本文档详细列出10个测试策略的完整参数配置，可直接用于实盘或进一步研究
| 项目 | 参数 |
|---|---|
| 数据范围 | BTC/ETH: 2020-01-01 ~ 2025-03-14 (5年2个月) |
| SOL数据 | 2022-05-01 ~ 2025-03-14 (2年10个月) |
| IS(样本内) | 2020-01-01 ~ 2022-12-31 (3年) |
| 手续费 | 0.1% (单边) |
| 滑点 | 0.05% |
| 初始资金 | 10,000 USDT |
| 单笔仓位 | 5% |
回测表现 (ETH)
- 夏普率: 3.78 (全场最高)
- 收益率: 6.32%
- 胜率: 66.7%
- 最大回撤: 1.11%
- 交易次数: 24笔
日线层 (趋势判断)
{
"name": "EMA50_200_ADX14_25",
"type": "ema_adx",
"ema_fast": 50,
"ema_slow": 200,
"adx_period": 14,
"adx_threshold": 25
}4小时层 (结构分析)
{
"name": "HIGH_VOL",
"zigzag": 0.10, # 10%偏差
"bb_period": 20,
"bb_std": 3.0, # 3σ
"atr": 14,
"ci_period": 14,
"ci_trend": 35,
"ci_chop": 65
}1小时层 (入场信号)
{
"name": "PRICEACTION_ONLY",
"type": "price_action" # 纯价格行为，无指标
}风控配置
{
"name": "STRUCTURE",
"stop_type": "structure", # 结构位止损
"buffer": 0.01 # 1%缓冲
}回测表现 (ETH)
- 夏普率: 3.02
- 收益率: 3.95%
- 胜率: 62.1%
- 最大回撤: 1.40%
- 交易次数: 29笔
与最优策略区别: 4H层使用CONSERVATIVE参数，更保守
4小时层配置
{
"name": "CONSERVATIVE",
"zigzag": 0.08, # 8%偏差 (vs 10%)
"bb_period": 25, # 25周期 (vs 20)
"bb_std": 2.5, # 2.5σ (vs 3.0)
"atr": 20, # 20周期 (vs 14)
"ci_period": 20,
"ci_trend": 40, # 40阈值 (vs 35)
"ci_chop": 60 # 60阈值 (vs 65)
}回测表现 (BTC)
- 夏普率: 2.42
- 收益率: 1.48%
- 胜率: 53.8%
- 最大回撤: 0.38% (全场最低)
- 交易次数: 13笔
日线层
{
"name": "EMA20_50_CROSS",
"type": "ema_cross",
"ema_fast": 20,
"ema_slow": 50
# 无ADX过滤
}4小时层
{
"name": "PATTERN_FOCUS",
"zigzag": 0.05,
"bb_period": 20,
"bb_std": 2.0,
"atr": 14,
"ci_period": 14,
"ci_trend": 38.2, # 斐波那契数
"ci_chop": 61.8, # 斐波那契数
"pattern_focus": true
}1小时层
{
"name": "STOCH_14_5_25_75",
"type": "stoch",
"k": 14,
"d": 5,
"oversold": 25, # 超卖阈值
"overbought": 75 # 超买阈值
}风控配置
{
"name": "ATR_2_0X_TRAIL",
"stop_type": "atr",
"atr_multiplier": 2.0,
"trailing": true,
"trail_activate": 1.5 # 盈利1.5倍ATR后启动
}| 编号 | 策略名称 | 日线 | 4H | 1H | 风控 | 夏普率 |
|---|---|---|---|---|---|---|
| B1-1-BTC | EMA趋势+HIGH_VOL | EMA50/200+ADX14/25 | HIGH_VOL | PriceAction | 结构止损 | 2.15 |
| B1-2-BTC | EMA趋势+CONSERVATIVE | EMA50/200+ADX14/25 | CONSERVATIVE | PriceAction | 结构止损 | 2.10 |
| B2-2 | EMA20/50+ADX+PATTERN+STOCH | EMA20/50+ADX14/25 | PATTERN_FOCUS | STOCH 14/5/25/75 | ATR 2.0x+Trail | 1.99 |
| B2-3 | EMA20/100+ADX+PATTERN+PA | EMA20/100+ADX14/25 | PATTERN_FOCUS | PriceAction | ATR 2.0x+Trail | 1.71 |
| B2-4 | EMA20/100+ADX+PATTERN+STOCH | EMA20/100+ADX14/25 | PATTERN_FOCUS | STOCH 14/5/25/75 | ATR 2.0x+Trail | 1.67 |
| B2-5 | EMA20/50交叉+PATTERN+PA | EMA20/50_CROSS | PATTERN_FOCUS | PriceAction | ATR 2.0x+Trail | 1.55 |
| B2-6 | EMA50/200+ADX20/20+PATTERN+PA | EMA50/200+ADX20/20 | PATTERN_FOCUS | PriceAction | ATR 2.0x+Trail | 1.41 |
| 参数 | 含义 | 常用值 |
|---|---|---|
ema_fast |
快线周期 | 20, 50 |
ema_slow |
慢线周期 | 50, 100, 200 |
adx_period |
ADX计算周期 | 14, 20 |
adx_threshold |
趋势强度阈值 | 20, 25, 30 |
| 参数 | 含义 | 常用值 |
|---|---|---|
zigzag |
ZigZag偏差百分比 | 0.03~0.10 |
bb_period |
布林带周期 | 15, 20, 25 |
bb_std |
布林带标准差 | 1.5, 2.0, 2.5, 3.0 |
ci_trend |
Choppiness趋势阈值 | 35, 38.2, 40 |
ci_chop |
Choppiness震荡阈值 | 60, 61.8, 65 |
| 参数 | 含义 | 常用值 |
|---|---|---|
type: price_action |
纯价格行为 | 支撑阻力突破/回调 |
type: stoch |
随机指标 | K=14, D=5 |
oversold |
超卖阈值 | 20, 25 |
overbought |
超买阈值 | 75, 80 |
| 参数 | 含义 | 常用值 |
|---|---|---|
stop_type: structure |
结构位止损 | 前高/前低 ± 缓冲 |
stop_type: atr |
ATR止损 | 1.5x, 2.0x, 2.5x |
trailing |
是否追踪止损 | true/false |
trail_activate |
追踪止损激活倍数 | 1.5 (盈利1.5ATR后启动) |
如果你想复现最优策略，只需配置以下参数：
# 日线: 趋势判断
ema_fast = 50
ema_slow = 200
adx_period = 14
adx_threshold = 25
# 4H: 波动率过滤
zigzag = 0.10
bb_period = 20
bb_std = 3.0
# 1H: 入场
entry_type = "price_action" # 纯价格行为
# 风控
stop_type = "structure"
stop_buffer = 0.01 # 1%报告生成时间: 2026-03-17