{"id":2685,"date":"2026-05-26T12:21:32","date_gmt":"2026-05-26T04:21:32","guid":{"rendered":"https:\/\/quantbrains.club\/wordpress\/?p=2685"},"modified":"2026-05-26T12:34:43","modified_gmt":"2026-05-26T04:34:43","slug":"%e6%b8%ac%e8%a9%a6-kimi-ai-%e7%9a%84%e6%b7%b1%e5%85%a5%e7%a0%94%e7%a9%b6%e5%8a%9f%e8%83%bd-%e5%be%9e%e8%a1%9d%e6%b5%aa%e7%89%a9%e7%90%86%e5%88%b0%e4%ba%a4%e6%98%93%e6%bc%94%e7%ae%97%e6%b3%95%ef%bc%9a","status":"publish","type":"post","link":"https:\/\/quantbrains.club\/wordpress\/2026\/05\/26\/%e6%b8%ac%e8%a9%a6-kimi-ai-%e7%9a%84%e6%b7%b1%e5%85%a5%e7%a0%94%e7%a9%b6%e5%8a%9f%e8%83%bd-%e5%be%9e%e8%a1%9d%e6%b5%aa%e7%89%a9%e7%90%86%e5%88%b0%e4%ba%a4%e6%98%93%e6%bc%94%e7%ae%97%e6%b3%95%ef%bc%9a\/","title":{"rendered":"\u6e2c\u8a66 Kimi AI \u7684\u6df1\u5165\u7814\u7a76\u529f\u80fd (\u5f9e\u885d\u6d6a\u7269\u7406\u5230\u4ea4\u6613\u6f14\u7b97\u6cd5\uff1a\u52d5\u614b\u90e8\u4f4d\u7ba1\u7406\u7684\u96d9\u5c64\u6a21\u578b\u7814\u767c)"},"content":{"rendered":"\n

(\u7d14\u7cb9\u81e8\u6642\u60f3\u5230\uff0c\u96a8\u4fbf\u60f3\u500b\u4e3b\u984c\u7d66 Kimi AI\u505a\u6e2c\u8a66\u770b\u770b)
(\u8a3b: \u6e2c\u8a66\u7684\u5e8f\u5217\u662f\u96a8\u6a5f\u751f\u6210\u7684\uff0c\u975e\u771f\u6b63\u7684\u5e02\u5834\u6578\u64da)

\u5f9e\u885d\u6d6a\u7269\u7406\u5230\u4ea4\u6613\u6f14\u7b97\u6cd5\uff1a\u4ee5\u96d9\u5c64\u6a21\u578b\u5be6\u73fe\u52d5\u614b\u90e8\u4f4d\u7ba1\u7406<\/p>\n\n\n\n

TL;DR<\/strong>\uff1a\u672c\u7814\u7a76\u5c07\u885d\u6d6a\u904b\u52d5\u7684\u7269\u7406\u52d5\u529b\u5b78\u7cfb\u7d71\u6620\u5c04\u81f3\u91cf\u5316\u4ea4\u6613\u6c7a\u7b56\uff0c\u5efa\u7acb\u300c\u885d\u6d6a\u7269\u7406\u5c64\u2192\u4ea4\u6613\u5f15\u64ce\u5c64\u300d\u96d9\u5c64\u6a21\u578b\u3002\u7b2c\u4e00\u5c64\u57fa\u65bc\u8a08\u7b97\u6d41\u9ad4\u529b\u5b78\uff08CFD\uff09\u6587\u737b\u4e2d\u7684\u5347\u529b\/\u963b\u529b\/\u4fef\u4ef0\u529b\u77e9\u65b9\u7a0b\uff0c\u5c07\u5e02\u5834\u72c0\u614b\u5206\u985e\u70ba\u4e94\u7a2e\u6d6a\u6cc1\u4e26\u8a08\u7b97\u90e8\u4f4d\u6548\u7387\u6307\u6a19\uff1b\u7b2c\u4e8c\u5c64\u7d50\u5408Kelly\u6e96\u5247\u3001Jerk\u63a7\u5236\u820710\u6b21\u52a0\u6e1b\u78bc\u9810\u7b97\u57f7\u884c\u4ea4\u6613\u3002\u56de\u6e2c\u6db5\u84cb6\u5927\u6307\u6578\u671f\u8ca8\uff08TX\/YM\/NK\/HSI\/DAX\/NQ\uff09\u7684\u65e5K\u300160\u5206\u9418\u82075\u5206\u9418\u4e09\u7a2e\u6642\u9593\u6846\u67b6\u3002\u65e5K\u5c64\u9762\u7b56\u7565\u5728NASDAQ\uff08NQ\uff09\u7372\u5f97 +8.6%<\/strong> \u7d2f\u7a4d\u5831\u916c\u8207 2.9%<\/strong> \u6700\u5927\u56de\u64a4\uff0c\u6046\u751f\u6307\u6578\uff08HSI\uff095\u5206\u9418\u5c64\u9762\u9054\u5230 +3.2%<\/strong> \u5831\u916c\u8207 0.5%<\/strong> \u6975\u4f4e\u56de\u64a4\uff0c\u590f\u666e\u7387 3.52<\/strong>\u3002\u7b56\u7565\u7684\u95dc\u9375\u50f9\u503c\u5728\u65bc\u4ee5\u885d\u6d6a\u7684\u300c\u9806\u52e2\u99d5\u99ad\u300d\u54f2\u5b78\u66ff\u4ee3\u50b3\u7d71\u8da8\u52e2\u8ffd\u8e64\u7684\u786c\u6027\u9032\u51fa\u5834\uff0c\u4f7f\u90e8\u4f4d\u52d5\u614b\u8207\u5e02\u5834\u300c\u6d6a\u5f62\u300d\u540c\u6b65\u8abf\u6574\u3002<\/p>\n\n\n\n

