🚀 Multi-Factor Strategy v5 — 12因子 · 多空双向 · 6年回测

多因子策略 v5 / 日线 / 2020-01→2026-03 / BTC & ETH / yfinance真实数据

📊 12因子加权评分 ⚡ 多空双向 ✅ 多止损8% · 空止损5% · 追踪4% 📅 6年 · 2256交易日

₿ BTC/USDT

Ξ ETH/USDT

📈 对比

🧠 策略说明

❓ 为什么跑不赢HODL

+288.8%

策略总收益

终值 $38,884

+883.0%

HODL收益

终值 $98,302

+24.6%

年化收益

53.5%

最大回撤

HODL 76.6%

0.72

夏普比率

年化风险调整

0.46

卡玛比率

年化/最大回撤

1.20

盈亏比

均赢$3,439 均亏$-2,713

48.6%

胜率

多56.4% 空40.0%

105

交易次数

多55+空50 · 均持13天

📈 净值曲线 · BTC 🔍 拖选放大 · 双击还原 · 滚轮缩放

📊 月度收益率

📅 年度收益对比

年份	策略	HODL	超额α
2020	+183.3%	+302.8%	-119.5%
2021	+16.7%	+57.6%	-40.9%
2022	+8.8%	-65.3%	+74.1%
2023	+1.0%	+154.2%	-153.2%
2024	+4.6%	+111.5%	-107.0%
2025	-6.0%	-7.3%	+1.3%
2026	+7.6%	-20.2%	+27.8%

📝 全部交易记录 (105笔)

