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第一次發帖， 敬請高手指點。
測試報告
測試品種數: 8
凈利潤: 84,789,552.50 凈利潤率: 706.58%
總盈利: 151,960,704.00 總虧損: -67,171,184.00
交易次數: 511次 勝率: 50.49%
年均交易次數: 69.21(8.65/品種) 盈/虧次數: 258/253
多頭交易次數: 146 空頭交易次數: 365
多頭盈利次數: 71 空頭盈利次數: 187
多頭勝率: 48.63% 空頭勝率: 51.23%
多頭盈虧比: 0.95 空頭盈虧比: 1.05
最大單次盈利:375.84%(6,238,878.00) 最大單次虧損:-4629.30%(-5,612,076.00)
平均盈利: 588,994.98 平均虧損: -265,498.75
所有平均利潤: 165,928.67 均盈利/均虧損: 2.22
最大連盈次數: 9 最大連虧次數: 7
最大連盈幅度:235.45%(10,242,569.00) 最大連虧幅度:-22.21%(-4,999,085.00)
盈利交易平均周期: 103.74 虧損交易平均周期: 28.95
交易平均周期數: 66.71 盈利系數: 0.01
夏普率: -0.0402 MAR比率: 0.14%
最大浮動盈利:4003.27%(1,955,547.88) 最大浮動虧損:-10311.72%(-406,373.66)
最大回撤幅度: 237.91% 最大回撤時間: 237.91%
初始投入: 12,000,000 最大投入: 163,216,494
年回報率: 32.68%(2695天) 年有效回報率: 5.83%
簡單買入持有回報: 0.00% 買入持有年回報率: 0.00%
總交易額: 1,641,553,152.00 交易費: 610,951.31
交易費/利潤: 0.01 融資、券費用: 0.00
測試時間: 2006/12/18 -- 2014/05/05 共2695天
測試周期數: 5599
平均倉位: 19.20% 最大倉位: 20.00%
平均持倉量: 158.90 最大持倉量: 1,093.00
無倉周期數: 10701 無倉周期比例: 0.24
最長無倉周期: 138 平均無倉周期: 27.3
---------------------按月收益率統計(日期 資產 收益金額 收益百分比)-------------------
06/12 12,000,000.00 0.00 0.00%
07/01 12,137,748.00 137,748.00 1.15%
07/02 12,054,136.00 -83,612.00 -0.69%
07/03 12,035,455.00 -18,681.00 -0.15%
07/04 12,106,304.00 70,849.00 0.59%
07/05 11,997,361.00 -108,943.00 -0.90%
07/06 11,962,132.00 -35,229.00 -0.29%
07/07 11,896,088.00 -66,044.00 -0.55%
07/08 12,010,788.00 114,700.00 0.96%
07/09 11,949,171.00 -61,617.00 -0.51%
07/10 11,996,587.00 47,416.00 0.40%
07/11 11,996,587.00 0.00 0.00%
07/12 12,018,898.00 22,311.00 0.19%
08/01 11,950,658.00 -68,240.00 -0.57%
08/02 12,254,499.00 303,841.00 2.54%
08/03 12,466,733.00 212,234.00 1.73%
08/04 12,472,579.00 5,846.00 0.05%
08/05 12,727,674.00 255,095.00 2.05%
08/06 13,309,528.00 581,854.00 4.57%
08/07 12,986,464.00 -323,064.00 -2.43%
08/08 13,324,744.00 338,280.00 2.60%
08/09 14,057,870.00 733,126.00 5.50%
08/10 15,272,235.00 1,214,365.00 8.64%
08/11 18,771,564.00 3,499,329.00 22.91%
08/12 19,655,570.00 884,006.00 4.71%
09/01 21,809,520.00 2,153,950.00 10.96%
09/02 21,863,222.00 53,702.00 0.25%
09/03 23,284,876.00 1,421,654.00 6.50%
09/04 25,566,212.00 2,281,336.00 9.80%
09/05 26,638,094.00 1,071,882.00 4.19%
09/06 27,031,660.00 393,566.00 1.48%
09/07 28,049,618.00 1,017,958.00 3.77%