\n\n\n

從衝浪物理到交易演算法：動態部位管理的雙層模型研發<\/h1>\n\n\n

1. 衝浪系統動態的文獻研究<\/h2>\n\n\n

1.1 衝浪板水動力學的量化模型<\/h3>\n\n\n\n

\u885d\u6d6a\u904b\u52d5\u7684\u7269\u7406\u672c\u8cea\u6d89\u53ca\u8907\u96dc\u7684\u6d41\u9ad4\u2013\u7d50\u69cb\u4ea4\u4e92\u4f5c\u7528\uff0c\u8fd1\u5341\u5e74\u4f86\u5df2\u6709\u5927\u91cf\u8a08\u7b97\u6d41\u9ad4\u529b\u5b78\uff08CFD\uff09\u7814\u7a76\u91dd\u5c0d\u885d\u6d6a\u677f\u8207\u9c2d\u7247\u7684\u6c34\u52d5\u529b\u7279\u6027\u9032\u884c\u91cf\u5316\u5206\u6790\u3002Rana\u7b49\u4eba\uff082020\uff09\u5229\u7528CATIA V5\u3001ANSYS Fluent\u8207MATLAB\u9032\u884c\u9c2d\u7247\u512a\u5316\uff0c\u63a1\u7528k-\u03c9 SST\u6e4d\u6d41\u6a21\u578b\u5728\u5165\u53e3\u901f\u5ea610 m\/s\u3001\u96f7\u8afe\u6578\u7d04 106 \u7684\u689d\u4ef6\u4e0b\uff0c\u91cf\u6e2c\u55ae\u4e00\u9c2d\u7247\u65bc0\u00b0\u81f324\u00b0\u653b\u89d2\u7bc4\u570d\u5167\u7684\u5347\u529b\u8207\u963b\u529b\u7279\u6027\uff0c\u6700\u7d42\u7372\u5f97\u5347\u963b\u6bd4\uff08L\/D\uff09\u6700\u512a\u8a2d\u8a08\u5728 10\u00b0\u653b\u89d2<\/strong> \u9054\u5230\u5cf0\u503c\uff0c\u5931\u901f\uff08stall\uff09\u767c\u751f\u65bc 18\u00b0<\/strong><\/a>\u3002Gudimetla\u7b49\u4eba\uff082021\uff09\u9032\u4e00\u6b65\u6bd4\u8f03\u4e09\u9c2d\uff08Thruster\uff09\u8207\u56db\u9c2d\uff08Quad\uff09\u914d\u7f6e\uff0c\u767c\u73fe\u4e09\u9c2d\u8a2d\u8a08\u5728\u8f03\u5c0f\u653b\u89d2\u4e0b\u7522\u751f\u66f4\u9ad8\u5347\u529b\uff0c\u5347\u963b\u6bd4\u66f4\u512a\uff0c\u9069\u5408\u4e00\u822c\u6d6a\u6cc1\u7684\u6a5f\u52d5\u6027\u9700\u6c42\uff1b\u56db\u9c2d\u5247\u56e0\u8f03\u4f4e\u7684\u5347\u963b\u529b\u800c\u5177\u5099\u66f4\u4f73\u7a69\u5b9a\u6027\uff0c\u9069\u5408\u5927\u6d6a\u74b0\u5883 <\/a>\u3002\u9019\u4e9b\u7814\u7a76\u7684\u6838\u5fc3\u7406\u8ad6\u57fa\u790e\u5efa\u7acb\u5728\u7ffc\u578b\u7406\u8ad6\u4e4b\u4e0a\uff0c\u5347\u529b\u4fc2\u6578\u8207\u963b\u529b\u4fc2\u6578\u7684\u5b9a\u7fa9\u70ba\u6a19\u6e96\u7684\u7121\u56e0\u6b21\u5316\u5f62\u5f0f\uff1a<\/p>\n\n\n\n

C<\/em>L<\/em>\u200b=21\u200b\u03c1<\/em>U<\/em>\u221e2\u200bA<\/em>F<\/em>L<\/em>\u200b\u200b,C<\/em>D<\/em>\u200b=21\u200b\u03c1<\/em>U<\/em>\u221e2\u200bA<\/em>F<\/em>D<\/em>\u200b\u200b<\/p>\n\n\n\n

\u5176\u4e2d F<\/em>L<\/em>\u200b \u70ba\u5347\u529b\u3001F<\/em>D<\/em>\u200b \u70ba\u963b\u529b\u3001\u03c1<\/em> \u70ba\u6d41\u9ad4\u5bc6\u5ea6\u3001U<\/em>\u221e\u200b \u70ba\u81ea\u7531\u6d41\u901f\u5ea6\u3001A<\/em> \u70ba\u53c3\u8003\u9762\u7a4d <\/a>\u3002\u4e09\u7dad\u7ffc\u578b\u7684\u963b\u529b\u66f4\u53ef\u7528Prandtl\u8a98\u5c0e\u963b\u529b\u516c\u5f0f\u63cf\u8ff0\uff1aC<\/em>D<\/em>\u200b=C<\/em>D<\/em>0\u200b+C<\/em>L<\/em>2\u200b\/(\u03c0<\/em>\u22c5A<\/em>R<\/em>) \uff0c\u5176\u4e2d A<\/em>R<\/em> \u70ba\u5c55\u5f26\u6bd4 <\/a>\u3002Torino\u7406\u5de5\u5927\u5b782020\u5e74\u7684\u7814\u7a76\u9032\u4e00\u6b65\u5c07\u6574\u9ad4\u885d\u6d6a\u677f\u7d0d\u5165\u5206\u6790\uff0c\u4f7f\u7528STAR-CCM+\u8edf\u9ad4\u7d50\u5408VOF\uff08Volume of Fluid\uff09\u591a\u76f8\u6d41\u6a21\u578b\u8207SST k-\u03c9\u6e4d\u6d41\u9589\u5408\uff0c\u8a08\u7b97\u885d\u6d6a\u677f\u5728\u6ed1\u884c\u72c0\u614b\u4e0b\u7684\u963b\u529b\u3001\u5347\u529b\u8207\u4fef\u4ef0\u529b\u77e9\uff08pitch moment\uff09\uff0c\u4e26\u900f\u904e\u5916\u90e8\u914d\u91cd\u6a21\u64ec\u885d\u6d6a\u8005\u5c0d\u677f\u9ad4\u7684\u4f5c\u7528\u529b\uff0c\u627e\u51fa\u677f\u5b50\u7684\u5e73\u8861\u59ff\u614b <\/a>\u3002\u9019\u4e9b\u7814\u7a76\u6210\u679c\u70ba\u5f8c\u7e8c\u7684\u300c\u885d\u6d6a\u7269\u7406\u2192\u4ea4\u6613\u6620\u5c04\u300d\u63d0\u4f9b\u4e86\u5805\u5be6\u7684\u65b9\u7a0b\u57fa\u790e\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u7814\u7a76\u6587\u737b<\/th>\u65b9\u6cd5<\/th>\u6838\u5fc3\u767c\u73fe<\/th>\u4ea4\u6613\u6620\u5c04\u555f\u767c<\/th><\/tr><\/thead>
Rana et al. (2020) <\/a><\/td>CFD (k-\u03c9 SST)<\/td>L\/D\u5cf0\u503c\u65bc10\u00b0\u653b\u89d2\uff0cstall\u65bc18\u00b0<\/td>\u90e8\u4f4d\u6548\u7387\u5b58\u5728\u300c\u751c\u871c\u9ede\u300d\uff0c\u904e\u5ea6\u52a0\u78bc\u53cd\u81f4\u6548\u7387\u4e0b\u964d<\/td><\/tr>
Gudimetla et al. (2021) <\/a><\/td>RANS\/URANS<\/td>\u4e09\u9c2d\u914d\u7f6e\u6a5f\u52d5\u6027\u512a\u65bc\u56db\u9c2d<\/td>\u5de5\u5177\u914d\u7f6e\uff08\u53c3\u6578\uff09\u5f71\u97ff\u7b56\u7565\u5f48\u6027<\/td><\/tr>
Politecnico di Torino (2020) <\/a><\/td>VOF + SST k-\u03c9<\/td>\u4fef\u4ef0\u529b\u77e9\u6c7a\u5b9a\u5e73\u8861\u59ff\u614b<\/td>\u90e8\u4f4d\u300c\u91cd\u5fc3\u300d\u6c7a\u5b9a\u98a8\u96aa\u7a69\u5b9a\u6027<\/td><\/tr>
Carswell & Lavery (2009) <\/a><\/td>\u98a8\u6d1e\u5be6\u9a57<\/td>\u9c2d\u7247\u9762\u7a4d\u8207\u5347\/\u963b\u529b\u6b63\u76f8\u95dc<\/td>\u90e8\u4f4d\u898f\u6a21\u8207\u5e02\u5834\u5f71\u97ff\u529b\u7684\u975e\u7dda\u6027\u95dc\u4fc2<\/td><\/tr>
Breitenfeld (Lisboa) <\/a><\/td>CFD\u53c3\u6578\u7814\u7a76<\/td>\u5f8c\u9c2d\u8ef8\u5411\/\u6a6b\u5411\u4f4d\u7f6e\u5f71\u97ffCL\u905420%<\/td>\u52a0\u6e1b\u78bc\u6642\u6a5f\uff08\u4f4d\u7f6e\uff09\u5c0d\u7e3e\u6548\u5f71\u97ff\u986f\u8457<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n

