cyb50-quant/research/dragon/v2/trade_split_summary.md

Dragon v2 Trade Split Summary

• Source workbook: 龙泉回测20260109.data.xlsx
• Real trade events: 211
• Completed trades: 105
• Auxiliary signals: 22
• Auxiliary signal breakdown: {'SELL': 21, 'BUY': 1}
• Open position at end: 2026-01-05

Equity Summary

• Start capital: 55,450.00
• Realized capital at 2025-12-31: 910,785.96
• 2016-2025 cumulative strategy return: 1542.54%
• 2016-2025 cumulative index return: 30.60%
• 2026 partial strategy return in sheet: 0.78%

Trade Stats

• Win rate: 47/105 = 44.76%
• Average trade return: 3.15%
• Median trade return: -0.49%
• Average winner: 9.45%
• Average loser: -1.95%
• Best trade: 50.70%
• Worst trade: -5.78%
• Average holding days: 15.28
• Median holding days: 8

Annual Returns

• 2016: strategy 18.14%, index -31.62%
• 2017: strategy 3.35%, index -14.39%
• 2018: strategy -2.61%, index -34.09%
• 2019: strategy 33.35%, index 50.93%
• 2020: strategy 90.52%, index 88.74%
• 2021: strategy 66.20%, index 16.88%
• 2022: strategy 17.70%, index -29.83%
• 2023: strategy 17.41%, index -24.00%
• 2024: strategy 57.96%, index 21.07%
• 2025: strategy 49.88%, index 57.45%
• 2026: strategy 0.78%, index N/A

Trade Return By Sell Year

• 2016: trades 13, avg 1.68%, median 0.87%, wins 7
• 2017: trades 11, avg -0.38%, median -0.61%, wins 3
• 2018: trades 16, avg -0.56%, median -0.96%, wins 5
• 2019: trades 10, avg 3.12%, median -1.53%, wins 4
• 2020: trades 6, avg 11.16%, median 4.66%, wins 4
• 2021: trades 9, avg 8.41%, median 4.29%, wins 6
• 2022: trades 11, avg 0.78%, median -0.18%, wins 5
• 2023: trades 11, avg 0.79%, median -0.26%, wins 5
• 2024: trades 12, avg 6.71%, median -0.96%, wins 4
• 2025: trades 6, avg 8.42%, median 0.41%, wins 4

Auxiliary Signals

• 2016-01-01 SELL bearish_signal_after_exit index None note ``
• 2016-05-06 SELL bearish_signal_after_exit index 2040.15 note ``
• 2016-06-13 SELL bearish_signal_after_exit index 1945.7 note ``
• 2017-09-19 SELL bearish_signal_after_exit index 1659.56 note ``
• 2018-03-09 BUY bullish_signal_while_holding index 1626.58 note ``
• 2018-07-27 SELL bearish_signal_after_exit index 1345.69 note ``
• 2018-10-29 SELL bearish_signal_after_exit index 1010.71 note ``
• 2018-12-07 SELL bearish_signal_after_exit index 1084.42 note ``
• 2019-04-11 SELL bearish_signal_after_exit index 1349.08 note 8-d-(2) / 见好就收2
• 2019-10-18 SELL bearish_signal_after_exit index 1327.42 note 粘合 / 见好就收2
• 2020-04-24 SELL bearish_signal_after_exit index 1712.95 note ``
• 2020-08-07 SELL bearish_signal_after_exit index 2515.7 note 8-b / 见好就收2
• 2020-11-26 SELL bearish_signal_after_exit index 2450.64 note ``
• 2021-07-26 SELL bearish_signal_after_exit index 3407.86 note ``
• 2021-12-06 SELL bearish_signal_after_exit index 3463.76 note ``
• 2021-12-17 SELL bearish_signal_after_exit index 3484.5 note ``
• 2022-03-03 SELL bearish_signal_after_exit index 2761.3 note ``
• 2022-07-11 SELL bearish_signal_after_exit index 2771.6 note 见好就收1
• 2022-07-15 SELL bearish_signal_after_exit index 2776.12 note ``
• 2023-10-16 SELL bearish_signal_after_exit index 1849.53 note ``
• 2023-11-10 SELL bearish_signal_after_exit index 1903.29 note 粘合-刀口收血2
• 2025-10-17 SELL bearish_signal_after_exit index 3074.24 note 股灾兜底条款6