方向	入场	出场	入价	出价	盈亏%	盈亏$	持仓	原因
做多	2020-07-25	2020-08-02	$9,677	$11,054	+14.2%	$+1,422	8天	追踪止损 (14.2%)
做多	2020-08-02	2020-08-19	$11,054	$11,758	+6.4%	$+728	17天	追踪止损 (6.4%)
做多	2020-08-19	2020-09-03	$11,758	$10,245	-12.9%	$-1,563	15天	止损 (-12.9%)
做多	2020-10-11	2020-11-05	$11,384	$15,580	+36.9%	$+3,902	25天	ROI目标 (36.9%)
做多	2020-11-07	2020-11-26	$14,834	$17,151	+15.6%	$+2,263	19天	追踪止损 (15.6%)
做多	2020-11-26	2020-12-01	$17,151	$18,803	+9.6%	$+1,614	5天	追踪止损 (9.6%)
做多	2020-12-01	2020-12-21	$18,803	$22,803	+21.3%	$+3,907	20天	追踪止损 (21.3%)
做多	2020-12-21	2021-01-02	$22,803	$32,127	+40.9%	$+9,108	12天	ROI目标 (40.9%)
做多	2021-01-10	2021-01-12	$38,356	$33,923	-11.6%	$-3,627	2天	止损 (-11.6%)
做多	2021-01-13	2021-01-21	$37,316	$30,826	-17.4%	$-4,827	8天	止损 (-17.4%)
做多	2021-02-03	2021-02-14	$37,472	$48,717	+30.0%	$+6,880	11天	ROI目标 (30.0%)
做多	2021-02-14	2021-02-22	$48,717	$54,207	+11.3%	$+3,359	8天	追踪止损 (11.3%)
做多	2021-02-22	2021-02-23	$54,207	$48,824	-9.9%	$-3,293	1天	止损 (-9.9%)
做多	2021-02-23	2021-03-15	$48,824	$55,907	+14.5%	$+4,333	20天	追踪止损 (14.5%)
做多	2021-03-15	2021-04-17	$55,907	$60,684	+8.5%	$+2,922	33天	追踪止损 (8.5%)
做多	2021-04-17	2021-04-19	$60,684	$55,724	-8.2%	$-3,034	2天	止损 (-8.2%)
做多	2021-04-19	2021-04-23	$55,724	$51,094	-8.3%	$-2,833	4天	止损 (-8.3%)
做多	2021-05-14	2021-05-16	$49,881	$46,456	-6.9%	$-2,146	2天	信号退出 (-0.15)
做空	2021-05-20	2021-05-24	$40,783	$38,706	+5.1%	$+1,483	4天	追踪止损 (5.1%)
做空	2021-05-24	2021-05-31	$38,706	$37,333	+3.5%	$+1,085	7天	追踪止损 (3.5%)
做空	2021-06-01	2021-06-03	$36,685	$39,209	-6.9%	$-2,180	2天	止损 (-6.9%)
做空	2021-06-03	2021-06-09	$39,209	$37,345	+4.8%	$+1,402	6天	追踪止损 (4.8%)
做空	2021-06-09	2021-06-14	$37,345	$40,218	-7.7%	$-2,378	5天	止损 (-7.7%)
做空	2021-06-17	2021-06-23	$38,054	$33,723	+11.4%	$+3,246	6天	追踪止损 (11.4%)
做空	2021-06-23	2021-06-29	$33,723	$35,868	-6.4%	$-2,021	6天	止损 (-6.4%)
做空	2021-06-29	2021-07-11	$35,868	$34,240	+4.5%	$+1,350	12天	追踪止损 (4.5%)
做空	2021-07-11	2021-07-21	$34,240	$32,111	+6.2%	$+1,934	10天	追踪止损 (6.2%)
做空	2021-07-21	2021-07-24	$32,111	$34,292	-6.8%	$-2,245	3天	止损 (-6.8%)
做空	2021-07-24	2021-07-26	$34,292	$37,338	-8.9%	$-2,734	2天	止损 (-8.9%)
做多	2021-08-01	2021-08-12	$39,975	$44,428	+11.1%	$+3,126	11天	追踪止损 (11.1%)
做多	2021-08-12	2021-08-26	$44,428	$46,942	+5.7%	$+1,764	14天	追踪止损 (5.7%)
做多	2021-08-26	2021-09-15	$46,942	$48,176	+2.6%	$+866	20天	追踪止损 (2.6%)
做空	2021-09-29	2021-09-30	$41,564	$43,791	-5.4%	$-1,811	1天	止损 (-5.4%)
做多	2021-10-03	2021-10-19	$48,200	$64,262	+33.3%	$+10,665	16天	ROI目标 (33.3%)
做多	2021-10-19	2021-10-27	$64,262	$58,482	-9.0%	$-3,837	8天	止损 (-9.0%)
做多	2021-10-27	2021-11-12	$58,482	$64,156	+9.7%	$+3,767	16天	追踪止损 (9.7%)
做多	2021-11-13	2021-11-18	$64,470	$56,942	-11.7%	$-4,974	5天	止损 (-11.7%)
做空	2021-12-09	2021-12-12	$47,672	$50,098	-5.1%	$-1,915	3天	止损 (-5.1%)
做空	2021-12-13	2021-12-23	$46,737	$50,785	-8.7%	$-3,092	10天	止损 (-8.7%)
做空	2021-12-28	2022-01-12	$47,589	$43,949	+7.6%	$+2,495	15天	追踪止损 (7.6%)
做空	2022-01-12	2022-01-24	$43,949	$36,654	+16.6%	$+5,828	12天	追踪止损 (16.6%)
做空	2022-01-24	2022-02-01	$36,654	$38,743	-5.7%	$-2,333	8天	止损 (-5.7%)
做空	2022-02-01	2022-02-04	$38,743	$41,501	-7.1%	$-2,748	3天	止损 (-7.1%)
做空	2022-02-20	2022-02-28	$38,431	$43,193	-12.4%	$-4,443	8天	止损 (-12.4%)
做空	2022-03-06	2022-03-09	$38,420	$41,983	-9.3%	$-2,913	3天	止损 (-9.3%)
做空	2022-04-17	2022-05-14	$39,717	$30,101	+24.2%	$+6,900	27天	追踪止损 (24.2%)
做空	2022-05-14	2022-05-30	$30,101	$31,726	-5.4%	$-1,911	16天	止损 (-5.4%)
做空	2022-06-01	2022-06-06	$29,799	$31,371	-5.3%	$-1,766	5天	止损 (-5.3%)
做空	2022-06-07	2022-06-16	$31,155	$20,382	+34.6%	$+10,971	9天	ROI目标 (34.6%)
做空	2022-06-17	2022-06-22	$20,471	$19,987	+2.4%	$+1,010	5天	追踪止损 (2.4%)
做空	2022-06-22	2022-06-23	$19,987	$21,086	-5.5%	$-2,403	1天	止损 (-5.5%)
做空	2022-06-23	2022-07-04	$21,086	$20,231	+4.1%	$+1,674	11天	追踪止损 (4.1%)
