jackyu66gitandCursor
7f393b93ed
删除根目录旧 Chan 模块、策略、配置、文档及 wyckoff 相关代码；更新缠论 pipeline 与笔中枢计算；补充 research 研究与 web 测试。 Co-authored-by: Cursor <cursoragent@cursor.com>
8.4 KiB
8.4 KiB
| 1 | group | horizon | n | mean | median | winrate | excess | tstat | mfe | mae |
|---|---|---|---|---|---|---|---|---|---|---|
| 2 | ALL | 1 | 203 | -0.0021236365549800835 | -0.00132326778077769 | 0.24630541871921183 | -0.002123442086338205 | -7.877371433862206 | 0.0016110083387067017 | -0.004519826162126181 |
| 3 | ALL | 3 | 203 | -0.0021953294533631285 | -0.0017408667068975856 | 0.3399014778325123 | -0.0021947492199650316 | -4.228525034647697 | 0.003513839108175097 | -0.0071547527041845626 |
| 4 | ALL | 5 | 203 | -0.000978445933708817 | -0.0014267438715096935 | 0.39408866995073893 | -0.000977478634346284 | -1.4418184983070745 | 0.00593898321251341 | -0.008967770012803508 |
| 5 | ALL | 10 | 203 | -0.0006059395661796422 | -0.0010919908466819489 | 0.45320197044334976 | -0.0006040071867119446 | -0.6146557824200425 | 0.009490613947475116 | -0.01170061592571211 |
| 6 | ALL | 20 | 202 | -0.0015514242809740743 | -0.0009690502791082503 | 0.43564356435643564 | -0.0015514242809740743 | -1.0499663276585984 | 0.013995676284657092 | -0.016847200769581648 |
| 7 | ALL | 40 | 202 | 0.0008253921286729651 | 0.0012793740790605396 | 0.5247524752475248 | 0.0008253921286729651 | 0.41509091836696477 | 0.021146852970844253 | -0.023181176281251163 |
| 8 | ALL_LONG | 1 | 101 | -0.0023073836895074963 | -0.0013294301498910804 | 0.24752475247524752 | -0.002346860823808852 | -5.208051058087319 | 0.0014128237438958062 | -0.004470615648714599 |
| 9 | ALL_LONG | 3 | 101 | -0.002442866562656746 | -0.0015546030923489823 | 0.32673267326732675 | -0.002560653942470415 | -2.9823876279495622 | 0.0031625968573422616 | -0.007391554228674599 |
| 10 | ALL_LONG | 5 | 101 | -0.0007232983471750494 | -0.0008089444186822866 | 0.44554455445544555 | -0.0009196601177692531 | -0.7556961010798738 | 0.005732975538084319 | -0.008773559073301743 |
| 11 | ALL_LONG | 10 | 101 | 0.0002629842362288189 | -0.00026866079746157604 | 0.4752475247524752 | -0.00012928879571380152 | 0.17590738963018906 | 0.009755520682484106 | -0.01141585778500244 |
| 12 | ALL_LONG | 20 | 101 | 0.001590935438542239 | -0.001034919285536034 | 0.45544554455445546 | 0.000805806170512495 | 0.7081316524129802 | 0.015325409303319855 | -0.015946658506413337 |
| 13 | ALL_LONG | 40 | 101 | 0.003201676790157725 | 0.0031966548972989883 | 0.5544554455445545 | 0.0017120826837018403 | 1.2182672419736218 | 0.021440191751652914 | -0.022177493254263214 |
| 14 | ALL_SHORT | 1 | 102 | -0.0019416908629480373 | -0.0013171194188277792 | 0.24509803921568626 | -0.0019022137286466814 | -6.260669483012237 | 0.0018072499472939613 | -0.004568554219523924 |
| 15 | ALL_SHORT | 3 | 102 | -0.0019502191784743497 | -0.0019581727459482374 | 0.35294117647058826 | -0.0018324317986606808 | -3.0313117596321377 | 0.003861637807529178 | -0.0069202727632679565 |
| 16 | ALL_SHORT | 5 | 102 | -0.001231092073315783 | -0.0022300417936755726 | 0.3431372549019608 | -0.0010347303027215793 | -1.2740754874618336 | 0.006142971203859859 | -0.00916007692348663 |
| 17 | ALL_SHORT | 10 | 102 | -0.0014663445077801778 | -0.00188546884849591 | 0.43137254901960786 | -0.0010740714758375573 | -1.137307603077761 | 0.009228304337319157 | -0.011982582319944235 |
