| 索普量化3.0回测系统-全球大类六脉神剑趋势增强策略回测回测,作者:索普量化,微信:xms_quants1 |
|---|
| 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 | 全球大类六脉神剑趋势增强策略回测 | -0.84 | 51.07 | -0.31 | -0.11 | 0.97 | 7.88 | 13.83 | 25.22 | 32.00 | -5.00 |
| 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% |
|---|---|---|---|---|---|---|---|---|---|---|
| 3.55 | 0.08 | 1.59 | 6.61 | 6.75 | 2.47 | 453.00 | 309.00 | 144.00 | 68.21 | 214.58 |
| 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 | 64349.35 | 264.81 | 12483.75 | -11809.98 | 243 | 28.60% | 0.12% | 28.60% | 28.60% | 29.42% |
| 2025 | 64049.46 | 305.00 | 3688.53 | -2701.45 | 210 | 22.47% | 0.11% | 51.07% | 22.47% | 26.75% |
| 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 | 2247.40 | 97.71 | 2048.64 | -1016.79 | 23 | 1.13% | 0.05% | 1.13% | 1.13% |
| 2024-02 | 3865.67 | 257.71 | 1745.74 | -1833.95 | 15 | 1.91% | 0.13% | 3.04% | 1.91% |
| 2024-03 | 5156.89 | 245.57 | 1545.15 | -449.14 | 21 | 2.48% | 0.12% | 5.52% | 2.48% |
| 2024-04 | 4060.62 | 203.03 | 1267.10 | -497.43 | 20 | 1.91% | 0.10% | 7.44% | 1.91% |
| 2024-05 | 5156.26 | 257.81 | 2032.27 | -1300.82 | 20 | 2.39% | 0.12% | 9.82% | 2.39% |
| 2024-06 | 2791.46 | 146.92 | 1489.64 | -1215.21 | 19 | 1.27% | 0.07% | 11.10% | 1.27% |
| 2024-07 | 2915.47 | 126.76 | 955.31 | -1577.00 | 23 | 1.31% | 0.06% | 12.41% | 1.31% |
| 2024-08 | 3862.47 | 175.57 | 2782.95 | -769.46 | 22 | 1.72% | 0.08% | 14.12% | 1.72% |
| 2024-09 | 26425.58 | 1390.82 | 12483.75 | -66.08 | 19 | 11.16% | 0.59% | 25.29% | 11.16% |
| 2024-10 | 1347.50 | 74.86 | 11123.08 | -11809.98 | 18 | 0.72% | 0.04% | 26.01% | 0.72% |
| 2024-11 | 3406.75 | 162.23 | 1999.65 | -1088.57 | 21 | 1.36% | 0.06% | 27.37% | 1.36% |
| 2024-12 | 3113.28 | 141.51 | 1325.43 | -1819.03 | 22 | 1.23% | 0.06% | 28.60% | 1.23% |
| 2025-01 | 1792.52 | 99.58 | 1412.91 | -1588.41 | 18 | 0.70% | 0.04% | 29.30% | 0.70% |
| 2025-02 | 6252.25 | 347.35 | 1739.81 | -630.75 | 18 | 2.40% | 0.13% | 31.70% | 2.40% |
| 2025-03 | 4375.10 | 208.34 | 2317.29 | -982.21 | 21 | 1.65% | 0.08% | 33.35% | 1.65% |
| 2025-04 | 2740.72 | 130.51 | 1828.20 | -2500.82 | 21 | 1.03% | 0.05% | 34.37% | 1.03% |
| 2025-05 | 7251.39 | 381.65 | 2828.85 | -1990.20 | 19 | 2.66% | 0.14% | 37.03% | 2.66% |
| 2025-06 | 8150.02 | 407.50 | 2007.26 | -610.35 | 20 | 2.90% | 0.14% | 39.93% | 2.90% |
| 2025-07 | 7391.92 | 321.39 | 978.27 | -664.05 | 23 | 2.56% | 0.11% | 42.49% | 2.56% |
| 2025-08 | 8107.59 | 386.08 | 2146.70 | -1564.90 | 21 | 2.74% | 0.13% | 45.23% | 2.74% |
| 2025-09 | 8984.48 | 408.39 | 1455.98 | -914.75 | 22 | 2.95% | 0.13% | 48.18% | 2.95% |
| 2025-10 | 8936.63 | 525.68 | 3688.53 | -1720.65 | 17 | 2.87% | 0.17% | 51.04% | 2.87% |
| 2025-11 | 66.83 | 6.68 | 1152.53 | -2701.45 | 10 | 0.03% | 0.00% | 51.07% | 0.03% |