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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": "1,035,176",
- "总收益率": "3.52%",
- "年化收益率": "0.50%",
- "最大回撤": "-11.48%",
- "夏普比率": "-0.49",
- "Sortino比率": "-0.20"
- },
- "trading_stats": {
- "总交易次数": 40,
- "盈利次数": 19,
- "亏损次数": 21,
- "胜率": "47.50%",
- "平均盈利": "15,314.40",
- "平均亏损": "-11,237.62",
- "盈亏比": "1.23"
- },
- "regime_analysis": {
- "autumn": {
- "trades": 1,
- "wins": 1,
- "total_pnl": 3955.8509964105992,
- "avg_pnl": 3955.8509964105992,
- "win_rate": 1.0
- },
- "unknown": {
- "trades": 6,
- "wins": 4,
- "total_pnl": 2692.949583272646,
- "avg_pnl": 448.824930545441,
- "win_rate": 0.6666666666666666
- },
- "summer": {
- "trades": 25,
- "wins": 10,
- "total_pnl": 66864.69418077264,
- "avg_pnl": 2674.5877672309057,
- "win_rate": 0.4
- },
- "winter": {
- "trades": 3,
- "wins": 1,
- "total_pnl": 3797.7698693435286,
- "avg_pnl": 1265.9232897811762,
- "win_rate": 0.3333333333333333
- },
- "spring": {
- "trades": 5,
- "wins": 3,
- "total_pnl": -22327.74853870202,
- "avg_pnl": -4465.549707740404,
- "win_rate": 0.6
- }
- },
- "agent_contributions": {
- "trend_hunter": 19646.79524890115
- },
- "target_validation": {
- "年化收益 25-35%": "✗",
- "最大回撤 <12%": "✓",
- "夏普比率 >1.5": "✗"
- }
- }
|
