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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
commit fe50ea935a
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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