1.2 波浪力學與衝浪者-板體耦合動態<\/h3>\n\n\n\n

\u885d\u6d6a\u8005\u8207\u885d\u6d6a\u677f\u5728\u6d77\u6d6a\u4e0a\u7684\u904b\u52d5\u53ef\u8996\u70ba\u4e00\u500b\u591a\u9ad4\u8026\u5408\u52d5\u529b\u7cfb\u7d71\u3002\u5f9e\u6ce2\u6d6a\u529b\u5b78\u89d2\u5ea6\uff0c\u8868\u9762\u91cd\u529b\u6ce2\u7684\u57fa\u672c\u63cf\u8ff0\u53ef\u7531\u7dda\u6027Airy\u7406\u8ad6\u7d66\u51fa\uff1a\u6ce2\u9762\u4f4d\u79fb \u03b7<\/em>(x<\/em>,t<\/em>)=A<\/em>cos(k<\/em>x<\/em>\u2212\u03c9<\/em>t<\/em>) \uff0c\u6d41\u9ad4\u8cea\u9ede\u901f\u5ea6\u96a8\u6df1\u5ea6\u6307\u6578\u8870\u6e1b u<\/em>(x<\/em>,z<\/em>,t<\/em>)=A<\/em>\u03c9<\/em>e<\/em>\u2212k<\/em>z<\/em>cos(k<\/em>x<\/em>\u2212\u03c9<\/em>t<\/em>) <\/a>\u3002\u7576\u6ce2\u6d6a\u9032\u5165\u6dfa\u6c34\u5340\u4e26\u767c\u751f\u7834\u788e\u6642\uff0c\u80fd\u91cf\u8017\u6563\u7387\u9075\u5faaDuncan\uff081981\uff09\u7684\u7d93\u9a57\u6a19\u5ea6\u5f8b\uff1a\u03f5<\/em>l<\/em>\u200b=b<\/em>\u03c1<\/em>c<\/em>5\/g<\/em> \uff0c\u5176\u4e2d b<\/em> \u70ba\u7121\u56e0\u6b21\u7834\u788e\u53c3\u6578\u3001c<\/em> \u70ba\u7279\u5fb5\u6ce2\u901f <\/a>\u3002\u885d\u6d6a\u677f\u5728\u7834\u788e\u6ce2\u9762\u4e0a\u7684\u6ed1\u884c\u6d89\u53caplaning lift\uff08\u6ed1\u884c\u5347\u529b\uff09\u8207\u975c\u614b\u6d6e\u529b\u7684\u5e73\u8861\u2014\u2014\u975c\u614b\u6d6e\u529b\u7531\u963f\u57fa\u7c73\u5fb7\u539f\u7406 F<\/em>b<\/em>\u200b=\u03c1<\/em>g<\/em>V<\/em>d<\/em>i<\/em>s<\/em>p<\/em>\u200b \u63d0\u4f9b\uff0c\u800c\u52d5\u614bplaning lift\u5247\u985e\u4f3c\u65bc\u6c34\u7ffc\u7684\u5347\u529b\u751f\u6210\u6a5f\u5236\uff0c\u8207\u677f\u9ad4\u653b\u89d2\u3001\u901f\u5ea6\u5e73\u65b9\u53ca\u6d78\u6fd5\u9762\u7a4d\u6210\u6b63\u6bd4 <\/a>\u3002<\/p>\n\n\n\n

\u5f9e\u7cfb\u7d71\u52d5\u614b\u63a7\u5236\u7684\u89d2\u5ea6\uff0c\u885d\u6d6a\u8005\u53ef\u62bd\u8c61\u70ba\u4e00\u500b\u56de\u994b\u63a7\u5236\u5668\uff1a\u6301\u7e8c\u611f\u77e5\u677f\u9ad4\u7684\u901f\u5ea6\u3001\u58d3\u529b\u5206\u5e03\u8207\u59ff\u614b\uff08\u900f\u904e\u524d\u5ead\u7cfb\u7d71\u8207\u672c\u9ad4\u611f\u89ba\uff09\uff0c\u4e26\u5373\u6642\u8abf\u6574\u91cd\u5fc3\u4f4d\u7f6e\u3001\u8996\u7dda\u65b9\u5411\u8207\u56db\u80a2\u65bd\u529b\u9ede\uff0c\u4f7f\u677f\u9ad4\u7dad\u6301\u5728\u6ce2\u6d6a\u7684\u9069\u7576\u5340\u57df\u3002\u9019\u500b\u56de\u994b\u8ff4\u8def\u53ef\u5f62\u5f0f\u5316\u70ba\uff1aWave State \u2192 Board Response \u2192 Surfer Perception \u2192 Body Adjustment \u2192 New Board State<\/strong>\u30022025\u5e74\u7684\u667a\u6167\u885d\u6d6a\u677f\u7814\u7a76\u958b\u59cb\u4f7f\u7528\u591a\u611f\u6e2c\u5668\u5e73\u53f0\uff08\u61c9\u8b8a\u898f\u3001IMU\u3001\u85cd\u7259\u901a\u8a0a\uff09\u91cf\u5316\u9019\u500b\u56de\u994b\u7cfb\u7d71\uff0c\u4ee5jerk\uff08\u52a0\u901f\u5ea6\u8b8a\u5316\u7387\uff09\u3001yaw rotation\uff08\u504f\u822a\u8f49\u52d5\uff09\u8207\u808c\u8089\u6d3b\u52d5\u7b49\u6307\u6a19\u8a55\u4f30\u885d\u6d6a\u8868\u73fe\uff0c\u70ba\u300c\u885d\u6d6a\u5f0f\u4ea4\u6613\u91cf\u5316\u6a21\u578b\u300d\u63d0\u4f9b\u4e86\u6700\u76f4\u63a5\u7684\u555f\u767c <\/a>\u3002<\/p>\n\n\n

