Strategy Lab
买卖策略与规则定义
用规则表达式、权重和版本迭代管理策略生命周期。
趋势突破增强策略
US Stocks / Crypto胜率63.4%
最大回撤8.7%
年化24.8%
版本v12
| 规则 | 表达式 | 权重 | 状态 |
|---|---|---|---|
| 动量确认 | Close > MA20 AND MA20 > MA60 | 35% | 启用 |
| 放量突破 | Volume > AVG(Volume, 20) * 1.8 | 25% | 启用 |
| 波动率保护 | ATR(14) / Close < 0.055 | 20% | 启用 |
| 回撤惩罚 | Drawdown(10) < 0.06 | 20% | 启用 |
均值回归风控策略
CN Funds胜率58.9%
最大回撤5.2%
年化13.6%
版本v7
| 规则 | 表达式 | 权重 | 状态 |
|---|---|---|---|
| 偏离度 | ZScore(Close, 30) < -1.7 | 40% | 启用 |
| 流动性 | Turnover > PERCENTILE(60%) | 25% | 启用 |
| 止损线 | Close < Entry * 0.965 | 35% | 启用 |
事件驱动观察策略
Global胜率0.0%
最大回撤0.0%
年化0.0%
版本v2
| 规则 | 表达式 | 权重 | 状态 |
|---|---|---|---|
| 财报窗口 | EventType == Earnings AND Surprise > 0 | 50% | 启用 |
| 舆情分数 | SentimentScore > 72 | 50% | 启用 |
策略迭代队列
由回测结果驱动的规则晋级| 策略 | 回测窗口 | 目标 | 候选规则 | 影响 | 晋级 |
|---|---|---|---|---|---|
| Trend Breakout Plus | 2024-01 to 2026-06 | Improve risk-adjusted return | ADX(14) > 22 | +3.2% | Ready |
| Mean Reversion Guard | 2023-01 to 2026-06 | Reduce false entries | RSI(14) < 34 AND ZScore < -1.6 | +1.8% | Ready |
| Event Watch Strategy | 2025-01 to 2026-06 | Increase event precision | SentimentScore > 78 AND VolumeSpike | +2.4% | Review |
规则引擎组件
表达式、指标、风控与优化组件| 组件 | 输入 | 输出 | 缓存 | 风险 | 启用状态 |
|---|---|---|---|---|---|
| Indicator Library | OHLCV bars | MA, RSI, ATR, MACD values | Cache per symbol and frequency | Low | Enabled |
| Rule Expression Parser | Rule DSL text | Executable rule tree | Cache by rule version | Medium | Enabled |
| Risk Overlay | Signal score and portfolio state | Adjusted score and block reason | No cache | High | Enabled |
| Optimization Runner | Backtest metrics and candidates | Promoted weights | Cache per experiment | High | Planned |
回测结果摘要
收益、回撤、夏普比率与结论| 策略 | 窗口 | 交易数 | 收益 | 回撤 | 夏普 | 结论 |
|---|---|---|---|---|---|---|
| Trend Breakout Plus | 2024-01 to 2026-06 | 184 | 42.6% | 8.7% | 1.82 | Promote |
| Mean Reversion Guard | 2023-01 to 2026-06 | 96 | 19.4% | 5.2% | 1.31 | Promote |
| Event Watch Strategy | 2025-01 to 2026-06 | 41 | 8.9% | 9.8% | 0.74 | Review |
| Risk Overlay Candidate | 2024-06 to 2026-06 | 137 | 25.1% | 4.6% | 1.56 | PaperTrade |