做空	2022-07-04	2022-07-07	$20,231	$21,638	-7.0%	$-2,987	3天	止损 (-7.0%)
做空	2022-07-10	2022-07-13	$20,860	$20,212	+3.1%	$+1,243	3天	追踪止损 (3.1%)
做空	2022-07-13	2022-07-18	$20,212	$22,486	-11.2%	$-4,638	5天	止损 (-11.2%)
做空	2022-08-19	2022-09-09	$20,878	$21,381	-2.4%	$-883	21天	信号退出 (0.16)
做空	2022-09-15	2022-09-23	$19,701	$19,298	+2.0%	$+732	8天	追踪止损 (2.0%)
做空	2022-09-23	2022-10-04	$19,298	$20,337	-5.4%	$-1,963	11天	止损 (-5.4%)
做空	2022-11-10	2022-11-23	$17,587	$16,611	+5.5%	$+1,914	13天	追踪止损 (5.5%)
做空	2022-11-23	2022-12-13	$16,611	$17,781	-7.0%	$-2,565	20天	止损 (-7.0%)
做空	2022-12-15	2023-01-12	$17,365	$18,870	-8.7%	$-2,931	28天	止损 (-8.7%)
做多	2023-02-17	2023-03-03	$24,566	$22,363	-9.0%	$-2,771	14天	止损 (-9.0%)
做多	2023-03-05	2023-03-09	$22,436	$20,363	-9.2%	$-2,598	4天	止损 (-9.2%)
做多	2023-03-13	2023-03-27	$24,198	$27,140	+12.2%	$+3,104	14天	追踪止损 (12.2%)
做多	2023-03-27	2023-04-19	$27,140	$28,823	+6.2%	$+1,775	23天	追踪止损 (6.2%)
做多	2023-04-19	2023-04-25	$28,823	$28,308	-1.8%	$-543	6天	信号退出 (-0.12)
做多	2023-04-26	2023-05-19	$28,423	$26,890	-5.4%	$-1,610	23天	信号退出 (-0.17)
做多	2023-06-22	2023-08-17	$29,912	$26,665	-10.9%	$-3,068	56天	止损 (-10.9%)
做多	2023-08-29	2023-08-31	$27,727	$25,931	-6.5%	$-1,631	2天	趋势反转
做多	2023-10-06	2023-11-05	$27,947	$35,049	+25.4%	$+5,987	30天	ROI目标 (25.4%)
做多	2023-11-05	2023-11-16	$35,049	$36,155	+3.2%	$+932	11天	追踪止损 (3.2%)
做多	2023-11-16	2023-12-11	$36,155	$41,244	+14.1%	$+4,289	25天	追踪止损 (14.1%)
做多	2023-12-11	2023-12-29	$41,244	$42,099	+2.1%	$+721	18天	追踪止损 (2.1%)
做多	2023-12-29	2024-01-16	$42,099	$43,155	+2.5%	$+890	18天	追踪止损 (2.5%)
做多	2024-01-29	2024-02-27	$43,288	$57,085	+31.9%	$+11,594	29天	ROI目标 (31.9%)
做多	2024-03-05	2024-03-15	$63,801	$69,404	+8.8%	$+4,212	10天	追踪止损 (8.8%)
做多	2024-03-15	2024-03-19	$69,404	$61,913	-10.8%	$-5,632	4天	止损 (-10.8%)
做多	2024-05-20	2024-06-18	$71,448	$65,141	-8.8%	$-4,109	29天	止损 (-8.8%)
做空	2024-07-09	2024-07-15	$58,009	$64,870	-11.8%	$-5,019	6天	止损 (-11.8%)
做多	2024-07-17	2024-08-04	$64,119	$58,117	-9.4%	$-3,503	18天	止损 (-9.4%)
做空	2024-08-11	2024-08-23	$58,719	$64,094	-9.2%	$-3,105	12天	止损 (-9.2%)
做多	2024-08-23	2024-08-27	$64,094	$59,504	-7.2%	$-2,207	4天	趋势反转
做空	2024-09-09	2024-09-13	$57,020	$60,571	-6.2%	$-1,782	4天	止损 (-6.2%)
做多	2024-09-23	2024-11-01	$63,330	$69,482	+9.7%	$+2,606	39天	追踪止损 (9.7%)
做多	2024-11-01	2024-11-13	$69,482	$90,584	+30.4%	$+8,938	12天	ROI目标 (30.4%)
做多	2024-11-14	2024-11-25	$87,250	$93,102	+6.7%	$+2,573	11天	追踪止损 (6.7%)
做多	2024-11-25	2024-12-10	$93,102	$96,675	+3.8%	$+1,571	15天	追踪止损 (3.8%)
做多	2024-12-11	2024-12-30	$101,173	$92,643	-8.4%	$-3,584	19天	止损 (-8.4%)
做多	2025-01-05	2025-01-28	$98,315	$101,332	+3.1%	$+1,195	23天	追踪止损 (3.1%)
做多	2025-02-04	2025-02-24	$97,872	$91,418	-6.6%	$-2,646	20天	信号退出 (-0.24)
做空	2025-03-10	2025-03-11	$78,532	$82,862	-5.5%	$-2,066	1天	止损 (-5.5%)
做空	2025-03-11	2025-03-24	$82,862	$87,499	-5.6%	$-1,981	13天	止损 (-5.6%)
做空	2025-03-28	2025-04-09	$84,353	$82,574	+2.1%	$+705	12天	追踪止损 (2.1%)
做多	2025-04-24	2025-05-25	$93,944	$109,035	+16.1%	$+5,484	31天	ROI目标 (16.1%)
做多	2025-05-25	2025-06-12	$109,035	$105,929	-2.8%	$-1,129	18天	信号退出 (-0.14)
做多	2025-07-15	2025-08-31	$117,777	$108,237	-8.1%	$-3,118	47天	止损 (-8.1%)
做多	2025-10-01	2025-10-10	$118,649	$113,214	-4.6%	$-1,620	9天	信号退出 (-0.17)
做空	2025-10-17	2025-10-26	$106,468	$114,472	-7.5%	$-2,538	9天	止损 (-7.5%)
做空	2025-11-03	2025-11-24	$106,548	$88,271	+17.2%	$+5,354	21天	追踪止损 (17.2%)
做空	2025-11-24	2025-12-03	$88,271	$93,528	-6.0%	$-2,178	9天	止损 (-6.0%)
做空	2025-12-03	2026-01-02	$93,528	$89,945	+3.8%	$+1,318	30天	追踪止损 (3.8%)
做空	2026-01-02	2026-01-13	$89,945	$95,322	-6.0%	$-2,135	11天	止损 (-6.0%)
做空	2026-01-20	2026-02-06	$88,311	$70,555	+20.1%	$+6,750	17天	追踪止损 (20.1%)
做空	2026-02-06	2026-02-25	$70,555	$67,960	+3.7%	$+1,483	19天	追踪止损 (3.7%)
做空	2026-02-25	2026-03-04	$67,960	$72,711	-7.0%	$-2,922	7天	止损 (-7.0%)