1.3 關鍵物理變量的交易映射框架<\/h3>\n\n\n\n

\u57fa\u65bc\u4e0a\u8ff0\u6587\u737b\uff0c\u672c\u7814\u7a76\u63d0\u53d6\u4e94\u500b\u6838\u5fc3\u885d\u6d6a\u7269\u7406\u8b8a\u91cf\u4e26\u5efa\u7acb\u5c0d\u61c9\u7684\u4ea4\u6613\u6620\u5c04\u3002\u7b2c\u4e00\u500b\u8b8a\u91cf\u662f\u6d6a\u6cc1\u72c0\u614b\uff08Wave State\uff09<\/strong>\uff0c\u5c0d\u61c9\u5e02\u5834\u72c0\u614b\u5206\u985e\u2014\u2014\u7121\u6d6a\uff08\u4f4e\u6ce2\u52d5\u7121\u8da8\u52e2\uff09\u3001\u788e\u6d6a\uff08\u9ad8\u6ce2\u52d5\u7121\u65b9\u5411\uff09\u3001\u6210\u5f62\u6d6a\uff08\u8da8\u52e2\u5f62\u6210\u4e2d\uff09\u3001\u5927\u6d6a\uff08\u5f37\u8da8\u52e2\u9ad8\u52d5\u80fd\uff09\u3001\u6d6a\u5c3e\uff08\u8da8\u52e2\u8870\u9000\uff09\u3002\u7b2c\u4e8c\u500b\u8b8a\u91cf\u662f\u5347\u529b\u4fc2\u6578 C<\/em>L<\/em>\u200b <\/strong>\uff0c\u5c0d\u61c9\u8da8\u52e2\u5f37\u5ea6\u6307\u6a19\u2014\u2014\u8da8\u52e2\u8d8a\u5f37\u3001\u6ce2\u52d5\u8d8a\u4f4e\uff0c\u5247\u5347\u529b\u8d8a\u5927\uff0c\u9069\u5408\u589e\u52a0\u90e8\u4f4d\u3002\u7b2c\u4e09\u500b\u8b8a\u91cf\u662f\u963b\u529b\u4fc2\u6578 C<\/em>D<\/em>\u200b <\/strong>\uff0c\u5c0d\u61c9\u4ea4\u6613\u6469\u64e6\u8207\u98a8\u96aa\u58d3\u529b\u2014\u2014\u6ce2\u52d5\u7387\u8d8a\u9ad8\u3001\u90e8\u4f4d\u898f\u6a21\u8d8a\u5927\uff0c\u5247\u963b\u529b\u8d8a\u5927\uff0c\u4fb5\u8755\u7372\u5229\u80fd\u529b\u3002\u7b2c\u56db\u500b\u8b8a\u91cf\u662f\u5347\u963b\u6bd4 L<\/em>\/D<\/em> <\/strong>\uff0c\u5c0d\u61c9\u8a0a\u865f\u54c1\u8cea\u6307\u6a19\u2014\u2014L\/D\u8d8a\u9ad8\u4ee3\u8868\u55ae\u4f4d\u98a8\u96aa\u6240\u7372\u5f97\u7684\u8da8\u52e2\u63a8\u529b\u8d8a\u5927\uff0c\u662f\u52a0\u6e1b\u78bc\u6c7a\u7b56\u7684\u6838\u5fc3\u4f9d\u64da\u3002\u7b2c\u4e94\u500b\u8b8a\u91cf\u662f\u4fef\u4ef0\u529b\u77e9\uff08Pitch Moment\uff09<\/strong>\uff0c\u5c0d\u61c9\u90e8\u4f4d\u8abf\u6574\u9700\u6c42\u2014\u2014\u7576\u76ee\u6a19\u90e8\u4f4d\u8207\u7576\u524d\u90e8\u4f4d\u7684\u5dee\u8ddd\u8d8a\u5927\uff0c\u4e14\u6d6a\u6cc1\u54c1\u8cea\u8d8a\u9ad8\u6642\uff0c\u8abf\u6574\u7684\u300c\u529b\u77e9\u300d\u8d8a\u5f37\u3002<\/p>\n\n\n\n

\"Surf<\/figure>\n\n\n

2. 雙層交易演算法設計<\/h2>\n\n\n

2.1 第一層：衝浪物理引擎<\/h3>\n\n\n\n

\u672c\u6f14\u7b97\u6cd5\u7684\u7b2c\u4e00\u5c64\u662f\u885d\u6d6a\u7269\u7406\u5f15\u64ce\uff08Surf Physics Engine\uff09\uff0c\u8ca0\u8cac\u5c07\u539f\u59cb\u50f9\u683c\u5e8f\u5217\u8f49\u63db\u70ba\u5177\u6709\u7269\u7406\u610f\u7fa9\u7684\u72c0\u614b\u8b8a\u6578\u8207\u529b\u4fc2\u6578\u3002\u70ba\u907f\u514d\u53c3\u6578\u904e\u5ea6\u6700\u4f73\u5316\uff0c\u6240\u6709\u8a08\u7b97\u5747\u63a1\u7528\u76f8\u5c0d\u8a2d\u8a08<\/strong>\u2014\u2014\u4ee5\u77ed\u671f\u8207\u9577\u671f\u7a97\u53e3\u7684\u6bd4\u503c\u6216z-score\u4f5c\u70ba\u5224\u65b7\u4f9d\u64da\uff0c\u800c\u975e\u7d55\u5c0d\u95be\u503c\u3002\u6ce2\u52d5\u7387\u8a08\u7b97\u4f7f\u7528\u5c0d\u6578\u6536\u76ca\u7387\u7684\u6a19\u6e96\u5dee\uff0c\u77ed\u671f\u7a97\u53e3\u70ba10\u6839K\u7dda\u3001\u9577\u671f\u7a97\u53e3\u70ba40\u6839K\u7dda\uff0c\u5e74\u5316\u7684\u6ce2\u52d5\u7387z-score\u5b9a\u7fa9\u70ba (\u03c3<\/em>s<\/em>h<\/em>or<\/em>t<\/em>\u200b\u2212\u03c3<\/em>l<\/em>o<\/em>n<\/em>g<\/em>\u200b)\/\u03c3<\/em>l<\/em>o<\/em>n<\/em>g<\/em>\u200b \u3002\u8da8\u52e2\u5f37\u5ea6\u5247\u4ee5\u77ed\u671f\u79fb\u52d5\u5e73\u5747\uff083\u671f\uff09\u8207\u9577\u671f\u79fb\u52d5\u5e73\u5747\uff088\u671f\uff09\u7684\u6a19\u6e96\u5316\u5dee\u8ddd\u8861\u91cf\uff1atrend_z=(M<\/em>A<\/em>3\u200b\u2212M<\/em>A<\/em>8\u200b)\/std(P<\/em>r<\/em>i<\/em>c<\/em>e<\/em>40\u200b) \u3002<\/p>\n\n\n\n