| 18 | ALL_SHORT | 20 | 101 | -0.004693784000490388 | -0.0009146094538616651 | 0.4158415841584158 | -0.0039086547324606435 | -2.4976095621524683 | 0.012665943265994328 | -0.01774774303274996 |
| 19 | ALL_SHORT | 40 | 101 | -0.001550892532811794 | -0.0007482798220286934 | 0.49504950495049505 | -6.129842635590934e-05 | -0.5205812922568879 | 0.020853514190035595 | -0.02418485930823911 |
| 20 | B1 | 1 | 35 | -0.0028237718150321447 | -0.0008252250006676318 | 0.3142857142857143 | -0.0028632489493335004 | -3.2721300910328837 | 0.0018017122028088017 | -0.005236452244615651 |
| 21 | B1 | 3 | 35 | -0.0013596028655088429 | -0.0005928800975671069 | 0.4 | -0.0014773902453225117 | -1.0551434181325963 | 0.004010425153623689 | -0.0070231548714579425 |
| 22 | B1 | 5 | 35 | 0.0026250027138637407 | 0.0007472465757698895 | 0.5714285714285714 | 0.002428640943269537 | 1.9161406506175305 | 0.008057085881813362 | -0.007658701679731569 |
| 23 | B1 | 10 | 35 | 0.0025914534514903946 | 6.498256049405421e-05 | 0.5142857142857142 | 0.0021991804195477744 | 0.9122977764103373 | 0.012449350370835784 | -0.01107299793151307 |
| 24 | B1 | 20 | 35 | 0.0037290686810686996 | 0.0024162635417650656 | 0.5714285714285714 | 0.002943939413038956 | 0.9614632213291404 | 0.017543507702612517 | -0.016116918292353646 |
| 25 | B1 | 40 | 35 | 0.007510237086745946 | 0.0058524851362996445 | 0.6285714285714286 | 0.0060206429802900615 | 1.6362844611997802 | 0.02291597603819218 | -0.020930455610265353 |
| 26 | B2 | 1 | 28 | -0.0016697849949384367 | -0.0014942903810434087 | 0.25 | -0.0017092621292397925 | -3.248764849064481 | 0.0011291933610078947 | -0.003559105140030987 |
| 27 | B2 | 3 | 28 | -0.0028465391682097226 | -0.0013200290776567082 | 0.35714285714285715 | -0.0029643265480233916 | -2.1394938972687454 | 0.002820600563708391 | -0.007035225134008442 |
| 28 | B2 | 5 | 28 | -0.002846545666315544 | -0.0008426744384638222 | 0.39285714285714285 | -0.003042907436909748 | -1.3658711138353692 | 0.004612556547739213 | -0.008975909882581646 |
| 29 | B2 | 10 | 28 | -0.0006205614179550504 | 0.0007048468307990128 | 0.5357142857142857 | -0.0010128344498976708 | -0.22351877223742594 | 0.008046376469183393 | -0.011777606435226792 |
| 30 | B2 | 20 | 28 | 0.0031112163862593405 | -0.001118921099184904 | 0.42857142857142855 | 0.0023260871182295964 | 0.6311458307321253 | 0.015893238765981615 | -0.01544003842905078 |
| 31 | B2 | 40 | 28 | 0.005226457159055209 | 0.0032790973876980867 | 0.5714285714285714 | 0.003736863052599325 | 1.2600997467108481 | 0.023304069649709425 | -0.019493707669286146 |
| 32 | B3 | 1 | 38 | -0.002301572611996205 | -0.0011767389997988861 | 0.18421052631578946 | -0.0023410497462975606 | -2.9161327051403894 | 0.0012636278138670341 | -0.004436879158888396 |
| 33 | B3 | 3 | 38 | -0.0031431664690960434 | -0.0024366138444792927 | 0.23684210526315788 | -0.0032609538489097125 | -2.0218568835621693 | 0.002633699642918537 | -0.007993427706391321 |
| 34 | B3 | 5 | 38 | -0.0022427618261335706 | -0.0016489559401721592 | 0.3684210526315789 | -0.0024391235967277745 | -1.503305110583028 | 0.004417919477535545 | -0.009651300813173294 |
| 35 | B3 | 10 | 38 | -0.0012306248221134652 | -0.003306043385039234 | 0.39473684210526316 | -0.0016228978540560857 | -0.5575931263338145 | 0.008533731179329138 | -0.01146509811831418 |
| 36 | B3 | 20 | 38 | -0.0014986048252605252 | -0.0038215341606174266 | 0.3684210526315789 | -0.002283734093290269 | -0.47288225558813535 | 0.012864023278852157 | -0.016163139286893356 |