+946.4%

策略总收益

终值 $104,642

+1476.2%

HODL收益

终值 $157,619

+46.2%

年化收益

54.5%

最大回撤

HODL 79.3%

0.95

夏普比率

年化风险调整

0.85

卡玛比率

年化/最大回撤

1.23

盈亏比

均赢$8,026 均亏$-7,070

52.1%

胜率

多57.6% 空46.7%

119

交易次数

多59+空60 · 均持11天

📈 净值曲线 · ETH 🔍 拖选放大 · 双击还原 · 滚轮缩放

📊 月度收益率

📅 年度收益对比

年份	策略	HODL	超额α
2020	+168.6%	+464.1%	-295.4%
2021	+151.1%	+404.2%	-253.1%
2022	+40.0%	-68.3%	+108.2%
2023	-19.4%	+90.0%	-109.4%
2024	-26.1%	+41.7%	-67.8%
2025	+47.2%	-11.5%	+58.7%
2026	+25.7%	-31.3%	+57.0%

📝 全部交易记录 (119笔)

方向	入场	出场	入价	出价	盈亏%	盈亏$	持仓	原因
做多	2020-07-22	2020-07-31	$262	$346	+31.8%	$+3,180	9天	ROI目标 (31.8%)
做多	2020-08-07	2020-08-19	$380	$406	+7.1%	$+936	12天	追踪止损 (7.1%)
做多	2020-08-19	2020-09-02	$406	$440	+8.3%	$+1,166	14天	追踪止损 (8.3%)
做多	2020-09-02	2020-09-03	$440	$386	-12.4%	$-1,888	1天	止损 (-12.4%)
做多	2020-10-21	2020-11-07	$392	$436	+11.1%	$+1,486	17天	追踪止损 (11.1%)
做多	2020-11-07	2020-11-15	$436	$448	+2.7%	$+405	8天	追踪止损 (2.7%)
做多	2020-11-15	2020-11-23	$448	$608	+35.9%	$+5,495	8天	ROI目标 (35.9%)
做多	2020-11-25	2020-11-26	$571	$519	-9.1%	$-1,889	1天	止损 (-9.1%)
做多	2020-11-26	2020-12-01	$519	$587	+13.2%	$+2,495	5天	追踪止损 (13.2%)
做多	2020-12-01	2020-12-21	$587	$610	+3.8%	$+819	20天	追踪止损 (3.8%)
做多	2020-12-21	2021-01-03	$610	$976	+60.0%	$+13,315	13天	ROI目标 (60.0%)
做多	2021-01-11	2021-01-21	$1,090	$1,122	+2.9%	$+1,024	10天	追踪止损 (2.9%)
做多	2021-01-21	2021-01-25	$1,122	$1,324	+18.1%	$+6,609	4天	追踪止损 (18.1%)
做多	2021-01-25	2021-02-07	$1,324	$1,614	+21.9%	$+9,443	13天	追踪止损 (21.9%)
做多	2021-02-07	2021-02-22	$1,614	$1,782	+10.4%	$+5,466	15天	追踪止损 (10.4%)
做多	2021-02-22	2021-02-23	$1,782	$1,570	-11.9%	$-6,900	1天	止损 (-11.9%)
做多	2021-03-08	2021-03-23	$1,835	$1,679	-8.5%	$-4,352	15天	止损 (-8.5%)
做多	2021-04-03	2021-04-17	$2,028	$2,345	+15.6%	$+7,303	14天	追踪止损 (15.6%)
做多	2021-04-17	2021-05-03	$2,345	$3,431	+46.3%	$+25,065	16天	ROI目标 (46.3%)
做多	2021-05-04	2021-05-12	$3,254	$3,786	+16.4%	$+12,951	8天	追踪止损 (16.4%)
做多	2021-05-12	2021-05-17	$3,786	$3,282	-13.3%	$-12,251	5天	止损 (-13.3%)
做多	2021-05-17	2021-05-19	$3,282	$2,461	-25.0%	$-19,996	2天	止损 (-25.0%)
做空	2021-06-21	2021-06-23	$1,888	$1,990	-5.4%	$-3,212	2天	止损 (-5.4%)
做空	2021-06-27	2021-06-28	$1,979	$2,080	-5.1%	$-2,885	1天	止损 (-5.1%)
做空	2021-07-13	2021-07-23	$1,940	$2,125	-9.5%	$-5,120	10天	止损 (-9.5%)
做多	2021-08-01	2021-08-08	$2,562	$3,014	+17.6%	$+8,583	7天	追踪止损 (17.6%)
做多	2021-08-08	2021-08-16	$3,014	$3,157	+4.7%	$+2,712	8天	追踪止损 (4.7%)
做多	2021-08-16	2021-09-07	$3,157	$3,426	+8.6%	$+5,126	22天	追踪止损 (8.6%)
做多	2021-09-07	2021-09-11	$3,426	$3,270	-4.6%	$-2,965	4天	信号退出 (-0.12)
做多	2021-10-02	2021-10-22	$3,392	$3,970	+17.1%	$+10,595	20天	追踪止损 (17.1%)
做多	2021-10-22	2021-11-15	$3,970	$4,558	+14.8%	$+10,757	24天	追踪止损 (14.8%)
做多	2021-11-15	2021-11-18	$4,558	$4,001	-12.2%	$-10,199	3天	止损 (-12.2%)
做多	2021-11-30	2021-12-03	$4,631	$4,221	-8.9%	$-6,499	3天	止损 (-8.9%)
做空	2022-01-11	2022-01-23	$3,238	$2,535	+21.7%	$+14,498	12天	追踪止损 (21.7%)
做空	2022-01-26	2022-01-29	$2,468	$2,597	-5.2%	$-4,250	3天	止损 (-5.2%)
