| 西蒙斯量化3.0回测系统-全球大类资产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 | 全球大类资产波段趋势增强策略回测 | -0.83 | 52.85 | -0.36 | -0.07 | 1.19 | 8.31 | 13.26 | 24.63 | 34.00 | -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% |
|---|---|---|---|---|---|---|---|---|---|---|
| 3.28 | 0.09 | 1.58 | 6.02 | 6.46 | 2.09 | 453.00 | 281.00 | 172.00 | 62.03 | 163.37 |
| 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 | 36183.33 | 148.90 | 6369.65 | -6051.39 | 243 | 31.81% | 0.13% | 31.81% | 31.81% | 32.72% |
| 2025 | 30275.10 | 144.17 | 2026.68 | -1473.20 | 210 | 21.05% | 0.10% | 52.85% | 21.05% | 25.06% |
| 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 | 898.74 | 39.08 | 1104.75 | -874.41 | 23 | 0.91% | 0.04% | 0.91% | 0.91% |
| 2024-02 | 4403.20 | 293.55 | 1446.36 | -909.28 | 15 | 4.31% | 0.29% | 5.23% | 4.31% |
| 2024-03 | 2334.67 | 111.17 | 776.29 | -233.93 | 21 | 2.21% | 0.11% | 7.43% | 2.21% |
| 2024-04 | 2035.50 | 101.77 | 1164.85 | -407.97 | 20 | 1.90% | 0.09% | 9.33% | 1.90% |
| 2024-05 | 2218.41 | 110.92 | 1033.30 | -662.79 | 20 | 2.03% | 0.10% | 11.36% | 2.03% |
| 2024-06 | 1184.37 | 62.34 | 687.11 | -457.09 | 19 | 1.07% | 0.06% | 12.43% | 1.07% |
| 2024-07 | 2000.30 | 86.97 | 1029.58 | -859.97 | 23 | 1.78% | 0.08% | 14.21% | 1.78% |
| 2024-08 | 2040.08 | 92.73 | 1517.72 | -1288.45 | 22 | 1.80% | 0.08% | 16.01% | 1.80% |
| 2024-09 | 14555.99 | 766.10 | 6369.65 | -778.14 | 19 | 12.08% | 0.64% | 28.09% | 12.08% |
| 2024-10 | 591.98 | 32.89 | 5599.61 | -6051.39 | 18 | 0.66% | 0.04% | 28.75% | 0.66% |
| 2024-11 | 2434.28 | 115.92 | 1747.73 | -909.64 | 21 | 1.91% | 0.09% | 30.66% | 1.91% |
| 2024-12 | 1485.80 | 67.54 | 792.82 | -1200.35 | 22 | 1.15% | 0.05% | 31.81% | 1.15% |
| 2025-01 | -534.83 | -29.71 | 717.04 | -1473.20 | 18 | -0.39% | -0.02% | 31.41% | -0.39% |
| 2025-02 | 2490.13 | 138.34 | 851.58 | -303.14 | 18 | 1.89% | 0.11% | 33.31% | 1.89% |
| 2025-03 | 2993.54 | 142.55 | 1700.35 | -1044.97 | 21 | 2.25% | 0.11% | 35.56% | 2.25% |
| 2025-04 | 1189.69 | 56.65 | 1280.89 | -867.88 | 21 | 0.89% | 0.04% | 36.45% | 0.89% |
| 2025-05 | 4036.85 | 212.47 | 1336.58 | -1191.65 | 19 | 2.94% | 0.15% | 39.39% | 2.94% |
| 2025-06 | 3339.26 | 166.96 | 920.47 | -521.66 | 20 | 2.36% | 0.12% | 41.74% | 2.36% |
| 2025-07 | 3119.52 | 135.63 | 681.34 | -422.78 | 23 | 2.16% | 0.09% | 43.90% | 2.16% |
| 2025-08 | 4046.08 | 192.67 | 1028.91 | -825.96 | 21 | 2.73% | 0.13% | 46.63% | 2.73% |
| 2025-09 | 3676.50 | 167.11 | 752.53 | -598.59 | 22 | 2.42% | 0.11% | 49.05% | 2.42% |
| 2025-10 | 5846.68 | 343.92 | 2026.68 | -885.00 | 17 | 3.75% | 0.22% | 52.80% | 3.75% |
| 2025-11 | 71.67 | 7.17 | 568.74 | -1339.95 | 10 | 0.05% | 0.00% | 52.85% | 0.05% |