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新建回测系统，并提交

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lintaogood
2026-01-17 21:37:42 +08:00
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results/optimization/grid_search_20260106_152521.csv Normal file
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param_ma_short,param_ma_long,param_hold_days,param_position_pct_per_stock,total_return,annual_return,sharpe,max_drawdown,avg_capital_utilization,total_trades,avg_trades_per_year
5,15,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,5,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,6,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,7,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,8,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,9,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,15,10,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
1 param_ma_short param_ma_long param_hold_days param_position_pct_per_stock total_return annual_return sharpe max_drawdown avg_capital_utilization total_trades avg_trades_per_year
2 5 15 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
3 5 15 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
4 5 15 5 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
5 5 15 6 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
6 5 15 7 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
7 5 15 8 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
8 5 15 9 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
9 5 15 10 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
10 5 20 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
11 5 20 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0

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results/optimization/grid_search_20260106_155740.csv Normal file
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param_ma_short,param_ma_long,param_hold_days,param_position_pct_per_stock,total_return,annual_return,sharpe,max_drawdown,avg_capital_utilization,total_trades,avg_trades_per_year
5,15,3,0.2,0.24360800000000005,0.07872484416708869,0.41705099086074365,-0.598004917472512,0.3647918627621512,966,335.76827586206895
5,15,9,0.2,-0.16744000000000003,-0.061709023058374,0.3991159727525951,-0.737367090718303,0.5195623006465002,368,127.91172413793103
5,15,5,0.2,-0.022676999999999947,-0.007941259678756363,0.3497913827223891,-0.6385729321308227,0.3644850040498665,598,207.85655172413794
5,15,7,0.2,0.001274999999999915,0.00044298822160859785,0.33921424896927727,-0.6626714477292491,0.4277301806013664,440,152.93793103448277
5,30,9,0.2,0.1298379999999999,0.0433444062630044,0.3078006765064262,-0.439472146344544,0.40146742511296885,350,121.65517241379311
5,15,10,0.2,0.09341899999999992,0.03152959556700785,0.25683177019129877,-0.39461293875379233,0.3604137078084076,328,114.00827586206897
5,15,6,0.2,0.04226200000000002,0.014491759932895976,0.178264052894989,-0.4978084792830998,0.44330673724687714,488,169.62206896551723
5,30,5,0.2,-0.01561800000000002,-0.005456498882640326,0.07767212222509089,-0.41260576868432897,0.3853122379115354,588,204.3806896551724
5,20,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,5,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,6,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,7,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,8,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,9,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,10,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,25,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,25,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,25,5,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,25,6,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
1 param_ma_short param_ma_long param_hold_days param_position_pct_per_stock total_return annual_return sharpe max_drawdown avg_capital_utilization total_trades avg_trades_per_year
2 5 15 3 0.2 0.24360800000000005 0.07872484416708869 0.41705099086074365 -0.598004917472512 0.3647918627621512 966 335.76827586206895
3 5 15 9 0.2 -0.16744000000000003 -0.061709023058374 0.3991159727525951 -0.737367090718303 0.5195623006465002 368 127.91172413793103
4 5 15 5 0.2 -0.022676999999999947 -0.007941259678756363 0.3497913827223891 -0.6385729321308227 0.3644850040498665 598 207.85655172413794
5 5 15 7 0.2 0.001274999999999915 0.00044298822160859785 0.33921424896927727 -0.6626714477292491 0.4277301806013664 440 152.93793103448277
6 5 30 9 0.2 0.1298379999999999 0.0433444062630044 0.3078006765064262 -0.439472146344544 0.40146742511296885 350 121.65517241379311
7 5 15 10 0.2 0.09341899999999992 0.03152959556700785 0.25683177019129877 -0.39461293875379233 0.3604137078084076 328 114.00827586206897
8 5 15 6 0.2 0.04226200000000002 0.014491759932895976 0.178264052894989 -0.4978084792830998 0.44330673724687714 488 169.62206896551723
9 5 30 5 0.2 -0.01561800000000002 -0.005456498882640326 0.07767212222509089 -0.41260576868432897 0.3853122379115354 588 204.3806896551724
10 5 20 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
11 5 20 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
12 5 20 5 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
13 5 20 6 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
14 5 20 7 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
15 5 20 8 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
16 5 20 9 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
17 5 20 10 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
18 5 25 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
19 5 25 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
20 5 25 5 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
21 5 25 6 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0

