 | 284 | -0.40 | +| ETHUSDT | 4h | um | -89.3% | -29.2% | **-0.78** | -92.7% | 36.9% | 0.54 | 187 | -0.31 | +| ETHUSDT | 6h | spot | -98.0% | -36.3% | **-0.86** | -99.0% | 32.7% | 0.65 | 199 | -0.37 | +| ETHUSDT | 6h | um | -81.5% | -23.0% | **-0.54** | -84.7% | 37.8% | 0.57 | 127 | -0.27 | +| ETHUSDT | 8h | spot | -95.6% | -30.1% | **-0.70** | -96.2% | 33.8% | 0.62 | 151 | -0.31 | +| ETHUSDT | 8h | um | -86.6% | -26.9% | **-0.55** | -90.6% | 37.8% | 0.55 | 98 | -0.30 | +| ETHUSDT | 1d | spot | -87.3% | -21.7% | **-0.42** | -91.4% | 29.6% | 0.49 | 44 | -0.24 | +| ETHUSDT | 1d | um | -85.8% | -27.2% | **-0.67** | -87.7% | 23.3% | 0.16 | 30 | -0.31 | +| BNBUSDT | 1h | spot | -99.4% | -45.2% | **-1.19** | -99.5% | 41.5% | 0.47 | 763 | -0.45 | +| BNBUSDT | 1h | um | -93.9% | -35.6% | **-0.85** | -94.2% | 42.6% | 0.68 | 556 | -0.38 | +| BNBUSDT | 2h | spot | -96.5% | -32.5% | **-0.72** | -97.3% | 43.5% | 0.45 | 411 | -0.33 | +| BNBUSDT | 2h | um | -66.3% | -15.8% | **-0.31** | -73.2% | 45.8% | 0.84 | 297 | -0.22 | +| BNBUSDT | 4h | spot | -98.4% | -38.3% | **-0.77** | -98.4% | 37.5% | 0.66 | 232 | -0.39 | +| BNBUSDT | 4h | um | -97.8% | -45.5% | **-1.14** | -97.8% | 33.3% | 0.36 | 156 | -0.47 | +| BNBUSDT | 6h | spot | -80.3% | -17.4% | **-0.07** | -96.2% | 42.3% | 0.95 | 168 | -0.18 | +| BNBUSDT | 6h | um | -90.5% | -31.4% | **-0.70** | -93.5% | 38.7% | 0.52 | 111 | -0.34 | +| BNBUSDT | 8h | spot | -83.8% | -19.3% | **-0.30** | -88.9% | 39.0% | 0.79 | 123 | -0.22 | +| BNBUSDT | 8h | um | -73.4% | -19.2% | **-0.46** | -82.2% | 34.1% | 0.67 | 85 | -0.23 | +| BNBUSDT | 1d | spot | -93.2% | -27.9% | **-0.57** | -94.1% | 36.7% | 0.35 | 49 | -0.30 | +| BNBUSDT | 1d | um | -87.7% | -29.7% | **-0.66** | -89.4% | 36.1% | 0.19 | 36 | -0.33 | +| SOLUSDT | 1h | spot | -79.8% | -24.0% | **-0.40** | -86.5% | 45.5% | 0.93 | 475 | -0.28 | +| SOLUSDT | 1h | um | -75.7% | -21.8% | **-0.26** | -88.7% | 46.7% | 0.95 | 475 | -0.25 | +| SOLUSDT | 2h | spot | -89.8% | -32.4% | **-0.65** | -93.0% | 40.5% | 0.82 | 252 | -0.35 | +| SOLUSDT | 2h | um | -83.6% | -27.1% | **-0.40** | -89.5% | 41.8% | 0.85 | 249 | -0.30 | +| SOLUSDT | 4h | spot | -96.0% | -42.6% | **-0.71** | -97.9% | 37.0% | 0.57 | 138 | -0.44 | +| SOLUSDT | 4h | um | -95.6% | -42.3% | **-0.80** | -97.8% | 36.2% | 0.54 | 138 | -0.43 | +| SOLUSDT | 6h | spot | -95.6% | -41.9% | **-0.60** | -97.1% | 38.0% | 0.60 | 100 | -0.43 | +| SOLUSDT | 6h | um | -96.4% | -44.4% | **-0.45** | -97.9% | 38.6% | 0.61 | 101 | -0.45 | +| SOLUSDT | 8h | spot | -96.2% | -43.5% | **-0.63** | -97.3% | 33.3% | 0.37 | 75 | -0.45 | +| SOLUSDT | 8h | um | -91.5% | -35.5% | **-0.31** | -94.2% | 38.2% | 0.53 | 76 | -0.38 | +| SOLUSDT | 1d | spot | -76.4% | -23.3% | **-0.25** | -85.6% | 33.3% | 0.33 | 33 | -0.27 | +| SOLUSDT | 1d | um | +407.3% | +35.5% | **0.77** | -73.3% | 61.3% | 1.36 | 31 | 0.48 | -> 🏆 **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 +> 🏆 **RSI均值回归 最优**：SOLUSDT 1d um，夏普 **0.77**，总收益 **+407.3%**，年化 **+35.5%**，交易 31 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | +939.3% | +30.4% | **0.78** | -71.6% | 26.8% | 1.15 | 682 | 0.42 | +| BTCUSDT | 1h | um | -6.4% | -1.0% | **0.19** | -70.6% | 24.9% | 1.07 | 579 | -0.01 | +| BTCUSDT | 2h | spot | +4378.7% | +54.0% | **1.12** | -52.6% | 31.4% | 1.41 | 334 | 1.03 | +| BTCUSDT | 2h | um | +404.5% | +27.1% | **0.76** | -51.2% | 29.5% | 1.35 | 278 | 0.53 | +| BTCUSDT | 4h | spot | +1760.7% | +39.6% | **0.94** | -45.3% | 32.7% | 1.43 | 165 | 0.87 | +| BTCUSDT | 4h | um | +562.8% | +32.6% | **0.86** | -37.9% | 33.1% | 1.45 | 133 | 0.86 | +| BTCUSDT | 6h | spot | +1409.3% | +36.5% | **0.90** | -55.8% | 31.9% | 1.39 | 94 | 0.65 | +| BTCUSDT | 6h | um | +72.8% | +8.5% | **0.40** | -58.8% | 29.3% | 1.16 | 82 | 0.15 | +| BTCUSDT | 8h | spot | +512.0% | +23.1% | **0.69** | -69.6% | 26.0% | 1.38 | 73 | 0.33 | +| BTCUSDT | 8h | um | +278.4% | +22.2% | **0.68** | -62.2% | 26.3% | 1.39 | 57 | 0.36 | +| BTCUSDT | 1d | spot | +1251.7% | +36.2% | **0.89** | -51.6% | 52.0% | 1.93 | 25 | 0.70 | +| BTCUSDT | 1d | um | +614.0% | +36.2% | **0.88** | -49.6% | 52.9% | 2.01 | 17 | 0.73 | +| ETHUSDT | 1h | spot | +2464.8% | +44.5% | **0.89** | -66.5% | 28.6% | 1.18 | 661 | 0.67 | +| ETHUSDT | 1h | um | +726.5% | +38.1% | **0.83** | -58.7% | 28.6% | 1.21 | 510 | 0.65 | +| ETHUSDT | 2h | spot | +1744.5% | +39.2% | **0.85** | -59.9% | 31.9% | 1.30 | 339 | 0.66 | +| ETHUSDT | 2h | um | +353.2% | +26.1% | **0.68** | -62.1% | 31.8% | 1.31 | 264 | 0.42 | +| ETHUSDT | 4h | spot | +1662.7% | +38.7% | **0.84** | -60.8% | 30.5% | 1.37 | 154 | 0.64 | +| ETHUSDT | 4h | um | +224.3% | +19.9% | **0.60** | -60.2% | 25.8% | 1.28 | 124 | 0.33 | +| ETHUSDT | 6h | spot | +4659.2% | +55.6% | **1.02** | -47.6% | 36.2% | 2.08 | 94 | 1.17 | +| ETHUSDT | 6h | um | +2156.2% | +62.1% | **1.09** | -47.7% | 34.2% | 1.88 | 76 | 1.30 | +| ETHUSDT | 8h | spot | +3982.1% | +53.2% | **1.00** | -66.7% | 40.9% | 2.48 | 66 | 0.80 | +| ETHUSDT | 8h | um | +922.3% | +43.6% | **0.84** | -66.8% | 40.5% | 2.40 | 42 | 0.65 | +| ETHUSDT | 1d | spot | +69.7% | +6.5% | **0.41** | -93.3% | 38.5% | 1.07 | 26 | 0.07 | +| ETHUSDT | 1d | um | +632.5% | +38.3% | **0.87** | -70.8% | 71.4% | 3.38 | 14 | 0.54 | +| BNBUSDT | 1h | spot | +411.0% | +20.9% | **0.59** | -87.4% | 24.8% | 1.09 | 614 | 0.24 | +| BNBUSDT | 1h | um | -59.7% | -13.4% | **0.06** | -87.8% | 23.7% | 0.97 | 481 | -0.15 | +| BNBUSDT | 2h | spot | +2197.7% | +44.1% | **0.83** | -72.5% | 29.4% | 1.21 | 303 | 0.61 | +| BNBUSDT | 2h | um | +360.8% | +27.4% | **0.67** | -68.7% | 26.9% | 1.22 | 216 | 0.40 | +| BNBUSDT | 4h | spot | -112.5% | +0.0% | **-6.88** | -112.5% | 0.0% | 0.00 | 2 | 0.00 | +| BNBUSDT | 4h | um | +152.0% | +15.8% | **0.52** | -73.9% | 26.3% | 1.21 | 118 | 0.21 | +| BNBUSDT | 6h | spot | +676.2% | +27.2% | **0.67** | -87.8% | 26.2% | 1.34 | 107 | 0.31 | +| BNBUSDT | 6h | um | +2241.7% | +65.6% | **1.08** | -60.7% | 29.0% | 1.75 | 69 | 1.08 | +| BNBUSDT | 8h | spot | +2051.9% | +43.6% | **0.51** | -105.7% | 32.4% | 1.53 | 74 | 0.41 | +| BNBUSDT | 8h | um | +523.2% | +34.2% | **0.75** | -65.6% | 28.6% | 1.35 | 56 | 0.52 | +| BNBUSDT | 1d | spot | +638.7% | +27.6% | **0.68** | -71.8% | 24.0% | 1.40 | 25 | 0.38 | +| BNBUSDT | 1d | um | +817.6% | +45.3% | **0.87** | -63.1% | 22.2% | 1.57 | 18 | 0.72 | +| SOLUSDT | 1h | spot | +1157.2% | +54.3% | **0.93** | -66.7% | 31.8% | 1.19 | 384 | 0.81 | +| SOLUSDT | 1h | um | +2227.4% | +73.0% | **1.06** | -71.2% | 32.4% | 1.21 | 373 | 1.03 | +| SOLUSDT | 2h | spot | +10978.1% | +124.6% | **1.38** | -59.8% | 37.9% | 1.34 | 203 | 2.08 | +| SOLUSDT | 2h | um | +10658.9% | +126.5% | **1.41** | -61.9% | 36.5% | 1.40 | 200 | 2.04 | +| SOLUSDT | 4h | spot | +3128.3% | +82.4% | **1.12** | -67.6% | 26.3% | 1.23 | 95 | 1.22 | +| SOLUSDT | 4h | um | +6725.3% | +110.1% | **1.29** | -75.8% | 26.4% | 1.22 | 91 | 1.45 | +| SOLUSDT | 6h | spot | +3897.4% | +90.0% | **1.19** | -84.4% | 22.0% | 1.22 | 59 | 1.07 | +| SOLUSDT | 6h | um | +3152.2% | +85.1% | **1.16** | -85.8% | 22.4% | 1.20 | 58 | 0.99 | +| SOLUSDT | 8h | spot | +5956.7% | +105.1% | **1.29** | -78.5% | 34.1% | 1.36 | 41 | 1.34 | +| SOLUSDT | 8h | um | +6002.2% | +107.8% | **1.30** | -78.0% | 34.1% | 1.36 | 41 | 1.38 | +| SOLUSDT | 1d | spot | -39.3% | -8.8% | **0.27** | -81.7% | 20.0% | 0.82 | 15 | -0.11 | +| SOLUSDT | 1d | um | -25.9% | -5.5% | **0.32** | -81.8% | 21.4% | 0.87 | 14 | -0.07 | -> 🏆 **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 +> 🏆 **ATR波动率突破 最优**：SOLUSDT 2h um，夏普 **1.41**，总收益 **+10658.9%**，年化 **+126.5%**，交易 200 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -99.4% | -44.0% | **-0.73** | -99.7% | 31.4% | 0.97 | 1449 | -0.44 | +| BTCUSDT | 1h | um | -99.4% | -52.7% | **-1.33** | -99.5% | 32.2% | 0.88 | 1110 | -0.53 | +| BTCUSDT | 2h | spot | -99.3% | -43.2% | **-0.48** | -99.4% | 32.9% | 0.67 | 712 | -0.44 | +| BTCUSDT | 2h | um | -99.4% | -52.7% | **-0.78** | -99.6% | 32.8% | 0.73 | 577 | -0.53 | +| BTCUSDT | 4h | spot | +128.3% | +9.9% | **0.44** | -73.3% | 36.3% | 1.09 | 383 | 0.13 | +| BTCUSDT | 4h | um | -68.3% | -15.7% | **-0.03** | -84.4% | 35.7% | 0.95 | 311 | -0.19 | +| BTCUSDT | 6h | spot | +1129.9% | +33.3% | **0.81** | -57.2% | 41.1% | 1.53 | 241 | 0.58 | +| BTCUSDT | 6h | um | +359.7% | +25.7% | **0.72** | -65.2% | 40.8% | 1.41 | 191 | 0.39 | +| BTCUSDT | 8h | spot | +406.5% | +20.5% | **0.62** | -71.8% | 37.2% | 1.40 | 188 | 0.29 | +| BTCUSDT | 8h | um | +518.5% | +31.6% | **0.81** | -69.0% | 39.5% | 1.54 | 147 | 0.46 | +| BTCUSDT | 1d | spot | +397.8% | +21.0% | **0.63** | -58.0% | 46.5% | 1.51 | 58 | 0.36 | +| BTCUSDT | 1d | um | +275.4% | +23.1% | **0.70** | -48.5% | 46.7% | 1.41 | 45 | 0.48 | +| ETHUSDT | 1h | spot | -100.0% | -62.7% | **-1.16** | -100.0% | 34.6% | 0.48 | 1243 | -0.63 | +| ETHUSDT | 1h | um | -99.9% | -63.8% | **-1.23** | -99.9% | 33.6% | 0.80 | 1173 | -0.64 | +| ETHUSDT | 2h | spot | -99.8% | -52.1% | **-0.60** | -99.9% | 33.0% | 0.57 | 795 | -0.52 | +| ETHUSDT | 2h | um | -89.9% | -29.6% | **-0.18** | -97.1% | 34.7% | 0.98 | 603 | -0.30 | +| ETHUSDT | 4h | spot | -55.0% | -8.7% | **0.29** | -90.1% | 38.1% | 0.99 | 388 | -0.10 | +| ETHUSDT | 4h | um | -54.9% | -11.5% | **0.25** | -93.9% | 35.7% | 1.01 | 297 | -0.12 | +| ETHUSDT | 6h | spot | -114.3% | +0.0% | **-1.11** | -110.5% | 20.0% | 0.22 | 10 | 0.00 | +| ETHUSDT | 6h | um | -12.5% | -2.0% | **0.19** | -102.9% | 39.0% | 1.02 | 177 | -0.02 | +| ETHUSDT | 8h | spot | -131.4% | +0.0% | **-3.80** | -125.5% | 20.0% | 0.01 | 5 | 0.00 | +| ETHUSDT | 8h | um | -103.9% | +0.0% | **-1.35** | -109.3% | 22.7% | 0.16 | 22 | 0.00 | +| ETHUSDT | 1d | spot | +168.1% | +12.4% | **0.50** | -68.2% | 52.7% | 1.33 | 55 | 0.18 | +| ETHUSDT | 1d | um | -125.4% | +0.0% | **1.63** | -156.4% | 0.0% | 0.00 | 1 | 0.00 | +| BNBUSDT | 1h | spot | -128.2% | +0.0% | **-2.54** | -153.4% | 29.0% | 0.55 | 31 | 0.00 | +| BNBUSDT | 1h | um | -161.6% | +0.0% | **-1.22** | -143.8% | 37.1% | 0.66 | 167 | 0.00 | +| BNBUSDT | 2h | spot | +37.4% | +3.8% | **0.39** | -94.0% | 37.2% | 1.07 | 753 | 0.04 | +| BNBUSDT | 2h | um | -83.4% | -24.7% | **-0.26** | -92.3% | 37.1% | 0.83 | 555 | -0.27 | +| BNBUSDT | 4h | spot | -82.8% | -18.6% | **0.26** | -135.2% | 37.2% | 0.76 | 376 | -0.14 | +| BNBUSDT | 4h | um | +41.1% | +5.6% | **0.39** | -75.0% | 37.5% | 1.08 | 285 | 0.08 | +| BNBUSDT | 6h | spot | -278.8% | +0.0% | **-1.64** | -318.9% | 0.0% | 0.00 | 1 | 0.00 | +| BNBUSDT | 6h | um | +111.6% | +12.7% | **0.51** | -78.7% | 37.2% | 1.11 | 188 | 0.16 | +| BNBUSDT | 8h | spot | -106.2% | +0.0% | **-1.75** | -109.6% | 12.5% | 0.16 | 32 | 0.00 | +| BNBUSDT | 8h | um | -114.3% | +0.0% | **-0.18** | -136.9% | 42.1% | 0.26 | 19 | 0.00 | +| BNBUSDT | 1d | spot | -750.8% | +0.0% | **-0.83** | -980.2% | 31.2% | 0.06 | 16 | 0.00 | +| BNBUSDT | 1d | um | -1211.1% | +0.0% | **-1.91** | -1449.8% | 25.0% | 0.02 | 4 | 0.00 | +| SOLUSDT | 1h | spot | -99.9% | -68.5% | **-0.85** | -99.9% | 34.2% | 0.86 | 1046 | -0.69 | +| SOLUSDT | 1h | um | -99.8% | -66.9% | **-0.79** | -99.9% | 33.8% | 0.86 | 1026 | -0.67 | +| SOLUSDT | 2h | spot | -120.9% | +0.0% | **-1.06** | -113.0% | 32.1% | 0.74 | 84 | 0.00 | +| SOLUSDT | 2h | um | -106.2% | +0.0% | **-1.36** | -105.1% | 37.0% | 0.58 | 73 | 0.00 | +| SOLUSDT | 4h | spot | -85.8% | -28.6% | **0.14** | -92.9% | 35.3% | 0.84 | 249 | -0.31 | +| SOLUSDT | 4h | um | -90.1% | -33.4% | **0.06** | -92.5% | 35.7% | 0.75 | 241 | -0.36 | +| SOLUSDT | 6h | spot | -141.6% | +0.0% | **-1.28** | -153.2% | 29.2% | 0.44 | 24 | 0.00 | +| SOLUSDT | 6h | um | -178.5% | +0.0% | **-1.29** | -155.2% | 31.8% | 0.56 | 22 | 0.00 | +| SOLUSDT | 8h | spot | -5728.9% | +0.0% | **-0.19** | -347.6% | 37.1% | 0.49 | 70 | 0.00 | +| SOLUSDT | 8h | um | -3613.5% | +0.0% | **-0.26** | -344.9% | 37.1% | 0.49 | 70 | 0.00 | +| SOLUSDT | 1d | spot | -241.6% | +0.0% | **-2.68** | -346.8% | 0.0% | 0.00 | 1 | 0.00 | +| SOLUSDT | 1d | um | -240.8% | +0.0% | **-3.02** | -345.6% | 0.0% | 0.00 | 1 | 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 +> 🏆 **EMA双均线多空 最优**：ETHUSDT 1d um，夏普 **1.63**，总收益 **-125.4%**，年化 **+0.0%**，交易 1 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 | +| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| BTCUSDT | 1h | spot | -81.4% | -17.4% | **-0.57** | -92.0% | 27.3% | 0.98 | 748 | -0.19 | +| BTCUSDT | 1h | um | -87.6% | -26.6% | **-1.25** | -91.5% | 27.5% | 0.77 | 552 | -0.29 | +| BTCUSDT | 2h | spot | +88.0% | +7.4% | **0.39** | -66.9% | 33.3% | 1.17 | 375 | 0.11 | +| BTCUSDT | 2h | um | -44.2% | -8.3% | **-0.25** | -65.8% | 31.8% | 0.89 | 280 | -0.13 | +| BTCUSDT | 4h | spot | +493.5% | +22.5% | **0.80** | -34.1% | 36.5% | 1.53 | 208 | 0.66 | +| BTCUSDT | 4h | um | +234.1% | +19.7% | **0.74** | -33.4% | 38.9% | 1.48 | 167 | 0.59 | +| BTCUSDT | 6h | spot | +317.6% | +17.8% | **0.67** | -43.3% | 35.2% | 1.37 | 122 | 0.41 | +| BTCUSDT | 6h | um | +96.4% | +10.7% | **0.48** | -48.8% | 34.0% | 1.26 | 97 | 0.22 | +| BTCUSDT | 8h | spot | +76.3% | +6.7% | **0.37** | -50.7% | 31.1% | 1.19 | 90 | 0.13 | +| BTCUSDT | 8h | um | +100.2% | +11.0% | **0.51** | -43.2% | 31.0% | 1.31 | 71 | 0.26 | +| BTCUSDT | 1d | spot | +649.2% | +27.0% | **1.03** | -30.6% | 46.4% | 2.78 | 28 | 0.88 | +| BTCUSDT | 1d | um | +640.3% | +37.0% | **1.25** | -30.6% | 50.0% | 2.91 | 22 | 1.21 | +| ETHUSDT | 1h | spot | -59.2% | -9.7% | **-0.13** | -88.3% | 30.7% | 1.04 | 758 | -0.11 | +| ETHUSDT | 1h | um | -71.3% | -17.4% | **-0.43** | -88.8% | 29.3% | 0.99 | 546 | -0.20 | +| ETHUSDT | 2h | spot | -22.2% | -2.8% | **0.10** | -80.0% | 29.8% | 1.04 | 400 | -0.04 | +| ETHUSDT | 2h | um | -61.2% | -13.5% | **-0.32** | -81.1% | 29.4% | 0.93 | 303 | -0.17 | +| ETHUSDT | 4h | spot | +4239.5% | +53.7% | **1.24** | -37.3% | 40.5% | 1.75 | 205 | 1.44 | +| ETHUSDT | 4h | um | +546.1% | +33.3% | **0.96** | -37.2% | 39.9% | 1.54 | 153 | 0.90 | +| ETHUSDT | 6h | spot | +748.9% | +27.8% | **0.80** | -73.0% | 34.1% | 1.27 | 132 | 0.38 | +| ETHUSDT | 6h | um | +3.3% | +0.5% | **0.17** | -73.4% | 32.3% | 1.05 | 93 | 0.01 | +| ETHUSDT | 8h | spot | +146.8% | +10.9% | **0.47** | -57.4% | 31.6% | 1.26 | 98 | 0.19 | +| ETHUSDT | 8h | um | +37.3% | +5.1% | **0.31** | -57.6% | 30.1% | 1.16 | 73 | 0.09 | +| ETHUSDT | 1d | spot | +222.5% | +14.9% | **0.64** | -57.7% | 48.0% | 1.61 | 25 | 0.26 | +| ETHUSDT | 1d | um | +204.3% | +19.9% | **0.76** | -57.8% | 47.6% | 1.62 | 21 | 0.34 | +| BNBUSDT | 1h | spot | -49.0% | -7.5% | **0.03** | -81.5% | 28.8% | 1.04 | 767 | -0.09 | +| BNBUSDT | 1h | um | -52.2% | -11.0% | **-0.17** | -81.9% | 29.8% | 1.02 | 558 | -0.13 | +| BNBUSDT | 2h | spot | +836.1% | +29.8% | **0.76** | -68.2% | 34.8% | 1.25 | 382 | 0.44 | +| BNBUSDT | 2h | um | -42.9% | -8.5% | **-0.19** | -72.0% | 34.4% | 0.84 | 270 | -0.12 | +| BNBUSDT | 4h | spot | +1375.2% | +37.0% | **0.92** | -44.6% | 37.4% | 1.55 | 190 | 0.83 | +| BNBUSDT | 4h | um | +272.6% | +23.3% | **0.73** | -40.1% | 34.7% | 1.43 | 144 | 0.58 | +| BNBUSDT | 6h | spot | +3592.9% | +52.8% | **1.21** | -44.5% | 37.5% | 1.99 | 128 | 1.19 | +| BNBUSDT | 6h | um | +2076.9% | +63.7% | **1.44** | -35.6% | 39.4% | 2.15 | 94 | 1.79 | +| BNBUSDT | 8h | spot | +409.1% | +21.2% | **0.70** | -45.8% | 31.6% | 1.54 | 95 | 0.46 | +| BNBUSDT | 8h | um | +761.7% | +41.4% | **1.10** | -27.7% | 33.9% | 1.78 | 65 | 1.50 | +| BNBUSDT | 1d | spot | +1466.4% | +39.9% | **0.93** | -47.1% | 38.5% | 2.12 | 26 | 0.85 | +| BNBUSDT | 1d | um | +1363.3% | +57.1% | **1.13** | -45.3% | 38.1% | 2.19 | 21 | 1.26 | +| SOLUSDT | 1h | spot | -70.8% | -19.0% | **-0.26** | -79.5% | 33.0% | 0.95 | 518 | -0.24 | +| SOLUSDT | 1h | um | -60.5% | -14.9% | **-0.15** | -78.2% | 32.5% | 0.99 | 510 | -0.19 | +| SOLUSDT | 2h | spot | -62.8% | -15.6% | **-0.21** | -86.1% | 32.5% | 0.91 | 271 | -0.18 | +| SOLUSDT | 2h | um | -67.9% | -18.0% | **-0.29** | -88.6% | 30.9% | 0.90 | 265 | -0.20 | +| SOLUSDT | 4h | spot | +65.3% | +9.1% | **0.41** | -56.6% | 35.1% | 1.13 | 134 | 0.16 | +| SOLUSDT | 4h | um | +43.0% | +6.5% | **0.35** | -54.0% | 33.9% | 1.12 | 130 | 0.12 | +| SOLUSDT | 6h | spot | +219.6% | +22.4% | **0.68** | -74.0% | 34.6% | 1.43 | 78 | 0.30 | +| SOLUSDT | 6h | um | +58.8% | +8.5% | **0.40** | -71.5% | 36.7% | 1.18 | 79 | 0.12 | +| SOLUSDT | 8h | spot | +194.2% | +20.8% | **0.65** | -56.2% | 36.7% | 1.41 | 60 | 0.37 | +| SOLUSDT | 8h | um | +57.2% | +8.4% | **0.41** | -55.6% | 36.7% | 1.18 | 60 | 0.15 | +| SOLUSDT | 1d | spot | +326.9% | +30.6% | **0.86** | -55.5% | 35.0% | 2.01 | 20 | 0.55 | +| SOLUSDT | 1d | um | +272.4% | +27.9% | **0.78** | -62.2% | 30.0% | 1.80 | 20 | 0.45 | -> 🏆 **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 - ---- +> 🏆 **牛熊自适应 最优**：BNBUSDT 6h um，夏普 **1.44**，总收益 **+2076.9%**，年化 **+63.7%**，交易 94 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 | +| 排名 | 策略 | TF | 类型 | 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 | 1d | um | +640.3% | +37.0% | **1.25** | -30.6% | 50.0% | 2.91 | 22 | 1.21 | +| 🥈 | ATR波动率突破 | 2h | spot | +4378.7% | +54.0% | **1.12** | -52.6% | 31.4% | 1.41 | 334 | 1.03 | +| 🥉 | 牛熊自适应 | 1d | spot | +649.2% | +27.0% | **1.03** | -30.6% | 46.4% | 2.78 | 28 | 0.88 | +| 4 | 超级趋势 | 8h | spot | +159.7% | +11.6% | **1.00** | -16.8% | 35.0% | 1.96 | 100 | 0.69 | +| 5 | ATR波动率突破 | 4h | spot | +1760.7% | +39.6% | **0.94** | -45.3% | 32.7% | 1.43 | 165 | 0.87 | +| 6 | 三均线排列 | 6h | spot | +86.1% | +7.4% | **0.93** | -13.3% | 37.8% | 1.82 | 148 | 0.55 | +| 7 | 超级趋势 | 4h | spot | +144.8% | +10.8% | **0.90** | -15.7% | 39.4% | 1.60 | 213 | 0.69 | +| 8 | 三均线排列 | 1d | um | +40.3% | +5.5% | **0.90** | -7.2% | 52.2% | 2.97 | 23 | 0.76 | +| 9 | ATR波动率突破 | 6h | spot | +1409.3% | +36.5% | **0.90** | -55.8% | 31.9% | 1.39 | 94 | 0.65 | +| 10 | ATR波动率突破 | 1d | spot | +1251.7% | +36.2% | **0.89** | -51.6% | 52.0% | 1.93 | 25 | 0.70 | +| 11 | ATR波动率突破 | 1d | um | +614.0% | +36.2% | **0.88** | -49.6% | 52.9% | 2.01 | 17 | 0.73 | +| 12 | ATR波动率突破 | 4h | um | +562.8% | +32.6% | **0.86** | -37.9% | 33.1% | 1.45 | 133 | 0.86 | +| 13 | 超级趋势 | 6h | spot | +113.4% | +9.1% | **0.83** | -16.2% | 37.0% | 1.65 | 135 | 0.56 | +| 14 | MACD金叉死叉 | 1d | spot | +86.7% | +7.7% | **0.81** | -12.8% | 47.9% | 2.04 | 71 | 0.60 | +| 15 | EMA双均线多空 | 6h | spot | +1129.9% | +33.3% | **0.81** | -57.2% | 41.1% | 1.53 | 241 | 0.58 | +| 16 | EMA双均线多空 | 8h | um | +518.5% | +31.6% | **0.81** | -69.0% | 39.5% | 1.54 | 147 | 0.46 | +| 17 | 牛熊自适应 | 4h | spot | +493.5% | +22.5% | **0.80** | -34.1% | 36.5% | 1.53 | 208 | 0.66 | +| 18 | ATR波动率突破 | 1h | spot | +939.3% | +30.4% | **0.78** | -71.6% | 26.8% | 1.15 | 682 | 0.42 | +| 19 | ATR波动率突破 | 2h | um | +404.5% | +27.1% | **0.76** | -51.2% | 29.5% | 1.35 | 278 | 0.53 | +| 20 | 三均线排列 | 8h | spot | +55.6% | +5.2% | **0.74** | -10.0% | 37.4% | 1.81 | 107 | 0.52 | +| 21 | 牛熊自适应 | 4h | um | +234.1% | +19.7% | **0.74** | -33.4% | 38.9% | 1.48 | 167 | 0.59 | +| 22 | 超级趋势 | 1d | spot | +112.8% | +9.4% | **0.73** | -19.8% | 40.5% | 2.01 | 37 | 0.47 | +| 23 | EMA双均线多空 | 6h | um | +359.7% | +25.7% | **0.72** | -65.2% | 40.8% | 1.41 | 191 | 0.39 | +| 24 | EMA双均线多空 | 1d | um | +275.4% | +23.1% | **0.70** | -48.5% | 46.7% | 1.41 | 45 | 0.48 | +| 25 | ATR波动率突破 | 8h | spot | +512.0% | +23.1% | **0.69** | -69.6% | 26.0% | 1.38 | 73 | 0.33 | +| 26 | ATR波动率突破 | 8h | um | +278.4% | +22.2% | **0.68** | -62.2% | 26.3% | 1.39 | 57 | 0.36 | +| 27 | 牛熊自适应 | 6h | spot | +317.6% | +17.8% | **0.67** | -43.3% | 35.2% | 1.37 | 122 | 0.41 | +| 28 | EMA双均线多空 | 1d | spot | +397.8% | +21.0% | **0.63** | -58.0% | 46.5% | 1.51 | 58 | 0.36 | +| 29 | 三均线排列 | 1d | spot | +35.2% | +3.6% | **0.62** | -9.9% | 43.3% | 2.28 | 30 | 0.37 | +| 30 | EMA双均线多空 | 8h | spot | +406.5% | +20.5% | **0.62** | -71.8% | 37.2% | 1.40 | 188 | 0.29 | +| 31 | MACD金叉死叉 | 8h | spot | +60.4% | +5.6% | **0.59** | -34.4% | 38.6% | 1.40 | 228 | 0.16 | +| 32 | 牛熊自适应 | 8h | um | +100.2% | +11.0% | **0.51** | -43.2% | 31.0% | 1.31 | 71 | 0.26 | +| 33 | MACD金叉死叉 | 1d | um | +26.1% | +3.7% | **0.49** | -12.9% | 42.3% | 1.53 | 52 | 0.29 | +| 34 | 牛熊自适应 | 6h | um | +96.4% | +10.7% | **0.48** | -48.8% | 34.0% | 1.26 | 97 | 0.22 | +| 35 | 三均线排列 | 6h | um | +23.3% | +3.2% | **0.46** | -13.7% | 34.7% | 1.38 | 124 | 0.23 | +| 36 | EMA双均线多空 | 4h | spot | +128.3% | +9.9% | **0.44** | -73.3% | 36.3% | 1.09 | 383 | 0.13 | +| 37 | 三均线排列 | 8h | um | +17.0% | +2.4% | **0.41** | -10.0% | 38.8% | 1.41 | 85 | 0.24 | +| 38 | 三均线排列 | 4h | spot | +23.3% | +2.4% | **0.40** | -25.9% | 36.0% | 1.28 | 228 | 0.09 | +| 39 | ATR波动率突破 | 6h | um | +72.8% | +8.5% | **0.40** | -58.8% | 29.3% | 1.16 | 82 | 0.15 | +| 40 | 牛熊自适应 | 2h | spot | +88.0% | +7.4% | **0.39** | -66.9% | 33.3% | 1.17 | 375 | 0.11 | +| 41 | 牛熊自适应 | 8h | spot | +76.3% | +6.7% | **0.37** | -50.7% | 31.1% | 1.19 | 90 | 0.13 | +| 42 | MACD金叉死叉 | 4h | spot | +26.5% | +2.7% | **0.33** | -26.3% | 37.3% | 1.18 | 458 | 0.10 | +| 43 | 海龟交易 | 1d | um | +14.7% | +2.2% | **0.30** | -14.2% | 34.7% | 1.22 | 121 | 0.15 | +| 44 | 海龟交易 | 8h | spot | +18.6% | +2.0% | **0.28** | -14.1% | 34.1% | 1.16 | 443 | 0.14 | +| 45 | MACD金叉死叉 | 8h | um | +13.2% | +1.9% | **0.26** | -34.5% | 38.1% | 1.20 | 173 | 0.05 | +| 46 | 三均线排列 | 2h | spot | +14.0% | +1.5% | **0.26** | -26.5% | 33.5% | 1.21 | 412 | 0.06 | +| 47 | 布林收缩爆发 | 1h | spot | +12.9% | +1.4% | **0.25** | -15.3% | 34.0% | 1.27 | 271 | 0.09 | +| 48 | 布林收缩爆发 | 8h | spot | +8.8% | +1.0% | **0.24** | -12.4% | 36.8% | 1.43 | 38 | 0.08 | +| 49 | 海龟交易 | 1d | spot | +13.4% | +1.5% | **0.21** | -14.6% | 35.2% | 1.17 | 162 | 0.10 | +| 50 | ATR波动率突破 | 1h | um | -6.4% | -1.0% | **0.19** | -70.6% | 24.9% | 1.07 | 579 | -0.01 | +| 51 | 海龟交易 | 6h | spot | +9.8% | +1.1% | **0.17** | -19.1% | 35.2% | 1.13 | 580 | 0.06 | +| 52 | MACD金叉死叉 | 2h | spot | +7.8% | +0.9% | **0.13** | -19.2% | 36.6% | 1.12 | 875 | 0.04 | +| 53 | MACD金叉死叉 | 6h | spot | +6.0% | +0.7% | **0.12** | -28.8% | 37.0% | 1.08 | 316 | 0.02 | +| 54 | 超级趋势 | 8h | um | -1.5% | -0.2% | **0.03** | -23.6% | 39.0% | 1.01 | 77 | -0.01 | +| 55 | 布林收缩爆发 | 1d | spot | +0.3% | +0.0% | **0.03** | -13.6% | 44.4% | 1.04 | 18 | 0.00 | +| 56 | MACD金叉死叉 | 4h | um | -1.8% | -0.3% | **0.01** | -27.1% | 37.2% | 1.05 | 357 | -0.01 | +| 57 | MACD金叉死叉 | 2h | um | -3.2% | -0.5% | **-0.01** | -18.9% | 35.2% | 1.08 | 679 | -0.03 | +| 58 | 海龟交易 | 8h | um | -2.9% | -0.4% | **-0.03** | -11.2% | 34.0% | 1.05 | 326 | -0.04 | +| 59 | EMA双均线多空 | 4h | um | -68.3% | -15.7% | **-0.03** | -84.4% | 35.7% | 0.95 | 311 | -0.19 | +| 60 | 布林收缩爆发 | 8h | um | -1.9% | -0.3% | **-0.04** | -15.6% | 28.6% | 0.95 | 35 | -0.02 | +| 61 | 布林收缩爆发 | 1d | um | -3.1% | -0.5% | **-0.09** | -16.1% | 38.5% | 0.78 | 13 | -0.03 | +| 62 | 布林收缩爆发 | 1h | um | -4.8% | -0.7% | **-0.10** | -16.2% | 33.0% | 1.01 | 206 | -0.04 | +| 63 | 海龟交易 | 6h | um | -7.5% | -1.2% | **-0.13** | -16.8% | 32.3% | 1.02 | 437 | -0.07 | +| 64 | 布林收缩爆发 | 6h | spot | -6.0% | -0.7% | **-0.13** | -18.1% | 33.3% | 0.89 | 63 | -0.04 | +| 65 | 布林收缩爆发 | 4h | spot | -7.1% | -0.8% | **-0.17** | -19.6% | 27.3% | 0.87 | 77 | -0.04 | +| 66 | MACD金叉死叉 | 6h | um | -10.8% | -1.7% | **-0.18** | -28.5% | 33.6% | 0.95 | 235 | -0.06 | +| 67 | 布林收缩爆发 | 2h | spot | -7.0% | -0.8% | **-0.18** | -19.0% | 31.4% | 0.91 | 118 | -0.04 | +| 68 | 牛熊自适应 | 2h | um | -44.2% | -8.3% | **-0.25** | -65.8% | 31.8% | 0.89 | 280 | -0.13 | +| 69 | 布林收缩爆发 | 2h | um | -5.9% | -0.9% | **-0.26** | -18.5% | 36.8% | 0.85 | 87 | -0.05 | +| 70 | 超级趋势 | 6h | um | -23.0% | -3.8% | **-0.32** | -34.5% | 33.0% | 0.75 | 109 | -0.11 | +| 71 | 海龟交易 | 4h | spot | -23.5% | -3.0% | **-0.33** | -37.6% | 33.9% | 0.98 | 836 | -0.08 | +| 72 | RSI均值回归 | 1d | um | -58.7% | -13.0% | **-0.34** | -75.9% | 27.3% | 0.65 | 33 | -0.17 | +| 73 | 布林收缩爆发 | 4h | um | -9.5% | -1.5% | **-0.35** | -15.4% | 30.0% | 0.73 | 60 | -0.10 | +| 74 | 超级趋势 | 2h | spot | -36.8% | -5.1% | **-0.39** | -48.0% | 31.9% | 0.86 | 401 | -0.11 | +| 75 | 超级趋势 | 4h | um | -26.5% | -4.5% | **-0.40** | -35.8% | 32.7% | 0.77 | 165 | -0.13 | +| 76 | 海龟交易 | 4h | um | -20.2% | -3.3% | **-0.44** | -26.2% | 33.3% | 0.96 | 628 | -0.13 | +| 77 | 三均线排列 | 2h | um | -14.7% | -2.3% | **-0.44** | -27.9% | 32.0% | 0.91 | 322 | -0.08 | +| 78 | EMA双均线多空 | 2h | spot | -99.3% | -43.2% | **-0.48** | -99.4% | 32.9% | 0.67 | 712 | -0.44 | +| 79 | 超级趋势 | 2h | um | -31.2% | -5.4% | **-0.49** | -47.4% | 32.3% | 0.83 | 310 | -0.11 | +| 80 | 超级趋势 | 1d | um | -29.2% | -5.3% | **-0.50** | -41.6% | 24.1% | 0.53 | 29 | -0.13 | +| 81 | 三均线排列 | 1h | spot | -26.6% | -3.4% | **-0.51** | -37.2% | 31.4% | 0.97 | 900 | -0.09 | +| 82 | RSI均值回归 | 6h | spot | -85.8% | -20.0% | **-0.52** | -89.8% | 38.1% | 0.77 | 194 | -0.22 | +| 83 | 三均线排列 | 4h | um | -18.2% | -3.0% | **-0.53** | -28.7% | 32.2% | 0.78 | 180 | -0.10 | +| 84 | RSI均值回归 | 8h | spot | -87.5% | -21.3% | **-0.56** | -92.8% | 33.8% | 0.68 | 136 | -0.23 | +| 85 | 牛熊自适应 | 1h | spot | -81.4% | -17.4% | **-0.57** | -92.0% | 27.3% | 0.98 | 748 | -0.19 | +| 86 | RSI均值回归 | 1d | spot | -82.0% | -18.4% | **-0.58** | -84.9% | 21.3% | 0.41 | 47 | -0.22 | +| 87 | 超级趋势 | 1h | spot | -50.6% | -7.7% | **-0.62** | -60.6% | 33.8% | 0.87 | 782 | -0.13 | +| 88 | 布林收缩爆发 | 6h | um | -14.5% | -2.3% | **-0.65** | -16.3% | 31.7% | 0.39 | 41 | -0.14 | +| 89 | 三均线排列 | 1h | um | -22.9% | -3.8% | **-0.68** | -32.5% | 32.5% | 0.94 | 698 | -0.12 | +| 90 | RSI均值回归 | 4h | um | -82.1% | -22.6% | **-0.68** | -86.9% | 36.2% | 0.69 | 207 | -0.26 | +| 91 | MACD金叉死叉 | 1h | spot | -49.2% | -7.4% | **-0.69** | -58.3% | 33.1% | 0.97 | 1916 | -0.13 | +| 92 | RSI均值回归 | 8h | um | -85.8% | -25.4% | **-0.73** | -86.3% | 35.0% | 0.40 | 100 | -0.29 | +| 93 | EMA双均线多空 | 1h | spot | -99.4% | -44.0% | **-0.73** | -99.7% | 31.4% | 0.97 | 1449 | -0.44 | +| 94 | EMA双均线多空 | 2h | um | -99.4% | -52.7% | **-0.78** | -99.6% | 32.8% | 0.73 | 577 | -0.53 | +| 95 | MACD金叉死叉 | 1h | um | -42.0% | -7.8% | **-0.80** | -47.8% | 32.2% | 0.95 | 1442 | -0.16 | +| 96 | RSI均值回归 | 4h | spot | -94.2% | -27.8% | **-0.82** | -95.9% | 35.0% | 0.66 | 286 | -0.29 | +| 97 | RSI均值回归 | 6h | um | -85.6% | -25.2% | **-0.83** | -87.7% | 35.8% | 0.58 | 137 | -0.29 | +| 98 | 超级趋势 | 1h | um | -50.5% | -9.9% | **-0.92** | -61.5% | 33.2% | 0.78 | 617 | -0.16 | +| 99 | RSI均值回归 | 2h | um | -90.4% | -29.4% | **-0.98** | -91.7% | 39.0% | 0.67 | 362 | -0.32 | +| 100 | 牛熊自适应 | 1h | um | -87.6% | -26.6% | **-1.25** | -91.5% | 27.5% | 0.77 | 552 | -0.29 | +| 101 | EMA双均线多空 | 1h | um | -99.4% | -52.7% | **-1.33** | -99.5% | 32.2% | 0.88 | 1110 | -0.53 | +| 102 | RSI均值回归 | 2h | spot | -98.5% | -38.0% | **-1.34** | -98.8% | 36.0% | 0.52 | 481 | -0.38 | +| 103 | RSI均值回归 | 1h | um | -96.4% | -38.8% | **-1.60** | -96.5% | 43.1% | 0.63 | 684 | -0.40 | +| 104 | 海龟交易 | 2h | um | -55.8% | -11.4% | **-1.63** | -57.8% | 30.6% | 0.79 | 1194 | -0.20 | +| 105 | RSI均值回归 | 1h | spot | -99.2% | -42.1% | **-1.65** | -99.2% | 39.5% | 0.64 | 832 | -0.42 | +| 106 | 海龟交易 | 2h | spot | -71.8% | -13.4% | **-1.71** | -72.0% | 29.9% | 0.74 | 1624 | -0.19 | +| 107 | 海龟交易 | 1h | um | -73.8% | -18.0% | **-2.99** | -74.4% | 27.8% | 0.76 | 2096 | -0.24 | +| 108 | 海龟交易 | 1h | spot | -87.7% | -21.2% | **-3.18** | -87.8% | 27.6% | 0.68 | 2854 | -0.24 | -> 🏆 **BTCUSDT 最优**：ATR波动率突破 2h，夏普 **1.13**，总收益 **+4550.8%** +> 🏆 **BTCUSDT 最优**：牛熊自适应 1d um，夏普 **1.25**，总收益 **+640.3%** ### 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 | +| 排名 | 策略 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | EMA双均线多空 | 1d | um | -125.4% | +0.0% | **1.63** | -156.4% | 0.0% | 0.00 | 1 | 0.00 | +| 🥈 | 牛熊自适应 | 4h | spot | +4239.5% | +53.7% | **1.24** | -37.3% | 40.5% | 1.75 | 205 | 1.44 | +| 🥉 | ATR波动率突破 | 6h | um | +2156.2% | +62.1% | **1.09** | -47.7% | 34.2% | 1.88 | 76 | 1.30 | +| 4 | ATR波动率突破 | 6h | spot | +4659.2% | +55.6% | **1.02** | -47.6% | 36.2% | 2.08 | 94 | 1.17 | +| 5 | ATR波动率突破 | 8h | spot | +3982.1% | +53.2% | **1.00** | -66.7% | 40.9% | 2.48 | 66 | 0.80 | +| 6 | 布林收缩爆发 | 4h | spot | +92.5% | +7.8% | **0.99** | -9.1% | 42.9% | 2.39 | 84 | 0.85 | +| 7 | 牛熊自适应 | 4h | um | +546.1% | +33.3% | **0.96** | -37.2% | 39.9% | 1.54 | 153 | 0.90 | +| 8 | 三均线排列 | 8h | spot | +108.0% | +8.8% | **0.92** | -23.0% | 34.9% | 1.89 | 109 | 0.38 | +| 9 | ATR波动率突破 | 1h | spot | +2464.8% | +44.5% | **0.89** | -66.5% | 28.6% | 1.18 | 661 | 0.67 | +| 10 | ATR波动率突破 | 1d | um | +632.5% | +38.3% | **0.87** | -70.8% | 71.4% | 3.38 | 14 | 0.54 | +| 11 | 超级趋势 | 4h | spot | +198.1% | +13.3% | **0.86** | -21.5% | 35.5% | 1.50 | 214 | 0.62 | +| 12 | ATR波动率突破 | 2h | spot | +1744.5% | +39.2% | **0.85** | -59.9% | 31.9% | 1.30 | 339 | 0.66 | +| 13 | ATR波动率突破 | 4h | spot | +1662.7% | +38.7% | **0.84** | -60.8% | 30.5% | 1.37 | 154 | 0.64 | +| 14 | ATR波动率突破 | 8h | um | +922.3% | +43.6% | **0.84** | -66.8% | 40.5% | 2.40 | 42 | 0.65 | +| 15 | ATR波动率突破 | 1h | um | +726.5% | +38.1% | **0.83** | -58.7% | 28.6% | 1.21 | 510 | 0.65 | +| 16 | MACD金叉死叉 | 6h | spot | +108.3% | +8.8% | **0.81** | -15.3% | 38.0% | 1.43 | 305 | 0.57 | +| 17 | 三均线排列 | 6h | um | +62.5% | +7.8% | **0.80** | -17.9% | 34.1% | 1.71 | 123 | 0.44 | +| 18 | 三均线排列 | 8h | um | +59.6% | +7.5% | **0.80** | -23.8% | 37.4% | 1.73 | 83 | 0.32 | +| 19 | 牛熊自适应 | 6h | spot | +748.9% | +27.8% | **0.80** | -73.0% | 34.1% | 1.27 | 132 | 0.38 | +| 20 | MACD金叉死叉 | 8h | spot | +118.4% | +9.4% | **0.76** | -17.9% | 37.5% | 1.48 | 224 | 0.53 | +| 21 | MACD金叉死叉 | 1d | spot | +110.9% | +9.3% | **0.76** | -23.5% | 42.1% | 1.73 | 76 | 0.39 | +| 22 | 牛熊自适应 | 1d | um | +204.3% | +19.9% | **0.76** | -57.8% | 47.6% | 1.62 | 21 | 0.34 | +| 23 | 三均线排列 | 6h | spot | +81.9% | +7.1% | **0.72** | -18.5% | 35.1% | 1.67 | 154 | 0.38 | +| 24 | ATR波动率突破 | 2h | um | +353.2% | +26.1% | **0.68** | -62.1% | 31.8% | 1.31 | 264 | 0.42 | +| 25 | MACD金叉死叉 | 2h | spot | +104.8% | +8.5% | **0.67** | -26.8% | 37.3% | 1.26 | 869 | 0.32 | +| 26 | 三均线排列 | 4h | spot | +64.3% | +5.8% | **0.65** | -21.0% | 34.6% | 1.45 | 237 | 0.28 | +| 27 | 牛熊自适应 | 1d | spot | +222.5% | +14.9% | **0.64** | -57.7% | 48.0% | 1.61 | 25 | 0.26 | +| 28 | ATR波动率突破 | 4h | um | +224.3% | +19.9% | **0.60** | -60.2% | 25.8% | 1.28 | 124 | 0.33 | +| 29 | 三均线排列 | 1d | um | +28.6% | +4.2% | **0.55** | -15.2% | 37.0% | 1.65 | 27 | 0.28 | +| 30 | MACD金叉死叉 | 8h | um | +48.8% | +6.4% | **0.51** | -19.0% | 33.1% | 1.36 | 172 | 0.34 | +| 31 | EMA双均线多空 | 1d | spot | +168.1% | +12.4% | **0.50** | -68.2% | 52.7% | 1.33 | 55 | 0.18 | +| 32 | 牛熊自适应 | 8h | spot | +146.8% | +10.9% | **0.47** | -57.4% | 31.6% | 1.26 | 98 | 0.19 | +| 33 | 海龟交易 | 1d | um | +28.9% | +4.2% | **0.46** | -14.3% | 37.7% | 1.32 | 114 | 0.30 | +| 34 | 海龟交易 | 1d | spot | +46.2% | +4.6% | **0.45** | -14.3% | 39.1% | 1.31 | 156 | 0.32 | +| 35 | MACD金叉死叉 | 4h | spot | +53.3% | +5.0% | **0.44** | -33.8% | 37.6% | 1.18 | 465 | 0.15 | +| 36 | MACD金叉死叉 | 1d | um | +31.9% | +4.6% | **0.43** | -23.6% | 37.9% | 1.39 | 58 | 0.20 | +| 37 | 布林收缩爆发 | 2h | um | +14.9% | +2.1% | **0.41** | -8.8% | 45.4% | 1.51 | 86 | 0.25 | +| 38 | 三均线排列 | 4h | um | +24.9% | +3.5% | **0.41** | -21.9% | 32.4% | 1.29 | 182 | 0.16 | +| 39 | ATR波动率突破 | 1d | spot | +69.7% | +6.5% | **0.41** | -93.3% | 38.5% | 1.07 | 26 | 0.07 | +| 40 | 布林收缩爆发 | 2h | spot | +20.9% | +2.2% | **0.38** | -13.4% | 42.3% | 1.42 | 137 | 0.16 | +| 41 | 布林收缩爆发 | 4h | um | +13.6% | +2.0% | **0.38** | -10.3% | 38.9% | 1.61 | 54 | 0.19 | +| 42 | 三均线排列 | 1d | spot | +21.8% | +2.4% | **0.37** | -15.1% | 38.7% | 1.48 | 31 | 0.16 | +| 43 | 布林收缩爆发 | 1d | spot | +21.0% | +2.3% | **0.36** | -11.1% | 41.2% | 1.89 | 17 | 0.21 | +| 44 | MACD金叉死叉 | 6h | um | +22.2% | +3.1% | **0.35** | -18.2% | 35.5% | 1.20 | 228 | 0.17 | +| 45 | 布林收缩爆发 | 8h | spot | +20.6% | +2.2% | **0.34** | -14.4% | 28.6% | 1.41 | 49 | 0.15 | +| 46 | 海龟交易 | 8h | spot | +27.2% | +2.8% | **0.32** | -16.6% | 40.6% | 1.17 | 453 | 0.17 | +| 47 | 牛熊自适应 | 8h | um | +37.3% | +5.1% | **0.31** | -57.6% | 30.1% | 1.16 | 73 | 0.09 | +| 48 | EMA双均线多空 | 4h | spot | -55.0% | -8.7% | **0.29** | -90.1% | 38.1% | 0.99 | 388 | -0.10 | +| 49 | EMA双均线多空 | 4h | um | -54.9% | -11.5% | **0.25** | -93.9% | 35.7% | 1.01 | 297 | -0.12 | +| 50 | 海龟交易 | 6h | spot | +17.0% | +1.8% | **0.23** | -28.6% | 37.4% | 1.13 | 597 | 0.06 | +| 51 | 布林收缩爆发 | 6h | spot | +9.4% | +1.0% | **0.21** | -18.4% | 36.8% | 1.26 | 57 | 0.06 | +| 52 | 海龟交易 | 8h | um | +8.9% | +1.3% | **0.19** | -15.7% | 39.3% | 1.12 | 328 | 0.09 | +| 53 | EMA双均线多空 | 6h | um | -12.5% | -2.0% | **0.19** | -102.9% | 39.0% | 1.02 | 177 | -0.02 | +| 54 | MACD金叉死叉 | 2h | um | +10.2% | +1.5% | **0.18** | -29.4% | 35.3% | 1.11 | 641 | 0.05 | +| 55 | 牛熊自适应 | 6h | um | +3.3% | +0.5% | **0.17** | -73.4% | 32.3% | 1.05 | 93 | 0.01 | +| 56 | MACD金叉死叉 | 4h | um | +6.3% | +0.9% | **0.14** | -31.1% | 37.2% | 1.08 | 344 | 0.03 | +| 57 | 布林收缩爆发 | 8h | um | +3.1% | +0.5% | **0.11** | -11.6% | 31.6% | 1.12 | 38 | 0.04 | +| 58 | 超级趋势 | 6h | spot | +4.3% | +0.5% | **0.10** | -42.7% | 44.2% | 1.05 | 129 | 0.01 | +| 59 | 牛熊自适应 | 2h | spot | -22.2% | -2.8% | **0.10** | -80.0% | 29.8% | 1.04 | 400 | -0.04 | +| 60 | 超级趋势 | 8h | spot | +2.7% | +0.3% | **0.09** | -36.2% | 39.3% | 1.04 | 89 | 0.01 | +| 61 | 超级趋势 | 1d | spot | -2.5% | -0.3% | **0.03** | -31.5% | 42.4% | 0.99 | 33 | -0.01 | +| 62 | 海龟交易 | 6h | um | -1.5% | -0.2% | **0.02** | -25.4% | 35.9% | 1.06 | 435 | -0.01 | +| 63 | 超级趋势 | 6h | um | -6.4% | -1.0% | **-0.01** | -42.1% | 47.4% | 0.95 | 95 | -0.02 | +| 64 | 超级趋势 | 2h | spot | -14.3% | -1.7% | **-0.05** | -48.1% | 34.1% | 0.99 | 407 | -0.04 | +| 65 | 超级趋势 | 8h | um | -10.1% | -1.6% | **-0.06** | -37.8% | 36.6% | 0.90 | 71 | -0.04 | +| 66 | 布林收缩爆发 | 1h | um | -4.6% | -0.7% | **-0.08** | -13.1% | 35.3% | 1.01 | 207 | -0.05 | +| 67 | 超级趋势 | 1d | um | -10.5% | -1.8% | **-0.10** | -28.4% | 37.5% | 0.83 | 24 | -0.06 | +| 68 | 海龟交易 | 4h | spot | -13.0% | -1.6% | **-0.11** | -29.1% | 35.7% | 1.03 | 894 | -0.05 | +| 69 | 牛熊自适应 | 1h | spot | -59.2% | -9.7% | **-0.13** | -88.3% | 30.7% | 1.04 | 758 | -0.11 | +| 70 | MACD金叉死叉 | 1h | spot | -22.8% | -2.9% | **-0.16** | -51.5% | 35.6% | 1.05 | 1858 | -0.06 | +| 71 | EMA双均线多空 | 2h | um | -89.9% | -29.6% | **-0.18** | -97.1% | 34.7% | 0.98 | 603 | -0.30 | +| 72 | 海龟交易 | 4h | um | -15.2% | -2.5% | **-0.23** | -28.0% | 35.3% | 1.00 | 648 | -0.09 | +| 73 | 超级趋势 | 4h | um | -26.1% | -4.6% | **-0.29** | -39.7% | 37.1% | 0.80 | 159 | -0.11 | +| 74 | 三均线排列 | 1h | spot | -23.9% | -3.0% | **-0.32** | -41.6% | 30.4% | 1.00 | 923 | -0.07 | +| 75 | 牛熊自适应 | 2h | um | -61.2% | -13.5% | **-0.32** | -81.1% | 29.4% | 0.93 | 303 | -0.17 | +| 76 | 三均线排列 | 2h | spot | -23.7% | -3.0% | **-0.39** | -37.5% | 28.4% | 0.91 | 419 | -0.08 | +| 77 | RSI均值回归 | 1d | spot | -87.3% | -21.7% | **-0.42** | -91.4% | 29.6% | 0.49 | 44 | -0.24 | +| 78 | 牛熊自适应 | 1h | um | -71.3% | -17.4% | **-0.43** | -88.8% | 29.3% | 0.99 | 546 | -0.20 | +| 79 | 布林收缩爆发 | 1h | spot | -20.7% | -2.6% | **-0.44** | -25.8% | 31.5% | 0.84 | 340 | -0.10 | +| 80 | 超级趋势 | 1h | spot | -49.1% | -7.4% | **-0.45** | -57.7% | 32.7% | 0.89 | 811 | -0.13 | +| 81 | 超级趋势 | 2h | um | -36.8% | -6.8% | **-0.45** | -49.3% | 31.8% | 0.81 | 308 | -0.14 | +| 82 | 布林收缩爆发 | 1d | um | -11.1% | -1.9% | **-0.46** | -18.0% | 25.0% | 0.16 | 8 | -0.11 | +| 83 | RSI均值回归 | 6h | um | -81.5% | -23.0% | **-0.54** | -84.7% | 37.8% | 0.57 | 127 | -0.27 | +| 84 | RSI均值回归 | 8h | um | -86.6% | -26.9% | **-0.55** | -90.6% | 37.8% | 0.55 | 98 | -0.30 | +| 85 | EMA双均线多空 | 2h | spot | -99.8% | -52.1% | **-0.60** | -99.9% | 33.0% | 0.57 | 795 | -0.52 | +| 86 | MACD金叉死叉 | 1h | um | -41.6% | -7.9% | **-0.61** | -54.4% | 35.3% | 0.96 | 1398 | -0.15 | +| 87 | 三均线排列 | 1h | um | -27.8% | -4.8% | **-0.61** | -34.0% | 28.2% | 0.91 | 694 | -0.14 | +| 88 | RSI均值回归 | 1d | um | -85.8% | -27.2% | **-0.67** | -87.7% | 23.3% | 0.16 | 30 | -0.31 | +| 89 | 布林收缩爆发 | 6h | um | -20.6% | -3.5% | **-0.70** | -23.0% | 28.6% | 0.44 | 49 | -0.15 | +| 90 | RSI均值回归 | 8h | spot | -95.6% | -30.1% | **-0.70** | -96.2% | 33.8% | 0.62 | 151 | -0.31 | +| 91 | 三均线排列 | 2h | um | -29.1% | -5.1% | **-0.77** | -37.4% | 26.5% | 0.77 | 313 | -0.14 | +| 92 | RSI均值回归 | 4h | um | -89.3% | -29.2% | **-0.78** | -92.7% | 36.9% | 0.54 | 187 | -0.31 | +| 93 | 超级趋势 | 1h | um | -53.9% | -11.2% | **-0.81** | -61.1% | 31.7% | 0.77 | 608 | -0.18 | +| 94 | RSI均值回归 | 6h | spot | -98.0% | -36.3% | **-0.86** | -99.0% | 32.7% | 0.65 | 199 | -0.37 | +| 95 | RSI均值回归 | 4h | spot | -98.8% | -39.9% | **-1.01** | -99.4% | 35.9% | 0.60 | 284 | -0.40 | +| 96 | RSI均值回归 | 2h | um | -95.8% | -38.6% | **-1.07** | -97.3% | 40.3% | 0.54 | 352 | -0.40 | +| 97 | EMA双均线多空 | 6h | spot | -114.3% | +0.0% | **-1.11** | -110.5% | 20.0% | 0.22 | 10 | 0.00 | +| 98 | 海龟交易 | 2h | um | -50.7% | -10.3% | **-1.14** | -54.7% | 31.0% | 0.87 | 1233 | -0.19 | +| 99 | EMA双均线多空 | 1h | spot | -100.0% | -62.7% | **-1.16** | -100.0% | 34.6% | 0.48 | 1243 | -0.63 | +| 100 | 海龟交易 | 2h | spot | -64.1% | -11.0% | **-1.18** | -64.8% | 31.2% | 0.85 | 1687 | -0.17 | +| 101 | EMA双均线多空 | 1h | um | -99.9% | -63.8% | **-1.23** | -99.9% | 33.6% | 0.80 | 1173 | -0.64 | +| 102 | RSI均值回归 | 2h | spot | -99.7% | -47.8% | **-1.33** | -99.8% | 38.7% | 0.62 | 499 | -0.48 | +| 103 | EMA双均线多空 | 8h | um | -103.9% | +0.0% | **-1.35** | -109.3% | 22.7% | 0.16 | 22 | 0.00 | +| 104 | RSI均值回归 | 1h | um | -98.9% | -49.8% | **-1.57** | -99.0% | 40.0% | 0.68 | 638 | -0.50 | +| 105 | RSI均值回归 | 1h | spot | -99.9% | -54.4% | **-1.81** | -99.9% | 38.8% | 0.62 | 878 | -0.54 | +| 106 | 海龟交易 | 1h | um | -82.3% | -23.3% | **-3.14** | -83.6% | 27.9% | 0.74 | 2279 | -0.28 | +| 107 | 海龟交易 | 1h | spot | -92.8% | -25.8% | **-3.18** | -92.9% | 28.3% | 0.68 | 3147 | -0.28 | +| 108 | EMA双均线多空 | 8h | spot | -131.4% | +0.0% | **-3.80** | -125.5% | 20.0% | 0.01 | 5 | 0.00 | -> 🏆 **ETHUSDT 最优**：ATR波动率突破 6h，夏普 **1.04**，总收益 **+5102.3%** +> 🏆 **ETHUSDT 最优**：EMA双均线多空 1d um，夏普 **1.63**，总收益 **-125.4%** + +### BNBUSDT + +| 排名 | 策略 | TF | 类型 | 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 | um | +2076.9% | +63.7% | **1.44** | -35.6% | 39.4% | 2.15 | 94 | 1.79 | +| 🥈 | 牛熊自适应 | 6h | spot | +3592.9% | +52.8% | **1.21** | -44.5% | 37.5% | 1.99 | 128 | 1.19 | +| 🥉 | 牛熊自适应 | 1d | um | +1363.3% | +57.1% | **1.13** | -45.3% | 38.1% | 2.19 | 21 | 1.26 | +| 4 | 牛熊自适应 | 8h | um | +761.7% | +41.4% | **1.10** | -27.7% | 33.9% | 1.78 | 65 | 1.50 | +| 5 | ATR波动率突破 | 6h | um | +2241.7% | +65.6% | **1.08** | -60.7% | 29.0% | 1.75 | 69 | 1.08 | +| 6 | 超级趋势 | 2h | spot | +512.2% | +23.5% | **0.94** | -37.0% | 40.2% | 1.55 | 393 | 0.64 | +| 7 | 牛熊自适应 | 1d | spot | +1466.4% | +39.9% | **0.93** | -47.1% | 38.5% | 2.12 | 26 | 0.85 | +| 8 | 牛熊自适应 | 4h | spot | +1375.2% | +37.0% | **0.92** | -44.6% | 37.4% | 1.55 | 190 | 0.83 | +| 9 | 超级趋势 | 2h | um | +239.3% | +21.3% | **0.88** | -17.6% | 37.5% | 1.53 | 293 | 1.21 | +| 10 | 三均线排列 | 8h | spot | +102.6% | +8.7% | **0.88** | -12.2% | 46.3% | 2.09 | 108 | 0.71 | +| 11 | ATR波动率突破 | 1d | um | +817.6% | +45.3% | **0.87** | -63.1% | 22.2% | 1.57 | 18 | 0.72 | +| 12 | ATR波动率突破 | 2h | spot | +2197.7% | +44.1% | **0.83** | -72.5% | 29.4% | 1.21 | 303 | 0.61 | +| 13 | 海龟交易 | 1d | um | +88.9% | +11.3% | **0.81** | -20.7% | 44.3% | 1.95 | 97 | 0.55 | +| 14 | 三均线排列 | 4h | spot | +84.1% | +7.4% | **0.77** | -16.3% | 37.6% | 1.69 | 194 | 0.45 | +| 15 | 三均线排列 | 6h | spot | +93.9% | +8.1% | **0.77** | -21.1% | 40.8% | 1.83 | 147 | 0.38 | +| 16 | 牛熊自适应 | 2h | spot | +836.1% | +29.8% | **0.76** | -68.2% | 34.8% | 1.25 | 382 | 0.44 | +| 17 | ATR波动率突破 | 8h | um | +523.2% | +34.2% | **0.75** | -65.6% | 28.6% | 1.35 | 56 | 0.52 | +| 18 | 三均线排列 | 1d | um | +27.0% | +4.1% | **0.74** | -5.9% | 60.0% | 4.12 | 20 | 0.69 | +| 19 | 三均线排列 | 8h | um | +43.9% | +6.0% | **0.73** | -8.5% | 42.3% | 1.87 | 78 | 0.71 | +| 20 | 牛熊自适应 | 4h | um | +272.6% | +23.3% | **0.73** | -40.1% | 34.7% | 1.43 | 144 | 0.58 | +| 21 | 超级趋势 | 4h | spot | +305.1% | +17.8% | **0.72** | -38.4% | 42.4% | 1.72 | 210 | 0.46 | +| 22 | 超级趋势 | 6h | spot | +285.4% | +17.2% | **0.72** | -35.9% | 40.1% | 2.01 | 147 | 0.48 | +| 23 | 超级趋势 | 6h | um | +165.3% | +16.9% | **0.72** | -27.7% | 40.4% | 2.10 | 104 | 0.61 | +| 24 | MACD金叉死叉 | 4h | spot | +168.3% | +12.2% | **0.72** | -26.7% | 41.8% | 1.42 | 457 | 0.46 | +| 25 | MACD金叉死叉 | 1d | spot | +191.7% | +13.9% | **0.72** | -25.8% | 47.1% | 2.66 | 70 | 0.54 | +| 26 | 海龟交易 | 1d | spot | +107.3% | +9.3% | **0.71** | -16.2% | 42.9% | 1.82 | 147 | 0.57 | +| 27 | 牛熊自适应 | 8h | spot | +409.1% | +21.2% | **0.70** | -45.8% | 31.6% | 1.54 | 95 | 0.46 | +| 28 | 超级趋势 | 8h | um | +145.8% | +15.6% | **0.69** | -31.8% | 40.5% | 2.06 | 74 | 0.49 | +| 29 | ATR波动率突破 | 1d | spot | +638.7% | +27.6% | **0.68** | -71.8% | 24.0% | 1.40 | 25 | 0.38 | +| 30 | MACD金叉死叉 | 1d | um | +120.9% | +14.3% | **0.67** | -26.1% | 44.4% | 2.78 | 45 | 0.55 | +| 31 | 布林收缩爆发 | 4h | spot | +62.1% | +5.8% | **0.67** | -20.2% | 39.7% | 2.18 | 68 | 0.29 | +| 32 | ATR波动率突破 | 2h | um | +360.8% | +27.4% | **0.67** | -68.7% | 26.9% | 1.22 | 216 | 0.40 | +| 33 | ATR波动率突破 | 6h | spot | +676.2% | +27.2% | **0.67** | -87.8% | 26.2% | 1.34 | 107 | 0.31 | +| 34 | 海龟交易 | 6h | spot | +95.7% | +8.2% | **0.64** | -34.1% | 35.0% | 1.30 | 606 | 0.24 | +| 35 | ATR波动率突破 | 1h | spot | +411.0% | +20.9% | **0.59** | -87.4% | 24.8% | 1.09 | 614 | 0.24 | +| 36 | 三均线排列 | 1d | spot | +29.3% | +3.2% | **0.57** | -6.0% | 59.3% | 2.92 | 27 | 0.53 | +| 37 | 海龟交易 | 8h | um | +46.5% | +6.3% | **0.56** | -13.9% | 37.5% | 1.37 | 309 | 0.46 | +| 38 | MACD金叉死叉 | 2h | spot | +96.8% | +8.2% | **0.55** | -37.8% | 37.6% | 1.22 | 919 | 0.22 | +| 39 | 海龟交易 | 8h | spot | +71.2% | +6.5% | **0.54** | -21.0% | 38.1% | 1.36 | 428 | 0.31 | +| 40 | 布林收缩爆发 | 6h | spot | +51.4% | +5.0% | **0.54** | -22.1% | 38.6% | 1.80 | 70 | 0.23 | +| 41 | ATR波动率突破 | 4h | um | +152.0% | +15.8% | **0.52** | -73.9% | 26.3% | 1.21 | 118 | 0.21 | +| 42 | ATR波动率突破 | 8h | spot | +2051.9% | +43.6% | **0.51** | -105.7% | 32.4% | 1.53 | 74 | 0.41 | +| 43 | EMA双均线多空 | 6h | um | +111.6% | +12.7% | **0.51** | -78.7% | 37.2% | 1.11 | 188 | 0.16 | +| 44 | 三均线排列 | 6h | um | +26.4% | +3.8% | **0.50** | -10.3% | 40.8% | 1.48 | 98 | 0.37 | +| 45 | 超级趋势 | 1h | spot | +105.7% | +8.8% | **0.49** | -38.5% | 37.3% | 1.19 | 831 | 0.23 | +| 46 | 超级趋势 | 8h | spot | +117.6% | +9.6% | **0.49** | -40.4% | 36.0% | 1.66 | 111 | 0.24 | +| 47 | 布林收缩爆发 | 1h | spot | +29.1% | +3.0% | **0.42** | -17.0% | 33.1% | 1.36 | 356 | 0.18 | +| 48 | EMA双均线多空 | 2h | spot | +37.4% | +3.8% | **0.39** | -94.0% | 37.2% | 1.07 | 753 | 0.04 | +| 49 | EMA双均线多空 | 4h | um | +41.1% | +5.6% | **0.39** | -75.0% | 37.5% | 1.08 | 285 | 0.08 | +| 50 | MACD金叉死叉 | 8h | um | +31.0% | +4.4% | **0.38** | -14.0% | 40.6% | 1.30 | 165 | 0.32 | +| 51 | MACD金叉死叉 | 6h | spot | +43.0% | +4.3% | **0.37** | -18.3% | 38.5% | 1.26 | 288 | 0.23 | +| 52 | MACD金叉死叉 | 4h | um | +29.6% | +4.2% | **0.35** | -28.2% | 39.8% | 1.21 | 359 | 0.15 | +| 53 | 三均线排列 | 4h | um | +15.1% | +2.3% | **0.35** | -12.8% | 36.0% | 1.32 | 147 | 0.18 | +| 54 | 海龟交易 | 4h | spot | +31.6% | +3.3% | **0.34** | -32.3% | 33.6% | 1.18 | 858 | 0.10 | +| 55 | MACD金叉死叉 | 8h | spot | +38.9% | +4.0% | **0.34** | -24.2% | 41.6% | 1.25 | 221 | 0.16 | +| 56 | 三均线排列 | 2h | spot | +32.9% | +3.4% | **0.34** | -30.2% | 32.4% | 1.23 | 432 | 0.11 | +| 57 | 布林收缩爆发 | 2h | spot | +25.7% | +2.7% | **0.30** | -18.6% | 35.9% | 1.38 | 159 | 0.14 | +| 58 | 超级趋势 | 1h | um | +22.1% | +3.2% | **0.26** | -38.5% | 37.7% | 1.12 | 632 | 0.08 | +| 59 | MACD金叉死叉 | 6h | um | +18.3% | +2.7% | **0.26** | -14.3% | 35.8% | 1.20 | 221 | 0.19 | +| 60 | EMA双均线多空 | 4h | spot | -82.8% | -18.6% | **0.26** | -135.2% | 37.2% | 0.76 | 376 | -0.14 | +| 61 | 布林收缩爆发 | 1h | um | +9.1% | +1.4% | **0.22** | -17.9% | 29.7% | 1.22 | 276 | 0.08 | +| 62 | ATR波动率突破 | 1h | um | -59.7% | -13.4% | **0.06** | -87.8% | 23.7% | 0.97 | 481 | -0.15 | +| 63 | 布林收缩爆发 | 1d | spot | -0.1% | -0.0% | **0.03** | -12.6% | 45.5% | 1.02 | 22 | -0.00 | +| 64 | 牛熊自适应 | 1h | spot | -49.0% | -7.5% | **0.03** | -81.5% | 28.8% | 1.04 | 767 | -0.09 | +| 65 | MACD金叉死叉 | 2h | um | -6.0% | -1.0% | **-0.01** | -38.1% | 36.5% | 1.05 | 696 | -0.03 | +| 66 | 超级趋势 | 1d | spot | -7.2% | -0.9% | **-0.03** | -30.5% | 37.5% | 0.90 | 32 | -0.03 | +| 67 | 海龟交易 | 4h | um | -7.7% | -1.3% | **-0.07** | -29.0% | 32.1% | 1.05 | 614 | -0.04 | +| 68 | RSI均值回归 | 6h | spot | -80.3% | -17.4% | **-0.07** | -96.2% | 42.3% | 0.95 | 168 | -0.18 | +| 69 | 海龟交易 | 6h | um | -9.6% | -1.6% | **-0.11** | -32.3% | 32.1% | 1.01 | 436 | -0.05 | +| 70 | 超级趋势 | 1d | um | -11.1% | -2.0% | **-0.15** | -30.4% | 33.3% | 0.77 | 24 | -0.06 | +| 71 | 牛熊自适应 | 1h | um | -52.2% | -11.0% | **-0.17** | -81.9% | 29.8% | 1.02 | 558 | -0.13 | +| 72 | EMA双均线多空 | 8h | um | -114.3% | +0.0% | **-0.18** | -136.9% | 42.1% | 0.26 | 19 | 0.00 | +| 73 | 牛熊自适应 | 2h | um | -42.9% | -8.5% | **-0.19** | -72.0% | 34.4% | 0.84 | 270 | -0.12 | +| 74 | 三均线排列 | 1h | spot | -18.4% | -2.3% | **-0.22** | -39.8% | 31.1% | 1.03 | 957 | -0.06 | +| 75 | EMA双均线多空 | 2h | um | -83.4% | -24.7% | **-0.26** | -92.3% | 37.1% | 0.83 | 555 | -0.27 | +| 76 | 布林收缩爆发 | 8h | spot | -10.9% | -1.4% | **-0.29** | -18.4% | 27.5% | 0.66 | 40 | -0.07 | +| 77 | 布林收缩爆发 | 1d | um | -7.7% | -1.3% | **-0.29** | -11.0% | 33.3% | 0.45 | 12 | -0.12 | +| 78 | 布林收缩爆发 | 2h | um | -9.1% | -1.5% | **-0.30** | -21.8% | 32.2% | 0.85 | 121 | -0.07 | +| 79 | RSI均值回归 | 8h | spot | -83.8% | -19.3% | **-0.30** | -88.9% | 39.0% | 0.79 | 123 | -0.22 | +| 80 | 三均线排列 | 2h | um | -15.4% | -2.6% | **-0.31** | -31.8% | 30.2% | 0.92 | 318 | -0.08 | +| 81 | RSI均值回归 | 2h | um | -66.3% | -15.8% | **-0.31** | -73.2% | 45.8% | 0.84 | 297 | -0.22 | +| 82 | MACD金叉死叉 | 1h | spot | -42.7% | -6.3% | **-0.32** | -61.1% | 35.2% | 1.00 | 1843 | -0.10 | +| 83 | 布林收缩爆发 | 4h | um | -10.2% | -1.7% | **-0.37** | -16.4% | 31.1% | 0.59 | 45 | -0.10 | +| 84 | 布林收缩爆发 | 8h | um | -11.0% | -1.9% | **-0.39** | -14.6% | 26.5% | 0.57 | 34 | -0.13 | +| 85 | RSI均值回归 | 8h | um | -73.4% | -19.2% | **-0.46** | -82.2% | 34.1% | 0.67 | 85 | -0.23 | +| 86 | 三均线排列 | 1h | um | -24.1% | -4.2% | **-0.50** | -39.6% | 30.2% | 0.96 | 734 | -0.11 | +| 87 | RSI均值回归 | 1d | spot | -93.2% | -27.9% | **-0.57** | -94.1% | 36.7% | 0.35 | 49 | -0.30 | +| 88 | MACD金叉死叉 | 1h | um | -44.3% | -8.8% | **-0.64** | -54.7% | 33.3% | 0.94 | 1365 | -0.16 | +| 89 | 超级趋势 | 4h | um | -41.7% | -8.2% | **-0.65** | -47.6% | 35.3% | 0.59 | 153 | -0.17 | +| 90 | RSI均值回归 | 1d | um | -87.7% | -29.7% | **-0.66** | -89.4% | 36.1% | 0.19 | 36 | -0.33 | +| 91 | RSI均值回归 | 6h | um | -90.5% | -31.4% | **-0.70** | -93.5% | 38.7% | 0.52 | 111 | -0.34 | +| 92 | RSI均值回归 | 2h | spot | -96.5% | -32.5% | **-0.72** | -97.3% | 43.5% | 0.45 | 411 | -0.33 | +| 93 | RSI均值回归 | 4h | spot | -98.4% | -38.3% | **-0.77** | -98.4% | 37.5% | 0.66 | 232 | -0.39 | +| 94 | 布林收缩爆发 | 6h | um | -22.4% | -4.0% | **-0.81** | -27.2% | 25.9% | 0.39 | 54 | -0.15 | +| 95 | EMA双均线多空 | 1d | spot | -750.8% | +0.0% | **-0.83** | -980.2% | 31.2% | 0.06 | 16 | 0.00 | +| 96 | RSI均值回归 | 1h | um | -93.9% | -35.6% | **-0.85** | -94.2% | 42.6% | 0.68 | 556 | -0.38 | +| 97 | 海龟交易 | 2h | spot | -64.3% | -11.3% | **-1.08** | -67.5% | 31.0% | 0.86 | 1647 | -0.17 | +| 98 | RSI均值回归 | 4h | um | -97.8% | -45.5% | **-1.14** | -97.8% | 33.3% | 0.36 | 156 | -0.47 | +| 99 | RSI均值回归 | 1h | spot | -99.4% | -45.2% | **-1.19** | -99.5% | 41.5% | 0.47 | 763 | -0.45 | +| 100 | EMA双均线多空 | 1h | um | -161.6% | +0.0% | **-1.22** | -143.8% | 37.1% | 0.66 | 167 | 0.00 | +| 101 | 海龟交易 | 2h | um | -55.2% | -11.9% | **-1.26** | -58.6% | 31.1% | 0.82 | 1169 | -0.20 | +| 102 | EMA双均线多空 | 6h | spot | -278.8% | +0.0% | **-1.64** | -318.9% | 0.0% | 0.00 | 1 | 0.00 | +| 103 | EMA双均线多空 | 8h | spot | -106.2% | +0.0% | **-1.75** | -109.6% | 12.5% | 0.16 | 32 | 0.00 | +| 104 | 海龟交易 | 1h | um | -70.1% | -17.4% | **-1.88** | -73.2% | 27.4% | 0.86 | 2166 | -0.24 | +| 105 | EMA双均线多空 | 1d | um | -1211.1% | +0.0% | **-1.91** | -1449.8% | 25.0% | 0.02 | 4 | 0.00 | +| 106 | 海龟交易 | 1h | spot | -87.8% | -21.7% | **-2.14** | -88.2% | 28.9% | 0.77 | 3048 | -0.25 | +| 107 | EMA双均线多空 | 1h | spot | -128.2% | +0.0% | **-2.54** | -153.4% | 29.0% | 0.55 | 31 | 0.00 | +| 108 | ATR波动率突破 | 4h | spot | -112.5% | +0.0% | **-6.88** | -112.5% | 0.0% | 0.00 | 2 | 0.00 | + +> 🏆 **BNBUSDT 最优**：牛熊自适应 6h um，夏普 **1.44**，总收益 **+2076.9%** ### 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 | +| 排名 | 策略 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 | +|------|------|----|------|---------|-------|------|-------|-------|--------|--------|--------| +| 🥇 | 超级趋势 | 8h | um | +1161.8% | +57.0% | **1.51** | -35.0% | 45.9% | 3.00 | 61 | 1.63 | +| 🥈 | 超级趋势 | 8h | spot | +756.6% | +45.6% | **1.44** | -35.2% | 47.5% | 2.94 | 59 | 1.29 | +| 🥉 | 超级趋势 | 6h | um | +608.5% | +41.4% | **1.42** | -37.1% | 41.9% | 2.25 | 86 | 1.11 | +| 4 | ATR波动率突破 | 2h | um | +10658.9% | +126.5% | **1.41** | -61.9% | 36.5% | 1.40 | 200 | 2.04 | +| 5 | 超级趋势 | 6h | spot | +625.8% | +41.2% | **1.40** | -37.0% | 40.2% | 2.22 | 87 | 1.11 | +| 6 | ATR波动率突破 | 2h | spot | +10978.1% | +124.6% | **1.38** | -59.8% | 37.9% | 1.34 | 203 | 2.08 | +| 7 | ATR波动率突破 | 8h | um | +6002.2% | +107.8% | **1.30** | -78.0% | 34.1% | 1.36 | 41 | 1.38 | +| 8 | ATR波动率突破 | 4h | um | +6725.3% | +110.1% | **1.29** | -75.8% | 26.4% | 1.22 | 91 | 1.45 | +| 9 | ATR波动率突破 | 8h | spot | +5956.7% | +105.1% | **1.29** | -78.5% | 34.1% | 1.36 | 41 | 1.34 | +| 10 | MACD金叉死叉 | 8h | um | +210.6% | +22.3% | **1.23** | -15.3% | 47.7% | 1.86 | 153 | 1.46 | +| 11 | MACD金叉死叉 | 8h | spot | +206.9% | +21.7% | **1.19** | -15.5% | 47.8% | 1.81 | 157 | 1.40 | +| 12 | ATR波动率突破 | 6h | spot | +3897.4% | +90.0% | **1.19** | -84.4% | 22.0% | 1.22 | 59 | 1.07 | +| 13 | ATR波动率突破 | 6h | um | +3152.2% | +85.1% | **1.16** | -85.8% | 22.4% | 1.20 | 58 | 0.99 | +| 14 | ATR波动率突破 | 4h | spot | +3128.3% | +82.4% | **1.12** | -67.6% | 26.3% | 1.23 | 95 | 1.22 | +| 15 | ATR波动率突破 | 1h | um | +2227.4% | +73.0% | **1.06** | -71.2% | 32.4% | 1.21 | 373 | 1.03 | +| 16 | 布林收缩爆发 | 8h | spot | +89.5% | +11.8% | **0.98** | -11.7% | 38.6% | 2.53 | 44 | 1.02 | +| 17 | 超级趋势 | 4h | um | +178.5% | +19.7% | **0.94** | -29.4% | 40.1% | 1.59 | 132 | 0.67 | +| 18 | ATR波动率突破 | 1h | spot | +1157.2% | +54.3% | **0.93** | -66.7% | 31.8% | 1.19 | 384 | 0.81 | +| 19 | MACD金叉死叉 | 1d | spot | +110.8% | +14.7% | **0.89** | -20.5% | 48.9% | 2.18 | 47 | 0.72 | +| 20 | 牛熊自适应 | 1d | spot | +326.9% | +30.6% | **0.86** | -55.5% | 35.0% | 2.01 | 20 | 0.55 | +| 21 | 海龟交易 | 1d | spot | +85.0% | +12.0% | **0.84** | -19.6% | 47.6% | 1.60 | 105 | 0.61 | +| 22 | 超级趋势 | 1d | um | +138.7% | +17.7% | **0.81** | -28.2% | 47.4% | 2.75 | 19 | 0.63 | +| 23 | 超级趋势 | 1d | spot | +139.3% | +17.4% | **0.80** | -26.7% | 47.4% | 2.71 | 19 | 0.65 | +| 24 | 牛熊自适应 | 1d | um | +272.4% | +27.9% | **0.78** | -62.2% | 30.0% | 1.80 | 20 | 0.45 | +| 25 | RSI均值回归 | 1d | um | +407.3% | +35.5% | **0.77** | -73.3% | 61.3% | 1.36 | 31 | 0.48 | +| 26 | MACD金叉死叉 | 6h | um | +86.7% | +11.7% | **0.73** | -27.6% | 42.7% | 1.35 | 213 | 0.42 | +| 27 | MACD金叉死叉 | 6h | spot | +84.6% | +11.3% | **0.73** | -27.7% | 42.4% | 1.34 | 217 | 0.41 | +| 28 | 三均线排列 | 1h | spot | +51.4% | +7.4% | **0.68** | -13.4% | 38.9% | 1.30 | 584 | 0.55 | +| 29 | 牛熊自适应 | 6h | spot | +219.6% | +22.4% | **0.68** | -74.0% | 34.6% | 1.43 | 78 | 0.30 | +| 30 | 牛熊自适应 | 8h | spot | +194.2% | +20.8% | **0.65** | -56.2% | 36.7% | 1.41 | 60 | 0.37 | +| 31 | MACD金叉死叉 | 2h | um | +65.0% | +9.1% | **0.63** | -17.7% | 38.7% | 1.22 | 612 | 0.52 | +| 32 | MACD金叉死叉 | 4h | spot | +62.8% | +8.8% | **0.61** | -20.1% | 41.9% | 1.27 | 322 | 0.44 | +| 33 | 布林收缩爆发 | 8h | um | +36.5% | +5.7% | **0.60** | -9.8% | 41.0% | 1.91 | 39 | 0.58 | +| 34 | 三均线排列 | 1h | um | +40.1% | +6.1% | **0.60** | -13.1% | 38.2% | 1.26 | 578 | 0.46 | +| 35 | MACD金叉死叉 | 4h | um | +57.3% | +8.3% | **0.58** | -19.1% | 42.5% | 1.26 | 318 | 0.43 | +| 36 | 三均线排列 | 2h | spot | +34.4% | +5.2% | **0.54** | -15.0% | 38.9% | 1.29 | 270 | 0.35 | +| 37 | 三均线排列 | 4h | spot | +32.2% | +5.0% | **0.53** | -11.5% | 35.7% | 1.40 | 140 | 0.43 | +| 38 | MACD金叉死叉 | 2h | spot | +51.1% | +7.3% | **0.52** | -25.0% | 38.5% | 1.20 | 619 | 0.29 | +| 39 | 三均线排列 | 8h | spot | +28.2% | +4.5% | **0.49** | -18.0% | 35.4% | 1.47 | 65 | 0.25 | +| 40 | 三均线排列 | 2h | um | +28.1% | +4.4% | **0.47** | -15.1% | 39.5% | 1.25 | 271 | 0.29 | +| 41 | 三均线排列 | 8h | um | +24.5% | +4.0% | **0.45** | -16.9% | 34.9% | 1.44 | 63 | 0.23 | +| 42 | 三均线排列 | 4h | um | +23.1% | +3.7% | **0.41** | -13.5% | 34.3% | 1.30 | 140 | 0.28 | +| 43 | 牛熊自适应 | 4h | spot | +65.3% | +9.1% | **0.41** | -56.6% | 35.1% | 1.13 | 134 | 0.16 | +| 44 | 牛熊自适应 | 8h | um | +57.2% | +8.4% | **0.41** | -55.6% | 36.7% | 1.18 | 60 | 0.15 | +| 45 | 牛熊自适应 | 6h | um | +58.8% | +8.5% | **0.40** | -71.5% | 36.7% | 1.18 | 79 | 0.12 | +| 46 | 牛熊自适应 | 4h | um | +43.0% | +6.5% | **0.35** | -54.0% | 33.9% | 1.12 | 130 | 0.12 | +| 47 | 三均线排列 | 6h | spot | +19.2% | +3.1% | **0.34** | -11.8% | 38.4% | 1.32 | 86 | 0.26 | +| 48 | 三均线排列 | 6h | um | +18.7% | +3.1% | **0.34** | -11.0% | 36.4% | 1.31 | 88 | 0.28 | +| 49 | ATR波动率突破 | 1d | um | -25.9% | -5.5% | **0.32** | -81.8% | 21.4% | 0.87 | 14 | -0.07 | +| 50 | 超级趋势 | 1h | spot | +29.2% | +4.5% | **0.31** | -35.3% | 37.0% | 1.10 | 602 | 0.13 | +| 51 | 海龟交易 | 8h | spot | +17.2% | +2.8% | **0.27** | -25.6% | 39.8% | 1.13 | 334 | 0.11 | +| 52 | ATR波动率突破 | 1d | spot | -39.3% | -8.8% | **0.27** | -81.7% | 20.0% | 0.82 | 15 | -0.11 | +| 53 | EMA双均线多空 | 4h | spot | -85.8% | -28.6% | **0.14** | -92.9% | 35.3% | 0.84 | 249 | -0.31 | +| 54 | 海龟交易 | 8h | um | +5.2% | +0.9% | **0.13** | -27.4% | 39.1% | 1.07 | 327 | 0.03 | +| 55 | 布林收缩爆发 | 4h | spot | +3.2% | +0.6% | **0.11** | -12.9% | 35.5% | 1.13 | 62 | 0.04 | +| 56 | 海龟交易 | 1d | um | -1.0% | -0.2% | **0.07** | -44.0% | 44.9% | 1.01 | 98 | -0.00 | +| 57 | 布林收缩爆发 | 1h | um | +1.6% | +0.3% | **0.07** | -15.0% | 34.2% | 1.08 | 219 | 0.02 | +| 58 | EMA双均线多空 | 4h | um | -90.1% | -33.4% | **0.06** | -92.5% | 35.7% | 0.75 | 241 | -0.36 | +| 59 | 布林收缩爆发 | 1h | spot | -0.6% | -0.1% | **0.03** | -17.1% | 35.7% | 1.06 | 244 | -0.01 | +| 60 | MACD金叉死叉 | 1d | um | -5.7% | -1.1% | **0.02** | -39.3% | 42.5% | 0.94 | 47 | -0.03 | +| 61 | 布林收缩爆发 | 6h | spot | -5.5% | -1.0% | **-0.09** | -18.2% | 26.2% | 0.89 | 42 | -0.05 | +| 62 | 牛熊自适应 | 1h | um | -60.5% | -14.9% | **-0.15** | -78.2% | 32.5% | 0.99 | 510 | -0.19 | +| 63 | 布林收缩爆发 | 6h | um | -11.4% | -2.1% | **-0.17** | -22.0% | 27.7% | 0.78 | 47 | -0.10 | +| 64 | 三均线排列 | 1d | spot | -8.0% | -1.5% | **-0.17** | -18.3% | 33.3% | 0.72 | 18 | -0.08 | +| 65 | EMA双均线多空 | 8h | spot | -5728.9% | +0.0% | **-0.19** | -347.6% | 37.1% | 0.49 | 70 | 0.00 | +| 66 | 牛熊自适应 | 2h | spot | -62.8% | -15.6% | **-0.21** | -86.1% | 32.5% | 0.91 | 271 | -0.18 | +| 67 | 布林收缩爆发 | 2h | spot | -12.4% | -2.2% | **-0.23** | -27.2% | 29.1% | 0.87 | 134 | -0.08 | +| 68 | 三均线排列 | 1d | um | -12.4% | -2.5% | **-0.23** | -23.8% | 33.3% | 0.61 | 18 | -0.10 | +| 69 | RSI均值回归 | 1d | spot | -76.4% | -23.3% | **-0.25** | -85.6% | 33.3% | 0.33 | 33 | -0.27 | +| 70 | RSI均值回归 | 1h | um | -75.7% | -21.8% | **-0.26** | -88.7% | 46.7% | 0.95 | 475 | -0.25 | +| 71 | EMA双均线多空 | 8h | um | -3613.5% | +0.0% | **-0.26** | -344.9% | 37.1% | 0.49 | 70 | 0.00 | +| 72 | 牛熊自适应 | 1h | spot | -70.8% | -19.0% | **-0.26** | -79.5% | 33.0% | 0.95 | 518 | -0.24 | +| 73 | 布林收缩爆发 | 2h | um | -12.7% | -2.4% | **-0.28** | -29.5% | 26.1% | 0.85 | 119 | -0.08 | +| 74 | 海龟交易 | 6h | spot | -22.7% | -4.4% | **-0.29** | -41.1% | 36.3% | 0.92 | 438 | -0.11 | +| 75 | 牛熊自适应 | 2h | um | -67.9% | -18.0% | **-0.29** | -88.6% | 30.9% | 0.90 | 265 | -0.20 | +| 76 | 布林收缩爆发 | 4h | um | -11.8% | -2.2% | **-0.31** | -17.8% | 33.3% | 0.75 | 63 | -0.12 | +| 77 | RSI均值回归 | 8h | um | -91.5% | -35.5% | **-0.31** | -94.2% | 38.2% | 0.53 | 76 | -0.38 | +| 78 | 海龟交易 | 6h | um | -23.9% | -4.7% | **-0.32** | -37.4% | 36.7% | 0.91 | 422 | -0.13 | +| 79 | RSI均值回归 | 1h | spot | -79.8% | -24.0% | **-0.40** | -86.5% | 45.5% | 0.93 | 475 | -0.28 | +| 80 | RSI均值回归 | 2h | um | -83.6% | -27.1% | **-0.40** | -89.5% | 41.8% | 0.85 | 249 | -0.30 | +| 81 | 超级趋势 | 4h | spot | -40.6% | -8.6% | **-0.43** | -53.0% | 37.2% | 0.71 | 145 | -0.16 | +| 82 | RSI均值回归 | 6h | um | -96.4% | -44.4% | **-0.45** | -97.9% | 38.6% | 0.61 | 101 | -0.45 | +| 83 | 超级趋势 | 2h | spot | -47.6% | -10.5% | **-0.53** | -56.6% | 35.4% | 0.76 | 285 | -0.19 | +| 84 | 超级趋势 | 2h | um | -46.4% | -10.3% | **-0.53** | -59.5% | 35.6% | 0.77 | 278 | -0.17 | +| 85 | RSI均值回归 | 6h | spot | -95.6% | -41.9% | **-0.60** | -97.1% | 38.0% | 0.60 | 100 | -0.43 | +| 86 | RSI均值回归 | 8h | spot | -96.2% | -43.5% | **-0.63** | -97.3% | 33.3% | 0.37 | 75 | -0.45 | +| 87 | RSI均值回归 | 2h | spot | -89.8% | -32.4% | **-0.65** | -93.0% | 40.5% | 0.82 | 252 | -0.35 | +| 88 | 布林收缩爆发 | 1d | spot | -17.5% | -3.5% | **-0.67** | -20.3% | 20.0% | 0.21 | 10 | -0.17 | +| 89 | 布林收缩爆发 | 1d | um | -17.7% | -3.6% | **-0.67** | -20.5% | 20.0% | 0.21 | 10 | -0.17 | +| 90 | 海龟交易 | 4h | spot | -46.5% | -10.2% | **-0.70** | -53.8% | 31.9% | 0.85 | 653 | -0.19 | +| 91 | RSI均值回归 | 4h | spot | -96.0% | -42.6% | **-0.71** | -97.9% | 37.0% | 0.57 | 138 | -0.44 | +| 92 | MACD金叉死叉 | 1h | spot | -54.4% | -12.6% | **-0.72** | -57.5% | 36.1% | 0.90 | 1248 | -0.22 | +| 93 | MACD金叉死叉 | 1h | um | -55.6% | -13.2% | **-0.73** | -57.3% | 36.1% | 0.89 | 1241 | -0.23 | +| 94 | EMA双均线多空 | 1h | um | -99.8% | -66.9% | **-0.79** | -99.9% | 33.8% | 0.86 | 1026 | -0.67 | +| 95 | RSI均值回归 | 4h | um | -95.6% | -42.3% | **-0.80** | -97.8% | 36.2% | 0.54 | 138 | -0.43 | +| 96 | 海龟交易 | 4h | um | -50.4% | -11.6% | **-0.85** | -54.4% | 32.5% | 0.81 | 637 | -0.21 | +| 97 | EMA双均线多空 | 1h | spot | -99.9% | -68.5% | **-0.85** | -99.9% | 34.2% | 0.86 | 1046 | -0.69 | +| 98 | EMA双均线多空 | 2h | spot | -120.9% | +0.0% | **-1.06** | -113.0% | 32.1% | 0.74 | 84 | 0.00 | +| 99 | 海龟交易 | 2h | spot | -60.3% | -14.7% | **-1.12** | -61.1% | 32.6% | 0.86 | 1244 | -0.24 | +| 100 | 超级趋势 | 1h | um | -73.7% | -20.7% | **-1.15** | -76.0% | 34.3% | 0.65 | 586 | -0.27 | +| 101 | 海龟交易 | 2h | um | -61.5% | -15.4% | **-1.18** | -64.2% | 33.1% | 0.86 | 1210 | -0.24 | +| 102 | EMA双均线多空 | 6h | spot | -141.6% | +0.0% | **-1.28** | -153.2% | 29.2% | 0.44 | 24 | 0.00 | +| 103 | EMA双均线多空 | 6h | um | -178.5% | +0.0% | **-1.29** | -155.2% | 31.8% | 0.56 | 22 | 0.00 | +| 104 | EMA双均线多空 | 2h | um | -106.2% | +0.0% | **-1.36** | -105.1% | 37.0% | 0.58 | 73 | 0.00 | +| 105 | EMA双均线多空 | 1d | spot | -241.6% | +0.0% | **-2.68** | -346.8% | 0.0% | 0.00 | 1 | 0.00 | +| 106 | 海龟交易 | 1h | spot | -88.3% | -30.8% | **-2.76** | -89.2% | 29.8% | 0.76 | 2355 | -0.35 | +| 107 | 海龟交易 | 1h | um | -89.3% | -32.2% | **-3.02** | -89.4% | 29.4% | 0.71 | 2302 | -0.36 | +| 108 | EMA双均线多空 | 1d | um | -240.8% | +0.0% | **-3.02** | -345.6% | 0.0% | 0.00 | 1 | 0.00 | -> 🏆 **SOLUSDT 最优**：超级趋势 6h，夏普 **1.40**，总收益 **+620.1%** +> 🏆 **SOLUSDT 最优**：超级趋势 8h um，夏普 **1.51**，总收益 **+1161.8%** ---- +## 五、Spot vs 合约（UM）对比 — 全量夏普差异 -## 五、2h vs 6h — 周期对比分析 +| 策略 | 币种 | TF | Spot 夏普 | UM 夏普 | 差异 | 更优 | +|------|------|----|-----------|---------|------|------| +| ATR波动率突破 | BNBUSDT | 4h | -6.88 | 0.52 | +7.40 | um | +| EMA双均线多空 | ETHUSDT | 8h | -3.80 | -1.35 | +2.45 | um | +| EMA双均线多空 | BNBUSDT | 6h | -1.64 | 0.51 | +2.15 | um | +| EMA双均线多空 | BNBUSDT | 8h | -1.75 | -0.18 | +1.57 | um | +| 超级趋势 | SOLUSDT | 1h | 0.31 | -1.15 | -1.46 | spot | +| 超级趋势 | BNBUSDT | 4h | 0.72 | -0.65 | -1.37 | spot | +| 超级趋势 | SOLUSDT | 4h | -0.43 | 0.94 | +1.37 | um | +| 布林收缩爆发 | BNBUSDT | 6h | 0.54 | -0.81 | -1.35 | spot | +| EMA双均线多空 | BNBUSDT | 1h | -2.54 | -1.22 | +1.32 | um | +| 超级趋势 | BTCUSDT | 4h | 0.90 | -0.40 | -1.30 | spot | +| EMA双均线多空 | ETHUSDT | 6h | -1.11 | 0.19 | +1.30 | um | +| 超级趋势 | BTCUSDT | 1d | 0.73 | -0.50 | -1.23 | spot | +| 超级趋势 | BTCUSDT | 6h | 0.83 | -0.32 | -1.15 | spot | +| 超级趋势 | ETHUSDT | 4h | 0.86 | -0.29 | -1.15 | spot | +| EMA双均线多空 | ETHUSDT | 1d | 0.50 | 1.63 | +1.13 | um | +| EMA双均线多空 | BNBUSDT | 1d | -0.83 | -1.91 | -1.08 | spot | +| 布林收缩爆发 | BNBUSDT | 4h | 0.67 | -0.37 | -1.04 | spot | +| RSI均值回归 | SOLUSDT | 1d | -0.25 | 0.77 | +1.02 | um | +| 超级趋势 | BTCUSDT | 8h | 1.00 | 0.03 | -0.97 | spot | +| 牛熊自适应 | BNBUSDT | 2h | 0.76 | -0.19 | -0.95 | spot | +| 三均线排列 | BTCUSDT | 4h | 0.40 | -0.53 | -0.93 | spot | +| 布林收缩爆发 | ETHUSDT | 6h | 0.21 | -0.70 | -0.91 | spot | +| MACD金叉死叉 | SOLUSDT | 1d | 0.89 | 0.02 | -0.87 | spot | +| 布林收缩爆发 | ETHUSDT | 1d | 0.36 | -0.46 | -0.82 | spot | +| 海龟交易 | SOLUSDT | 1d | 0.84 | 0.07 | -0.77 | spot | +| 海龟交易 | BNBUSDT | 6h | 0.64 | -0.11 | -0.75 | spot | +| 三均线排列 | BTCUSDT | 2h | 0.26 | -0.44 | -0.70 | spot | +| 牛熊自适应 | BTCUSDT | 1h | -0.57 | -1.25 | -0.68 | spot | +| 三均线排列 | BNBUSDT | 2h | 0.34 | -0.31 | -0.65 | spot | +| EMA双均线多空 | BNBUSDT | 2h | 0.39 | -0.26 | -0.65 | spot | +| 牛熊自适应 | BTCUSDT | 2h | 0.39 | -0.25 | -0.64 | spot | +| 牛熊自适应 | ETHUSDT | 6h | 0.80 | 0.17 | -0.63 | spot | +| RSI均值回归 | BNBUSDT | 6h | -0.07 | -0.70 | -0.63 | spot | +| 布林收缩爆发 | ETHUSDT | 4h | 0.99 | 0.38 | -0.61 | spot | +| EMA双均线多空 | BTCUSDT | 1h | -0.73 | -1.33 | -0.60 | spot | +| 布林收缩爆发 | BNBUSDT | 2h | 0.30 | -0.30 | -0.60 | spot | +| ATR波动率突破 | BTCUSDT | 1h | 0.78 | 0.19 | -0.59 | spot | +| MACD金叉死叉 | BNBUSDT | 2h | 0.55 | -0.01 | -0.56 | spot | +| ATR波动率突破 | BNBUSDT | 1h | 0.59 | 0.06 | -0.53 | spot | +| 布林收缩爆发 | BTCUSDT | 6h | -0.13 | -0.65 | -0.52 | spot | +| ATR波动率突破 | BTCUSDT | 6h | 0.90 | 0.40 | -0.50 | spot | +| MACD金叉死叉 | ETHUSDT | 2h | 0.67 | 0.18 | -0.49 | spot | +| 三均线排列 | BTCUSDT | 6h | 0.93 | 0.46 | -0.47 | spot | +| EMA双均线多空 | BTCUSDT | 4h | 0.44 | -0.03 | -0.47 | spot | +| MACD金叉死叉 | ETHUSDT | 6h | 0.81 | 0.35 | -0.46 | spot | +| ATR波动率突破 | ETHUSDT | 1d | 0.41 | 0.87 | +0.46 | um | +| MACD金叉死叉 | ETHUSDT | 1h | -0.16 | -0.61 | -0.45 | spot | +| 三均线排列 | BNBUSDT | 4h | 0.77 | 0.35 | -0.42 | spot | +| 牛熊自适应 | ETHUSDT | 2h | 0.10 | -0.32 | -0.42 | spot | +| 布林收缩爆发 | SOLUSDT | 4h | 0.11 | -0.31 | -0.42 | spot | +| EMA双均线多空 | ETHUSDT | 2h | -0.60 | -0.18 | +0.42 | um | +| 海龟交易 | BNBUSDT | 4h | 0.34 | -0.07 | -0.41 | spot | +| ATR波动率突破 | BNBUSDT | 6h | 0.67 | 1.08 | +0.41 | um | +| RSI均值回归 | BNBUSDT | 2h | -0.72 | -0.31 | +0.41 | um | +| 牛熊自适应 | BNBUSDT | 8h | 0.70 | 1.10 | +0.40 | um | +| 超级趋势 | ETHUSDT | 2h | -0.05 | -0.45 | -0.40 | spot | +| 布林收缩爆发 | SOLUSDT | 8h | 0.98 | 0.60 | -0.38 | spot | +| 三均线排列 | ETHUSDT | 2h | -0.39 | -0.77 | -0.38 | spot | +| MACD金叉死叉 | BNBUSDT | 4h | 0.72 | 0.35 | -0.37 | spot | +| RSI均值回归 | BNBUSDT | 4h | -0.77 | -1.14 | -0.37 | spot | +| RSI均值回归 | BTCUSDT | 2h | -1.34 | -0.98 | +0.36 | um | +| ATR波动率突破 | BTCUSDT | 2h | 1.12 | 0.76 | -0.36 | spot | +| 超级趋势 | ETHUSDT | 1h | -0.45 | -0.81 | -0.36 | spot | +| 布林收缩爆发 | ETHUSDT | 1h | -0.44 | -0.08 | +0.36 | um | +| 布林收缩爆发 | BTCUSDT | 1h | 0.25 | -0.10 | -0.35 | spot | +| RSI均值回归 | BNBUSDT | 1h | -1.19 | -0.85 | +0.34 | um | +| EMA双均线多空 | SOLUSDT | 1d | -2.68 | -3.02 | -0.34 | spot | +| MACD金叉死叉 | ETHUSDT | 1d | 0.76 | 0.43 | -0.33 | spot | +| 三均线排列 | BTCUSDT | 8h | 0.74 | 0.41 | -0.33 | spot | +| MACD金叉死叉 | BTCUSDT | 8h | 0.59 | 0.26 | -0.33 | spot | +| MACD金叉死叉 | BTCUSDT | 1d | 0.81 | 0.49 | -0.32 | spot | +| MACD金叉死叉 | BTCUSDT | 4h | 0.33 | 0.01 | -0.32 | spot | +| MACD金叉死叉 | BNBUSDT | 1h | -0.32 | -0.64 | -0.32 | spot | +| RSI均值回归 | SOLUSDT | 8h | -0.63 | -0.31 | +0.32 | um | +| 布林收缩爆发 | BNBUSDT | 1d | 0.03 | -0.29 | -0.32 | spot | +| RSI均值回归 | ETHUSDT | 6h | -0.86 | -0.54 | +0.32 | um | +| 海龟交易 | BTCUSDT | 8h | 0.28 | -0.03 | -0.31 | spot | +| RSI均值回归 | BTCUSDT | 6h | -0.52 | -0.83 | -0.31 | spot | +| 海龟交易 | BTCUSDT | 6h | 0.17 | -0.13 | -0.30 | spot | +| 超级趋势 | BTCUSDT | 1h | -0.62 | -0.92 | -0.30 | spot | +| EMA双均线多空 | BTCUSDT | 2h | -0.48 | -0.78 | -0.30 | spot | +| EMA双均线多空 | SOLUSDT | 2h | -1.06 | -1.36 | -0.30 | spot | +| MACD金叉死叉 | BTCUSDT | 6h | 0.12 | -0.18 | -0.30 | spot | +| MACD金叉死叉 | ETHUSDT | 4h | 