做空	2022-01-29	2022-02-01	$2,597	$2,792	-7.5%	$-5,784	3天	止损 (-7.5%)
做空	2022-02-01	2022-02-04	$2,792	$2,984	-6.9%	$-4,885	3天	止损 (-6.9%)
做空	2022-02-20	2022-02-25	$2,629	$2,765	-5.2%	$-3,430	5天	止损 (-5.2%)
做空	2022-02-25	2022-02-28	$2,765	$2,919	-5.6%	$-3,520	3天	止损 (-5.6%)
做空	2022-03-04	2022-03-16	$2,617	$2,772	-5.9%	$-3,516	12天	止损 (-5.9%)
做多	2022-03-31	2022-04-11	$3,282	$2,981	-9.2%	$-5,119	11天	止损 (-9.2%)
做空	2022-04-26	2022-05-10	$2,808	$2,344	+16.6%	$+8,402	14天	追踪止损 (16.6%)
做空	2022-05-10	2022-05-14	$2,344	$2,056	+12.3%	$+7,252	4天	追踪止损 (12.3%)
做空	2022-05-14	2022-05-29	$2,056	$1,812	+11.9%	$+7,889	15天	追踪止损 (11.9%)
做空	2022-05-29	2022-05-30	$1,812	$1,996	-10.2%	$-7,563	1天	止损 (-10.2%)
做空	2022-05-30	2022-06-06	$1,996	$1,859	+6.9%	$+4,585	7天	追踪止损 (6.9%)
做空	2022-06-06	2022-06-13	$1,859	$1,205	+35.2%	$+25,119	7天	ROI目标 (35.2%)
做空	2022-06-15	2022-06-19	$1,233	$1,128	+8.6%	$+8,255	4天	追踪止损 (8.6%)
做空	2022-06-19	2022-06-24	$1,128	$1,227	-8.8%	$-9,210	5天	止损 (-8.8%)
做空	2022-06-24	2022-07-04	$1,227	$1,151	+6.2%	$+5,899	10天	追踪止损 (6.2%)
做空	2022-07-04	2022-07-07	$1,151	$1,238	-7.5%	$-7,623	3天	止损 (-7.5%)
做空	2022-07-10	2022-07-13	$1,168	$1,114	+4.7%	$+4,399	3天	追踪止损 (4.7%)
做空	2022-07-13	2022-07-14	$1,114	$1,192	-7.0%	$-6,871	1天	止损 (-7.0%)
做多	2022-07-31	2022-08-16	$1,682	$1,878	+11.7%	$+10,676	16天	追踪止损 (11.7%)
做空	2022-09-02	2022-09-09	$1,577	$1,719	-9.0%	$-9,173	7天	止损 (-9.0%)
做空	2022-09-18	2022-10-16	$1,335	$1,306	+2.2%	$+2,018	28天	追踪止损 (2.2%)
做空	2022-10-16	2022-10-25	$1,306	$1,462	-11.9%	$-11,278	9天	止损 (-11.9%)
做多	2022-11-03	2022-11-06	$1,532	$1,572	+2.7%	$+2,220	3天	追踪止损 (2.7%)
做空	2022-11-08	2022-11-10	$1,333	$1,299	+2.5%	$+2,147	2天	追踪止损 (2.5%)
做空	2022-11-10	2022-11-23	$1,299	$1,183	+8.9%	$+7,866	13天	追踪止损 (8.9%)
做空	2022-11-23	2022-11-30	$1,183	$1,296	-9.5%	$-9,106	7天	止损 (-9.5%)
做空	2022-11-30	2022-12-20	$1,296	$1,218	+6.0%	$+5,217	20天	追踪止损 (6.0%)
做空	2022-12-20	2023-01-08	$1,218	$1,287	-5.7%	$-5,256	19天	止损 (-5.7%)
做多	2023-02-01	2023-02-13	$1,642	$1,507	-8.2%	$-7,104	12天	止损 (-8.2%)
做多	2023-02-15	2023-03-08	$1,674	$1,534	-8.3%	$-6,636	21天	止损 (-8.3%)
做多	2023-03-14	2023-04-13	$1,704	$2,013	+18.1%	$+13,228	30天	ROI目标 (18.1%)
做多	2023-04-13	2023-04-21	$2,013	$1,850	-8.1%	$-6,959	8天	止损 (-8.1%)
做空	2023-06-16	2023-06-21	$1,717	$1,891	-10.2%	$-8,039	5天	止损 (-10.2%)
做多	2023-06-23	2023-08-17	$1,893	$1,685	-11.0%	$-7,813	55天	止损 (-11.0%)
做空	2023-08-30	2023-09-14	$1,705	$1,627	+4.6%	$+2,901	15天	追踪止损 (4.6%)
做空	2023-09-14	2023-10-01	$1,627	$1,734	-6.6%	$-4,348	17天	止损 (-6.6%)
做空	2023-10-09	2023-10-22	$1,580	$1,663	-5.3%	$-3,275	13天	止损 (-5.3%)
做多	2023-10-27	2023-11-14	$1,780	$1,979	+11.2%	$+6,550	18天	追踪止损 (11.2%)
做多	2023-11-14	2023-12-11	$1,979	$2,225	+12.4%	$+8,081	27天	追踪止损 (12.4%)
做多	2023-12-11	2023-12-31	$2,225	$2,281	+2.6%	$+1,873	20天	追踪止损 (2.6%)
做多	2023-12-31	2024-01-14	$2,281	$2,472	+8.4%	$+6,279	14天	追踪止损 (8.4%)
做多	2024-01-14	2024-01-23	$2,472	$2,241	-9.4%	$-7,621	9天	止损 (-9.4%)
