ratio_rotation 推荐傻瓜参数完整回测 (L=0.32/U=0.65/3批/interval5/initial_alloc=linear/cash_asset=511880)

生成时间: 2026-08-19 10:11:11

概览

2487.0%
总收益
22.2%
年化
0.83
夏普
-51.1%
最大回撤

策略参数

参数
L0.32
U0.65
n_batches3
batch_interval5
x_step0.05
abort_modepause
batch_weightequal
max_trades_per_year10
x_step_pct0.0
move_onlyFalse
initial_alloclinear
cash_asset511880

核心指标

指标策略基准
总收益率2487.0%356.8%
年化收益 (CAGR)22.2%9.8%
年化波动率26.5%23.3%
夏普比率0.830.42
最大回撤-51.1%-53.7%
最长回撤持续(交易日)916
水下时间占比93.3%
Sortino1.11
Calmar0.44
年换手率49.5%
交易次数36
月度胜率60.8%
盈亏比1.10
持有1年盈利概率80.2%
持有3年盈利概率97.5%
持有5年盈利概率100.0%

策略事件 (45)

日期事件
2010-06-01ratio_rotation start: holding=cash, L=0.32, U=0.65
2010-06-01initial_alloc linear: X=0.3566 → cyb 88.9% / red 11.1%
2010-06-02skip order 511880: no data on this day
2010-10-11start rotation -> cyb (X=0.3127, L=0.32, U=0.65)
2010-10-11batch 1/3 buy 399606 w=0.333, sell H00922 pct=1.000
2010-10-18batch 2/3 buy 399606 w=0.333
2010-10-25batch 3/3 buy 399606 w=0.333
2010-10-25rotation complete -> holding cyb
2014-01-15start rotation -> red (X=0.6555, L=0.32, U=0.65)
2014-01-15batch 1/3 buy H00922 w=0.333, sell 399606 pct=0.333
2014-01-16pause rotation (X=0.6441 back to neutral, 1/3 batches done)
2014-01-17resume rotation -> red (X=0.6506)
2014-01-20pause rotation (X=0.6430 back to neutral, 1/3 batches done)
2014-01-21resume rotation -> red (X=0.6527)
2014-01-22pause rotation (X=0.6493 back to neutral, 1/3 batches done)
2014-01-23resume rotation -> red (X=0.6650)
2014-01-23batch 2/3 buy H00922 w=0.333, sell 399606 pct=0.497
2014-01-30batch 3/3 buy H00922 w=0.333, sell 399606 pct=0.972
2014-01-30rotation complete -> holding red
2019-01-14start rotation -> cyb (X=0.3181, L=0.32, U=0.65)
2019-01-14batch 1/3 buy 399606 w=0.333, sell H00922 pct=0.335
2019-01-15pause rotation (X=0.3202 back to neutral, 1/3 batches done)
2019-01-17resume rotation -> cyb (X=0.3168)
2019-01-21batch 2/3 buy 399606 w=0.333, sell H00922 pct=0.505
2019-01-28batch 3/3 buy 399606 w=0.333, sell H00922 pct=1.000
2019-01-28rotation complete -> holding cyb
2021-01-04start rotation -> red (X=0.6675, L=0.32, U=0.65)
2021-01-04batch 1/3 buy H00922 w=0.333, sell 399606 pct=0.333
2021-01-11batch 2/3 buy H00922 w=0.333, sell 399606 pct=0.495
2021-01-18batch 3/3 buy H00922 w=0.333, sell 399606 pct=0.976
2021-01-18rotation complete -> holding red
2024-01-29start rotation -> cyb (X=0.3143, L=0.32, U=0.65)
2024-01-29batch 1/3 buy 399606 w=0.333, sell H00922 pct=0.334
2024-02-05batch 2/3 buy 399606 w=0.333, sell H00922 pct=0.499
2024-02-06pause rotation (X=0.3245 back to neutral, 2/3 batches done)
2024-04-16resume rotation -> cyb (X=0.3162)
2024-04-16batch 3/3 buy 399606 w=0.333, sell H00922 pct=1.000
2024-04-16rotation complete -> holding cyb
2026-04-22start rotation -> red (X=0.6524, L=0.32, U=0.65)
2026-04-22batch 1/3 buy H00922 w=0.333, sell 399606 pct=0.334
2026-04-23pause rotation (X=0.6435 back to neutral, 1/3 batches done)
2026-05-07resume rotation -> red (X=0.6623)
2026-05-07batch 2/3 buy H00922 w=0.333, sell 399606 pct=0.499
2026-05-13batch 3/3 buy H00922 w=0.333, sell 399606 pct=0.958
2026-05-13rotation complete -> holding red

净值对比

回撤

X 比值与买卖点