0.44 | 0.14 | -0.30 | spot | +| 牛熊自适应 | ETHUSDT | 1h | -0.13 | -0.43 | -0.30 | spot | +| 三均线排列 | ETHUSDT | 1h | -0.32 | -0.61 | -0.29 | spot | +| 三均线排列 | BTCUSDT | 1d | 0.62 | 0.90 | +0.28 | um | +| 三均线排列 | BNBUSDT | 1h | -0.22 | -0.50 | -0.28 | spot | +| 牛熊自适应 | ETHUSDT | 4h | 1.24 | 0.96 | -0.28 | spot | +| 牛熊自适应 | SOLUSDT | 6h | 0.68 | 0.40 | -0.28 | spot | +| 布林收缩爆发 | BTCUSDT | 8h | 0.24 | -0.04 | -0.28 | spot | +| 三均线排列 | BNBUSDT | 6h | 0.77 | 0.50 | -0.27 | spot | +| 海龟交易 | BNBUSDT | 1h | -2.14 | -1.88 | +0.26 | um | +| 海龟交易 | SOLUSDT | 1h | -2.76 | -3.02 | -0.26 | spot | +| RSI均值回归 | ETHUSDT | 2h | -1.33 | -1.07 | +0.26 | um | +| RSI均值回归 | ETHUSDT | 1d | -0.42 | -0.67 | -0.25 | spot | +| MACD金叉死叉 | ETHUSDT | 8h | 0.76 | 0.51 | -0.25 | spot | +| RSI均值回归 | SOLUSDT | 2h | -0.65 | -0.40 | +0.25 | um | +| 三均线排列 | ETHUSDT | 4h | 0.65 | 0.41 | -0.24 | spot | +| 牛熊自适应 | SOLUSDT | 8h | 0.65 | 0.41 | -0.24 | spot | +| RSI均值回归 | ETHUSDT | 1h | -1.81 | -1.57 | +0.24 | um | +| ATR波动率突破 | ETHUSDT | 4h | 0.84 | 0.60 | -0.24 | spot | +| ATR波动率突破 | BNBUSDT | 8h | 0.51 | 0.75 | +0.24 | um | +| RSI均值回归 | BTCUSDT | 1d | -0.58 | -0.34 | +0.24 | um | +| 布林收缩爆发 | ETHUSDT | 8h | 0.34 | 0.11 | -0.23 | spot | +| 超级趋势 | BNBUSDT | 1h | 0.49 | 0.26 | -0.23 | spot | +| RSI均值回归 | ETHUSDT | 4h | -1.01 | -0.78 | +0.23 | um | +| 牛熊自适应 | BNBUSDT | 6h | 1.21 | 1.44 | +0.23 | um | +| 牛熊自适应 | BTCUSDT | 1d | 1.03 | 1.25 | +0.22 | um | +| 海龟交易 | ETHUSDT | 6h | 0.23 | 0.02 | -0.21 | spot | +| 牛熊自适应 | BNBUSDT | 1h | 0.03 | -0.17 | -0.20 | spot | +| 布林收缩爆发 | BNBUSDT | 1h | 0.42 | 0.22 | -0.20 | spot | +| 超级趋势 | BNBUSDT | 8h | 0.49 | 0.69 | +0.20 | um | +| 牛熊自适应 | BNBUSDT | 1d | 0.93 | 1.13 | +0.20 | um | +| EMA双均线多空 | BTCUSDT | 8h | 0.62 | 0.81 | +0.19 | um | +| 牛熊自适应 | BTCUSDT | 6h | 0.67 | 0.48 | -0.19 | spot | +| 牛熊自适应 | BNBUSDT | 4h | 0.92 | 0.73 | -0.19 | spot | +| 海龟交易 | BTCUSDT | 1h | -3.18 | -2.99 | +0.19 | um | +| ATR波动率突破 | BNBUSDT | 1d | 0.68 | 0.87 | +0.19 | um | +| 三均线排列 | ETHUSDT | 1d | 0.37 | 0.55 | +0.18 | um | +| 布林收缩爆发 | BTCUSDT | 4h | -0.17 | -0.35 | -0.18 | spot | +| 海龟交易 | BNBUSDT | 2h | -1.08 | -1.26 | -0.18 | spot | +| 三均线排列 | BTCUSDT | 1h | -0.51 | -0.68 | -0.17 | spot | +| 三均线排列 | BNBUSDT | 1d | 0.57 | 0.74 | +0.17 | um | +| RSI均值回归 | BTCUSDT | 8h | -0.56 | -0.73 | -0.17 | spot | +| ATR波动率突破 | ETHUSDT | 2h | 0.85 | 0.68 | -0.17 | spot | +| ATR波动率突破 | SOLUSDT | 4h | 1.12 | 1.29 | +0.17 | um | +| RSI均值回归 | BNBUSDT | 8h | -0.30 | -0.46 | -0.16 | spot | +| ATR波动率突破 | ETHUSDT | 8h | 1.00 | 0.84 | -0.16 | spot | +| 牛熊自适应 | ETHUSDT | 8h | 0.47 | 0.31 | -0.16 | spot | +| ATR波动率突破 | BNBUSDT | 2h | 0.83 | 0.67 | -0.16 | spot | +| 海龟交易 | SOLUSDT | 4h | -0.70 | -0.85 | -0.15 | spot | +| 三均线排列 | BNBUSDT | 8h | 0.88 | 0.73 | -0.15 | spot | -### BNBUSDT +> 显著差异（|Δ夏普|>0.15）共 133 组：UM 更优 37 组，Spot 更优 96 组 -#### 📅 全量 +## 六、2h vs 6h — 周期对比（按类型分组） + +### SPOT + +#### BTCUSDT | 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 ✅ | +| 海龟交易 | -1.71 | -71.8% | 0.17 | +9.8% | 6h ✅ | +| 超级趋势 | -0.39 | -36.8% | 0.83 | +113.4% | 6h ✅ | +| MACD金叉死叉 | 0.13 | +7.8% | 0.12 | +6.0% | 2h ✅ | +| 布林收缩爆发 | -0.18 | -7.0% | -0.13 | -6.0% | 6h ✅ | +| 三均线排列 | 0.26 | +14.0% | 0.93 | +86.1% | 6h ✅ | +| RSI均值回归 | -1.34 | -98.5% | -0.52 | -85.8% | 6h ✅ | +| ATR波动率突破 | 1.12 | +4378.7% | 0.90 | +1409.3% | 2h ✅ | +| EMA双均线多空 | -0.48 | -99.3% | 0.81 | +1129.9% | 6h ✅ | +| 牛熊自适应 | 0.39 | +88.0% | 0.67 | +317.6% | 6h ✅ | -> 全量：6h 胜 5/9，2h 胜 4/9 - -#### 📅 近两年 +#### ETHUSDT | 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 ✅ | +| 海龟交易 | -1.18 | -64.1% | 0.23 | +17.0% | 6h ✅ | +| 超级趋势 | -0.05 | -14.3% | 0.10 | +4.3% | 6h ✅ | +| MACD金叉死叉 | 0.67 | +104.8% | 0.81 | +108.3% | 6h ✅ | +| 布林收缩爆发 | 0.38 | +20.9% | 0.21 | +9.4% | 2h ✅ | +| 三均线排列 | -0.39 | -23.7% | 0.72 | +81.9% | 6h ✅ | +| RSI均值回归 | -1.33 | -99.7% | -0.86 | -98.0% | 6h ✅ | +| ATR波动率突破 | 0.85 | +1744.5% | 1.02 | +4659.2% | 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 ✅ | +| 牛熊自适应 | 0.10 | -22.2% | 0.80 | +748.9% | 6h ✅ | -> 全量：6h 胜 7/9，2h 胜 2/9 - -#### 📅 近两年 +#### BNBUSDT | 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 ✅ | +| 海龟交易 | -1.08 | -64.3% | 0.64 | +95.7% | 6h ✅ | +| 超级趋势 | 0.94 | +512.2% | 0.72 | +285.4% | 2h ✅ | +| MACD金叉死叉 | 0.55 | +96.8% | 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 | -0.72 | -96.5% | -0.07 | -80.3% | 6h ✅ | +| ATR波动率突破 | 0.83 | +2197.7% | 0.67 | +676.2% | 2h ✅ | +| EMA双均线多空 | 0.39 | +37.4% | -1.64 | -278.8% | 2h ✅ | +| 牛熊自适应 | 0.76 | +836.1% | 1.21 | +3592.9% | 6h ✅ | -> 近两年：6h 胜 8/9，2h 胜 1/9 - -#### 📅 近一年 +#### SOLUSDT | 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 ✅ | +| 海龟交易 | -1.12 | -60.3% | -0.29 | -22.7% | 6h ✅ | +| 超级趋势 | -0.53 | -47.6% | 1.40 | +625.8% | 6h ✅ | +| MACD金叉死叉 | 0.52 | +51.1% | 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 ✅ | +| 三均线排列 | 0.54 | +34.4% | 0.34 | +19.2% | 2h ✅ | +| RSI均值回归 | -0.65 | -89.8% | -0.60 | -95.6% | 6h ✅ | +| ATR波动率突破 | 1.38 | +10978.1% | 1.19 | +3897.4% | 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 ✅ | +| 牛熊自适应 | -0.21 | -62.8% | 0.68 | +219.6% | 6h ✅ | -> 全量：6h 胜 6/9，2h 胜 3/9 +### UM -#### 📅 近两年 +#### BTCUSDT | 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 ✅ | +| 海龟交易 | -1.63 | -55.8% | -0.13 | -7.5% | 6h ✅ | +| 超级趋势 | -0.49 | -31.2% | -0.32 | -23.0% | 6h ✅ | +| MACD金叉死叉 | -0.01 | -3.2% | -0.18 | -10.8% | 2h ✅ | +| 布林收缩爆发 | -0.26 | -5.9% | -0.65 | -14.5% | 2h ✅ | +| 三均线排列 | -0.44 | -14.7% | 0.46 | +23.3% | 6h ✅ | +| RSI均值回归 | -0.98 | -90.4% | -0.83 | -85.6% | 6h ✅ | +| ATR波动率突破 | 0.76 | +404.5% | 0.40 | +72.8% | 2h ✅ | +| EMA双均线多空 | -0.78 | -99.4% | 0.72 | +359.7% | 6h ✅ | +| 牛熊自适应 | -0.25 | -44.2% | 0.48 | +96.4% | 6h ✅ | -> 近两年：6h 胜 4/9，2h 胜 5/9 - -#### 📅 近一年 +#### ETHUSDT | 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 ✅ | +| 海龟交易 | -1.14 | -50.7% | 0.02 | -1.5% | 6h ✅ | +| 超级趋势 | -0.45 | -36.8% | -0.01 | -6.4% | 6h ✅ | +| MACD金叉死叉 | 0.18 | +10.2% | 0.35 | +22.2% | 6h ✅ | +| 布林收缩爆发 | 0.41 | +14.9% | -0.70 | -20.6% | 2h ✅ | +| 三均线排列 | -0.77 | -29.1% | 0.80 | +62.5% | 6h ✅ | +| RSI均值回归 | -1.07 | -95.8% | -0.54 | -81.5% | 6h ✅ | +| ATR波动率突破 | 0.68 | +353.2% | 1.09 | +2156.2% | 6h ✅ | +| EMA双均线多空 | -0.18 | -89.9% | 0.19 | -12.5% | 6h ✅ | +| 牛熊自适应 | -0.32 | -61.2% | 0.17 | +3.3% | 6h ✅ | -> 近一年：6h 胜 5/9，2h 胜 4/9 - -#### 📅 近半年 +#### BNBUSDT | 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 ✅ | +| 海龟交易 | -1.26 | -55.2% | -0.11 | -9.6% | 6h ✅ | +| 超级趋势 | 0.88 | +239.3% | 0.72 | +165.3% | 2h ✅ | +| MACD金叉死叉 | -0.01 | -6.0% | 0.26 | +18.3% | 6h ✅ | +| 布林收缩爆发 | -0.30 | -9.1% | -0.81 | -22.4% | 2h ✅ | +| 三均线排列 | -0.31 | -15.4% | 0.50 | +26.4% | 6h ✅ | +| RSI均值回归 | -0.31 | -66.3% | -0.70 | -90.5% | 2h ✅ | +| ATR波动率突破 | 0.67 | +360.8% | 1.08 | +2241.7% | 6h ✅ | +| EMA双均线多空 | -0.26 | -83.4% | 0.51 | +111.6% | 6h ✅ | +| 牛熊自适应 | -0.19 | -42.9% | 1.44 | +2076.9% | 6h ✅ | -> 近半年：6h 胜 5/9，2h 胜 4/9 +#### SOLUSDT ---- - -## 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 | - ---- +| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 | +|------|---------|----------|---------|----------|----------| +| 海龟交易 | -1.18 | -61.5% | -0.32 | -23.9% | 6h ✅ | +| 超级趋势 | -0.53 | -46.4% | 1.42 | +608.5% | 6h ✅ | +| MACD金叉死叉 | 0.63 | +65.0% | 0.73 | +86.7% | 6h ✅ | +| 布林收缩爆发 | -0.28 | -12.7% | -0.17 | -11.4% | 6h ✅ | +| 三均线排列 | 0.47 | +28.1% | 0.34 | +18.7% | 2h ✅ | +| RSI均值回归 | -0.40 | -83.6% | -0.45 | -96.4% | 2h ✅ | +| ATR波动率突破 | 1.41 | +10658.9% | 1.16 | +3152.2% | 2h ✅ | +| EMA双均线多空 | -1.36 | -106.2% | -1.29 | -178.5% | 6h ✅ | +| 牛熊自适应 | -0.29 | -67.9% | 0.40 | +58.8% | 6h ✅ | ## 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** | +| 排名 | 策略 | 币种 | TF | 类型 | 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 | um | +10658.9% | +126.5% | **1.41** | -61.9% | 36.5% | 1.40 | **1.056** | +| 🥈 | ATR波动率突破 | SOLUSDT | 2h | spot | +10978.1% | +124.6% | **1.38** | -59.8% | 37.9% | 1.34 | **1.044** | +| 🥉 | ATR波动率突破 | SOLUSDT | 4h | um | +6725.3% | +110.1% | **1.29** | -75.8% | 26.4% | 1.22 | **0.911** | +| 4 | ATR波动率突破 | SOLUSDT | 8h | um | +6002.2% | +107.8% | **1.30** | -78.0% | 34.1% | 1.36 | **0.903** | +| 5 | 牛熊自适应 | BNBUSDT | 6h | um | +2076.9% | +63.7% | **1.44** | -35.6% | 39.4% | 2.15 | **0.897** | +| 6 | 超级趋势 | SOLUSDT | 8h | um | +1161.8% | +57.0% | **1.51** | -35.0% | 45.9% | 3.00 | **0.894** | +| 7 | ATR波动率突破 | SOLUSDT | 8h | spot | +5956.7% | +105.1% | **1.29** | -78.5% | 34.1% | 1.36 | **0.889** | +| 8 | 超级趋势 | SOLUSDT | 8h | spot | +756.6% | +45.6% | **1.44** | -35.2% | 47.5% | 2.94 | **0.806** | +| 9 | ATR波动率突破 | SOLUSDT | 6h | spot | +3897.4% | +90.0% | **1.19** | -84.4% | 22.0% | 1.22 | **0.787** | +| 10 | 超级趋势 | SOLUSDT | 6h | um | +608.5% | +41.4% | **1.42** | -37.1% | 41.9% | 2.25 | **0.770** | +| 11 | 超级趋势 | SOLUSDT | 6h | spot | +625.8% | +41.2% | **1.40** | -37.0% | 40.2% | 2.22 | **0.762** | +| 12 | 牛熊自适应 | ETHUSDT | 4h | spot | +4239.5% | +53.7% | **1.24** | -37.3% | 40.5% | 1.75 | **0.759** | +| 13 | ATR波动率突破 | SOLUSDT | 4h | spot | +3128.3% | +82.4% | **1.12** | -67.6% | 26.3% | 1.23 | **0.756** | +| 14 | ATR波动率突破 | SOLUSDT | 6h | um | +3152.2% | +85.1% | **1.16** | -85.8% | 22.4% | 1.20 | **0.755** | +| 15 | 牛熊自适应 | BNBUSDT | 6h | spot | +3592.9% | +52.8% | **1.21** | -44.5% | 37.5% | 1.99 | **0.721** | +| 16 | 牛熊自适应 | BNBUSDT | 1d | um | +1363.3% | +57.1% | **1.13** | -45.3% | 38.1% | 2.19 | **0.706** | +| 17 | ATR波动率突破 | ETHUSDT | 6h | um | +2156.2% | +62.1% | **1.09** | -47.7% | 34.2% | 1.88 | **0.705** | +| 18 | 牛熊自适应 | BTCUSDT | 1d | um | +640.3% | +37.0% | **1.25** | -30.6% | 50.0% | 2.91 | **0.702** | +| 19 | ATR波动率突破 | SOLUSDT | 1h | um | +2227.4% | +73.0% | **1.06** | -71.2% | 32.4% | 1.21 | **0.691** | +| 20 | ATR波动率突破 | BNBUSDT | 6h | um | +2241.7% | +65.6% | **1.08** | -60.7% | 29.0% | 1.75 | **0.687** | ---- - -## 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） +## 八、策略类型平均表现（全量，4币种×2TF×2类型 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% | +| 趋势跟踪 | 海龟交易 | -0.60 | -13.9% | -41.8% | +| 趋势跟踪 | 超级趋势 | 0.20 | +115.5% | -38.3% | +| 动量 | MACD金叉死叉 | 0.30 | +44.5% | -29.3% | +| 波动率突破 | 布林收缩爆发 | -0.02 | +5.2% | -16.9% | +| 趋势跟踪 | 三均线排列 | 0.31 | +25.8% | -20.1% | +| 均值回归 | RSI均值回归 | -0.72 | -79.0% | -92.3% | +| 波动率突破 | ATR波动率突破 | 0.67 | +1989.4% | -68.5% | +| 趋势跟踪 | EMA双均线多空 | -0.55 | -240.5% | -171.7% | +| 牛熊自适应 | 牛熊自适应 | 0.44 | +445.9% | -59.8% | ---- +## 九、关键发现 -*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%。* +### 🏆 综合最优策略 +- **EMA双均线多空** — ETHUSDT 1d um + - 夏普比率：**1.63** + - 总收益：**-125.4%** + - 年化收益：**+0.0%** + - 最大回撤：-156.4% + - 交易次数：1 -*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 +### 📊 各币种最优策略（全量，按夏普） + +| 币种 | 最优策略 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 交易数 | +|------|----------|----|------|---------|-------|------|-------|--------| +| BTCUSDT | **牛熊自适应** | 1d | um | +640.3% | +37.0% | **1.25** | -30.6% | 22 | +| ETHUSDT | **EMA双均线多空** | 1d | um | -125.4% | +0.0% | **1.63** | -156.4% | 1 | +| BNBUSDT | **牛熊自适应** | 6h | um | +2076.9% | +63.7% | **1.44** | -35.6% | 94 | +| SOLUSDT | **超级趋势** | 8h | um | +1161.8% | +57.0% | **1.51** | -35.0% | 61 | + +### 🔄 Spot vs 合约（UM） + +- Spot 平均夏普：**0.05** +- UM（合约）平均夏普：**-0.04** +- 差距：-0.09 diff --git a/engine/example/comparison_2h_6h_result.json b/engine/example/comparison_2h_6h_result.json index 984eb45..88db067 100644 --- a/engine/example/comparison_2h_6h_result.json +++ b/engine/example/comparison_2h_6h_result.json @@ -7,8 +7,16 @@ "SOLUSDT" ], "timeframes": [ + "1h", "2h", - "6h" + "4h", + "6h", + "8h", + "1d" + ], + "pair_types": [ + "spot", + "um" ], "periods": [ "全量", @@ -18,1653 +26,10297 @@ ], "initial_capital": 10000.0, "warmup_bars": 150, - "total_tasks": 288, + "total_tasks": 1728, "total_errors": 0, - "elapsed_seconds": 28.711908102035522, - "run_time": "2026-06-13T11:36:37.508375+00:00" + "elapsed_seconds": 187.95839381217957, + "run_time": "2026-06-17T00:56:23.754589+00:00" }, "results": [ { "策略名": "1.海龟交易", "币种": "BTCUSDT", - "时间级别": "2h", + "时间级别": "1h", + "类型": "spot", "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", + "日期范围": "2025-12-17~2026-06-17", "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, + "最终权益": 9279.99, + "总收益%": -7.2, + "年化收益%": -14.38, + "夏普比率": -2.91, + "最大回撤%": -7.2, + "胜率%": 28.08, + "盈亏比": 0.76, + "交易次数": 146, + "平均盈亏": -2.51, + "最佳盈亏": 129.76, + "最差盈亏": -53.95, + "卡尔玛比率": -2.0, "耗时s": 0.7 }, { "策略名": "1.海龟交易", "币种": "BTCUSDT", - "时间级别": "6h", + "时间级别": "1h", + "类型": "um", + "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": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 6022.95, + "总收益%": -39.77, + "年化收益%": -22.57, + "夏普比率": -5.07, + "最大回撤%": -39.77, + "胜率%": 26.12, + "盈亏比": 0.52, + "交易次数": 624, + "平均盈亏": -4.45, + "最佳盈亏": 134.53, + "最差盈亏": -64.03, + "卡尔玛比率": -0.57, + "耗时s": 0.8 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "1h", + "类型": "spot", + "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": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 8273.75, + "总收益%": -17.26, + "年化收益%": -17.54, + "夏普比率": -4.4, + "最大回撤%": -17.5, + "胜率%": 27.18, + "盈亏比": 0.62, + "交易次数": 298, + "平均盈亏": -3.53, + "最佳盈亏": 115.69, + "最差盈亏": -72.39, + "卡尔玛比率": -1.0, + "耗时s": 0.8 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "1h", + "类型": "spot", + "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": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 5994.1, + "总收益%": -40.06, + "年化收益%": -22.75, + "夏普比率": -5.23, + "最大回撤%": -40.06, + "胜率%": 26.49, + "盈亏比": 0.52, + "交易次数": 638, + "平均盈亏": -4.36, + "最佳盈亏": 135.01, + "最差盈亏": -64.36, + "卡尔玛比率": -0.57, + "耗时s": 0.8 + }, + { + "策略名": "1.海龟交易", + "币种": "BTCUSDT", + "时间级别": "1h", + "类型": "um", "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", + "日期范围": "2025-12-17~2026-06-17", "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, + "最终权益": 9227.77, + "总收益%": -7.72, + "年化收益%": -15.38, + "夏普比率": -3.19, + "最大回撤%": -7.78, + "胜率%": 26.24, + "盈亏比": 0.72, + "交易次数": 141, + "平均盈亏": -3.05, + "最佳盈亏": 129.22, + "最差盈亏": -54.36, + "卡尔玛比率": -1.98, + "耗时s": 1.1 + }, + { + "策略名": "1.