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results/optimization/grid_search_20260107_004056.csv Normal file
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param_ma_short,param_ma_long,param_hold_days,param_position_pct_per_stock,total_return,annual_return,sharpe,max_drawdown,avg_capital_utilization,total_trades,avg_trades_per_year
5,15,10,0.2,0.06741599999999992,0.022872053001242065,0.3501688433279945,-0.6338401139926231,0.36336185903938295,658,228.08253094910592
5,15,3,0.2,-0.019792000000000032,-0.006905349266175809,0.34145364958683716,-0.6597464160216169,0.40524233168876095,1198,415.2627235213205
5,15,9,0.2,-0.11914599999999997,-0.043021787534220146,0.322834639965139,-0.688049317315556,0.42090376881144576,664,230.16231086657496
5,15,5,0.2,-0.175149,-0.06456580296764791,0.3107820807181963,-0.6857871389095636,0.4298807331908658,860,298.10178817056396
5,15,4,0.2,-0.30489999999999995,-0.11844613513084556,0.29741994153558415,-0.7297109193062858,0.4766258317366501,986,341.77716643741405
5,15,8,0.2,-0.188438,-0.06981745980266285,0.27800928568923794,-0.6934733893663221,0.39942126302539177,696,241.2544704264099
5,15,6,0.2,-0.282493,-0.10869771948470908,0.27406529900489013,-0.7206299489074248,0.450441937713455,782,271.0646492434663
5,15,7,0.2,-0.311485,-0.12134997396754421,0.26150634147405194,-0.726338210779774,0.4455493437451659,752,260.665749656121
5,30,8,0.2,-0.12517599999999995,-0.04529769914096038,0.036845036334315504,-0.45003024433098815,0.4490480091499886,714,247.49381017881706
5,30,9,0.2,-0.17153700000000005,-0.06314794938954416,0.023575659570133658,-0.5428814091320322,0.5103600922614184,678,235.01513067400276
5,20,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,5,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,6,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,7,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,8,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,9,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,10,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,25,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,25,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
1 param_ma_short param_ma_long param_hold_days param_position_pct_per_stock total_return annual_return sharpe max_drawdown avg_capital_utilization total_trades avg_trades_per_year
2 5 15 10 0.2 0.06741599999999992 0.022872053001242065 0.3501688433279945 -0.6338401139926231 0.36336185903938295 658 228.08253094910592
3 5 15 3 0.2 -0.019792000000000032 -0.006905349266175809 0.34145364958683716 -0.6597464160216169 0.40524233168876095 1198 415.2627235213205
4 5 15 9 0.2 -0.11914599999999997 -0.043021787534220146 0.322834639965139 -0.688049317315556 0.42090376881144576 664 230.16231086657496
5 5 15 5 0.2 -0.175149 -0.06456580296764791 0.3107820807181963 -0.6857871389095636 0.4298807331908658 860 298.10178817056396
6 5 15 4 0.2 -0.30489999999999995 -0.11844613513084556 0.29741994153558415 -0.7297109193062858 0.4766258317366501 986 341.77716643741405
7 5 15 8 0.2 -0.188438 -0.06981745980266285 0.27800928568923794 -0.6934733893663221 0.39942126302539177 696 241.2544704264099
8 5 15 6 0.2 -0.282493 -0.10869771948470908 0.27406529900489013 -0.7206299489074248 0.450441937713455 782 271.0646492434663
9 5 15 7 0.2 -0.311485 -0.12134997396754421 0.26150634147405194 -0.726338210779774 0.4455493437451659 752 260.665749656121
10 5 30 8 0.2 -0.12517599999999995 -0.04529769914096038 0.036845036334315504 -0.45003024433098815 0.4490480091499886 714 247.49381017881706
11 5 30 9 0.2 -0.17153700000000005 -0.06314794938954416 0.023575659570133658 -0.5428814091320322 0.5103600922614184 678 235.01513067400276
12 5 20 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
13 5 20 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
14 5 20 5 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
15 5 20 6 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
16 5 20 7 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
17 5 20 8 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
18 5 20 9 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
19 5 20 10 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
20 5 25 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
21 5 25 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0