做多	2024-02-12	2024-03-03	$2,658	$3,491	+31.3%	$+23,108	20天	ROI目标 (31.3%)
做多	2024-03-14	2024-03-16	$3,883	$3,523	-9.3%	$-8,987	2天	止损 (-9.3%)
做多	2024-03-17	2024-03-19	$3,642	$3,158	-13.3%	$-11,695	2天	止损 (-13.3%)
做多	2024-05-22	2024-06-23	$3,737	$3,419	-8.5%	$-6,494	32天	止损 (-8.5%)
做多	2024-07-16	2024-08-02	$3,444	$2,986	-13.3%	$-9,258	17天	止损 (-13.3%)
做空	2024-08-08	2024-09-02	$2,683	$2,538	+5.4%	$+3,269	25天	追踪止损 (5.4%)
做空	2024-09-02	2024-09-09	$2,538	$2,358	+7.1%	$+4,509	7天	追踪止损 (7.1%)
做空	2024-09-09	2024-09-20	$2,358	$2,561	-8.6%	$-5,858	11天	止损 (-8.6%)
做空	2024-09-20	2024-09-27	$2,561	$2,696	-5.3%	$-3,282	7天	止损 (-5.3%)
做空	2024-10-03	2024-10-12	$2,350	$2,477	-5.4%	$-3,185	9天	止损 (-5.4%)
做空	2024-10-12	2024-10-14	$2,477	$2,629	-6.2%	$-3,438	2天	止损 (-6.2%)
做多	2024-11-14	2024-12-06	$3,059	$4,006	+31.0%	$+16,232	22天	ROI目标 (31.0%)
做多	2024-12-06	2024-12-10	$4,006	$3,632	-9.3%	$-6,411	4天	止损 (-9.3%)
做多	2024-12-10	2024-12-21	$3,632	$3,337	-8.1%	$-5,050	11天	止损 (-8.1%)
做空	2025-01-29	2025-01-31	$3,113	$3,298	-6.0%	$-3,405	2天	止损 (-6.0%)
做空	2025-02-01	2025-02-12	$3,118	$2,737	+12.2%	$+6,581	11天	追踪止损 (12.2%)
做空	2025-02-12	2025-03-02	$2,737	$2,520	+7.9%	$+4,792	18天	追踪止损 (7.9%)
做空	2025-03-02	2025-03-05	$2,520	$2,242	+11.0%	$+7,184	3天	追踪止损 (11.0%)
做空	2025-03-05	2025-03-15	$2,242	$1,937	+13.6%	$+9,831	10天	追踪止损 (13.6%)
做空	2025-03-15	2025-03-19	$1,937	$2,058	-6.2%	$-5,106	4天	止损 (-6.2%)
做空	2025-03-19	2025-04-01	$2,058	$1,905	+7.4%	$+5,704	13天	追踪止损 (7.4%)
做空	2025-04-01	2025-04-09	$1,905	$1,668	+12.5%	$+10,317	8天	追踪止损 (12.5%)
做空	2025-04-09	2025-04-13	$1,668	$1,597	+4.3%	$+3,983	4天	追踪止损 (4.3%)
做空	2025-04-13	2025-04-22	$1,597	$1,757	-10.1%	$-9,768	9天	止损 (-10.1%)
做空	2025-04-22	2025-05-08	$1,757	$2,207	-25.6%	$-22,320	16天	止损 (-25.6%)
做多	2025-05-21	2025-06-12	$2,552	$2,652	+3.9%	$+2,533	22天	追踪止损 (3.9%)
做多	2025-07-13	2025-07-27	$2,973	$3,875	+30.3%	$+20,485	14天	ROI目标 (30.3%)
做多	2025-07-28	2025-08-02	$3,787	$3,393	-10.4%	$-9,172	5天	止损 (-10.4%)
做多	2025-08-02	2025-08-12	$3,393	$4,591	+35.3%	$+27,845	10天	ROI目标 (35.3%)
做多	2025-08-12	2025-08-19	$4,591	$4,073	-11.3%	$-12,026	7天	止损 (-11.3%)
做多	2025-08-20	2025-08-26	$4,335	$4,600	+6.1%	$+5,808	6天	追踪止损 (6.1%)
做多	2025-08-26	2025-09-22	$4,600	$4,203	-8.6%	$-8,683	27天	止损 (-8.6%)
做多	2025-10-02	2025-10-10	$4,488	$3,843	-14.4%	$-13,190	8天	止损 (-14.4%)
做空	2025-11-03	2025-11-05	$3,602	$3,425	+4.9%	$+3,865	2天	追踪止损 (4.9%)
做空	2025-11-05	2025-11-24	$3,425	$2,953	+13.8%	$+11,375	19天	追踪止损 (13.8%)
做空	2025-11-24	2025-12-03	$2,953	$3,192	-8.1%	$-7,591	9天	止损 (-8.1%)
做空	2025-12-04	2025-12-09	$3,134	$3,321	-6.0%	$-5,140	5天	止损 (-6.0%)
做空	2025-12-12	2025-12-19	$3,084	$2,978	+3.4%	$+2,793	7天	追踪止损 (3.4%)
做空	2025-12-19	2026-01-04	$2,978	$3,141	-5.5%	$-4,585	16天	止损 (-5.5%)
做空	2026-01-20	2026-02-05	$2,936	$1,822	+37.9%	$+30,097	16天	ROI目标 (37.9%)
做空	2026-02-06	2026-02-27	$2,063	$1,931	+6.4%	$+7,033	21天	追踪止损 (6.4%)
做空	2026-02-27	2026-03-04	$1,931	$2,127	-10.1%	$-11,806	5天	止损 (-10.1%)