海龟交易", + "币种": 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"卡尔玛比率": 0.23, - "耗时s": 0.5 - }, - { - "策略名": "3.MACD金叉死叉", - "币种": "BNBUSDT", - "时间级别": "6h", - "数据量": "近两年", - "策略类型": "动量", - "策略参数": "MACD(12,26,9)/ATR(14)x2.0", - "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", - "日期范围": "2024-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 9523.86, - "总收益%": -4.76, - "年化收益%": -2.55, - "夏普比率": -0.29, - "最大回撤%": -12.58, - "胜率%": 31.08, - "盈亏比": 0.9, - "交易次数": 74, - "平均盈亏": -3.94, - "最佳盈亏": 315.2, - "最差盈亏": -202.09, - "卡尔玛比率": -0.2, - "耗时s": 0.5 - }, - { - "策略名": "3.MACD金叉死叉", - "币种": "BNBUSDT", - "时间级别": "2h", - "数据量": "全量", - "策略类型": "动量", - "策略参数": "MACD(12,26,9)/ATR(14)x2.0", - "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", - "日期范围": "2017-11-06~2026-06-11", - "初始资金": 10000.0, - "最终权益": 19764.28, - "总收益%": 97.64, - "年化收益%": 8.28, - "夏普比率": 0.55, - "最大回撤%": -37.83, - "胜率%": 37.73, - "盈亏比": 1.22, - "交易次数": 917, - "平均盈亏": 15.93, - "最佳盈亏": 4221.86, - "最差盈亏": -1247.54, - "卡尔玛比率": 0.22, - "耗时s": 1.1 - }, - { - "策略名": "3.MACD金叉死叉", - "币种": "BNBUSDT", - "时间级别": "6h", - "数据量": "近一年", - "策略类型": "动量", - "策略参数": "MACD(12,26,9)/ATR(14)x2.0", - "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", - "日期范围": "2025-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 9596.72, - "总收益%": -4.03, - "年化收益%": -4.52, - "夏普比率": -0.52, - "最大回撤%": -7.76, - "胜率%": 36.36, - "盈亏比": 0.8, - "交易次数": 33, - "平均盈亏": -9.7, - "最佳盈亏": 294.85, - "最差盈亏": -203.64, - "卡尔玛比率": -0.58, "耗时s": 0.6 }, { "策略名": "3.MACD金叉死叉", "币种": "BNBUSDT", "时间级别": "6h", + "类型": "spot", + "数据量": "近一年", + "策略类型": "动量", + "策略参数": "MACD(12,26,9)/ATR(14)x2.0", + "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9859.55, + "总收益%": -1.4, + "年化收益%": -1.57, + "夏普比率": -0.15, + "最大回撤%": -5.71, + "胜率%": 39.39, + "盈亏比": 0.96, + "交易次数": 33, + "平均盈亏": -1.76, + "最佳盈亏": 302.93, + "最差盈亏": -209.22, + "卡尔玛比率": -0.27, + "耗时s": 0.3 + }, + { + "策略名": "3.MACD金叉死叉", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "spot", "数据量": "近半年", "策略类型": "动量", "策略参数": "MACD(12,26,9)/ATR(14)x2.0", "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", - "日期范围": "2025-12-13~2026-06-13", + "日期范围": "2025-12-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9971.19, "总收益%": -0.29, - "年化收益%": -0.74, + "年化收益%": -0.73, "夏普比率": -0.05, "最大回撤%": -5.41, "胜率%": 40.0, @@ -2133,118 +12729,1248 @@ "平均盈亏": 0.62, "最佳盈亏": 267.52, "最差盈亏": -101.79, + "卡尔玛比率": -0.13, + "耗时s": 0.3 + }, + { + "策略名": "3.MACD金叉死叉", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "近一年", + "策略类型": "动量", + "策略参数": "MACD(12,26,9)/ATR(14)x2.0", + "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9861.72, + "总收益%": -1.38, + "年化收益%": -1.54, + "夏普比率": -0.15, + "最大回撤%": -5.77, + "胜率%": 42.42, + "盈亏比": 0.96, + "交易次数": 33, + "平均盈亏": -1.7, + "最佳盈亏": 301.9, + "最差盈亏": -211.03, + "卡尔玛比率": -0.27, + "耗时s": 0.3 + }, + { + "策略名": "3.MACD金叉死叉", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "近两年", + "策略类型": "动量", + "策略参数": "MACD(12,26,9)/ATR(14)x2.0", + "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9585.4, + "总收益%": -4.15, + "年化收益%": -2.21, + "夏普比率": -0.24, + "最大回撤%": -12.58, + "胜率%": 34.72, + "盈亏比": 0.92, + "交易次数": 72, + "平均盈亏": -3.25, + "最佳盈亏": 316.85, + "最差盈亏": -205.12, + "卡尔玛比率": -0.18, + "耗时s": 0.4 + }, + { + "策略名": "3.MACD金叉死叉", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "全量", + "策略类型": "动量", + "策略参数": "MACD(12,26,9)/ATR(14)x2.0", + "策略描述": "MACD(12,26,9)零轴上金叉做多/零轴下死叉做空+ATR止损", + "日期范围": "2020-02-10~2026-06-16", + "初始资金": 10000.0, + "最终权益": 11828.82, + "总收益%": 18.29, + "年化收益%": 2.72, + "夏普比率": 0.26, + "最大回撤%": -14.33, + "胜率%": 35.75, + "盈亏比": 1.2, + "交易次数": 221, + "平均盈亏": 11.2, + "最佳盈亏": 1411.54, + "最差盈亏": -464.07, + "卡尔玛比率": 0.19, + "耗时s": 0.5 + }, + { + "策略名": "3.MACD金叉死叉", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "近半年", + "策略类型": "动量", + "策略参数": "MACD(12,26,9)/ATR(14)x2.0", + "策略描述": 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+ { + "策略名": "4.布林收缩爆发", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "spot", "数据量": "全量", "策略类型": "波动率突破", "策略参数": "BB(20,2.0)/KC(20,1.5)/squeeze=30", "策略描述": "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损", - "日期范围": "2020-08-11~2026-06-11", + "日期范围": "2020-08-11~2026-06-16", "初始资金": 10000.0, "最终权益": 9455.07, "总收益%": -5.45, @@ -2998,70 +18680,23 @@ "最佳盈亏": 1908.42, "最差盈亏": -546.74, "卡尔玛比率": -0.05, - "耗时s": 0.6 - }, - { - "策略名": "4.布林收缩爆发", - "币种": "SOLUSDT", - "时间级别": "2h", - "数据量": "全量", - "策略类型": "波动率突破", - "策略参数": "BB(20,2.0)/KC(20,1.5)/squeeze=30", - "策略描述": "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损", - "日期范围": "2020-08-11~2026-06-11", - "初始资金": 10000.0, - "最终权益": 8763.15, - "总收益%": -12.37, - "年化收益%": -2.25, - "夏普比率": -0.23, - "最大回撤%": -27.24, - "胜率%": 29.1, - "盈亏比": 0.87, - "交易次数": 134, - "平均盈亏": -6.81, - "最佳盈亏": 696.29, - "最差盈亏": -283.42, - "卡尔玛比率": -0.08, - "耗时s": 1.1 - }, - { - "策略名": "4.布林收缩爆发", - "币种": "SOLUSDT", - "时间级别": "6h", - "数据量": "近两年", - "策略类型": "波动率突破", - "策略参数": "BB(20,2.0)/KC(20,1.5)/squeeze=30", - "策略描述": "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损", - "日期范围": "2024-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 9280.6, - "总收益%": -7.19, - "年化收益%": -3.87, - "夏普比率": -1.01, - "最大回撤%": -8.86, - "胜率%": 16.67, - "盈亏比": 0.27, - "交易次数": 12, - "平均盈亏": -57.51, - "最佳盈亏": 152.64, - "最差盈亏": -184.79, - "卡尔玛比率": -0.44, - "耗时s": 0.6 + "耗时s": 0.5 }, { "策略名": "4.布林收缩爆发", "币种": "SOLUSDT", "时间级别": "6h", + "类型": "spot", "数据量": "近半年", "策略类型": "波动率突破", "策略参数": "BB(20,2.0)/KC(20,1.5)/squeeze=30", "策略描述": "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损", - "日期范围": "2025-12-13~2026-06-13", + "日期范围": "2025-12-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9892.69, "总收益%": -1.07, - "年化收益%": -2.74, - "夏普比率": -2.14, + "年化收益%": -2.7, + "夏普比率": -2.13, "最大回撤%": -1.07, "胜率%": 0.0, "盈亏比": 0.0, @@ -3069,70 +18704,23 @@ "平均盈亏": -104.81, "最佳盈亏": -104.81, "最差盈亏": -104.81, - "卡尔玛比率": -2.55, - "耗时s": 0.2 - }, - { - "策略名": "5.三均线排列", - "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": "EMA(10,30,60)/ATR(14)x2.0", - "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 10019.86, - "总收益%": 0.2, - "年化收益%": 0.21, - "夏普比率": 0.07, - "最大回撤%": -4.98, - "胜率%": 34.55, - "盈亏比": 1.15, - "交易次数": 55, - "平均盈亏": 2.84, - "最佳盈亏": 207.2, - "最差盈亏": -116.51, - "卡尔玛比率": 0.04, + "卡尔玛比率": -2.51, "耗时s": 0.3 }, - { - "策略名": "5.三均线排列", - "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": "EMA(10,30,60)/ATR(14)x2.0", - "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2024-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 9324.07, - "总收益%": -6.76, - "年化收益%": -3.51, - "夏普比率": -0.93, - "最大回撤%": -10.9, - "胜率%": 32.29, - "盈亏比": 0.78, - "交易次数": 96, - "平均盈亏": -4.7, - "最佳盈亏": 192.81, - "最差盈亏": -110.83, - "卡尔玛比率": -0.32, - "耗时s": 0.4 - }, { "策略名": "4.布林收缩爆发", "币种": "SOLUSDT", "时间级别": "6h", + "类型": "spot", "数据量": "近一年", "策略类型": "波动率突破", "策略参数": "BB(20,2.0)/KC(20,1.5)/squeeze=30", "策略描述": "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损", - "日期范围": "2025-06-13~2026-06-13", + "日期范围": "2025-06-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9463.25, "总收益%": -5.37, - "年化收益%": -6.01, + "年化收益%": -5.97, "夏普比率": -1.37, "最大回撤%": -8.01, "胜率%": 14.29, @@ -3142,113 +18730,743 @@ "最佳盈亏": 155.65, "最差盈亏": -188.43, "卡尔玛比率": -0.75, - "耗时s": 0.4 + "耗时s": 0.5 }, { - "策略名": "5.三均线排列", - "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": "EMA(10,30,60)/ATR(14)x2.0", - "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-12-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 10194.75, - "总收益%": 1.95, - "年化收益%": 4.3, - "夏普比率": 1.07, - "最大回撤%": -2.11, - "胜率%": 35.71, - "盈亏比": 1.62, - "交易次数": 28, - "平均盈亏": 9.45, - "最佳盈亏": 210.82, - "最差盈亏": -55.21, - "卡尔玛比率": 2.04, - "耗时s": 0.4 - }, - { - "策略名": "5.三均线排列", - "币种": "BTCUSDT", + "策略名": "4.布林收缩爆发", + "币种": "SOLUSDT", "时间级别": "6h", + "类型": "um", + "数据量": "近半年", + "策略类型": "波动率突破", + "策略参数": "BB(20,2.0)/KC(20,1.5)/squeeze=30", + "策略描述": "BB收缩至KC内部后扩张爆发，顺势入场 + ATR止损", + 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"spot", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", "初始资金": 10000.0, "最终权益": 10267.33, "总收益%": 2.67, - "年化收益%": 1.41, + "年化收益%": 1.4, "夏普比率": 0.3, "最大回撤%": -5.48, "胜率%": 35.48, @@ -3604,63 +22311,16 @@ "策略名": "5.三均线排列", "币种": "BNBUSDT", "时间级别": "6h", - "数据量": "近半年", - "策略类型": "趋势跟踪", - "策略参数": "EMA(10,30,60)/ATR(14)x2.0", - "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-12-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 10107.58, - "总收益%": 1.08, - "年化收益%": 2.79, - "夏普比率": 0.61, - "最大回撤%": -2.78, - "胜率%": 42.86, - "盈亏比": 1.57, - "交易次数": 7, - "平均盈亏": 17.92, - "最佳盈亏": 268.22, - "最差盈亏": -98.89, - "卡尔玛比率": 1.0, - "耗时s": 0.6 - }, - { - "策略名": "5.三均线排列", - "币种": "BNBUSDT", - "时间级别": "6h", - "数据量": "近一年", - "策略类型": "趋势跟踪", - "策略参数": "EMA(10,30,60)/ATR(14)x2.0", - "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 10630.62, - "总收益%": 6.31, - "年化收益%": 7.11, - "夏普比率": 1.13, - "最大回撤%": -4.28, - "胜率%": 53.33, - "盈亏比": 2.13, - "交易次数": 15, - "平均盈亏": 44.67, - "最佳盈亏": 627.6, - "最差盈亏": -271.37, - "卡尔玛比率": 1.66, - "耗时s": 0.6 - }, - { - "策略名": "5.三均线排列", - "币种": "BNBUSDT", - "时间级别": "6h", + "类型": "spot", "数据量": "全量", "策略类型": "趋势跟踪", "策略参数": "EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2017-11-06~2026-06-11", + "日期范围": "2017-11-06~2026-06-16", "初始资金": 10000.0, "最终权益": 19390.04, "总收益%": 93.9, - "年化收益%": 8.11, + "年化收益%": 8.09, "夏普比率": 0.77, "最大回撤%": -21.08, "胜率%": 40.82, @@ -3670,17 +22330,718 @@ "最佳盈亏": 2312.04, "最差盈亏": -637.55, "卡尔玛比率": 0.38, - "耗时s": 0.7 + "耗时s": 0.6 + }, + { + "策略名": "5.三均线排列", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 10379.31, + "总收益%": 3.79, + 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"EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2024-06-13~2026-06-13", + "日期范围": "2024-06-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9746.17, "总收益%": -2.54, @@ -3694,21 +23055,22 @@ "最佳盈亏": 350.23, "最差盈亏": -193.31, "卡尔玛比率": -0.09, - "耗时s": 0.5 + "耗时s": 1.5 }, { "策略名": "5.三均线排列", "币种": "SOLUSDT", "时间级别": "2h", + "类型": "spot", "数据量": "全量", "策略类型": "趋势跟踪", "策略参数": "EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2020-08-11~2026-06-11", + "日期范围": "2020-08-11~2026-06-16", "初始资金": 10000.0, "最终权益": 13441.96, "总收益%": 34.42, - "年化收益%": 5.23, + "年化收益%": 5.22, "夏普比率": 0.54, "最大回撤%": -14.96, "胜率%": 38.89, @@ -3718,65 +23080,393 @@ "最佳盈亏": 1470.07, "最差盈亏": -318.05, "卡尔玛比率": 0.35, - "耗时s": 0.9 + "耗时s": 1.8 }, { "策略名": "5.三均线排列", "币种": "SOLUSDT", "时间级别": "2h", + "类型": "spot", "数据量": "近一年", "策略类型": "趋势跟踪", "策略参数": "EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-06-13~2026-06-13", + "日期范围": "2025-06-17~2026-06-17", "初始资金": 10000.0, - "最终权益": 9099.77, - "总收益%": -9.0, - "年化收益%": -9.37, - "夏普比率": -1.57, + "最终权益": 8713.55, + "总收益%": -12.86, + "年化收益%": -13.29, + "夏普比率": -1.79, "最大回撤%": -14.96, - "胜率%": 32.0, - "盈亏比": 0.57, - "交易次数": 50, - "平均盈亏": -15.59, - "最佳盈亏": 200.6, - "最差盈亏": -180.49, - "卡尔玛比率": -0.63, + "胜率%": 28.57, + "盈亏比": 0.34, + "交易次数": 49, + "平均盈亏": -23.88, + "最佳盈亏": 134.12, + "最差盈亏": -172.83, + "卡尔玛比率": -0.89, "耗时s": 0.6 }, { "策略名": "5.三均线排列", "币种": "SOLUSDT", "时间级别": "2h", + "类型": "spot", "数据量": "近半年", "策略类型": "趋势跟踪", "策略参数": "EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-12-13~2026-06-13", + "日期范围": "2025-12-17~2026-06-17", "初始资金": 10000.0, - "最终权益": 9452.09, - "总收益%": -5.48, - "年化收益%": -11.58, - "夏普比率": -2.3, + "最终权益": 9484.55, + "总收益%": -5.15, + "年化收益%": -10.78, + "夏普比率": -2.2, "最大回撤%": -6.45, - "胜率%": 25.0, - "盈亏比": 0.45, - "交易次数": 28, - "平均盈亏": -17.14, - "最佳盈亏": 145.49, - "最差盈亏": -86.31, - "卡尔玛比率": -1.8, + "胜率%": 25.93, + "盈亏比": 0.47, + "交易次数": 27, + "平均盈亏": -16.65, + "最佳盈亏": 145.99, + "最差盈亏": -86.6, + "卡尔玛比率": -1.67, + "耗时s": 0.7 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "2h", + "类型": "um", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9706.63, + "总收益%": -2.93, + "年化收益%": -1.5, + "夏普比率": -0.17, + "最大回撤%": -15.1, + "胜率%": 37.89, + "盈亏比": 0.99, + "交易次数": 95, + "平均盈亏": -0.51, + "最佳盈亏": 352.35, + "最差盈亏": -193.52, + "卡尔玛比率": -0.1, + "耗时s": 0.9 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "2h", + "类型": "um", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2020-09-14~2026-06-16", + "初始资金": 10000.0, + "最终权益": 12811.86, + "总收益%": 28.12, + "年化收益%": 4.42, + "夏普比率": 0.47, + "最大回撤%": -15.1, + "胜率%": 39.48, + "盈亏比": 1.25, + "交易次数": 271, + "平均盈亏": 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0.7 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "4h", + "类型": "spot", + "数据量": "近一年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9550.01, + "总收益%": -4.5, + "年化收益%": -4.83, + "夏普比率": -0.73, + "最大回撤%": -8.19, + "胜率%": 26.09, + "盈亏比": 0.7, + "交易次数": 23, + "平均盈亏": -17.08, + "最佳盈亏": 402.28, + "最差盈亏": -160.06, + "卡尔玛比率": -0.59, + "耗时s": 0.5 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "4h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9374.67, + "总收益%": -6.25, + "年化收益%": -13.97, + "夏普比率": -4.16, + "最大回撤%": -6.88, + "胜率%": 0.0, + "盈亏比": 0.0, + "交易次数": 10, + "平均盈亏": -60.12, + "最佳盈亏": -8.55, + "最差盈亏": -136.65, + "卡尔玛比率": -2.03, + "耗时s": 0.4 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "4h", + "类型": "um", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9705.06, + "总收益%": -2.95, + "年化收益%": -1.54, + "夏普比率": -0.21, + "最大回撤%": -8.26, + "胜率%": 28.57, + "盈亏比": 0.93, + "交易次数": 49, + "平均盈亏": -3.51, + "最佳盈亏": 406.18, + "最差盈亏": -189.16, + "卡尔玛比率": -0.19, + "耗时s": 0.3 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "4h", + "类型": "um", + "数据量": "近一年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9600.89, + "总收益%": -3.99, + "年化收益%": -4.28, + "夏普比率": -0.63, + "最大回撤%": -8.26, + "胜率%": 26.09, + "盈亏比": 0.74, + "交易次数": 23, + "平均盈亏": -14.86, + "最佳盈亏": 401.82, + "最差盈亏": -159.84, + "卡尔玛比率": -0.52, + "耗时s": 0.4 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "4h", + "类型": "um", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2020-09-14~2026-06-16", + "初始资金": 10000.0, + "最终权益": 12312.75, + "总收益%": 23.13, + "年化收益%": 3.72, + "夏普比率": 0.41, + "最大回撤%": -13.5, + "胜率%": 34.29, + "盈亏比": 1.3, + "交易次数": 140, + "平均盈亏": 19.51, + "最佳盈亏": 1546.78, + "最差盈亏": -352.67, + "卡尔玛比率": 0.28, + "耗时s": 0.6 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "4h", + "类型": "um", + "数据量": "近半年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9369.2, + "总收益%": -6.31, + "年化收益%": -14.08, + "夏普比率": -4.18, + "最大回撤%": -6.94, + "胜率%": 0.0, + "盈亏比": 0.0, + "交易次数": 10, + "平均盈亏": -60.67, + "最佳盈亏": -8.82, + "最差盈亏": -138.41, + "卡尔玛比率": -2.03, + "耗时s": 0.3 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9374.99, + "总收益%": -6.25, + "年化收益%": -15.09, + "夏普比率": -3.48, + "最大回撤%": -7.21, + "胜率%": 14.29, + "盈亏比": 0.0, + "交易次数": 7, + "平均盈亏": -86.84, + "最佳盈亏": 1.37, + "最差盈亏": -183.21, + "卡尔玛比率": -2.09, + "耗时s": 0.2 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "spot", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9502.26, "总收益%": -4.98, @@ -3796,39 +23486,16 @@ "策略名": "5.三均线排列", "币种": "SOLUSDT", "时间级别": "6h", - "数据量": "全量", - "策略类型": "趋势跟踪", - "策略参数": "EMA(10,30,60)/ATR(14)x2.0", - "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2020-08-11~2026-06-11", - "初始资金": 10000.0, - "最终权益": 11919.26, - "总收益%": 19.19, - "年化收益%": 3.11, - "夏普比率": 0.34, - "最大回撤%": -11.75, - "胜率%": 38.37, - "盈亏比": 1.32, - "交易次数": 86, - "平均盈亏": 25.35, - "最佳盈亏": 872.5, - "最差盈亏": -366.04, - "卡尔玛比率": 0.26, - "耗时s": 0.6 - }, - { - "策略名": "5.三均线排列", - "币种": "SOLUSDT", - "时间级别": "6h", + "类型": "spot", "数据量": "近一年", "策略类型": "趋势跟踪", "策略参数": "EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-06-13~2026-06-13", + "日期范围": "2025-06-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9769.74, "总收益%": -2.3, - "年化收益%": -2.58, + "年化收益%": -2.57, "夏普比率": -0.35, "最大回撤%": -9.84, "胜率%": 25.0, @@ -3838,117 +23505,1147 @@ "最佳盈亏": 310.98, "最差盈亏": -190.92, "卡尔玛比率": -0.26, + "耗时s": 0.5 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "spot", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2020-08-11~2026-06-16", + "初始资金": 10000.0, + "最终权益": 11919.26, + "总收益%": 19.19, + "年化收益%": 3.1, + "夏普比率": 0.34, + "最大回撤%": -11.75, + "胜率%": 38.37, + "盈亏比": 1.32, + "交易次数": 86, + "平均盈亏": 25.35, + "最佳盈亏": 872.5, + "最差盈亏": -366.04, + "卡尔玛比率": 0.26, + "耗时s": 0.5 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2020-09-14~2026-06-16", + "初始资金": 10000.0, + "最终权益": 11871.94, + "总收益%": 18.72, + "年化收益%": 3.08, + "夏普比率": 0.34, + "最大回撤%": -10.98, + "胜率%": 36.36, + "盈亏比": 1.31, + "交易次数": 88, + "平均盈亏": 24.33, + "最佳盈亏": 883.31, + "最差盈亏": -368.7, + "卡尔玛比率": 0.28, + "耗时s": 0.4 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9496.09, + "总收益%": -5.04, + "年化收益%": -2.69, + "夏普比率": -0.39, + "最大回撤%": -9.89, + "胜率%": 25.81, + "盈亏比": 0.78, + "交易次数": 31, + "平均盈亏": -13.78, + "最佳盈亏": 375.79, + "最差盈亏": -241.96, + "卡尔玛比率": -0.27, + "耗时s": 0.4 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "近两年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 10512.81, + "总收益%": 5.13, + "年化收益%": 2.72, + "夏普比率": 0.43, + "最大回撤%": -7.11, + "胜率%": 42.11, + "盈亏比": 1.45, + "交易次数": 19, + "平均盈亏": 29.65, + "最佳盈亏": 438.75, + "最差盈亏": -227.13, + "卡尔玛比率": 0.38, + "耗时s": 0.3 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9545.82, + "总收益%": -4.54, + "年化收益%": -12.12, + "夏普比率": -3.33, + "最大回撤%": -4.54, + "胜率%": 0.0, + "盈亏比": 0.0, + "交易次数": 4, + "平均盈亏": -111.1, + "最佳盈亏": -4.78, + "最差盈亏": -181.77, + "卡尔玛比率": -2.67, "耗时s": 0.3 }, { "策略名": "5.