Rekey
0cd2cbbb79
- comparison_2h_6h: 9 策略 × 4 币种 × 2 周期 × 4 数据量 = 288 次回测
- 包含海龟、超级趋势、MACD、布林收缩、三均线、RSI 回归、
ATR 波动率突破、EMA 多空、牛熊自适应
- 结论：6h 夏普显著优于 2h（69% 组合），ATR 策略霸榜
- 自动生成 Markdown 回测报告
- vol_break_1h_6h: ATR 波动率突破 × 1h/2h/4h/6h 近半年对比
312 lines
7.9 KiB
JSON
312 lines
7.9 KiB
JSON
{
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"config": {
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"strategy": "ATR波动率突破",
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"symbols": [
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"BTCUSDT",
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"ETHUSDT",
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"BNBUSDT",
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"SOLUSDT"
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],
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"timeframes": [
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"1h",
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"2h",
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"4h",
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"6h"
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],
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"period": "近半年",
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"initial_capital": 10000.0,
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"warmup_bars": 150,
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"elapsed_seconds": 0.6400730609893799,
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"run_time": "2026-06-13T12:01:08.097745+00:00"
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},
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"results": [
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{
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"币种": "ETHUSDT",
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"时间级别": "1h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 9103.91,
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"总收益%": -8.96,
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"年化收益%": -17.94,
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"夏普比率": -0.17,
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"最大回撤%": -38.98,
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"胜率%": 20.0,
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"盈亏比": 0.91,
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"交易次数": 40,
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"平均盈亏": -12.76,
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"最佳盈亏": 2363.57,
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"最差盈亏": -496.06,
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"耗时s": 0.3
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},
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{
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"币种": "BTCUSDT",
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"时间级别": "1h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 9726.77,
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"总收益%": -2.73,
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"年化收益%": -5.67,
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"夏普比率": 0.01,
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"最大回撤%": -32.4,
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"胜率%": 25.64,
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"盈亏比": 1.02,
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"交易次数": 39,
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"平均盈亏": 2.37,
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"最佳盈亏": 1960.9,
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"最差盈亏": -713.74,
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"耗时s": 0.3
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},
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{
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"币种": "BNBUSDT",
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"时间级别": "1h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 11586.76,
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"总收益%": 15.87,
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"年化收益%": 36.37,
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"夏普比率": 1.09,
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"最大回撤%": -19.14,
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"胜率%": 28.12,
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"盈亏比": 1.51,
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"交易次数": 32,
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"平均盈亏": 58.9,
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"最佳盈亏": 2400.68,
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"最差盈亏": -411.05,
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"耗时s": 0.2
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},
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{
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"币种": "SOLUSDT",
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"时间级别": "1h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 8240.83,
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"总收益%": -17.59,
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"年化收益%": -33.47,
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"夏普比率": -0.57,
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"最大回撤%": -49.62,
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"胜率%": 23.08,
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"盈亏比": 0.8,
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"交易次数": 39,
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"平均盈亏": -37.47,
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"最佳盈亏": 2837.53,
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"最差盈亏": -814.13,
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"耗时s": 0.3
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},
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{
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"币种": "ETHUSDT",
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"时间级别": "2h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 12686.34,
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"总收益%": 26.86,
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"年化收益%": 68.25,
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"夏普比率": 1.36,
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"最大回撤%": -21.84,
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"胜率%": 29.41,
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"盈亏比": 1.91,
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"交易次数": 17,
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"平均盈亏": 173.85,
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"最佳盈亏": 2685.48,
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"最差盈亏": -507.73,
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"耗时s": 0.3
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},
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{
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"币种": "BTCUSDT",
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"时间级别": "2h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 14294.36,
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"总收益%": 42.94,
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"年化收益%": 118.42,
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"夏普比率": 2.06,
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"最大回撤%": -17.1,
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"胜率%": 57.14,
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"盈亏比": 3.7,
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"交易次数": 14,
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"平均盈亏": 326.07,
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"最佳盈亏": 2115.62,
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"最差盈亏": -546.69,
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"耗时s": 0.3
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},
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{
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"币种": "BNBUSDT",
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"时间级别": "2h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 13051.99,
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"总收益%": 30.52,
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"年化收益%": 79.04,
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"夏普比率": 2.05,
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"最大回撤%": -13.6,
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"胜率%": 46.15,
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"盈亏比": 3.62,
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"交易次数": 13,
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"平均盈亏": 246.85,
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"最佳盈亏": 2718.8,
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"最差盈亏": -292.95,
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"耗时s": 0.2
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},
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{
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"币种": "SOLUSDT",
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"时间级别": "2h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 12207.75,
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"总收益%": 22.08,
