| 参数 | 值 |
|---|---|
| asset | 000510 |
| ma_window | 20 |
| trigger_mode | event |
| check_interval | 5 |
| drop_pct | 0.03 |
| amount_mode | power |
| base_unit | 0.2 |
| ladder_n | 3 |
| d1 | 0.03 |
| dd2 | 0.03 |
| dd3 | 0.03 |
| dd4 | 0.03 |
| dd5 | 0.03 |
| dm2 | 1.0 |
| dm3 | 1.0 |
| dm4 | 1.0 |
| dm5 | 1.0 |
| power_scale | 0.13 |
| power_p | 1.2000000000000002 |
| event_escalate | 2.0 |
| max_stock_weight | 0.9199999999999999 |
| sell_mode | dev_ladder |
| sell_tau | 0.05 |
| sell_y | 0.15 |
| avg_y1 | 0.08 |
| avg_dy | 0.06 |
| sell_s1 | 0.09999999999999999 |
| sell_ds | 0.11 |
| sell_f1 | 0.26 |
| sell_df | 0.2 |
| 指标 | 策略 | 基准 |
|---|---|---|
| 总收益率 | 256.4% | 470.7% |
| 年化收益 (CAGR) | 6.1% | 8.4% |
| 年化波动率 | 6.9% | 25.1% |
| 夏普比率 | 0.86 | 0.33 |
| 最大回撤 | -24.7% | -70.9% |
| 最长回撤持续(交易日) | 2705 | — |
| 水下时间占比 | 87.2% | — |
| Sortino | 0.91 | — |
| Calmar | 0.24 | — |
| 年换手率 | 5.0% | — |
| 交易次数 | 28 | — |
| 月度胜率 | 71.8% | — |
| 盈亏比 | 0.63 | — |
| 持有1年盈利概率 | 83.2% | — |
| 持有3年盈利概率 | 85.3% | — |
| 持有5年盈利概率 | 91.9% | — |
| 日期 | 事件 |
|---|---|
| 2005-01-04 | ma_dca start: 100% 货基建仓（次日开盘成交） |
| 2005-01-05 | skip order 511880: no data on this day |
| 2006-05-10 | skip order 511880: no data on this day |
| 2006-12-05 | skip order 511880: no data on this day |
| 2007-02-27 | skip order 511880: no data on this day |
| 2007-04-11 | skip order 511880: no data on this day |
| 2007-07-26 | skip order 511880: no data on this day |
| 2008-05-06 | skip order 511880: no data on this day |
| 2008-11-17 | skip order 511880: no data on this day |
| 2009-02-09 | skip order 511880: no data on this day |