ma_dca 最优参数回测: 创业板R(全收益) (2010-06-01 起)

生成时间: 2026-08-25 15:46:42

概览

241.3%
总收益
7.9%
年化
0.70
夏普
-21.0%
最大回撤

策略参数

参数
asset399606
ma_window138
trigger_modeevent
check_interval5
drop_pct0.12
amount_modepower
base_unit0.11
ladder_n3
d10.03
dd20.03
dd30.03
dd40.03
dd50.03
dm21.0
dm31.0
dm41.0
dm51.0
power_scale0.13999999999999999
power_p2.5
event_escalate1.9500000000000002
max_stock_weight1.0
sell_modedev_all
sell_tau0.05
sell_y0.15
avg_y10.08
avg_dy0.06
sell_s10.03
sell_ds0.05
sell_f10.33
sell_df0.33

核心指标

指标策略基准
总收益率241.3%289.0%
年化收益 (CAGR)7.9%8.7%
年化波动率11.1%31.0%
夏普比率0.700.28
最大回撤-21.0%-69.2%
最长回撤持续(交易日)496
水下时间占比44.2%
Sortino0.50
Calmar0.37
年换手率81.6%
交易次数331
月度胜率82.5%
盈亏比0.93
持有1年盈利概率96.2%
持有3年盈利概率98.3%
持有5年盈利概率99.4%

策略事件 (19)

日期事件
2010-06-01ma_dca start: 100% 货基建仓(次日开盘成交)
2010-06-02skip order 511880: no data on this day
2011-01-20skip order 511880: no data on this day
2011-02-11skip order 511880: no data on this day
2011-03-07skip order 511880: no data on this day
2011-03-24skip order 511880: no data on this day
2011-08-29skip order 511880: no data on this day
2011-11-07skip order 511880: no data on this day
2011-11-10skip order 511880: no data on this day
2011-11-30skip order 511880: no data on this day
2012-06-12skip order 511880: no data on this day
2012-07-02skip order 511880: no data on this day
2012-07-12skip order 511880: no data on this day
2012-08-07skip order 511880: no data on this day
2012-09-04skip order 511880: no data on this day
2012-10-11skip order 511880: no data on this day
2012-10-19skip order 511880: no data on this day
2012-12-27skip order 511880: no data on this day
2026-08-20skip order 511880: no data on this day

净值对比

回撤

X 比值与买卖点