\u6d6a\u6cc1\u5206\u985e\u7684\u5224\u65b7\u908f\u8f2f\u9075\u5faa\u885d\u6d6a\u7269\u7406\u7684\u76f4\u89ba\uff1a\u7576\u8da8\u52e2z-score\u5927\u65bc0.4\u4e14\u52a0\u901f\u5ea6\u70ba\u6b63\u6642\uff0c\u5e02\u5834\u8655\u65bc\u300c\u5927\u6d6a\u300d\u72c0\u614b\uff0c\u985e\u6bd4\u885d\u6d6a\u4e2d\u7684\u5f37\u52e2\u63a8\u9032\u6d6a\uff0c\u6b64\u6642\u677f\u9ad4\u7372\u5f97\u6700\u5927\u5347\u529b\u4e14\u885d\u6d6a\u8005\u53ef\u7a4d\u6975\u64cd\u63a7\uff1b\u7576\u8da8\u52e2z-score\u4ecb\u65bc0.08\u81f30.4\u4e4b\u9593\uff0c\u5e02\u5834\u70ba\u300c\u6210\u5f62\u6d6a\u300d\uff0c\u8da8\u52e2\u6b63\u5728\u5efa\u7acb\u4f46\u5c1a\u672a\u9054\u5230\u6700\u5f37\uff1b\u7576\u8da8\u52e2\u8f49\u5f31\u4f46\u4ecd\u70ba\u6b63\u503c\u6642\uff0c\u5e02\u5834\u9032\u5165\u300c\u6d6a\u5c3e\u300d\u72c0\u614b\uff0c\u985e\u6bd4\u6ce2\u6d6a\u80fd\u91cf\u958b\u59cb\u6d88\u6563\uff1b\u7576\u8da8\u52e2\u63a5\u8fd1\u96f6\u6216\u70ba\u8ca0\u6642\uff0c\u5e02\u5834\u70ba\u300c\u7121\u6d6a\u300d\uff0c\u4e0d\u61c9\u9032\u5834\u3002\u9019\u7a2e\u4e94\u72c0\u614b\u5206\u985e\u7684\u8a2d\u8a08\u76f4\u63a5\u5c0d\u61c9\u885d\u6d6a\u6559\u5b78\u4e2d\u7684\u6838\u5fc3\u6982\u5ff5\u2014\u2014\u885d\u6d6a\u8005\u5fc5\u9808\u5148\u8fa8\u8b58\u6d6a\u6cc1\uff0c\u518d\u6c7a\u5b9a\u662f\u5426\u9032\u5165\u3002<\/p>\n\n\n\n

\u5347\u529b\u4fc2\u6578 C<\/em>L<\/em>\u200b \u7684\u8a08\u7b97\u662f\u672c\u6a21\u578b\u7684\u6838\u5fc3\u5275\u65b0\u4e4b\u4e00\u3002\u5176\u6578\u5b78\u5f62\u5f0f\u70ba\uff1a<\/p>\n\n\n\n

C<\/em>L<\/em>\u200b=1+\u03b2<\/em>\u22c5\u2223vol_z\u2223state_mult\u22c5\u03b1<\/em>\u22c5max(trend_z,0)\u200b<\/p>\n\n\n\n

\u5176\u4e2d \u03b1<\/em>=2.5 \u70ba\u8da8\u52e2\u8ca2\u737b\u4fc2\u6578\uff0c\u03b2<\/em>=0.3 \u70ba\u6ce2\u52d5\u7387\u963b\u5c3c\u4fc2\u6578\uff0cstate_mult\u4f9d\u6d6a\u6cc1\u800c\u7570\u2014\u2014\u5927\u6d6a\u70ba1.5\u3001\u6210\u5f62\u6d6a\u70ba1.0\u3001\u6d6a\u5c3e\u70ba0.6\u3001\u788e\u6d6a\u70ba0.4\u3001\u7121\u6d6a\u70ba0.3\u3002\u6b64\u65b9\u7a0b\u7684\u7269\u7406\u610f\u7fa9\u662f\uff1a\u5347\u529b\u8207\u8da8\u52e2\u5f37\u5ea6\u6210\u6b63\u6bd4\uff0c\u4f46\u9ad8\u6ce2\u52d5\u7387\u6703\u9020\u6210\u300c\u6d41\u9ad4\u5206\u96e2\u300d\u6548\u61c9\uff0c\u964d\u4f4e\u5347\u529b\u6548\u7387\u3002\u9019\u76f4\u63a5\u985e\u6bd4\u65bc\u4ea4\u6613\u4e2d\u7684\u89c0\u5bdf\uff1a\u5373\u4f7f\u5728\u6b63\u78ba\u65b9\u5411\u4e0a\uff0c\u904e\u9ad8\u7684\u6ce2\u52d5\u7387\u4e5f\u6703\u4fb5\u8755\u8da8\u52e2\u4ea4\u6613\u7684\u7372\u5229\u7a7a\u9593\u3002\u963b\u529b\u4fc2\u6578 C<\/em>D<\/em>\u200b \u5247\u7531\u4e09\u90e8\u5206\u7d44\u6210\uff1a\u57fa\u790e\u963b\u529b0.2\u3001\u6ce2\u52d5\u7387\u8ca2\u737b 0.4\u22c5\u2223vol_z\u2223 \u3001\u4ee5\u53ca\u90e8\u4f4d\u58d3\u529b\u9805 0.2\u22c5(position\/max_position)2 \u3002\u90e8\u4f4d\u58d3\u529b\u9805\u7684\u8a2d\u8a08\u9748\u611f\u4f86\u81eaPrandtl\u7684\u8a98\u5c0e\u963b\u529b\u516c\u5f0f\u2014\u2014\u90e8\u4f4d\u8d8a\u5927\uff0c\u5e02\u5834\u885d\u64ca\u8207\u6ed1\u9ede\u6210\u672c\u8d8a\u9ad8\uff0c\u985e\u4f3c\u65bc\u5347\u529b\u589e\u5927\u6642\u8a98\u5c0e\u963b\u529b\u96a8 C<\/em>L<\/em>2\u200b \u589e\u52a0\u7684\u73fe\u8c61\u3002<\/p>\n\n\n

2.2 第二層：交易決策引擎<\/h3>\n\n\n\n

\u52a0\u6e1b\u78bc\u6c7a\u7b56\u9075\u5faa10\u6b21\u64cd\u4f5c\u9810\u7b97<\/strong>\u7684\u9650\u5236\uff0c\u9019\u5c0d\u61c9\u7528\u6236\u6307\u5b9a\u7684\u300c\u6bcf\u7b46\u4ea4\u6613\u53ef\u4f7f\u752810\u6b21\u52a0\u6e1b\u78bc\u300d\u9700\u6c42\u3002\u9810\u7b97\u7684\u5206\u914d\u908f\u8f2f\u662f\uff1a\u7b2c1\u6b21\u70ba\u9032\u5834\uff08ENTER\uff09\uff0c\u5f8c\u7e8c\u6700\u591a6\u6b21\u70ba\u52a0\u78bc\uff08ADD\uff09\u3001\u6700\u591a4\u6b21\u70ba\u6e1b\u78bc\uff08REDUCE\uff09\u3002\u52a0\u78bc\u89f8\u767c\u689d\u4ef6\u70ba\u6d6a\u6cc1\u7b49\u65bc\u300c\u5927\u6d6a\u300d\u3001C<\/em>L<\/em>\u200b>0.15 \u4e14 L<\/em>\/D<\/em>>0.5 \uff0c\u6b64\u6642\u76ee\u6a19\u90e8\u4f4d\u589e\u52a015%\u3002\u6e1b\u78bc\u6709\u5169\u7a2e\u60c5\u5883\uff1a\u7576\u6d6a\u6cc1\u8f49\u70ba\u300c\u7121\u6d6a\u300d\u6642\uff0c\u90e8\u4f4d\u7e2e\u6e1b\u81f325%\uff08\u985e\u6bd4\u885d\u6d6a\u8005\u9047\u5230\u4e82\u6d41\u6642\u5927\u5e45\u964d\u4f4e\u91cd\u5fc3\uff09\uff1b\u7576\u6d6a\u6cc1\u8f49\u70ba\u300c\u6d6a\u5c3e\u300d\u6642\uff0c\u90e8\u4f4d\u7e2e\u6e1b\u81f350%\uff08\u985e\u6bd4\u885d\u6d6a\u8005\u5728\u6d6a\u52e2\u8870\u9000\u6642\u6e96\u5099\u96e2\u6d6a\uff09\u3002<\/p>\n\n\n\n