09/08 30,945,792.00 2,896,174.00 10.33%
09/09 31,377,408.00 431,616.00 1.39%
09/10 33,269,460.00 1,892,052.00 6.03%
09/11 35,680,236.00 2,410,776.00 7.25%
09/12 35,806,700.00 126,464.00 0.35%
10/01 37,447,128.00 1,640,428.00 4.58%
10/02 35,453,984.00 -1,993,144.00 -5.32%
10/03 34,950,560.00 -503,424.00 -1.42%
10/04 34,553,664.00 -396,896.00 -1.14%
10/05 38,175,396.00 3,621,732.00 10.48%
10/06 38,636,824.00 461,428.00 1.21%
10/07 37,991,416.00 -645,408.00 -1.67%
10/08 39,923,792.00 1,932,376.00 5.09%
10/09 41,129,776.00 1,205,984.00 3.02%
10/10 47,375,736.00 6,245,960.00 15.19%
10/11 47,980,440.00 604,704.00 1.28%
10/12 52,719,640.00 4,739,200.00 9.88%
11/01 52,619,872.00 -99,768.00 -0.19%
11/02 54,502,096.00 1,882,224.00 3.58%
11/03 53,846,288.00 -655,808.00 -1.20%
11/04 52,129,276.00 -1,717,012.00 -3.19%
11/05 57,503,360.00 5,374,084.00 10.31%
11/06 56,180,576.00 -1,322,784.00 -2.30%
11/07 61,134,640.00 4,954,064.00 8.82%
11/08 58,449,592.00 -2,685,048.00 -4.39%
11/09 56,949,700.00 -1,499,892.00 -2.57%
11/10 66,883,584.00 9,933,884.00 17.44%
11/11 66,290,856.00 -592,728.00 -0.89%
11/12 66,463,244.00 172,388.00 0.26%
12/01 65,759,240.00 -704,004.00 -1.06%
12/02 69,866,200.00 4,106,960.00 6.25%
12/03 70,875,888.00 1,009,688.00 1.45%
12/04 70,525,776.00 -350,112.00 -0.49%
12/05 74,655,408.00 4,129,632.00 5.86%
12/06 80,144,720.00 5,489,312.00 7.35%
12/07 75,791,648.00 -4,353,072.00 -5.43%
12/08 76,183,504.00 391,856.00 0.52%
12/09 77,705,024.00 1,521,520.00 2.00%
12/10 77,670,328.00 -34,696.00 -0.04%
12/11 72,666,016.00 -5,004,312.00 -6.44%
12/12 71,387,952.00 -1,278,064.00 -1.76%
13/01 76,095,968.00 4,708,016.00 6.59%
13/02 75,821,632.00 -274,336.00 -0.36%
13/03 78,410,424.00 2,588,792.00 3.41%
13/04 84,642,840.00 6,232,416.00 7.95%
13/05 84,725,824.00 82,984.00 0.10%
13/06 87,289,760.00 2,563,936.00 3.03%
13/07 87,426,816.00 137,056.00 0.16%
13/08 85,677,856.00 -1,748,960.00 -2.00%
13/09 86,032,608.00 354,752.00 0.41%
13/10 87,084,944.00 1,052,336.00 1.22%
13/11 89,548,664.00 2,463,720.00 2.83%
13/12 88,173,040.00 -1,375,624.00 -1.54%
14/01 94,104,736.00 5,931,696.00 6.73%
14/02 97,331,528.00 3,226,792.00 3.43%
14/03 94,538,064.00 -2,793,464.00 -2.87%
14/04 95,207,344.00 669,280.00 0.71%
14/05 96,789,552.00 1,582,208.00 1.66%