策略量化指标统计表

累计收益率 年化收益率 年化波动率 夏普比率 卡玛比率 欧米伽比率 索提诺比率 尾比 最大回撤 阿尔法 贝塔
172.12% 30.52% 24.38% 1.11 0.91 1.26 1.78 1.25 -33.71% 0.31 0.03

策略盈亏统计表

期初资产 期末资产 资产利润 样本宽度 买入次数 卖出次数 获利次数 亏损次数 胜率 平均每笔盈利 每笔盈利中位数 平均每笔利润率 利润率中位数 平均每笔亏损 每笔亏损中位数 平均每笔亏损率 亏损率中位数 跑赢基准
50000.0 136058.5 86058.5 947 26 25 12 13 48.00% 8946.78 3177.65 14.45% 5.57% -2855.05 -2188.25 -4.56% -4.59% 205.95%

策略交易台账

交易时间 买入价格 买入数量 卖出价格 卖出数量 交易佣金 交易印花税 交易利润 交易利润率
2010-05-12 26.44 1800 0 0 5.71 0 0 0.00%
2010-06-01 0 0 25.45 1800 5.5 22.9 -1816.11 -3.82%
2010-06-08 26.49 1800 0 0 5.72 0 0 0.00%
2010-06-11 0 0 24.79 1800 5.35 22.31 -3093.38 -6.49%
2010-07-28 23.25 1900 0 0 5.3 0 0 0.00%
2010-08-19 0 0 22.2 1900 5.06 21.09 -2026.45 -4.59%
2010-08-26 23.32 1800 0 0 5.04 0 0 0.00%
2010-09-03 0 0 22.87 1800 5 20.58 -840.62 -2.00%
2010-09-06 23.92 1700 0 0 5 0 0 0.00%
2010-09-21 0 0 22.65 1700 5 19.25 -2188.25 -5.38%
2010-09-27 24.24 1600 0 0 5 0 0 0.00%
2010-10-12 0 0 22.94 1600 5 18.35 -2108.35 -5.44%
2010-10-26 23.56 1600 0 0 5 0 0 0.00%
2010-10-29 0 0 22.55 1600 5 18.04 -1644.04 -4.36%
2010-11-18 23.6 1500 0 0 5 0 0 0.00%
2011-01-14 0 0 25.48 1500 5 19.11 2790.89 7.88%
2011-02-15 24.7 1500 0 0 5 0 0 0.00%
2011-03-24 0 0 25.01 1500 5 18.76 436.24 1.18%
2011-04-22 23.53 1600 0 0 5 0 0 0.00%
2011-04-26 0 0 23.71 1600 5 18.97 259.03 0.69%
2011-05-16 23.6 1600 0 0 5 0 0 0.00%
2011-05-19 0 0 21.97 1600 5 17.58 -2635.58 -6.98%
2011-05-30 23.79 1500 0 0 5 0 0 0.00%
2011-08-09 0 0 32.11 1500 5.78 24.08 12445.14 34.87%
2011-09-12 31.48 1500 0 0 5.67 0 0 0.00%
2011-11-15 0 0 38.03 1500 6.85 28.52 9783.96 20.72%
2011-11-22 39.34 1500 0 0 7.08 0 0 0.00%
2012-02-29 0 0 52.23 1500 9.4 39.17 19279.35 32.67%
2012-04-05 48.4 1600 0 0 9.29 0 0 0.00%
2012-04-19 0 0 46.67 1600 8.96 37.34 -2823.59 -3.65%
2012-06-04 43.49 1700 0 0 8.87 0 0 0.00%
2012-09-27 0 0 66.53 1700 13.57 56.55 39089.01 52.87%
2012-10-09 67.82 1600 0 0 13.02 0 0 0.00%
2012-10-23 0 0 67.6 1600 12.98 54.08 -432.08 -0.40%
2012-10-30 69.98 1600 0 0 13.44 0 0 0.00%
2012-11-05 0 0 66.04 1600 12.68 52.83 -6382.95 -5.70%
2012-11-20 68.22 1500 0 0 12.28 0 0 0.00%
2012-12-18 0 0 70.3 1500 12.65 52.72 3042.35 2.97%
2012-12-26 74.02 1500 0 0 13.32 0 0 0.00%
2013-01-04 0 0 74.21 1500 13.36 55.66 202.66 0.18%
2013-01-07 74.65 1400 0 0 12.54 0 0 0.00%
2013-01-14 0 0 68.35 1400 11.48 47.84 -8891.86 -8.51%
2013-02-12 67.52 1500 0 0 12.15 0 0 0.00%
2013-03-20 0 0 69.78 1500 12.56 52.34 3312.95 3.27%
2013-04-03 72.82 1400 0 0 12.23 0 0 0.00%
2013-05-20 0 0 83.27 1400 13.99 58.29 14545.49 14.27%
2013-05-30 89.76 1300 0 0 14.0 0 0 0.00%
2013-07-04 0 0 91.5 1300 14.27 59.48 2174.25 1.86%
2013-09-19 61.65 1900 0 0 14.06 0 0 0.00%
2013-09-20 0 0 60.52 1900 13.8 57.49 -2232.35 -1.91%
2013-10-04 62.33 1900 0 0 14.21 0 0 0.00%