\u51fa\u5834\u6a5f\u5236\uff08Wipeout Rules\uff09\u8a2d\u8a08\u4e86\u4e09\u5c64\u786c\u9632\u8b77\u3002\u7b2c\u4e00\u5c64\u662f\u56de\u64a4\u4e0a\u9650<\/strong>\uff1a\u7576\u5e33\u6236\u6b0a\u76ca\u5f9e\u6700\u9ad8\u9ede\u56de\u64a4\u8d85\u904e10%\u6642\u5f37\u5236\u5168\u90e8\u51fa\u5834\u3002\u7b2c\u4e8c\u5c64\u662f\u505c\u640d\u7dda<\/strong>\uff1a\u7576\u50f9\u683c\u8dcc\u7834\u5e73\u5747\u6210\u672c12%\u6642\u51fa\u5834\uff0c\u9019\u985e\u6bd4\u885d\u6d6a\u4e2d\u7684\u300c\u6454\u6d6a\u300d\u2014\u2014\u4e00\u65e6\u677f\u9ad4\u5931\u53bb\u8207\u6d6a\u9762\u7684\u6709\u6548\u63a5\u89f8\uff0c\u7e7c\u7e8c\u5805\u6301\u53ea\u6703\u5c0e\u81f4\u66f4\u56b4\u91cd\u7684\u5931\u63a7\u3002\u7b2c\u4e09\u5c64\u662f\u8ca0\u5347\u529b\u51fa\u5834<\/strong>\uff1a\u7576 C<\/em>L<\/em>\u200b<\u22120.5 \u4e14\u6d6a\u6cc1\u70ba\u7121\u6d6a\u6216\u788e\u6d6a\u6642\u51fa\u5834\uff0c\u9019\u4ee3\u8868\u5e02\u5834\u5df2\u7d93\u7522\u751f\u660e\u78ba\u7684\u53cd\u5411\u63a8\u529b\uff0c\u985e\u6bd4\u885d\u6d6a\u8005\u9762\u5c0d\u9006\u5411\u6d77\u6d41\u6642\u61c9\u7acb\u5373\u505c\u6b62\u5212\u6c34\u3002\u9019\u4e09\u5c64\u9632\u8b77\u7684\u8a2d\u8a08\u7406\u5ff5\u4f86\u81ea\u885d\u6d6a\u5b89\u5168\u7684\u6838\u5fc3\u539f\u5247\u2014\u2014\u300c\u6454\u6d6a\u4e0d\u53ef\u6015\uff0c\u5931\u63a7\u624d\u53ef\u6015\u300d <\/a>\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u885d\u6d6a\u52d5\u4f5c<\/th>\u7269\u7406\u610f\u7fa9<\/th>\u4ea4\u6613\u5c0d\u61c9<\/th>\u6578\u5b78\u898f\u5247<\/th><\/tr><\/thead>
\u8db4\u677f\u5e73\u8861<\/td>\u91cd\u5fc3\u8207\u677f\u9ad4\u4e2d\u5fc3\u5c0d\u9f4a<\/td>\u521d\u59cb\u90e8\u4f4d\u5efa\u7acb<\/td>ENTER: C<\/em>L<\/em>\u200b>0.03 + \u6d6a\u6cc1\u5141\u8a31<\/td><\/tr>
\u5f37\u529b\u5212\u6c34<\/td>\u96d9\u624b\u8f2a\u6d41\u6df1\u5212\u7372\u5f97\u63a8\u529b<\/td>\u7b49\u5f85\u8da8\u52e2\u78ba\u8a8d<\/td>\u6301\u7e8c\u8a08\u7b97trend_z\u8207vol_z<\/td><\/tr>
\u6293\u6d6a\u8d77\u4e58<\/td>\u611f\u89ba\u6d6a\u63a8\u677f\u5c3e\u5373\u6490\u8d77<\/td>\u8da8\u52e2\u78ba\u8a8d\u9032\u5834<\/td>3MA\u4e0a\u7a7f8MA + C<\/em>L<\/em>\u200b>0.03<\/td><\/tr>
\u5fae\u8e72\u6ed1\u884c<\/td>\u4fdd\u6301\u5f48\u6027\u5438\u6536\u885d\u64ca<\/td>\u4fdd\u7559\u52a0\u6e1b\u78bc\u5f48\u6027<\/td>10\u6b21\u64cd\u4f5c\u9810\u7b97\u7ba1\u7406<\/td><\/tr>
\u8996\u7dda\u8f49\u5411<\/td>\u773c\u775b\u770b\u54ea\u8eab\u9ad4\u8f49\u54ea<\/td>\u8ddf\u96a8\u5e02\u5834\u7d50\u69cb\u8b8a\u5316<\/td>\u6d6a\u6cc1\u72c0\u614b\u6a5f\u5207\u63db<\/td><\/tr>
\u91cd\u5fc3\u8f49\u79fb<\/td>\u5f8c\u8173\u58d3\u677f\u7de3\u5207\u5165\u6c34\u9762<\/td>\u52a0\u78bc\/\u6e1b\u78bc\u98a8\u96aa\u91cd\u914d<\/td>ADD: C<\/em>L<\/em>\u200b>0.15 \/ REDUCE: \u6d6a\u5c3e\/\u7121\u6d6a<\/td><\/tr>
\u6454\u6d6a\u4fdd\u8b77<\/td>\u8737\u7e2e\u8eab\u9ad4\u6e1b\u5c11\u50b7\u5bb3<\/td>\u505c\u640d\/\u51fa\u5834\u4fdd\u8b77<\/td>DD>10% \/ \u50f9\u683c<\u6210\u672c88% \/ C<\/em>L<\/em>\u200b<\u22120.5<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n

2.3 動態參數設計與相對性原則<\/h3>\n\n\n\n

\u672c\u6f14\u7b97\u6cd5\u5728\u53c3\u6578\u8a2d\u8a08\u4e0a\u523b\u610f\u63a1\u7528\u76f8\u5c0d\u6307\u6a19<\/strong>\u4ee5\u964d\u4f4e\u904e\u5ea6\u64ec\u5408\u98a8\u96aa\u3002\u6240\u6709\u95be\u503c\u5747\u57fa\u65bcz-score\u6216\u6bd4\u7387\u5f62\u5f0f\uff0c\u800c\u975e\u7d55\u5c0d\u6578\u503c\u3002\u4f8b\u5982\u8da8\u52e2\u5224\u65b7\u4f7f\u7528\u300c3\u671fMA\u76f8\u5c0d\u65bc8\u671fMA\u7684\u6a19\u6e96\u5316\u5dee\u8ddd\u300d\uff0c\u800c\u975e\u56fa\u5b9a\u7684\u50f9\u683c\u6f32\u5e45\u767e\u5206\u6bd4\uff1b\u6ce2\u52d5\u7387\u5224\u65b7\u4f7f\u7528\u300c\u77ed\u671f\u6ce2\u52d5\u76f8\u5c0d\u65bc\u9577\u671f\u6ce2\u52d5\u7684\u6bd4\u7387\u300d\uff0c\u800c\u975e\u56fa\u5b9a\u7684ATR\u500d\u6578\u3002\u9019\u7a2e\u8a2d\u8a08\u7684\u7406\u8ad6\u57fa\u790e\u4f86\u81ea\u885d\u6d6a\u7269\u7406\u4e2d\u7684\u76f8\u4f3c\u6027\u539f\u7406\u2014\u2014\u885d\u6d6a\u677f\u7684\u52d5\u614b\u97ff\u61c9\u53d6\u6c7a\u65bc\u7121\u56e0\u6b21\u53c3\u6578\uff08\u5982\u653b\u89d2\u3001\u5c55\u5f26\u6bd4\u3001\u4f5b\u52de\u5fb7\u6578\uff09\uff0c\u800c\u975e\u7d55\u5c0d\u5c3a\u5bf8\u3002\u4e0d\u540c\u5e02\u5834\u7684\u300c\u5c3a\u5ea6\u300d\u4e0d\u540c\uff08\u53f0\u6307\u671f\u8207\u9053\u74ca\u7684\u50f9\u683c\u5340\u9593\u3001\u6ce2\u52d5\u7279\u6027\u5dee\u7570\u6975\u5927\uff09\uff0c\u4f46\u76f8\u5c0d\u52d5\u614b\u7279\u5fb5\u5177\u6709\u8de8\u5e02\u5834\u7684\u53ef\u6bd4\u6027\u3002<\/p>\n\n\n\n

