rekey/trade
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity
Files
6708abaf56f712f95fe942c06949e17f6abc3078
trade/engine/example/vol_break_1h_6h.json
T
Rekey 0cd2cbbb79 feat(engine): 新增 2h/6h 与 1h 策略对比回测 
- 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
2026-06-14 00:15:16 +08:00

312 lines
7.9 KiB
JSON
Raw Blame History

{
"config": {
"strategy": "ATR波动率突破",
"symbols": [
"BTCUSDT",
"ETHUSDT",
"BNBUSDT",
"SOLUSDT"
],
"timeframes": [
"1h",
"2h",
"4h",
"6h"
],
"period": "近半年",
"initial_capital": 10000.0,
"warmup_bars": 150,
"elapsed_seconds": 0.6400730609893799,
"run_time": "2026-06-13T12:01:08.097745+00:00"
},
"results": [
{
"币种": "ETHUSDT",
"时间级别": "1h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 9103.91,
"总收益%": -8.96,
"年化收益%": -17.94,
"夏普比率": -0.17,
"最大回撤%": -38.98,
"胜率%": 20.0,
"盈亏比": 0.91,
"交易次数": 40,
"平均盈亏": -12.76,
"最佳盈亏": 2363.57,
"最差盈亏": -496.06,
"耗时s": 0.3
},
{
"币种": "BTCUSDT",
"时间级别": "1h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 9726.77,
"总收益%": -2.73,
"年化收益%": -5.67,
"夏普比率": 0.01,
"最大回撤%": -32.4,
"胜率%": 25.64,
"盈亏比": 1.02,
"交易次数": 39,
"平均盈亏": 2.37,
"最佳盈亏": 1960.9,
"最差盈亏": -713.74,
"耗时s": 0.3
},
{
"币种": "BNBUSDT",
"时间级别": "1h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 11586.76,
"总收益%": 15.87,
"年化收益%": 36.37,
"夏普比率": 1.09,
"最大回撤%": -19.14,
"胜率%": 28.12,
"盈亏比": 1.51,
"交易次数": 32,
"平均盈亏": 58.9,
"最佳盈亏": 2400.68,
"最差盈亏": -411.05,
"耗时s": 0.2
},
{
"币种": "SOLUSDT",
"时间级别": "1h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 8240.83,
"总收益%": -17.59,
"年化收益%": -33.47,
"夏普比率": -0.57,
"最大回撤%": -49.62,
"胜率%": 23.08,
"盈亏比": 0.8,
"交易次数": 39,
"平均盈亏": -37.47,
"最佳盈亏": 2837.53,
"最差盈亏": -814.13,
"耗时s": 0.3
},
{
"币种": "ETHUSDT",
"时间级别": "2h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 12686.34,
"总收益%": 26.86,
"年化收益%": 68.25,
"夏普比率": 1.36,
"最大回撤%": -21.84,
"胜率%": 29.41,
"盈亏比": 1.91,
"交易次数": 17,
"平均盈亏": 173.85,
"最佳盈亏": 2685.48,
"最差盈亏": -507.73,
"耗时s": 0.3
},
{
"币种": "BTCUSDT",
"时间级别": "2h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 14294.36,
"总收益%": 42.94,
"年化收益%": 118.42,
"夏普比率": 2.06,
"最大回撤%": -17.1,
"胜率%": 57.14,
"盈亏比": 3.7,
"交易次数": 14,
"平均盈亏": 326.07,
"最佳盈亏": 2115.62,
"最差盈亏": -546.69,
"耗时s": 0.3
},
{
"币种": "BNBUSDT",
"时间级别": "2h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 13051.99,
"总收益%": 30.52,
"年化收益%": 79.04,
"夏普比率": 2.05,
"最大回撤%": -13.6,
"胜率%": 46.15,
"盈亏比": 3.62,
"交易次数": 13,
"平均盈亏": 246.85,
"最佳盈亏": 2718.8,