📊 BTC vs ETH 策略收益对比

BTC 指标

+288.8%

收益

vs HODL 883.02%

53.5%

回撤

HODL 76.6%

0.72

夏普

ETH 指标

+946.4%

收益

vs HODL 1476.19%

54.5%

回撤

HODL 79.3%

0.95

夏普

📊 12因子得分系统 (v5)

因子权重多头信号 (+)空头信号 (-)

EMA 20/50/20015%三线多排+价格>EMA200三线空排+价格<EMA200

RSI(14)12%<30超卖(+1.0), <40(+0.5), <55(+0.15)>75超买(-1.0), >65(-0.5)

MACD(12/26/9)12%Hist上穿0轴(金叉)Hist下穿0轴(死叉)

🆕 Supertrend10%ATR趋势=上升(支撑线)ATR趋势=下降(阻力线)

布林带(20,2σ)8%价格在下轨15%区间价格在上轨85%以上

ADX+DI(14)8%ADX>25且+DI>-DIADX>25且+DI<-DI

🆕 KAMA(30)8%价格>KAMA且斜率>1%价格<KAMA且斜率<-1%

🆕 Ichimoku云8%价格在云上+TK金叉价格在云下+TK死叉

StochRSI(14)5%K<20且K上穿DK>80且K下穿D

OBV(20EMA)5%OBV>OBV均线OBV<OBV均线

🆕 CMF(20)5%CMF>0.1资金流入CMF<-0.1资金流出

🆕 Donchian(20)4%突破20日新高跌破20日新低

🚦 入场规则

做多：得分 ≥ 0.25 且 ADX ≥ 18 且 20 < RSI < 78 且 (价格 > EMA200 或 KAMA)

做空：得分 ≤ -0.30 且 ADX ≥ 18 且 22 < RSI < 80 且价格 < EMA200 且 < KAMA

自适应阈值：高波动+顺趋势→阈值×0.85; 低波动→阈值×1.2

🚪 出场规则

硬止损：多头 -8% / 空头 -5%

追踪止损：4% (从最高点回落)