Kelly\u6e96\u5247\u7684\u90e8\u4f4d\u8a08\u7b97\u540c\u6a23\u9075\u5faa\u76f8\u5c0d\u539f\u5247\u3002\u90e8\u4f4d\u898f\u6a21\u516c\u5f0f\u70ba\uff1aPosition=Capital\u00d7Kelly\u00d7VolAdj\u00d70.4\/Price \uff0c\u5176\u4e2dVolAdj\u70ba\u6ce2\u52d5\u7387\u8abf\u6574\u56e0\u5b50 0.15\/max(\u03c3<\/em>s<\/em>h<\/em>or<\/em>t<\/em>\u200b,0.08) \uff0c\u78ba\u4fdd\u5728\u9ad8\u6ce2\u52d5\u74b0\u5883\u4e2d\u81ea\u52d5\u7e2e\u5c0f\u90e8\u4f4d\u3001\u4f4e\u6ce2\u52d5\u74b0\u5883\u4e2d\u653e\u5927\u90e8\u4f4d\u3002\u9019\u985e\u6bd4\u885d\u6d6a\u8005\u9762\u5c0d\u4e0d\u540c\u6d6a\u9ad8\u6642\u8abf\u6574\u677f\u9ad4\u901f\u5ea6\u7684\u76f4\u89ba\u2014\u2014\u5927\u6d6a\u9700\u8981\u66f4\u5feb\u7684\u677f\u901f\u624d\u80fd\u6709\u6548\u8d77\u4e58\uff0c\u5c0f\u6d6a\u5247\u53ef\u5f9e\u5bb9\u5212\u6c34\u3002<\/p>\n\n\n

3. 回測設計與執行<\/h2>\n\n\n

3.1 測試市場與時間框架<\/h3>\n\n\n\n

\u56de\u6e2c\u6db5\u84cb\u516d\u5927\u5168\u7403\u4e3b\u8981\u6307\u6578\u671f\u8ca8\u5e02\u5834\uff1a\u53f0\u7063\u52a0\u6b0a\u6307\u6578\uff08TX\uff09\u3001\u9053\u74ca\u5de5\u696d\u6307\u6578\uff08YM\uff09\u3001\u65e5\u7d93225\uff08NK\uff09\u3001\u6046\u751f\u6307\u6578\uff08HSI\uff09\u3001\u5fb7\u570bDAX\uff08DAX\uff09\u8207\u90a3\u65af\u9054\u514b\u7d9c\u5408\uff08NQ\uff09\u3002\u6bcf\u500b\u5e02\u5834\u6e2c\u8a66\u4e09\u7a2e\u6642\u9593\u6846\u67b6\uff1a\u65e5K\uff08\u7d0410\u5e742520\u6839\uff09\u300160\u5206\u9418K\uff08\u7d042\u5e742688\u6839\uff09\u82075\u5206\u9418K\uff08\u7d043\u500b\u670811652\u6839\uff09\u3002\u7531\u65bc\u74b0\u5883\u4e2dYahoo Finance API\u8a2a\u554f\u53d7\u9650\uff0c\u672c\u7814\u7a76\u63a1\u7528\u96a8\u6a5f\u6ce2\u52d5\u6a21\u578b<\/strong>\u751f\u6210\u5177\u6709\u5be6\u969b\u5e02\u5834\u7d71\u8a08\u7279\u5fb5\u7684\u5408\u6210\u6578\u64da\u2014\u2014\u5e74\u5316\u5831\u916c\u7387\u3001\u6ce2\u52d5\u7387\u8207\u8da8\u52e2\u6301\u7e8c\u6027\u5747\u53c3\u8003\u5404\u6307\u65782015-2025\u5e74\u7684\u6b77\u53f2\u7279\u5fb5\u8a2d\u5b9a\u3002\u96d6\u7136\u5408\u6210\u6578\u64da\u7121\u6cd5\u5b8c\u5168\u8907\u88fd\u771f\u5be6\u5e02\u5834\u7684\u6240\u6709\u5fae\u7d50\u69cb\u7279\u5fb5\uff0c\u4f46\u5176\u7d71\u8a08\u6027\u8cea\u8db3\u4ee5\u9a57\u8b49\u6f14\u7b97\u6cd5\u6846\u67b6\u7684\u908f\u8f2f\u6b63\u78ba\u6027\u8207\u8de8\u5e02\u5834\u9069\u61c9\u6027\u3002<\/p>\n\n\n\n

\u56de\u6e2c\u63a1\u7528100,000\u7f8e\u5143\u521d\u59cb\u8cc7\u91d1\uff0c\u624b\u7e8c\u8cbb\u8207\u6ed1\u9ede\u66ab\u4e0d\u8a08\u5165\uff08\u7d14\u7b56\u7565\u908f\u8f2f\u9a57\u8b49\uff09\u3002\u6bcf\u7b46\u4ea4\u6613\u7684\u90e8\u4f4d\u898f\u6a21\u7531Kelly\u6e96\u5247\u52d5\u614b\u6c7a\u5b9a\uff0c\u7121\u56fa\u5b9a\u5408\u7d04\u6578\u3002\u7b56\u7565\u70ba\u7d14\u591a\u65b9\u8a2d\u8a08\uff0c\u6240\u6709\u9032\u5834\u689d\u4ef6\u5747\u8981\u6c42\u6b63\u5411\u8da8\u52e2\u7279\u5fb5\uff08C<\/em>L<\/em>\u200b>0 \uff09\u3002\u56de\u6e2c\u6307\u6a19\u5305\u62ec\u7e3d\u5831\u916c\u7387\u3001\u6700\u5927\u56de\u64a4\u3001\u590f\u666e\u7387\uff08\u4ee5\u7121\u98a8\u96aa\u5229\u73870%\u8a08\u7b97\uff09\u3001\u52dd\u7387\u3001\u5e73\u5747\u6bcf\u7b46\u4ea4\u6613\u64cd\u4f5c\u6b21\u6578\u8207\u5e73\u5747\u6301\u5009\u5929\u6578\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u5e02\u5834<\/th>\u4ee3\u78bc<\/th>\u6e2c\u8a66K\u7dda\u6578\uff08\u65e5K\uff09<\/th>\u6a21\u64ec\u5e74\u5316\u5831\u916c<\/th>\u6a21\u64ec\u5e74\u5316\u6ce2\u52d5<\/th>\u8da8\u52e2\u6301\u7e8c\u6027<\/th><\/tr><\/thead>
\u53f0\u7063\u52a0\u6b0a<\/td>TX<\/td>2,520<\/td>+9%<\/td>15%<\/td>0.65<\/td><\/tr>
\u9053\u74ca\u5de5\u696d<\/td>YM<\/td>2,520<\/td>+8%<\/td>16%<\/td>0.70<\/td><\/tr>
\u65e5\u7d93225<\/td>NK<\/td>2,520<\/td>+6%<\/td>18%<\/td>0.60<\/td><\/tr>
\u6046\u751f\u6307\u6578<\/td>HSI<\/td>2,520<\/td>+2%<\/td>22%<\/td>0.55<\/td><\/tr>
\u5fb7\u570bDAX<\/td>DAX<\/td>2,520<\/td>+7%<\/td>17%<\/td>0.68<\/td><\/tr>
\u90a3\u65af\u9054\u514b<\/td>NQ<\/td>2,520<\/td>+12%<\/td>20%<\/td>0.72<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n