"最差盈亏": -292.95,
"耗时s": 0.2
},
{
"币种": "SOLUSDT",
"时间级别": "2h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 12207.75,
"总收益%": 22.08,
"年化收益%": 54.68,
"夏普比率": 1.22,
"最大回撤%": -25.2,
"胜率%": 35.29,
"盈亏比": 1.75,
"交易次数": 17,
"平均盈亏": 150.9,
"最佳盈亏": 2571.92,
"最差盈亏": -719.69,
"耗时s": 0.2
},
{
"币种": "BTCUSDT",
"时间级别": "4h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 12105.54,
"总收益%": 21.06,
"年化收益%": 57.21,
"夏普比率": 1.41,
"最大回撤%": -13.55,
"胜率%": 54.55,
"盈亏比": 2.38,
"交易次数": 11,
"平均盈亏": 195.47,
"最佳盈亏": 1727.66,
"最差盈亏": -580.61,
"耗时s": 0.3
},
{
"币种": "BNBUSDT",
"时间级别": "4h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 10800.73,
"总收益%": 8.01,
"年化收益%": 20.01,
"夏普比率": 0.64,
"最大回撤%": -21.48,
"胜率%": 57.14,
"盈亏比": 1.95,
"交易次数": 7,
"平均盈亏": 127.36,
"最佳盈亏": 907.82,
"最差盈亏": -465.17,
"耗时s": 0.2
},
{
"币种": "ETHUSDT",
"时间级别": "4h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 20044.4,
"总收益%": 100.44,
"年化收益%": 418.79,
"夏普比率": 2.52,
"最大回撤%": -21.71,
"胜率%": 30.0,
"盈亏比": 3.55,
"交易次数": 10,
"平均盈亏": 1013.41,
"最佳盈亏": 8978.94,
"最差盈亏": -1167.65,
"耗时s": 0.2
},
{
"币种": "SOLUSDT",
"时间级别": "4h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 16846.12,
"总收益%": 68.46,
"年化收益%": 243.76,
"夏普比率": 2.02,
"最大回撤%": -36.03,
"胜率%": 22.22,
"盈亏比": 2.38,
"交易次数": 9,
"平均盈亏": 768.98,
"最佳盈亏": 9654.28,
"最差盈亏": -1427.23,
"耗时s": 0.2
},
{
"币种": "BTCUSDT",
"时间级别": "6h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 14121.75,
"总收益%": 41.22,
"年化收益%": 143.58,
"夏普比率": 2.79,
"最大回撤%": -11.58,
"胜率%": 75.0,
"盈亏比": 6.87,
"交易次数": 4,
"平均盈亏": 1015.11,
"最佳盈亏": 2377.43,
"最差盈亏": -692.0,
"耗时s": 0.3
},
{
"币种": "ETHUSDT",
"时间级别": "6h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 12832.56,
"总收益%": 28.33,
"年化收益%": 90.28,
"夏普比率": 1.61,
"最大回撤%": -18.93,
"胜率%": 40.0,
"盈亏比": 3.54,
"交易次数": 5,
"平均盈亏": 561.57,
"最佳盈亏": 2473.69,
"最差盈亏": -528.44,
"耗时s": 0.1
},
{
"币种": "BNBUSDT",
"时间级别": "6h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 16288.39,
"总收益%": 62.88,
"年化收益%": 252.0,
"夏普比率": 2.08,
"最大回撤%": -18.31,
"胜率%": 25.0,
"盈亏比": 4.45,
"交易次数": 4,
"平均盈亏": 1593.04,
"最佳盈亏": 8218.32,
"最差盈亏": -1176.64,
"耗时s": 0.2
},
{
"币种": "SOLUSDT",
"时间级别": "6h",
"日期范围": "2025-12-13~2026-06-11",
"初始资金": 10000.0,
"最终权益": 14329.33,
"总收益%": 43.29,
"年化收益%": 152.92,
"夏普比率": 2.65,
"最大回撤%": -13.51,
"胜率%": 50.0,
"盈亏比": 6.8,
"交易次数": 4,
"平均盈亏": 1054.76,
"最佳盈亏": 3189.27,
"最差盈亏": -701.15,
"耗时s": 0.2
}
]
}
Reference in New Issue View Git Blame Copy Permalink