三均线排列", "币种": "SOLUSDT", "时间级别": "6h", + "类型": "um", + "数据量": "近一年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9762.46, + "总收益%": -2.38, + "年化收益%": -2.65, + "夏普比率": -0.36, + "最大回撤%": -9.89, + "胜率%": 25.0, + "盈亏比": 0.79, + "交易次数": 16, + "平均盈亏": -12.29, + "最佳盈亏": 310.9, + "最差盈亏": -191.55, + "卡尔玛比率": -0.27, + "耗时s": 0.4 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "近一年", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9702.13, + "总收益%": -2.98, + "年化收益%": -3.45, + "夏普比率": -0.5, + "最大回撤%": -7.11, + "胜率%": 30.0, + "盈亏比": 0.58, + "交易次数": 10, + "平均盈亏": -27.28, + "最佳盈亏": 295.09, + "最差盈亏": -184.74, + "卡尔玛比率": -0.49, + "耗时s": 0.3 + }, + { + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "6h", + "类型": "um", "数据量": "近半年", "策略类型": "趋势跟踪", "策略参数": "EMA(10,30,60)/ATR(14)x2.0", "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", - "日期范围": "2025-12-13~2026-06-13", + "日期范围": "2025-12-17~2026-06-17", "初始资金": 10000.0, - "最终权益": 9374.99, - "总收益%": -6.25, - "年化收益%": -15.29, - "夏普比率": -3.51, - "最大回撤%": -7.21, + "最终权益": 9371.25, + "总收益%": -6.29, + "年化收益%": -15.18, + "夏普比率": -3.49, + "最大回撤%": -7.25, "胜率%": 14.29, "盈亏比": 0.0, "交易次数": 7, - "平均盈亏": -86.84, - "最佳盈亏": 1.37, - "最差盈亏": -183.21, - "卡尔玛比率": -2.12, + "平均盈亏": -87.38, + "最佳盈亏": 1.67, + "最差盈亏": -183.87, + "卡尔玛比率": -2.09, "耗时s": 0.3 }, { - "策略名": "6.RSI均值回归", - "币种": "BTCUSDT", - "时间级别": "2h", - "数据量": "近半年", - "策略类型": "均值回归", - "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", - "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2025-12-13~2026-06-13", + "策略名": "5.三均线排列", + "币种": "SOLUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "全量", + "策略类型": "趋势跟踪", + "策略参数": "EMA(10,30,60)/ATR(14)x2.0", + "策略描述": "EMA(10,30,60)多头/空头排列，快线金叉入场+ATR追踪止损", + "日期范围": "2020-08-11~2026-06-16", "初始资金": 10000.0, - "最终权益": 9716.65, - "总收益%": 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"RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2017-08-17~2026-06-11", + "日期范围": "2017-08-17~2026-06-16", "初始资金": 10000.0, "最终权益": 1420.67, "总收益%": -85.79, - "年化收益%": -20.05, + "年化收益%": -20.02, "夏普比率": -0.52, "最大回撤%": -89.79, "胜率%": 38.14, @@ -3982,70 +24680,48 @@ "最佳盈亏": 2237.39, "最差盈亏": -1784.91, "卡尔玛比率": -0.22, - "耗时s": 0.8 - }, - { - "策略名": "6.RSI均值回归", - "币种": "BTCUSDT", - "时间级别": "2h", - "数据量": "全量", - "策略类型": "均值回归", - "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", - "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2017-08-17~2026-06-11", - "初始资金": 10000.0, - "最终权益": 146.36, - "总收益%": -98.54, - "年化收益%": -38.17, - "夏普比率": -1.35, - "最大回撤%": -98.84, - "胜率%": 35.83, - "盈亏比": 0.52, - "交易次数": 480, - "平均盈亏": -19.06, - "最佳盈亏": 1328.25, - "最差盈亏": -1605.37, - "卡尔玛比率": -0.39, - "耗时s": 1.0 - }, - { - "策略名": "6.RSI均值回归", - "币种": "BTCUSDT", - "时间级别": "6h", - "数据量": "近半年", - "策略类型": "均值回归", - "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", - "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2025-12-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 8381.07, - "总收益%": -16.19, - "年化收益%": -36.49, - "夏普比率": -1.34, - "最大回撤%": -18.08, - "胜率%": 14.29, - "盈亏比": 0.4, - "交易次数": 7, - "平均盈亏": -221.83, - "最佳盈亏": 1031.67, - "最差盈亏": -1092.39, - "卡尔玛比率": -2.02, "耗时s": 0.6 }, { "策略名": "6.RSI均值回归", "币种": "BTCUSDT", "时间级别": "6h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 11060.94, + "总收益%": 10.61, + "年化收益%": 29.12, + "夏普比率": 0.83, + "最大回撤%": -24.92, + "胜率%": 28.57, + "盈亏比": 2.23, + "交易次数": 7, + "平均盈亏": 155.21, + "最佳盈亏": 999.04, + "最差盈亏": -431.62, + "卡尔玛比率": 1.17, + "耗时s": 0.3 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BTCUSDT", + "时间级别": "6h", + "类型": "spot", "数据量": "近一年", "策略类型": "均值回归", "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2025-06-13~2026-06-13", + "日期范围": "2025-06-17~2026-06-17", "初始资金": 10000.0, "最终权益": 9220.29, "总收益%": -7.8, - "年化收益%": -8.71, - "夏普比率": -0.29, + "年化收益%": -8.66, + "夏普比率": -0.28, "最大回撤%": -19.7, "胜率%": 46.67, "盈亏比": 0.85, @@ -4054,195 +24730,1153 @@ "最佳盈亏": 1134.97, "最差盈亏": -1201.77, "卡尔玛比率": -0.44, - "耗时s": 0.6 + "耗时s": 0.5 }, { "策略名": "6.RSI均值回归", - "币种": "ETHUSDT", - "时间级别": "2h", - "数据量": "近两年", + "币种": "BTCUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "近半年", "策略类型": "均值回归", "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2024-06-13~2026-06-13", + "日期范围": "2025-12-17~2026-06-17", "初始资金": 10000.0, - "最终权益": 4469.76, - "总收益%": -55.3, - "年化收益%": -33.7, - "夏普比率": -1.18, - "最大回撤%": -69.04, - "胜率%": 40.87, - "盈亏比": 0.69, - "交易次数": 115, - "平均盈亏": -42.17, - "最佳盈亏": 778.8, - "最差盈亏": -1317.59, - "卡尔玛比率": -0.49, - "耗时s": 0.6 + "最终权益": 11299.29, + "总收益%": 12.99, + "年化收益%": 36.29, + "夏普比率": 0.97, + "最大回撤%": -24.93, + "胜率%": 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"最终权益": 7548.57, + "总收益%": -24.51, + "年化收益%": -13.79, + "夏普比率": -0.59, + "最大回撤%": -25.62, + "胜率%": 41.18, + "盈亏比": 0.73, + "交易次数": 34, + "平均盈亏": -63.21, + "最佳盈亏": 948.36, + "最差盈亏": -1144.71, + "卡尔玛比率": -0.54, + "耗时s": 0.4 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BTCUSDT", + "时间级别": "6h", + "类型": "um", + "数据量": "全量", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2019-09-08~2026-06-16", + "初始资金": 10000.0, + "最终权益": 1436.85, + "总收益%": -85.63, + "年化收益%": -25.23, + "夏普比率": -0.83, + "最大回撤%": -87.69, + "胜率%": 35.77, + "盈亏比": 0.58, + "交易次数": 137, + "平均盈亏": -58.34, + "最佳盈亏": 1929.34, + "最差盈亏": -1792.61, + "卡尔玛比率": -0.29, + "耗时s": 0.5 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BTCUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "近两年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 7131.31, + "总收益%": -28.69, + "年化收益%": -16.61, + "夏普比率": -0.56, + "最大回撤%": -37.34, + "胜率%": 28.57, + "盈亏比": 0.52, + "交易次数": 21, + "平均盈亏": -126.68, + "最佳盈亏": 761.07, + "最差盈亏": -727.65, + "卡尔玛比率": -0.44, + "耗时s": 0.3 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BTCUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 8930.21, + "总收益%": -10.7, + "年化收益%": -26.98, + "夏普比率": -0.61, + "最大回撤%": -24.92, + "胜率%": 0.0, + "盈亏比": 0.0, + "交易次数": 5, + "平均盈亏": -209.9, + "最佳盈亏": -19.46, + "最差盈亏": -783.6, + "卡尔玛比率": -1.08, + "耗时s": 0.3 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BTCUSDT", + "时间级别": "8h", + "类型": "spot", + "数据量": "近一年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 7979.98, + "总收益%": -20.2, + "年化收益%": 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"RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2025-06-13~2026-06-13", + "日期范围": "2025-06-17~2026-06-17", "初始资金": 10000.0, - "最终权益": 11359.86, - "总收益%": 13.6, - "年化收益%": 14.22, - "夏普比率": 0.7, - "最大回撤%": -12.73, - "胜率%": 55.32, - "盈亏比": 1.33, - "交易次数": 47, - "平均盈亏": 39.63, - "最佳盈亏": 1036.27, - "最差盈亏": -640.49, - "卡尔玛比率": 1.12, - "耗时s": 0.3 + "最终权益": 7740.18, + "总收益%": -22.6, + "年化收益%": -22.95, + "夏普比率": -1.02, + "最大回撤%": -26.82, + "胜率%": 44.57, + "盈亏比": 0.84, + "交易次数": 92, + "平均盈亏": -15.27, + "最佳盈亏": 518.93, + "最差盈亏": -641.9, + "卡尔玛比率": -0.86, + "耗时s": 0.7 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "1h", + "类型": "um", + "数据量": "近两年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 5234.69, + "总收益%": -47.65, + "年化收益%": -27.85, + "夏普比率": -1.15, + "最大回撤%": -48.33, + "胜率%": 45.51, + "盈亏比": 0.77, + "交易次数": 178, + "平均盈亏": -19.92, + "最佳盈亏": 509.05, + "最差盈亏": -887.0, + "卡尔玛比率": -0.58, + "耗时s": 0.9 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "1h", + "类型": "spot", + "数据量": "全量", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2017-11-06~2026-06-16", + "初始资金": 10000.0, + "最终权益": 56.83, + "总收益%": -99.43, + "年化收益%": -45.19, + "夏普比率": -1.19, + "最大回撤%": -99.48, + "胜率%": 41.55, + "盈亏比": 0.47, + "交易次数": 763, + "平均盈亏": -12.31, + "最佳盈亏": 1125.16, + "最差盈亏": -1252.07, + "卡尔玛比率": -0.45, + "耗时s": 2.4 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "1h", + "类型": "um", + "数据量": "近半年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 7889.64, + "总收益%": -21.1, + "年化收益%": -38.9, + "夏普比率": -2.09, + "最大回撤%": -22.34, + "胜率%": 39.58, + "盈亏比": 0.64, + "交易次数": 48, + "平均盈亏": -34.95, + "最佳盈亏": 528.59, + "最差盈亏": -665.99, + "卡尔玛比率": -1.74, + "耗时s": 1.8 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "1h", + "类型": "um", + "数据量": "近一年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 7632.8, + "总收益%": -23.67, + "年化收益%": -24.04, + "夏普比率": -1.02, + "最大回撤%": -27.88, + "胜率%": 42.86, + "盈亏比": 0.83, + "交易次数": 91, + "平均盈亏": -16.77, + "最佳盈亏": 511.39, + "最差盈亏": -644.31, + "卡尔玛比率": -0.86, + "耗时s": 1.9 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "1h", + "类型": "um", + "数据量": "全量", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2020-02-10~2026-06-16", + "初始资金": 10000.0, + "最终权益": 612.94, + "总收益%": -93.87, + "年化收益%": -35.64, + "夏普比率": -0.85, + "最大回撤%": -94.17, + "胜率%": 42.63, + "盈亏比": 0.68, + "交易次数": 556, + "平均盈亏": -14.78, + "最佳盈亏": 1709.1, + 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-0.19, + "耗时s": 1.9 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "2h", + "类型": "spot", + "数据量": "近一年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 11359.86, + "总收益%": 13.6, + "年化收益%": 14.12, + "夏普比率": 0.7, + "最大回撤%": -12.73, + "胜率%": 55.32, + "盈亏比": 1.33, + "交易次数": 47, + "平均盈亏": 39.63, + "最佳盈亏": 1036.27, + "最差盈亏": -640.49, + "卡尔玛比率": 1.11, + "耗时s": 0.7 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "2h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9904.05, + "总收益%": -0.96, + "年化收益%": -2.06, + "夏普比率": 0.02, + "最大回撤%": -11.14, + "胜率%": 59.09, + "盈亏比": 1.05, + "交易次数": 22, + "平均盈亏": 5.77, + "最佳盈亏": 699.93, + "最差盈亏": -558.41, + "卡尔玛比率": -0.18, "耗时s": 0.8 }, { "策略名": "6.RSI均值回归", "币种": "BNBUSDT", - "时间级别": "6h", + "时间级别": "2h", + "类型": "um", "数据量": "近两年", "策略类型": "均值回归", "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2024-06-13~2026-06-13", + "日期范围": "2024-06-17~2026-06-17", "初始资金": 10000.0, - "最终权益": 7538.15, - "总收益%": -24.62, - "年化收益%": -13.89, + "最终权益": 8676.23, + "总收益%": -13.24, + "年化收益%": -6.97, + "夏普比率": -0.21, + "最大回撤%": -30.78, + "胜率%": 49.0, + "盈亏比": 0.96, + "交易次数": 100, + "平均盈亏": -4.84, + "最佳盈亏": 807.38, + "最差盈亏": -1149.61, + "卡尔玛比率": -0.23, + "耗时s": 0.8 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "2h", + "类型": "um", + "数据量": "全量", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2020-02-10~2026-06-16", + "初始资金": 10000.0, + "最终权益": 3373.09, + "总收益%": -66.27, + "年化收益%": -15.8, + "夏普比率": -0.31, + "最大回撤%": -73.16, + "胜率%": 45.79, + "盈亏比": 0.84, + "交易次数": 297, + "平均盈亏": -17.66, + "最佳盈亏": 1639.4, + 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182.24, + "最差盈亏": -761.89, + "卡尔玛比率": -1.83, "耗时s": 0.5 }, { "策略名": "6.RSI均值回归", "币种": "BNBUSDT", "时间级别": "6h", + "类型": "spot", + "数据量": "近一年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 11063.08, + "总收益%": 10.63, + "年化收益%": 11.94, + "夏普比率": 0.49, + "最大回撤%": -30.86, + "胜率%": 66.67, + "盈亏比": 1.3, + "交易次数": 15, + "平均盈亏": 82.69, + "最佳盈亏": 1189.89, + "最差盈亏": -1755.33, + "卡尔玛比率": 0.39, + "耗时s": 0.2 + }, + { + "策略名": "6.RSI均值回归", + "币种": "BNBUSDT", + "时间级别": "6h", + "类型": "spot", + "数据量": "近半年", + "策略类型": "均值回归", + "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", + "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 9300.41, + "总收益%": -7.0, + "年化收益%": -16.79, + "夏普比率": -0.2, + "最大回撤%": -29.13, + "胜率%": 50.0, + "盈亏比": 0.78, + "交易次数": 4, + "平均盈亏": -157.37, + "最佳盈亏": 1309.07, + "最差盈亏": -2858.1, + "卡尔玛比率": 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-15865.05, "卡尔玛比率": -0.18, - "耗时s": 0.5 - }, - { - "策略名": "6.RSI均值回归", - "币种": "BNBUSDT", - "时间级别": "2h", - "数据量": "全量", - "策略类型": "均值回归", - "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", - "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2017-11-06~2026-06-11", - "初始资金": 10000.0, - "最终权益": 345.18, - "总收益%": -96.55, - "年化收益%": -32.5, - "夏普比率": -0.73, - "最大回撤%": -97.34, - "胜率%": 43.55, - "盈亏比": 0.45, - "交易次数": 411, - "平均盈亏": -22.52, - "最佳盈亏": 588.58, - "最差盈亏": -1670.71, - "卡尔玛比率": -0.33, - "耗时s": 1.3 - }, - { - "策略名": "6.RSI均值回归", - "币种": "BNBUSDT", - "时间级别": "6h", - "数据量": "近一年", - "策略类型": "均值回归", - "策略参数": "RSI(14)25/75+BB(20,2.0)/ATR(14)x1.5", - "策略描述": "RSI(14)超卖25/超买75 + 布林带触碰确认 → 逆向回归", - "日期范围": "2025-06-13~2026-06-13", - "初始资金": 10000.0, - "最终权益": 11335.17, - "总收益%": 13.35, - "年化收益%": 15.11, - "夏普比率": 0.56, - "最大回撤%": -30.86, - "胜率%": 68.75, - "盈亏比": 1.37, - "交易次数": 16, - "平均盈亏": 95.43, - "最佳盈亏": 1219.16, - "最差盈亏": -1798.5, - "卡尔玛比率": 0.49, "耗时s": 0.7 }, { "策略名": 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"类型": "spot", + "数据量": "近两年", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 14114.67, + "总收益%": 41.15, + "年化收益%": 24.31, + "夏普比率": 1.28, + "最大回撤%": -9.47, + "胜率%": 66.67, + "盈亏比": 5.49, + "交易次数": 3, + "平均盈亏": 1381.9, + "最佳盈亏": 2890.84, + "最差盈亏": -923.53, + "卡尔玛比率": 2.57, + "耗时s": 0.3 + }, + { + "策略名": "9.牛熊自适应", + "币种": "SOLUSDT", + "时间级别": "1d", + "类型": "spot", + "数据量": "近半年", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 10000.0, + "总收益%": 0.0, + "年化收益%": 0.0, + "夏普比率": 0.0, + "最大回撤%": 0.0, + "胜率%": 0.0, + "盈亏比": 0.0, + "交易次数": 0, + "平均盈亏": 0.0, + "最佳盈亏": 0.0, + "最差盈亏": 0.0, + "卡尔玛比率": 0.0, "耗时s": 0.1 + }, + { + "策略名": "9.牛熊自适应", + "币种": "SOLUSDT", + "时间级别": "1d", + "类型": "spot", + "数据量": "近一年", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 11813.18, + "总收益%": 18.13, + "年化收益%": 33.05, + "夏普比率": 1.82, + "最大回撤%": -8.19, + "胜率%": 100.0, + "盈亏比": 1823.18, + "交易次数": 1, + "平均盈亏": 1823.18, + "最佳盈亏": 1823.18, + "最差盈亏": 1823.18, + "卡尔玛比率": 4.04, + "耗时s": 0.2 + }, + { + "策略名": "9.牛熊自适应", + "币种": "SOLUSDT", + "时间级别": "1d", + "类型": "um", + "数据量": "近两年", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2024-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 14117.15, + "总收益%": 41.17, + "年化收益%": 24.33, + "夏普比率": 1.28, + "最大回撤%": -9.48, + "胜率%": 66.67, + "盈亏比": 5.49, + "交易次数": 3, + "平均盈亏": 1382.72, + "最佳盈亏": 2891.35, + "最差盈亏": -923.96, + "卡尔玛比率": 2.57, + "耗时s": 0.2 + }, + { + "策略名": "9.牛熊自适应", + "币种": "SOLUSDT", + "时间级别": "1d", + "类型": "um", + "数据量": "近一年", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2025-06-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 11815.17, + "总收益%": 18.15, + "年化收益%": 33.09, + "夏普比率": 1.82, + "最大回撤%": -8.18, + "胜率%": 100.0, + "盈亏比": 1825.17, + "交易次数": 1, + "平均盈亏": 1825.17, + "最佳盈亏": 1825.17, + "最差盈亏": 1825.17, + "卡尔玛比率": 4.04, + "耗时s": 0.2 + }, + { + "策略名": "9.牛熊自适应", + "币种": "SOLUSDT", + "时间级别": "1d", + "类型": "um", + "数据量": "近半年", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2025-12-17~2026-06-17", + "初始资金": 10000.0, + "最终权益": 10000.0, + "总收益%": 0.0, + "年化收益%": 0.0, + "夏普比率": 0.0, + "最大回撤%": 0.0, + "胜率%": 0.0, + "盈亏比": 0.0, + "交易次数": 0, + "平均盈亏": 0.0, + "最佳盈亏": 0.0, + "最差盈亏": 0.0, + "卡尔玛比率": 0.0, + "耗时s": 0.1 + }, + { + "策略名": "9.牛熊自适应", + "币种": "SOLUSDT", + "时间级别": "1d", + "类型": "um", + "数据量": "全量", + "策略类型": "牛熊自适应", + "策略参数": "EMA200投票(斜率+价格+ATH)牛多熊空", + "策略描述": "EMA200斜率+价格vsEMA200+ATH回撤3选2投票，牛市只多/熊市只空", + "日期范围": "2020-09-14~2026-06-16", + "初始资金": 10000.0, + "最终权益": 37239.24, + "总收益%": 272.39, + "年化收益%": 27.9, + "夏普比率": 0.78, + "最大回撤%": -62.23, + "胜率%": 30.0, + "盈亏比": 1.8, + "交易次数": 20, + "平均盈亏": 1391.57, + "最佳盈亏": 25591.71, + "最差盈亏": -7392.15, + "卡尔玛比率": 0.45, + "耗时s": 0.2 } ] } \ No newline at end of file diff --git a/engine/example/generate_report.py b/engine/example/generate_report.py new file mode 100644 index 0000000..8b9c8ad --- /dev/null +++ b/engine/example/generate_report.py @@ -0,0 +1,285 @@ +""" +从 comparison_2h_6h_result.json 生成可读 Markdown 报告 +用法：source .venv/bin/activate && python example/generate_report.py +""" +import json +from datetime import datetime, timezone +from pathlib import Path +from collections import defaultdict + +ROOT = Path(__file__).resolve().parent.parent +JSON_PATH = ROOT / "example" / "comparison_2h_6h_result.json" +OUT_PATH = ROOT / "example" / "comparison_2h_6h_report.md" + +STRATEGY_ORDER = [ + "1.海龟交易", "2.超级趋势", "3.MACD金叉死叉", "4.布林收缩爆发", + "5.三均线排列", "6.RSI均值回归", "7.ATR波动率突破", "8.EMA双均线多空", "9.牛熊自适应", +] +SYMBOL_ORDER = ["BTCUSDT", "ETHUSDT", "BNBUSDT", "SOLUSDT"] +TF_ORDER = ["1h", "2h", "4h", "6h", "8h", "1d"] +TYPE_ORDER = ["spot", "um"] +PERIOD_ORDER = ["全量", "近两年", "近一年", "近半年"] + + +def fmt(val, suffix="", decimals=1): + if val is None: + return "—" + return f"{val:+,.