| 37 | B3 | 40 | 38 | -0.0022586774390453627 | -0.0011397961109894522 | 0.47368421052631576 | -0.0037482715455012475 | -0.4907314731618489 | 0.018707533036535624 | -0.025303606778454883 |
| 38 | S1 | 1 | 41 | -0.0018157806597278012 | -0.0014532760224835193 | 0.17073170731707318 | -0.0017763035254264453 | -4.8482884239356485 | 0.001543997740582688 | -0.004010342857783084 |
| 39 | S1 | 3 | 41 | -0.0020654524090824 | -0.001974325428882721 | 0.34146341463414637 | -0.0019476650292687312 | -2.4097074685365416 | 0.003466749677765922 | -0.0067618194922689 |
| 40 | S1 | 5 | 41 | -0.0010367029486337126 | -0.0021554343396793982 | 0.34146341463414637 | -0.0008403411780395089 | -0.8466693831925184 | 0.005081992296089234 | -0.008212596278333742 |
| 41 | S1 | 10 | 41 | -0.0018476630489159204 | -0.0002698108349055499 | 0.4634146341463415 | -0.0014553900169733 | -0.9494072080548653 | 0.008272885837112434 | -0.011434242142518177 |
| 42 | S1 | 20 | 40 | -0.0034690279309439395 | -0.00041949111062271875 | 0.45 | -0.0026838986629141954 | -1.090125085547318 | 0.011509739787981723 | -0.018115268761179214 |
| 43 | S1 | 40 | 40 | 0.004178873408246526 | 0.004173439629337873 | 0.6 | 0.00566846751470241 | 1.0615735995125652 | 0.020288122678240934 | -0.02055082563903906 |
| 44 | S2 | 1 | 29 | -0.0011878001505587128 | -0.0005263042819616171 | 0.3793103448275862 | -0.001148323016257357 | -2.230736189349769 | 0.0017724953506634135 | -0.0038059881716991273 |
| 45 | S2 | 3 | 29 | -0.0017009428769838764 | -0.0017408667068975856 | 0.3448275862068966 | -0.0015831554971702075 | -2.070245069784016 | 0.0034544232467848277 | -0.00528864000445273 |
| 46 | S2 | 5 | 29 | -0.0012712878354241746 | -0.0011873506082900798 | 0.3103448275862069 | -0.0010749260648299707 | -0.961351019394897 | 0.005490871178525909 | -0.007298908568684415 |
| 47 | S2 | 10 | 29 | -0.0010654660820333093 | -0.002521504815043239 | 0.41379310344827586 | -0.0006731930500906889 | -0.7118753008022581 | 0.0074735763206866665 | -0.009668010682070814 |
| 48 | S2 | 20 | 29 | -0.004452004543089681 | -0.004427684587475809 | 0.3103448275862069 | -0.0036668752750599366 | -1.892634950438198 | 0.010016427308864073 | -0.013925179972011106 |
| 49 | S2 | 40 | 29 | -0.006353824132676504 | -0.005895544998235241 | 0.3793103448275862 | -0.004864230026220619 | -1.4034358959592357 | 0.015520209866248304 | -0.02205018465529869 |
| 50 | S3 | 1 | 32 | -0.00278622676892679 | -0.0021207944233334825 | 0.21875 | -0.0027467496346254344 | -3.961497401961191 | 0.002176038190339215 | -0.005974838007595594 |
| 51 | S3 | 3 | 32 | -0.002028483249983529 | -0.002397105721004599 | 0.375 | -0.00191069587016986 | -1.2756091022578546 | 0.004736626419462916 | -0.008601958204411796 |
| 52 | S3 | 5 | 32 | -0.0014437257299039557 | -0.0028991919946145367 | 0.375 | -0.001247363959309752 | -0.6003523729253476 | 0.00809331607739987 | -0.012060720321628277 |
| 53 | S3 | 10 | 32 | -0.0013410762002831079 | -0.0020305026078761682 | 0.40625 | -0.0009488031683404874 | -0.44317398950274134 | 0.01204265655578222 | -0.014782723719094164 |
| 54 | S3 | 20 | 32 | -0.006443841720692841 | -0.0003583914523264443 | 0.46875 | -0.005658712452663097 | -1.6450435335076343 | 0.01651232144965938 | -0.02075253364600797 |
| 55 | S3 | 40 | 32 | -0.004360443196757302 | -0.0024779356187764594 | 0.46875 | -0.0028708490903014174 | -0.6362723456249845 | 0.026393560623211167 | -0.03066195029896642 |