ROI目标：0天+30%, 30天+15%, 60天+8%, 120天+3%

信号退出：多头得分 ≤ -0.15 / 空头得分 ≥ 0.15

📖 指标含义速查

EMA (指数移动平均)
近期价格加权均线。EMA20短期、EMA50中期、EMA200长期。三线多排(20>50>200)=强势上涨趋势。

RSI (相对强弱指数)
0-100动量指标。<30超卖(可能反弹)，>70超买(可能回调)。判断市场过热/过冷。

MACD (移动平均收敛散度)
快慢均线之差。Histogram上穿0轴=金叉(多头增强)，下穿=死叉(空头主导)。

Bollinger Bands (布林带)
均线±2倍标准差通道。触下轨=可能被低估，触上轨=可能被高估。宽度反映波动率。

ADX + DI (趋势强度)
ADX>25=趋势明确。+DI>-DI=上涨主导。ADX<20=盘整(不宜趋势策略)。

StochRSI (随机RSI)
RSI的随机指标。K<20=极度超卖，K>80=极度超买。K上穿D=短期反弹信号。

🆕 Supertrend
ATR×3计算动态支撑/阻力。价格站上=上升趋势(绿),跌破=下降(红)。比EMA更灵敏。

🆕 KAMA (Kaufman自适应均线)
根据市场噪音自动调节灵敏度：趋势清晰→快速跟随，震荡→变平滑。

🆕 Ichimoku (一目均衡表)
转换线/基准线交叉=中期信号；云带=支撑阻力。价格在云上方=多头强势。

🆕 CMF (Chaikin资金流)
收盘位在当日区间位置×成交量。CMF>0=买方主导，<0=卖方主导。

OBV (能量潮)
累计成交量方向。上涨日+量，下跌日-量。OBV>均线=量价配合。

🆕 Donchian Channel (唐奇安通道)
20日最高/最低价。突破上轨=新高动量(海龟策略核心)。

📈 回测指标含义

夏普比率 (Sharpe Ratio)
风险调整后收益。= (日均收益 / 日均波动) × √365。>0.5可接受，>1.0优秀，>2.0卓越。衡量每承担1单位风险获得多少回报。

卡玛比率 (Calmar Ratio)
= 年化收益 / 最大回撤。衡量收益与最坏情况的比值。>0.5可接受，>1.0良好，>3.0优秀。

盈亏比 (Profit Factor)
= 总盈利 / 总亏损。>1.0盈利，>1.5良好，>2.0优秀。1.2左右在crypto日线频率是正常水平。

最大回撤 (Max Drawdown)
净值从峰值到谷底的最大跌幅。反映策略最坏表现。crypto日线策略50%+回撤是常见的。

胜率 (Win Rate)
盈利交易数/总交易数。40-55%在趋势策略中正常。高胜率不代表高收益(要看盈亏比)。

年化收益 (Annual Return)
复利计算的等效年收益。BTC 24.6%、ETH 46.2%跑赢大部分传统资产。

🤔 为什么策略在上涨周期表现差？

这是所有择时策略在强牛市中的固有缺陷，不是bug——是feature trade-off。

BTC 牛市表现

时期	策略	HODL	差距
2020.3→2021.4 主升浪	+286%	+1170%	-883%
2021.7→2021.11 二次顶	+23%	+118%	-95%
2023.1→2024.3 复苏	+52%	+329%	-277%

ETH 牛市表现

时期	策略	HODL	差距
2020.3→2021.4 主升浪	+462%	+2067%	-1606%
2021.7→2021.11 二次顶	+46%	+159%	-113%
2023.1→2024.3 复苏	+4%	+223%	-219%

🔴 根本原因

1. 频繁止损/止盈截断利润
BTC从$7k涨到$69k(10倍)，但策略每次+15%~30%就止盈出场，然后等信号再入场。牛市中每次出场后价格继续涨，再入场时成本更高。

2. 追踪止损在牛市回调中触发
BTC在2021大牛市中多次出现10-30%的回调，4%追踪止损会被震出来。HODL坐稳不动反而吃到整段涨幅。

3. 空头交易在牛市亏钱
牛市中做空是逆势操作。BTC 2020-2021牛市中14笔亏损交易累计亏了$38,531，ETH亏了$61,459。

4. 信号滞后性
所有技术指标都是滞后指标——等确认信号出现时，涨幅已经吃掉一部分。EMA200需要200天数据，Ichimoku云领先26天但回测只在当前时点计算。

🟢 策略的真正价值

1. 熊市保护
2022年BTC跌了65%，ETH跌了67%。策略在这期间通过做空实际赚钱了，大幅减少了回撤。

2. 回撤控制
HODL最大回撤76-79%，策略控制在53-55%。少亏25个百分点意味着回本需要的涨幅少得多(100%→120% vs 300%→400%)。

3. 风险调整后更优
策略夏普0.72-0.95 > HODL约0.5。每承担1单位风险，策略获得更高回报。

4. 年化24-46%已经很强
巴菲特长期年化约20%。策略年化24.6%(BTC)和46.2%(ETH)跑赢了绝大多数传统资产。

5. HODL有幸存者偏差
我们只看了BTC和ETH这两个赢家。如果HODL的是LUNA、FTT、UST...早归零了。择时策略止损保命。

💡 如何改进？(诚实评估)

放宽止盈 / 去掉ROI目标？→ 我试过了，BTC从+289%降到+240%。原因：大回调时亏更多，抵消了多持有的收益。

加宽追踪止损？→ 从4%→6%→10%，BTC最好+366%但回撤增加到59%。trade-off不划算。

减少做空？→ 严格做空条件后空头交易降为0，ETH从+946%降到+550%。空头在熊市是重要收益来源。

真正有效的改进方向：加入链上数据(实际买卖压力)、期货持仓(Open Interest)、恐惧贪婪指数、资金费率等非纯价格因子。但这些数据yfinance没有。