| 西蒙斯量化3.0回测系统-索普全球外盘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 | 索普全球外盘波段趋势增强策略 | 0.04 | 58.46 | 0.51 | 1.57 | 4.11 | 6.46 | 10.82 | 20.45 | 24.00 | -6.00 |
| 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% |
|---|---|---|---|---|---|---|---|---|---|---|
| 2.46 | 0.09 | 1.31 | 3.78 | 4.12 | 1.61 | 685.00 | 416.00 | 269.00 | 60.73 | 154.65 |
| 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 | 39022.87 | 160.59 | 4574.69 | -5471.36 | 243 | 18.31% | 0.08% | 18.31% | 18.31% | 18.84% |
| 2024 | 63337.95 | 261.73 | 6019.11 | -7056.09 | 242 | 24.46% | 0.10% | 42.76% | 24.46% | 25.26% |
| 2025 | 48292.02 | 241.46 | 5754.93 | -10579.41 | 200 | 15.69% | 0.08% | 58.46% | 15.69% | 19.62% |
| 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 | -208.53 | -12.27 | 306.84 | -942.41 | 17 | -0.10% | -0.01% | -0.10% | -0.10% |
| 2023-02 | 1013.23 | 50.66 | 2069.77 | -2056.16 | 20 | 0.52% | 0.03% | 0.42% | 0.52% |
| 2023-03 | 4481.09 | 194.83 | 1680.77 | -3097.38 | 23 | 2.24% | 0.10% | 2.67% | 2.24% |
| 2023-04 | 1687.82 | 88.83 | 1370.74 | -2266.72 | 19 | 0.83% | 0.04% | 3.50% | 0.83% |
| 2023-05 | 10133.46 | 506.67 | 4574.69 | -2299.78 | 20 | 4.85% | 0.24% | 8.35% | 4.85% |
| 2023-06 | 5030.44 | 251.52 | 3418.28 | -2694.97 | 20 | 2.34% | 0.12% | 10.69% | 2.34% |
| 2023-07 | 1696.21 | 80.77 | 3372.04 | -2793.50 | 21 | 0.80% | 0.04% | 11.48% | 0.80% |
| 2023-08 | 605.97 | 26.35 | 2884.28 | -5471.36 | 23 | 0.34% | 0.01% | 11.82% | 0.34% |
| 2023-09 | -3508.32 | -175.42 | 700.49 | -2146.03 | 20 | -1.58% | -0.08% | 10.24% | -1.58% |
| 2023-10 | -1744.84 | -102.64 | 1767.13 | -2386.08 | 17 | -0.78% | -0.05% | 9.46% | -0.78% |
| 2023-11 | 14796.84 | 672.58 | 4236.26 | -1750.81 | 22 | 6.66% | 0.30% | 16.12% | 6.66% |
| 2023-12 | 5039.49 | 239.98 | 2360.45 | -2993.73 | 21 | 2.19% | 0.10% | 18.31% | 2.19% |
| 2024-01 | 3612.01 | 164.18 | 5650.49 | -5478.53 | 22 | 1.61% | 0.07% | 19.92% | 1.61% |
| 2024-02 | 3714.20 | 247.61 | 2316.90 | -1145.28 | 15 | 1.56% | 0.10% | 21.48% | 1.56% |
| 2024-03 | 5642.98 | 268.71 | 2186.56 | -1863.44 | 21 | 2.33% | 0.11% | 23.81% | 2.33% |
| 2024-04 | 1565.49 | 78.27 | 2111.11 | -2585.13 | 20 | 0.65% | 0.03% | 24.46% | 0.65% |
| 2024-05 | 6253.96 | 312.70 | 3369.45 | -2178.82 | 20 | 2.51% | 0.13% | 26.97% | 2.51% |
| 2024-06 | 6910.85 | 363.73 | 1782.56 | -1174.74 | 19 | 2.70% | 0.14% | 29.66% | 2.70% |
| 2024-07 | 9834.64 | 427.59 | 4024.66 | -4844.94 | 23 | 3.76% | 0.16% | 33.42% | 3.76% |
| 2024-08 | 9688.89 | 440.40 | 6019.11 | -7056.09 | 22 | 3.63% | 0.17% | 37.05% | 3.63% |
| 2024-09 | 3133.78 | 164.94 | 2524.01 | -3296.31 | 19 | 1.14% | 0.06% | 38.19% | 1.14% |
| 2024-10 | 1256.68 | 69.82 | 3186.23 | -2236.72 | 18 | 0.47% | 0.03% | 38.66% | 0.47% |
| 2024-11 | 7343.78 | 349.70 | 2759.84 | -2329.55 | 21 | 2.59% | 0.12% | 41.25% | 2.59% |
| 2024-12 | 4380.69 | 199.12 | 2940.54 | -2323.66 | 22 | 1.52% | 0.07% | 42.76% | 1.52% |
| 2025-01 | 7277.41 | 404.30 | 4144.44 | -10579.41 | 18 | 2.55% | 0.14% | 45.31% | 2.55% |
| 2025-02 | -2507.87 | -139.33 | 3545.99 | -1764.09 | 18 | -0.83% | -0.05% | 44.48% | -0.83% |
| 2025-03 | -1597.61 | -76.08 | 2829.64 | -4549.66 | 21 | -0.51% | -0.02% | 43.97% | -0.51% |
| 2025-04 | 7442.00 | 354.38 | 5754.93 | -3090.76 | 21 | 2.55% | 0.12% | 46.52% | 2.55% |
| 2025-05 | 8426.72 | 443.51 | 3850.77 | -2409.79 | 19 | 2.79% | 0.15% | 49.31% | 2.79% |
| 2025-06 | 5033.82 | 251.69 | 2904.56 | -1872.71 | 20 | 1.63% | 0.08% | 50.94% | 1.63% |
| 2025-07 | 3302.95 | 143.61 | 2489.98 | -1520.69 | 23 | 1.06% | 0.05% | 52.00% | 1.06% |
| 2025-08 | 323.73 | 15.42 | 2095.70 | -2870.67 | 21 | 0.11% | 0.01% | 52.11% | 0.11% |
| 2025-09 | 7246.18 | 329.37 | 2283.61 | -1011.61 | 22 | 2.27% | 0.10% | 54.38% | 2.27% |
| 2025-10 | 13344.68 | 784.98 | 3968.77 | -2408.83 | 17 | 4.08% | 0.24% | 58.46% | 4.08% |