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"年化收益%": 54.68,
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"夏普比率": 1.22,
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"最大回撤%": -25.2,
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"胜率%": 35.29,
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"盈亏比": 1.75,
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"交易次数": 17,
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"平均盈亏": 150.9,
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"最佳盈亏": 2571.92,
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"最差盈亏": -719.69,
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"耗时s": 0.2
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},
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{
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"币种": "BTCUSDT",
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"时间级别": "4h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 12105.54,
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"总收益%": 21.06,
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"年化收益%": 57.21,
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"夏普比率": 1.41,
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"最大回撤%": -13.55,
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"胜率%": 54.55,
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"盈亏比": 2.38,
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"交易次数": 11,
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"平均盈亏": 195.47,
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"最佳盈亏": 1727.66,
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"最差盈亏": -580.61,
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"耗时s": 0.3
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},
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{
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"币种": "BNBUSDT",
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"时间级别": "4h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 10800.73,
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"总收益%": 8.01,
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"年化收益%": 20.01,
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"夏普比率": 0.64,
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"最大回撤%": -21.48,
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"胜率%": 57.14,
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"盈亏比": 1.95,
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"交易次数": 7,
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"平均盈亏": 127.36,
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"最佳盈亏": 907.82,
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"最差盈亏": -465.17,
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"耗时s": 0.2
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},
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{
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"币种": "ETHUSDT",
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"时间级别": "4h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 20044.4,
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"总收益%": 100.44,
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"年化收益%": 418.79,
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"夏普比率": 2.52,
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"最大回撤%": -21.71,
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"胜率%": 30.0,
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"盈亏比": 3.55,
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"交易次数": 10,
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"平均盈亏": 1013.41,
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"最佳盈亏": 8978.94,
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"最差盈亏": -1167.65,
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"耗时s": 0.2
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},
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{
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"币种": "SOLUSDT",
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"时间级别": "4h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 16846.12,
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"总收益%": 68.46,
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"年化收益%": 243.76,
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"夏普比率": 2.02,
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"最大回撤%": -36.03,
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"胜率%": 22.22,
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"盈亏比": 2.38,
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"交易次数": 9,
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"平均盈亏": 768.98,
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"最佳盈亏": 9654.28,
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"最差盈亏": -1427.23,
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"耗时s": 0.2
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},
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{
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"币种": "BTCUSDT",
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"时间级别": "6h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 14121.75,
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"总收益%": 41.22,
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"年化收益%": 143.58,
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"夏普比率": 2.79,
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"最大回撤%": -11.58,
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"胜率%": 75.0,
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"盈亏比": 6.87,
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"交易次数": 4,
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"平均盈亏": 1015.11,
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"最佳盈亏": 2377.43,
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"最差盈亏": -692.0,
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"耗时s": 0.3
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},
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{
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"币种": "ETHUSDT",
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"时间级别": "6h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 12832.56,
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"总收益%": 28.33,
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"年化收益%": 90.28,
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"夏普比率": 1.61,
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"最大回撤%": -18.93,
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"胜率%": 40.0,
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"盈亏比": 3.54,
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"交易次数": 5,
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"平均盈亏": 561.57,
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"最佳盈亏": 2473.69,
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"最差盈亏": -528.44,
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"耗时s": 0.1
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},
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{
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"币种": "BNBUSDT",
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"时间级别": "6h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 16288.39,
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"总收益%": 62.88,
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"年化收益%": 252.0,
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"夏普比率": 2.08,
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"最大回撤%": -18.31,
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"胜率%": 25.0,
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"盈亏比": 4.45,
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"交易次数": 4,
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"平均盈亏": 1593.04,
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"最佳盈亏": 8218.32,
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"最差盈亏": -1176.64,
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"耗时s": 0.2
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},
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{
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"币种": "SOLUSDT",
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"时间级别": "6h",
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"日期范围": "2025-12-13~2026-06-11",
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"初始资金": 10000.0,
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"最终权益": 14329.33,
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"总收益%": 43.29,
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"年化收益%": 152.92,
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"夏普比率": 2.65,
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"最大回撤%": -13.51,
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"胜率%": 50.0,
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"盈亏比": 6.8,
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"交易次数": 4,
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"平均盈亏": 1054.76,
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"最佳盈亏": 3189.27,
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"最差盈亏": -701.15,
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"耗时s": 0.2
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}
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]
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} |