| 西蒙斯量化3.0回测系统-索普全球大类资产波段趋势增强策略回测,作者:西蒙斯量化,微信:xg_quant |
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| 时间 | 策略名称 | 今日收益% | 策略收益% | 3日收益% | 周收益% | 月收益% | 3月收益% | 6月收益% | 年月收益% | 年化收益% | 最大回撤% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 20500101 | 索普全球大类资产波段趋势增强策略 | 0.52 | 87.93 | 0.91 | 1.23 | 3.57 | 10.04 | 19.17 | 48.24 | 37.00 | -8.00 |
| 夏普 | 波动率 | 在险价值 | 索提诺比率 | 卡玛比率 | 欧米茄比率 | 总天数 | 盈利周期 | 亏损周期 | 胜率% | 盈亏比% |
|---|---|---|---|---|---|---|---|---|---|---|
| 2.49 | 0.13 | 1.26 | 4.36 | 4.55 | 1.65 | 683.00 | 401.00 | 282.00 | 58.71 | 142.20 |
| 年份 | 年总盈亏 | 日均盈亏 | 年最大单日盈亏 | 年最小单日盈亏 | 交易天数 | 年总盈亏比 | 日均盈亏比 | 年末累计收益 | 年收益率 | 年化收益率 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 45494.79 | 187.22 | 6656.08 | -5999.28 | 243 | 21.28% | 0.09% | 21.28% | 21.28% | 21.90% |
| 2024 | 105493.22 | 435.92 | 20955.65 | -17510.16 | 242 | 39.07% | 0.16% | 60.35% | 39.07% | 40.36% |
| 2025 | 101083.91 | 510.52 | 7483.63 | -5068.46 | 198 | 27.58% | 0.14% | 87.93% | 27.58% | 34.82% |
| 年月 | 月总盈亏 | 日均盈亏 | 月最大单日盈亏 | 月最小单日盈亏 | 交易天数 | 月总盈亏比 | 日均盈亏比 | 月末累计收益 | 月收益率 |
|---|---|---|---|---|---|---|---|---|---|
| 2023-01 | 4979.91 | 292.94 | 2005.85 | -2016.34 | 17 | 2.48% | 0.15% | 2.48% | 2.48% |
| 2023-02 | 648.08 | 32.40 | 2066.50 | -1775.96 | 20 | 0.33% | 0.02% | 2.81% | 0.33% |
| 2023-03 | 7880.80 | 342.64 | 2691.04 | -2756.60 | 23 | 3.83% | 0.17% | 6.64% | 3.83% |
| 2023-04 | 3040.76 | 160.04 | 2200.32 | -2863.99 | 19 | 1.46% | 0.08% | 8.10% | 1.46% |
| 2023-05 | 6605.97 | 330.30 | 3051.64 | -2472.78 | 20 | 3.08% | 0.15% | 11.18% | 3.08% |
| 2023-06 | 3671.92 | 183.60 | 2600.14 | -5999.28 | 20 | 1.72% | 0.09% | 12.90% | 1.72% |
| 2023-07 | 9061.82 | 431.52 | 6656.08 | -1880.71 | 21 | 4.06% | 0.19% | 16.96% | 4.06% |
| 2023-08 | -4000.01 | -173.91 | 2868.22 | -4433.00 | 23 | -1.68% | -0.07% | 15.27% | -1.68% |
| 2023-09 | -337.87 | -16.89 | 3660.25 | -3702.33 | 20 | -0.11% | -0.01% | 15.16% | -0.11% |
| 2023-10 | -2015.92 | -118.58 | 2499.95 | -3121.59 | 17 | -0.86% | -0.05% | 14.30% | -0.86% |
| 2023-11 | 8027.89 | 364.90 | 6192.65 | -1740.73 | 22 | 3.58% | 0.16% | 17.88% | 3.58% |
| 2023-12 | 7931.46 | 377.69 | 3652.56 | -1665.13 | 21 | 3.40% | 0.16% | 21.28% | 3.40% |
| 2024-01 | -14564.06 | -662.00 | 3767.96 | -5165.65 | 22 | -6.21% | -0.28% | 15.07% | -6.21% |
| 2024-02 | 24974.72 | 1664.98 | 8768.97 | -6677.16 | 15 | 10.87% | 0.72% | 25.94% | 10.87% |
| 2024-03 | 3327.28 | 158.44 | 2129.61 | -2194.28 | 21 | 1.37% | 0.07% | 27.32% | 1.37% |
| 2024-04 | 9415.89 | 470.79 | 6376.32 | -1761.63 | 20 | 3.78% | 0.19% | 31.10% | 3.78% |
| 2024-05 | 8899.48 | 444.97 | 4422.78 | -2898.00 | 20 | 3.44% | 0.17% | 34.54% | 3.44% |
| 2024-06 | 3763.81 | 198.10 | 2336.19 | -2215.41 | 19 | 1.43% | 0.08% | 35.97% | 1.43% |
| 2024-07 | 7165.65 | 311.55 | 4987.59 | -5396.28 | 23 | 2.70% | 0.12% | 38.66% | 2.70% |
| 2024-08 | 5103.76 | 231.99 | 3755.54 | -5812.47 | 22 | 1.92% | 0.09% | 40.58% | 1.92% |
| 2024-09 | 45727.08 | 2406.69 | 20955.65 | -4462.84 | 19 | 15.71% | 0.83% | 56.29% | 15.71% |
| 2024-10 | -3108.18 | -172.68 | 15955.41 | -17510.16 | 18 | -0.68% | -0.04% | 55.61% | -0.68% |
| 2024-11 | 12279.71 | 584.75 | 8759.57 | -3425.38 | 21 | 3.94% | 0.19% | 59.56% | 3.94% |
| 2024-12 | 2508.06 | 114.00 | 2439.35 | -4052.01 | 22 | 0.79% | 0.04% | 60.35% | 0.79% |
| 2025-01 | 5573.48 | 309.64 | 7483.63 | -5068.46 | 18 | 1.76% | 0.10% | 62.10% | 1.76% |
| 2025-02 | 17549.02 | 974.95 | 3952.46 | -3355.44 | 18 | 5.23% | 0.29% | 67.33% | 5.23% |
| 2025-03 | 534.68 | 25.46 | 3752.78 | -3255.36 | 21 | 0.17% | 0.01% | 67.50% | 0.17% |
| 2025-04 | 4353.62 | 207.32 | 2399.81 | -2445.18 | 21 | 1.26% | 0.06% | 68.76% | 1.26% |
| 2025-05 | 7386.46 | 388.76 | 4904.11 | -3181.79 | 19 | 2.12% | 0.11% | 70.88% | 2.12% |
| 2025-06 | 11419.84 | 570.99 | 2686.12 | -2925.28 | 20 | 3.17% | 0.16% | 74.05% | 3.17% |
| 2025-07 | 12157.75 | 528.60 | 3671.34 | -1342.65 | 23 | 3.26% | 0.14% | 77.31% | 3.26% |
| 2025-08 | 16260.42 | 774.31 | 6535.66 | -4397.84 | 21 | 4.23% | 0.20% | 81.54% | 4.23% |
| 2025-09 | 17470.54 | 794.12 | 3892.70 | -2323.35 | 22 | 4.35% | 0.20% | 85.89% | 4.35% |
| 2025-10 | 8378.11 | 558.54 | 4750.70 | -4801.42 | 15 | 2.04% | 0.14% | 87.93% | 2.04% |