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- {
- "summary": {
- "测试区间": "2018-01-02 to 2024-12-31",
- "初始资金": "1,000,000",
- "最终资金": "1,312,295",
- "总收益率": "31.23%",
- "年化收益率": "3.96%",
- "最大回撤": "-29.59%",
- "夏普比率": "0.07",
- "Sortino比率": "0.06"
- },
- "trading_stats": {
- "总交易次数": 35,
- "盈利次数": 11,
- "亏损次数": 24,
- "胜率": "31.43%",
- "平均盈利": "109,863.43",
- "平均亏损": "-36,082.54",
- "盈亏比": "1.40"
- },
- "regime_analysis": {
- "spring": {
- "trades": 10,
- "wins": 5,
- "total_pnl": 261076.56935072382,
- "avg_pnl": 26107.65693507238,
- "win_rate": 0.5
- },
- "summer": {
- "trades": 23,
- "wins": 6,
- "total_pnl": 91808.73267720321,
- "avg_pnl": 3991.684029443618,
- "win_rate": 0.2608695652173913
- },
- "winter": {
- "trades": 2,
- "wins": 0,
- "total_pnl": -10368.44854000222,
- "avg_pnl": -5184.22427000111,
- "win_rate": 0.0
- }
- },
- "agent_contributions": {
- "mean_reversion": 44795.41227561748,
- "breakout": 233864.27049926578
- },
- "target_validation": {
- "年化收益 25-35%": "✗",
- "最大回撤 <12%": "✗",
- "夏普比率 >1.5": "✗"
- }
- }
|
