| 西蒙斯量化3.0回测系统-全球外盘波段趋势增强策略回测回测,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 | 全球外盘波段趋势增强策略回测 | 1.19 | 41.52 | 2.94 | 3.20 | 6.55 | 10.55 | 15.94 | 22.28 | 26.00 | -7.00 |
| 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% |
|---|---|---|---|---|---|---|---|---|---|---|
| 2.32 | 0.10 | 1.23 | 3.49 | 3.51 | 1.53 | 441.00 | 273.00 | 168.00 | 61.90 | 162.50 |
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 53647.44 | 220.77 | 5328.31 | -7006.00 | 243 | 24.52% | 0.10% | 24.52% | 24.52% | 25.23% |
| 2025 | 44089.04 | 222.67 | 4983.27 | -8549.24 | 198 | 17.00% | 0.09% | 41.52% | 17.00% | 21.47% |
| 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 |
|---|---|---|---|---|---|---|---|---|---|
| 2024-01 | 3535.67 | 153.72 | 4385.27 | -3169.53 | 23 | 1.80% | 0.08% | 1.80% | 1.80% |
| 2024-02 | 5290.74 | 352.72 | 3010.26 | -1391.09 | 15 | 2.61% | 0.17% | 4.42% | 2.61% |
| 2024-03 | 4074.24 | 194.01 | 1631.86 | -1399.06 | 21 | 1.96% | 0.09% | 6.38% | 1.96% |
| 2024-04 | -139.34 | -6.97 | 2141.35 | -2543.60 | 20 | -0.04% | -0.00% | 6.33% | -0.04% |
| 2024-05 | 6193.75 | 309.69 | 3014.46 | -3031.80 | 20 | 2.93% | 0.15% | 9.26% | 2.93% |
| 2024-06 | 7573.34 | 398.60 | 1860.47 | -1422.57 | 19 | 3.45% | 0.18% | 12.71% | 3.45% |
| 2024-07 | 5931.83 | 257.91 | 3511.13 | -4318.45 | 23 | 2.68% | 0.12% | 15.39% | 2.68% |
| 2024-08 | 6653.97 | 302.45 | 5328.31 | -7006.00 | 22 | 2.98% | 0.14% | 18.37% | 2.98% |
| 2024-09 | 884.53 | 46.55 | 2541.92 | -4105.05 | 19 | 0.41% | 0.02% | 18.78% | 0.41% |
| 2024-10 | 460.94 | 25.61 | 3440.18 | -2775.67 | 18 | 0.23% | 0.01% | 19.01% | 0.23% |
| 2024-11 | 8990.84 | 428.14 | 3599.95 | -2995.58 | 21 | 3.78% | 0.18% | 22.79% | 3.78% |
| 2024-12 | 4196.93 | 190.77 | 3255.03 | -3372.47 | 22 | 1.73% | 0.08% | 24.52% | 1.73% |
| 2025-01 | 1790.93 | 99.50 | 4324.66 | -8549.24 | 18 | 0.81% | 0.04% | 25.33% | 0.81% |
| 2025-02 | -1770.41 | -98.36 | 4190.51 | -1434.49 | 18 | -0.69% | -0.04% | 24.64% | -0.69% |
| 2025-03 | -4234.51 | -201.64 | 3427.46 | -5860.29 | 21 | -1.66% | -0.08% | 22.98% | -1.66% |
| 2025-04 | 6220.21 | 296.20 | 4983.27 | -3450.18 | 21 | 2.61% | 0.12% | 25.59% | 2.61% |
| 2025-05 | 6145.51 | 323.45 | 4281.61 | -3182.95 | 19 | 2.50% | 0.13% | 28.08% | 2.50% |
| 2025-06 | 5522.60 | 276.13 | 2306.29 | -2269.94 | 20 | 2.17% | 0.11% | 30.26% | 2.17% |
| 2025-07 | 3430.42 | 149.15 | 2014.58 | -1882.84 | 23 | 1.34% | 0.06% | 31.60% | 1.34% |
| 2025-08 | -929.29 | -44.25 | 2284.71 | -3254.47 | 21 | -0.34% | -0.02% | 31.26% | -0.34% |
| 2025-09 | 8682.14 | 394.64 | 2774.84 | -1413.64 | 22 | 3.29% | 0.15% | 34.56% | 3.29% |
| 2025-10 | 19231.45 | 1282.10 | 4722.48 | -1582.73 | 15 | 6.97% | 0.46% | 41.52% | 6.97% |