{decimals}f}{suffix}" + + +def safe_get(d, key, default=0): + v = d.get(key, default) + return default if v is None else v + + +def generate(): + with open(JSON_PATH) as f: + data = json.load(f) + cfg = data["config"] + results = data["results"] + + now_str = datetime.now(timezone.utc).strftime("%Y-%m-%d %H:%M:%S UTC") + + lines = [] + def w(s=""): + lines.append(s) + + # ── 标题 ── + w(f"# 1h-1d 策略全维度对比回测报告（Spot + 合约）") + w() + w(f"> **生成时间**：{now_str}") + w(f"> **总耗时**：{cfg['elapsed_seconds']:.1f} 秒") + w(f"> **测试维度**：9 策略 × 4 币种 × 2 时间级别 × 2 交易类型 × 4 数据量 = {cfg['total_tasks']} 次回测") + w(f"> **初始资金**：${cfg['initial_capital']:,.0f} | **预热 Bar**：{cfg['warmup_bars']}") + w(f"> **错误数**：{cfg['total_errors']}") + w() + + # ── 一、策略概览 ── + w("## 一、策略概览") + w() + w("| # | 策略名称 | 类型 | 参数 | 描述 |") + w("|---|----------|------|------|------|") + all_full = [r for r in results if r["数据量"] == "全量"] + for sn in STRATEGY_ORDER: + sample = next((r for r in all_full if r["策略名"] == sn), None) + if sample: + w(f"| {sn[:2]} | **{sn[2:]}** | {sample['策略类型']} | `{sample['策略参数']}` | {sample['策略描述']} |") + w() + + # ── 二、全量数据 TOP 20（混合 spot/um，按夏普排名）── + w("## 二、全量数据 TOP 20（按夏普比率排名）") + w() + w("| 排名 | 策略 | 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 |") + w("|------|------|------|----|------|---------|-------|------|-------|-------|--------|--------|--------|") + full_sorted = sorted(all_full, key=lambda x: safe_get(x, "夏普比率"), reverse=True) + medals = ["🥇", "🥈", "🥉"] + [" " + str(i) for i in range(4, 21)] + for i, r in enumerate(full_sorted[:20]): + m = medals[i] + w(f"| {m} | {r['策略名'][2:]} | {r['币种']} | {r['时间级别']} | {r['类型']} | " + f"{safe_get(r,'总收益%'):+.1f}% | {safe_get(r,'年化收益%'):+.1f}% | " + f"**{safe_get(r,'夏普比率'):.2f}** | {safe_get(r,'最大回撤%'):.1f}% | " + f"{safe_get(r,'胜率%'):.1f}% | {safe_get(r,'盈亏比'):.2f} | {safe_get(r,'交易次数')} | " + f"{safe_get(r,'卡尔玛比率'):.2f} |") + w() + + # ── 三、各策略全量详细（spot vs um）── + w("## 三、各策略全量数据详细表现（2h vs 6h × 4 币种 × spot/um）") + w() + for sn in STRATEGY_ORDER: + strat_full = [r for r in all_full if r["策略名"] == sn] + if not strat_full: + continue + sample = strat_full[0] + w(f"### {sn}") + w(f"> **类型**：{sample['策略类型']} | **参数**：`{sample['策略参数']}`") + w(f"> {sample['策略描述']}") + w() + w("| 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 |") + w("|------|----|------|---------|-------|------|-------|-------|--------|--------|--------|") + strat_full.sort(key=lambda x: (SYMBOL_ORDER.index(x["币种"]), TF_ORDER.index(x["时间级别"]), TYPE_ORDER.index(x["类型"]))) + for r in strat_full: + w(f"| {r['币种']} | {r['时间级别']} | {r['类型']} | " + f"{safe_get(r,'总收益%'):+.1f}% | {safe_get(r,'年化收益%'):+.1f}% | " + f"**{safe_get(r,'夏普比率'):.2f}** | {safe_get(r,'最大回撤%'):.1f}% | " + f"{safe_get(r,'胜率%'):.1f}% | {safe_get(r,'盈亏比'):.2f} | " + f"{safe_get(r,'交易次数')} | {safe_get(r,'卡尔玛比率'):.2f} |") + best = max(strat_full, key=lambda x: safe_get(x, "夏普比率")) + w() + w(f"> 🏆 **{sn[2:]} 最优**：{best['币种']} {best['时间级别']} {best['类型']}，" + f"夏普 **{safe_get(best,'夏普比率'):.2f}**，" + f"总收益 **{safe_get(best,'总收益%'):+.1f}%**，" + f"年化 **{safe_get(best,'年化收益%'):+.1f}%**，" + f"交易 {safe_get(best,'交易次数')} 次") + w() + + # ── 四、各币种全量 — 策略横向对比 ── + w("## 四、各币种全量数据 — 策略横向对比") + w() + for symbol in SYMBOL_ORDER: + w(f"### {symbol}") + w() + sym_full = [r for r in all_full if r["币种"] == symbol] + sym_full.sort(key=lambda x: safe_get(x, "夏普比率"), reverse=True) + w("| 排名 | 策略 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 交易数 | 卡尔玛 |") + w("|------|------|----|------|---------|-------|------|-------|-------|--------|--------|--------|") + for i, r in enumerate(sym_full): + m = medals[i] if i < 3 else f" {i+1}" + w(f"| {m} | {r['策略名'][2:]} | {r['时间级别']} | {r['类型']} | " + f"{safe_get(r,'总收益%'):+.1f}% | {safe_get(r,'年化收益%'):+.1f}% | " + f"**{safe_get(r,'夏普比率'):.2f}** | {safe_get(r,'最大回撤%'):.1f}% | " + f"{safe_get(r,'胜率%'):.1f}% | {safe_get(r,'盈亏比'):.2f} | " + f"{safe_get(r,'交易次数')} | {safe_get(r,'卡尔玛比率'):.2f} |") + best_sym = max(sym_full, key=lambda x: safe_get(x, "夏普比率")) + w() + w(f"> 🏆 **{symbol} 最优**：{best_sym['策略名'][2:]} {best_sym['时间级别']} {best_sym['类型']}，" + f"夏普 **{safe_get(best_sym,'夏普比率'):.2f}**，" + f"总收益 **{safe_get(best_sym,'总收益%'):+.1f}%**") + w() + + # ── 五、spot vs um 对比 ── + w("## 五、Spot vs 合约（UM）对比 — 全量夏普差异") + w() + w("| 策略 | 币种 | TF | Spot 夏普 | UM 夏普 | 差异 | 更优 |") + w("|------|------|----|-----------|---------|------|------|") + diffs = [] + for sn in STRATEGY_ORDER: + for symbol in SYMBOL_ORDER: + for tf in TF_ORDER: + spot_r = next((r for r in all_full if r["策略名"]==sn and r["币种"]==symbol and r["时间级别"]==tf and r["类型"]=="spot"), None) + um_r = next((r for r in all_full if r["策略名"]==sn and r["币种"]==symbol and r["时间级别"]==tf and r["类型"]=="um"), None) + if spot_r and um_r: + s_sharpe = safe_get(spot_r, "夏普比率") + u_sharpe = safe_get(um_r, "夏普比率") + diff = u_sharpe - s_sharpe + if abs(diff) > 0.15: + better = "UM ✅" if diff > 0 else "Spot ✅" + winner = "um" if diff > 0 else "spot" + diffs.append((sn, symbol, tf, s_sharpe, u_sharpe, diff, winner)) + diffs.sort(key=lambda x: abs(x[5]), reverse=True) + for sn, symbol, tf, s_s, u_s, diff, winner in diffs: + w(f"| {sn[2:]} | {symbol} | {tf} | {s_s:.2f} | {u_s:.2f} | {diff:+.2f} | {winner} |") + w() + if diffs: + um_wins = sum(1 for d in diffs if d[6] == "um") + spot_wins = sum(1 for d in diffs if d[6] == "spot") + w(f"> 显著差异（|Δ夏普|>0.15）共 {len(diffs)} 组：UM 更优 {um_wins} 组，Spot 更优 {spot_wins} 组") + w() + + # ── 六、周期对比（按 type 分组）── + w("## 六、2h vs 6h — 周期对比（按类型分组）") + w() + for pair_type in TYPE_ORDER: + type_full = [r for r in all_full if r["类型"] == pair_type] + w(f"### {pair_type.upper()}") + w() + for symbol in SYMBOL_ORDER: + w(f"#### {symbol}") + w() + w("| 策略 | 2h 夏普 | 2h 收益% | 6h 夏普 | 6h 收益% | 更优周期 |") + w("|------|---------|----------|---------|----------|----------|") + for sn in STRATEGY_ORDER: + r2 = next((r for r in type_full if r["策略名"]==sn and r["币种"]==symbol and r["时间级别"]=="2h"), None) + r6 = next((r for r in type_full if r["策略名"]==sn and r["币种"]==symbol and r["时间级别"]=="6h"), None) + if r2 and r6: + s2, s6 = safe_get(r2, "夏普比率"), safe_get(r6, "夏普比率") + better = "2h ✅" if s2 > s6 else "6h ✅" + w(f"| {sn[2:]} | {s2:.2f} | {safe_get(r2,'总收益%'):+.1f}% | {s6:.2f} | {safe_get(r6,'总收益%'):+.1f}% | {better} |") + w() + + # ── 七、综合评分 TOP 20 ── + w("## 七、全量数据 综合评分 TOP 20") + w() + w("> 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") + w() + # normalize（回撤和卡尔玛取绝对值，因存储为负数） + all_annual = [safe_get(r, "年化收益%") for r in all_full] + all_calmar = [abs(safe_get(r, "卡尔玛比率")) for r in all_full] + all_dd = [abs(safe_get(r, "最大回撤%")) for r in all_full] + max_annual = max(all_annual) if all_annual else 1 + max_calmar = max(all_calmar) if all_calmar else 1 + max_dd = max(all_dd) if all_dd else 1 + + for r in all_full: + score = ( + safe_get(r, "夏普比率") * 0.4 + + (safe_get(r, "年化收益%") / max(1, max_annual)) * 0.3 + + (safe_get(r, "卡尔玛比率") / max(0.01, max_calmar)) * 0.2 + - (abs(safe_get(r, "最大回撤%")) / max(1, max_dd)) * 0.1 + ) + r["_score"] = score + + scored = sorted(all_full, key=lambda x: x["_score"], reverse=True) + w("| 排名 | 策略 | 币种 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 胜率% | 盈亏比 | 综合评分 |") + w("|------|------|------|----|------|---------|-------|------|-------|-------|--------|----------|") + for i, r in enumerate(scored[:20]): + m = medals[i] + w(f"| {m} | {r['策略名'][2:]} | {r['币种']} | {r['时间级别']} | {r['类型']} | " + f"{safe_get(r,'总收益%'):+.1f}% | {safe_get(r,'年化收益%'):+.1f}% | " + f"**{safe_get(r,'夏普比率'):.2f}** | {safe_get(r,'最大回撤%'):.1f}% | " + f"{safe_get(r,'胜率%'):.1f}% | {safe_get(r,'盈亏比'):.2f} | " + f"**{r['_score']:.3f}** |") + w() + + # ── 八、策略类型平均表现 ── + w("## 八、策略类型平均表现（全量，4币种×2TF×2类型 平均）") + w() + w("| 类型 | 策略 | 平均夏普 | 平均收益% | 平均回撤% |") + w("|------|------|----------|-----------|-----------|") + for sn in STRATEGY_ORDER: + subset = [r for r in all_full if r["策略名"] == sn] + if subset: + avg_s = sum(safe_get(r, "夏普比率") for r in subset) / len(subset) + avg_ret = sum(safe_get(r, "总收益%") for r in subset) / len(subset) + avg_dd = sum(safe_get(r, "最大回撤%") for r in subset) / len(subset) + stype = subset[0]["策略类型"] + w(f"| {stype} | {sn[2:]} | {avg_s:.2f} | {avg_ret:+.1f}% | {avg_dd:.1f}% |") + w() + + # ── 九、关键发现 ── + w("## 九、关键发现") + w() + # 最优夏普 + best_all = max(all_full, key=lambda x: safe_get(x, "夏普比率")) + w(f"### 🏆 综合最优策略") + w(f"- **{best_all['策略名'][2:]}** — {best_all['币种']} {best_all['时间级别']} {best_all['类型']}") + w(f" - 夏普比率：**{safe_get(best_all,'夏普比率'):.2f}**") + w(f" - 总收益：**{safe_get(best_all,'总收益%'):+.1f}%**") + w(f" - 年化收益：**{safe_get(best_all,'年化收益%'):+.1f}%**") + w(f" - 最大回撤：{safe_get(best_all,'最大回撤%'):.1f}%") + w(f" - 交易次数：{safe_get(best_all,'交易次数')}") + w() + + # 各币种最优 + w("### 📊 各币种最优策略（全量，按夏普）") + w() + w("| 币种 | 最优策略 | TF | 类型 | 总收益% | 年化% | 夏普 | 回撤% | 交易数 |") + w("|------|----------|----|------|---------|-------|------|-------|--------|") + for symbol in SYMBOL_ORDER: + sym_full = [r for r in all_full if r["币种"] == symbol] + best = max(sym_full, key=lambda x: safe_get(x, "夏普比率")) + w(f"| {symbol} | **{best['策略名'][2:]}** | {best['时间级别']} | {best['类型']} | " + f"{safe_get(best,'总收益%'):+.1f}% | {safe_get(best,'年化收益%'):+.1f}% | " + f"**{safe_get(best,'夏普比率'):.2f}** | {safe_get(best,'最大回撤%'):.1f}% | " + f"{safe_get(best,'交易次数')} |") + w() + + # spot vs um + w("### 🔄 Spot vs 合约（UM）") + w() + spot_full = [r for r in all_full if r["类型"] == "spot"] + um_full = [r for r in all_full if r["类型"] == "um"] + spot_avg_s = sum(safe_get(r, "夏普比率") for r in spot_full) / len(spot_full) + um_avg_s = sum(safe_get(r, "夏普比率") for r in um_full) / len(um_full) + w(f"- Spot 平均夏普：**{spot_avg_s:.2f}**") + w(f"- UM（合约）平均夏普：**{um_avg_s:.2f}**") + w(f"- 差距：{um_avg_s - spot_avg_s:+.2f}") + w() + + # 保存 + with open(OUT_PATH, "w", encoding="utf-8") as f: + f.write("\n".join(lines)) + print(f"报告已生成：{OUT_PATH} ({len(lines)} 行)") + + +if __name__ == "__main__": + generate() diff --git a/engine/example/long_short.py b/engine/example/long_short.py index d659628..572ef44 100644 --- a/engine/example/long_short.py +++ b/engine/example/long_short.py @@ -59,6 +59,7 @@ class LongShortEngine: from engine.common.config import config as app_config strategy_config.symbol = self.config.symbol strategy_config.exchange = self.config.exchange + strategy_config.type = self.config.type db_cfg = self._db_config or app_config.db ds = DataService(db_cfg) await ds.connect() @@ -67,6 +68,8 @@ class LongShortEngine: symbol=self.config.symbol, interval=self.config.interval, start_time=self.config.start_time, end_time=self.config.end_time, limit=1_000_000, + type=self.config.type, + exchange=self.config.exchange, ) if len(klines) < self.config.warmup_bars + 2: raise ValueError(f"数据不足：需 {self.config.warmup_bars+2}，实际 {len(klines)}") diff --git a/engine/example/strategy_battle.py b/engine/example/strategy_battle.py index bc11746..5fadb51 100644 --- a/engine/example/strategy_battle.py +++ b/engine/example/strategy_battle.py @@ -201,6 +201,8 @@ async def run_one( warmup_bars=100, ) strategy_config.symbol = symbol + strategy_config.exchange = bt.exchange + strategy_config.type = bt.type strategy_config.name = f"{strategy_name}_{symbol}" engine = BacktestEngine(bt, db_config=config.db) diff --git a/reasonix.toml b/reasonix.toml index 0ac0fc2..385c896 100644 --- a/reasonix.toml +++ b/reasonix.toml @@ -1,7 +1,88 @@ -# 项目级 Reasonix 配置 — 优先级高于全局 config.toml -# 参考: ~/Library/Application Support/reasonix/config.toml +# Reasonix configuration. +# Resolution order: flag > ./reasonix.toml > ~/Library/Application Support/reasonix/config.toml > built-in defaults. +# Secrets come from the environment via api_key_env; never put keys here. + +config_version = 2 # schema marker for diagnostics; old versions may ignore it +default_model = "deepseek-pro" +language = "zh" # ui/model language; empty = auto-detect from $LANG / $REASONIX_LANG + [agent] -reasoning_language = "zh" # 强制推理过程使用中文 +# system_prompt = """...""" # omit to use the built-in prompt for this version +# system_prompt_file = "prompts/system.md" # overrides system_prompt when set +max_steps = 0 # executor tool-call rounds; 0 = no limit +planner_max_steps = 12 # planner read-only tool-call rounds; 0 = no limit +temperature = 0.0 +auto_plan = "off" # off|on; off keeps plan mode manual +reasoning_language = "zh" # visible reasoning language: auto|zh|en +# auto_plan_classifier = "deepseek-pro" # optional; only used for borderline tasks +soft_compact_ratio = 0.5 # notice only; keeps cache-first prefix intact +compact_ratio = 0.8 # try compacting when prompt reaches this fraction +compact_force_ratio = 0.9 # force compacting at this high-water mark +cold_resume_prune = true # elide stale tool results when reopening a session past the provider cache window +# planner_model = "mimo" # optional: enable two-model collaboration +# subagent_model = "deepseek-pro" # optional default for runAs=subagent skills +# subagent_models = { review = "deepseek-pro", security_review = "deepseek-pro" } # per-skill overrides +# subagent_effort = "high" # optional default effort for subagents +# subagent_efforts = { review = "max", task = "high" } # per-tool/skill effort overrides +# output_style = "explanatory" # explanatory | learning | concise | custom; empty = default + +[tools] +enabled = [] # empty = all built-in tools +bash_timeout_seconds = 120 # foreground safety cap; set 0 for no tool-local cap [codegraph] -enabled = true +enabled = true # built-in MCP server; off by default for first-run sessions +auto_install = true # fetch the runtime when CodeGraph is enabled but missing +# path = "" # empty = cache, then PATH, then a bundle beside reasonix + +[builtin_mcp] +time_enabled = true # built-in Time MCP; off until manually enabled +context7_enabled = false # built-in Context7 MCP; off until manually enabled + +[lsp] +enabled = true # language server tools; servers launch lazily when used +# [lsp.servers.go] +# command = "gopls" +# args = [] +# extensions = [".go"] + +[skills] +# paths = ["~/my-skills", "../shared/skills"] # extra custom skill roots +# excluded_paths = ["~/.agents/skills"] # hide convention roots without deleting folders +# max_depth = 3 # nested scan depth; set 1 for legacy root-only discovery +# disabled_skills = ["review"] # hide noisy or unwanted skills + +[permissions] +# Per-call gating. mode = writer fallback when no rule matches: ask|allow|deny. +# Readers always default to allow. Precedence: deny > ask > allow > fallback. +# Rules are "Tool" or "Tool(specifier)"; e.g. Bash(go test:*), Edit(src/**). +mode = "ask" +# deny = ["Bash(rm -rf*)", "Bash(git push*)"] # hard-blocked in every mode +allow = ["Bash(cd /Users/rekey/Documents/Code/trade && git status)", "Bash(cd /Users/rekey/Documents/Code/trade && git status --short)", "Bash(cd /Users/rekey/Documents/Code/trade && git diff)", "review"] +# ask = ["Edit(src/**)"] # force a prompt even if otherwise allowed + +[sandbox] +# Confine tool blast radius. File-writers (write_file/edit_file/multi_edit) +# may only write under workspace_root (empty = current dir) + allow_write. +# bash = "enforce" (default) jails each command in an OS sandbox (macOS now; +# graceful fallback elsewhere); "off" disables it. network allows egress. +# workspace_root = "" # default: current working directory +# allow_write = ["/tmp"] # extra dirs writers may also modify +bash = "enforce" +network = true + +[statusline] +# A custom status line: a command whose first stdout line replaces the built-in +# data row. It receives {"model","contextUsed","contextWindow","cwd"} as JSON on stdin. +# command = "my-statusline.sh" + +# External MCP servers. type: "stdio" (default, a subprocess) | "http" | "sse". +# ${VAR} / ${VAR:-default} are expanded from the environment in command/args/env/url/headers. +# [[plugins]] +# name = "example" +# command = "reasonix-plugin-example" +# [[plugins]] # a remote server over Streamable HTTP +# name = "stripe" +# type = "http" +# url = "https://mcp.stripe.com" +# headers = { Authorization = "Bearer ${STRIPE_KEY}" }