ma_dca 最优参数回测: 中证1000全收益 (2005-01-04 起)

生成时间: 2026-08-25 15:46:39

概览

320.2%
总收益
6.9%
年化
0.85
夏普
-24.8%
最大回撤

策略参数

参数
assetH00852
ma_window76
trigger_modeevent
check_interval5
drop_pct0.1
amount_modeladder
base_unit0.17
ladder_n3
d10.05
dd20.08
dd30.11
dd40.060000000000000005
dd50.05
dm20.8
dm30.6000000000000001
dm40.7000000000000001
dm50.0
power_scale0.05
power_p1.0
event_escalate1.85
max_stock_weight0.95
sell_modedev_ladder
sell_tau0.05
sell_y0.15
avg_y10.08
avg_dy0.06
sell_s10.09999999999999999
sell_ds0.01
sell_f10.12000000000000001
sell_df0.01

核心指标

指标策略基准
总收益率320.2%776.8%
年化收益 (CAGR)6.9%10.6%
年化波动率8.0%30.1%
夏普比率0.850.35
最大回撤-24.8%-72.5%
最长回撤持续(交易日)1650
水下时间占比57.5%
Sortino0.68
Calmar0.28
年换手率5.0%
交易次数86
月度胜率81.9%
盈亏比0.47
持有1年盈利概率88.3%
持有3年盈利概率95.0%
持有5年盈利概率96.9%

策略事件 (25)

日期事件
2005-01-04ma_dca start: 100% 货基建仓(次日开盘成交)
2005-01-05skip order 511880: no data on this day
2005-08-18skip order 511880: no data on this day
2006-05-10skip order 511880: no data on this day
2006-05-11skip order 511880: no data on this day
2006-05-15skip order 511880: no data on this day
2007-01-09skip order 511880: no data on this day
2007-01-10skip order 511880: no data on this day
2007-07-31skip order 511880: no data on this day
2007-08-01skip order 511880: no data on this day
2007-08-22skip order 511880: no data on this day
2008-01-03skip order 511880: no data on this day
2008-01-04skip order 511880: no data on this day
2008-02-20skip order 511880: no data on this day
2008-03-04skip order 511880: no data on this day
2008-03-06skip order 511880: no data on this day
2008-12-08skip order 511880: no data on this day
2008-12-09skip order 511880: no data on this day
2009-11-06skip order 511880: no data on this day
2009-11-10skip order 511880: no data on this day
2009-11-11skip order 511880: no data on this day
2010-08-18skip order 511880: no data on this day
2010-08-31skip order 511880: no data on this day
2013-01-16skip order 511880: no data on this day
2013-02-18skip order 511880: no data on this day

净值对比

回撤

X 比值与买卖点