| 索普量化3.0回测系统-全球外盘六脉神剑趋势增强策略回测回测,作者:索普量化,微信:xms_quants1 |
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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 | 全球外盘六脉神剑趋势增强策略回测 | -0.07 | 42.11 | -0.04 | -0.68 | 0.93 | 8.00 | 11.98 | 26.14 | 26.00 | -4.00 |
| 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% |
|---|---|---|---|---|---|---|---|---|---|---|
| 3.05 | 0.08 | 1.49 | 5.16 | 6.21 | 1.81 | 458.00 | 300.00 | 158.00 | 65.50 | 189.87 |
| 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 | 22023.77 | 90.63 | 2117.00 | -2028.80 | 243 | 20.42% | 0.08% | 20.42% | 20.42% | 21.01% |
| 2025 | 28449.74 | 132.32 | 2575.33 | -2674.21 | 215 | 21.69% | 0.10% | 42.11% | 21.69% | 25.22% |
| 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 | -820.47 | -35.67 | 1926.18 | -1639.97 | 23 | -0.78% | -0.03% | -0.78% | -0.78% |
| 2024-02 | 2487.47 | 165.83 | 1290.25 | -516.14 | 15 | 2.51% | 0.17% | 1.73% | 2.51% |
| 2024-03 | 1773.25 | 84.44 | 887.73 | -802.50 | 21 | 1.75% | 0.08% | 3.48% | 1.75% |
| 2024-04 | 333.95 | 16.70 | 560.81 | -603.98 | 20 | 0.33% | 0.02% | 3.81% | 0.33% |
| 2024-05 | 2040.94 | 102.05 | 1390.71 | -1166.02 | 20 | 1.98% | 0.10% | 5.80% | 1.98% |
| 2024-06 | 2080.26 | 109.49 | 1011.27 | -751.89 | 19 | 1.98% | 0.10% | 7.77% | 1.98% |
| 2024-07 | 4497.83 | 195.56 | 1824.40 | -2028.80 | 23 | 4.20% | 0.18% | 11.97% | 4.20% |
| 2024-08 | 2729.44 | 124.07 | 2117.00 | -605.95 | 22 | 2.47% | 0.11% | 14.44% | 2.47% |
| 2024-09 | 515.74 | 27.14 | 610.38 | -916.79 | 19 | 0.46% | 0.02% | 14.90% | 0.46% |
| 2024-10 | 594.53 | 33.03 | 1177.17 | -809.81 | 18 | 0.54% | 0.03% | 15.44% | 0.54% |
| 2024-11 | 4445.95 | 211.71 | 1591.10 | -1264.44 | 21 | 3.84% | 0.18% | 19.27% | 3.84% |
| 2024-12 | 1344.87 | 61.13 | 1543.78 | -1101.99 | 22 | 1.15% | 0.05% | 20.42% | 1.15% |
| 2025-01 | 3228.21 | 179.34 | 1466.58 | -2674.21 | 18 | 2.71% | 0.15% | 23.13% | 2.71% |
| 2025-02 | 1055.34 | 58.63 | 966.67 | -304.14 | 18 | 0.86% | 0.05% | 23.99% | 0.86% |
| 2025-03 | 688.30 | 32.78 | 523.19 | -835.84 | 21 | 0.56% | 0.03% | 24.55% | 0.56% |
| 2025-04 | 4261.81 | 202.94 | 1492.97 | -591.53 | 21 | 3.40% | 0.16% | 27.95% | 3.40% |
| 2025-05 | 2559.10 | 134.69 | 1447.99 | -1074.54 | 19 | 2.00% | 0.11% | 29.95% | 2.00% |
| 2025-06 | 3526.61 | 176.33 | 1397.50 | -393.61 | 20 | 2.68% | 0.13% | 32.63% | 2.68% |
| 2025-07 | 937.73 | 40.77 | 982.75 | -586.56 | 23 | 0.71% | 0.03% | 33.34% | 0.71% |
| 2025-08 | 980.21 | 46.68 | 1129.02 | -1075.79 | 21 | 0.74% | 0.04% | 34.08% | 0.74% |
| 2025-09 | 4831.91 | 219.63 | 1007.87 | -380.66 | 22 | 3.51% | 0.16% | 37.59% | 3.51% |
| 2025-10 | 8265.12 | 486.18 | 2575.33 | -1398.62 | 17 | 5.79% | 0.34% | 43.37% | 5.79% |
| 2025-11 | -1884.61 | -125.64 | 930.15 | -1784.11 | 15 | -1.26% | -0.08% | 42.11% | -1.26% |