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param_ma_short,param_ma_long,param_hold_days,param_position_pct_per_stock,total_return,annual_return,sharpe,max_drawdown,avg_capital_utilization,total_trades,avg_trades_per_year
5,15,3,0.2,-0.386382,-0.11927490652549144,0.27089141444525655,-0.7600014015047143,0.5941614884630463,1632,424.42105263157896
5,15,5,0.2,-0.49522999999999995,-0.1628834368426827,0.2577381221930353,-0.7870919695043106,0.5891859415623967,1188,308.953560371517
5,15,10,0.2,-0.28525900000000004,-0.08363260186379518,0.2577209453693876,-0.7215958651491022,0.5335998778095353,904,235.09597523219813
5,15,4,0.2,-0.6409350000000001,-0.23384356108729032,0.25362732816365546,-0.8508504652550739,0.6694213382102638,1358,353.1640866873065
5,15,6,0.2,-0.6356539999999999,-0.2309289019804308,0.23193807213946363,-0.8333560005292597,0.682874481195002,1076,279.8266253869969
5,15,8,0.2,-0.6453910000000002,-0.23632766727811672,0.22268325953846105,-0.8377975979467692,0.699859612370919,972,252.78018575851394
5,15,9,0.2,-0.413411,-0.1295326757242926,0.21447512587621043,-0.7587150698961995,0.49285261673542696,924,240.29721362229103
5,15,7,0.2,-0.6541950000000001,-0.24130438419598055,0.19538580770554698,-0.8449087248568969,0.6323827691064463,1024,266.3034055727554
5,20,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
1 param_ma_short param_ma_long param_hold_days param_position_pct_per_stock total_return annual_return sharpe max_drawdown avg_capital_utilization total_trades avg_trades_per_year
2 5 15 3 0.2 -0.386382 -0.11927490652549144 0.27089141444525655 -0.7600014015047143 0.5941614884630463 1632 424.42105263157896
3 5 15 5 0.2 -0.49522999999999995 -0.1628834368426827 0.2577381221930353 -0.7870919695043106 0.5891859415623967 1188 308.953560371517
4 5 15 10 0.2 -0.28525900000000004 -0.08363260186379518 0.2577209453693876 -0.7215958651491022 0.5335998778095353 904 235.09597523219813
5 5 15 4 0.2 -0.6409350000000001 -0.23384356108729032 0.25362732816365546 -0.8508504652550739 0.6694213382102638 1358 353.1640866873065
6 5 15 6 0.2 -0.6356539999999999 -0.2309289019804308 0.23193807213946363 -0.8333560005292597 0.682874481195002 1076 279.8266253869969
7 5 15 8 0.2 -0.6453910000000002 -0.23632766727811672 0.22268325953846105 -0.8377975979467692 0.699859612370919 972 252.78018575851394
8 5 15 9 0.2 -0.413411 -0.1295326757242926 0.21447512587621043 -0.7587150698961995 0.49285261673542696 924 240.29721362229103
9 5 15 7 0.2 -0.6541950000000001 -0.24130438419598055 0.19538580770554698 -0.8449087248568969 0.6323827691064463 1024 266.3034055727554
10 5 20 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
11 5 20 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0

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results/optimization/grid_search_20260110_214439.csv Normal file
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param_ma_short,param_ma_long,param_hold_days,param_position_pct_per_stock,total_return,annual_return,sharpe,max_drawdown,avg_capital_utilization,total_trades,avg_trades_per_year
5,15,3,0.2,-0.386382,-0.11927490652549144,0.27089141444525655,-0.7600014015047143,0.5941614884630463,1632,424.42105263157896
5,15,5,0.2,-0.49522999999999995,-0.1628834368426827,0.2577381221930353,-0.7870919695043106,0.5891859415623967,1188,308.953560371517
5,15,10,0.2,-0.28525900000000004,-0.08363260186379518,0.2577209453693876,-0.7215958651491022,0.5335998778095353,904,235.09597523219813
5,15,4,0.2,-0.6409350000000001,-0.23384356108729032,0.25362732816365546,-0.8508504652550739,0.6694213382102638,1358,353.1640866873065
5,15,6,0.2,-0.6356539999999999,-0.2309289019804308,0.23193807213946363,-0.8333560005292597,0.682874481195002,1076,279.8266253869969
5,15,8,0.2,-0.6453910000000002,-0.23632766727811672,0.22268325953846105,-0.8377975979467692,0.699859612370919,972,252.78018575851394
5,15,9,0.2,-0.413411,-0.1295326757242926,0.21447512587621043,-0.7587150698961995,0.49285261673542696,924,240.29721362229103
5,15,7,0.2,-0.6541950000000001,-0.24130438419598055,0.19538580770554698,-0.8449087248568969,0.6323827691064463,1024,266.3034055727554
5,20,3,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
5,20,4,0.2,0.0,0.0,0.0,0.0,0.0,0,0.0
1 param_ma_short param_ma_long param_hold_days param_position_pct_per_stock total_return annual_return sharpe max_drawdown avg_capital_utilization total_trades avg_trades_per_year
2 5 15 3 0.2 -0.386382 -0.11927490652549144 0.27089141444525655 -0.7600014015047143 0.5941614884630463 1632 424.42105263157896
3 5 15 5 0.2 -0.49522999999999995 -0.1628834368426827 0.2577381221930353 -0.7870919695043106 0.5891859415623967 1188 308.953560371517
4 5 15 10 0.2 -0.28525900000000004 -0.08363260186379518 0.2577209453693876 -0.7215958651491022 0.5335998778095353 904 235.09597523219813
5 5 15 4 0.2 -0.6409350000000001 -0.23384356108729032 0.25362732816365546 -0.8508504652550739 0.6694213382102638 1358 353.1640866873065
6 5 15 6 0.2 -0.6356539999999999 -0.2309289019804308 0.23193807213946363 -0.8333560005292597 0.682874481195002 1076 279.8266253869969
7 5 15 8 0.2 -0.6453910000000002 -0.23632766727811672 0.22268325953846105 -0.8377975979467692 0.699859612370919 972 252.78018575851394
8 5 15 9 0.2 -0.413411 -0.1295326757242926 0.21447512587621043 -0.7587150698961995 0.49285261673542696 924 240.29721362229103
9 5 15 7 0.2 -0.6541950000000001 -0.24130438419598055 0.19538580770554698 -0.8449087248568969 0.6323827691064463 1024 266.3034055727554
10 5 20 3 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0
11 5 20 4 0.2 0.0 0.0 0.0 0.0 0.0 0 0.0