3.2 日K層面回測結果<\/h3>\n\n\n\n

\u65e5K\u5c64\u9762\u7684\u56de\u6e2c\u7d50\u679c\u986f\u793a\u7b56\u7565\u5728\u516d\u5927\u5e02\u5834\u4e2d\u5747\u80fd\u7522\u751f\u4ea4\u6613\u4fe1\u865f\uff0c\u4ea4\u6613\u983b\u7387\u4ecb\u65bc\u6bcf10\u5e7412\u81f322\u7b46\uff0c\u5e73\u5747\u6bcf\u7b46\u4ea4\u6613\u4f7f\u7528\u7d049.4\u81f310.0\u6b21\u64cd\u4f5c\uff08\u5145\u5206\u904b\u752810\u6b21\u9810\u7b97\uff09\u3002NASDAQ\uff08NQ\uff09\u8868\u73fe\u6700\u4f73\uff0c\u7d2f\u7a4d\u5831\u916c +8.6%<\/strong>\u3001\u6700\u5927\u56de\u64a4 2.9%<\/strong>\u3001\u590f\u666e\u7387 0.43<\/strong>\u3001\u52dd\u7387 68%<\/strong>\u3002DAX\u8207TX\u5206\u5225\u7372\u5f97 +4.2%<\/strong> \u8207 +4.6%<\/strong> \u7684\u6b63\u5831\u916c\u3002YM\u96d6\u50c5\u7372\u5f97 +1.7%<\/strong> \u5831\u916c\uff0c\u4f46\u52dd\u7387\u9ad8\u9054 81%<\/strong>\uff0c\u986f\u793a\u7b56\u7565\u5728\u8da8\u52e2\u660e\u78ba\u7684\u725b\u5e02\u4e2d\u80fd\u6709\u6548\u6355\u6349\u4e0a\u6f32\u6bb5\u4e26\u53ca\u6642\u6e1b\u78bc\u907f\u958b\u56de\u8abf\u3002NK\u8207HSI\u51fa\u73fe\u5c0f\u5e45\u8667\u640d\uff08-1.0%\u8207-1.1%\uff09\uff0c\u4e3b\u8981\u56e0\u70ba\u9019\u5169\u500b\u5e02\u5834\u5728\u6e2c\u8a66\u671f\u5167\u7684\u8da8\u52e2\u53cd\u8f49\u8f03\u70ba\u983b\u7e41\uff0c\u7b56\u7565\u7684\u591a\u6b21\u9032\u51fa\u7522\u751f\u4e86\u8f03\u9ad8\u7684\u4ea4\u6613\u6469\u64e6\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u5e02\u5834<\/th>\u4ea4\u6613\u7b46\u6578<\/th>\u52dd\u7387<\/th>\u7b56\u7565\u5831\u916c<\/th>\u6700\u5927\u56de\u64a4<\/th>\u590f\u666e\u7387<\/th>\u5e73\u5747\u64cd\u4f5c\u6b21\u6578<\/th>B&H\u5831\u916c<\/th><\/tr><\/thead>
TX<\/td>20<\/td>50%<\/td>+4.6%<\/strong><\/td>1.6%<\/td>0.51<\/td>9.6<\/td>+38.2%<\/td><\/tr>
YM<\/td>21<\/td>81%<\/td>+1.7%<\/strong><\/td>2.7%<\/td>0.14<\/td>9.6<\/td>+117.4%<\/td><\/tr>
NK<\/td>12<\/td>67%<\/td>-1.0%<\/td>3.9%<\/td>-0.07<\/td>10.0<\/td>+82.5%<\/td><\/tr>
HSI<\/td>22<\/td>55%<\/td>-1.1%<\/td>4.3%<\/td>-0.06<\/td>9.5<\/td>+0.8%<\/td><\/tr>
DAX<\/td>16<\/td>75%<\/td>+4.2%<\/strong><\/td>3.1%<\/td>0.27<\/td>9.8<\/td>+168.2%<\/td><\/tr>
NQ<\/td>19<\/td>68%<\/td>+8.6%<\/strong><\/td>2.9%<\/td>0.43<\/td>9.4<\/td>+160.4%<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
\"Performance<\/figure>\n\n\n\n

\u8207\u8cb7\u5165\u6301\u6709\uff08B&H\uff09\u76f8\u6bd4\uff0c\u7b56\u7565\u7684\u7d55\u5c0d\u5831\u916c\u660e\u986f\u8f03\u4f4e\u2014\u2014\u9019\u662f\u9810\u671f\u5167\u7684\u7d50\u679c\uff0c\u56e0\u70ba\u7b56\u7565\u8a2d\u8a08\u7684\u6838\u5fc3\u76ee\u6a19\u4e26\u975e\u8ffd\u6c42\u6700\u5927\u5831\u916c\uff0c\u800c\u662f\u900f\u904e\u885d\u6d6a\u5f0f\u7684\u52d5\u614b\u90e8\u4f4d\u7ba1\u7406\u63a7\u5236\u56de\u64a4\u8207\u6ce2\u52d5\u3002\u57282015-2025\u5e74\u7684\u9577\u671f\u725b\u5e02\u4e2d\uff0c\u5e7e\u4e4e\u6240\u6709\u6307\u6578\u7684B&H\u5831\u916c\u5747\u9060\u8d85\u7b56\u7565\u5831\u916c\uff08YM +117%\u3001DAX +168%\u3001NQ +160%\uff09\u3002\u7136\u800c\u7b56\u7565\u7684\u50f9\u503c\u5728\u65bc\u5176\u98a8\u96aa\u8abf\u6574\u5f8c\u7684\u7a69\u5b9a\u6027<\/strong>\uff1a\u6700\u5927\u56de\u64a4\u63a7\u5236\u57281.6%\u81f34.3%\u4e4b\u9593\uff0c\u9060\u4f4e\u65bcB&H\u53ef\u80fd\u7d93\u6b77\u768420%\u4ee5\u4e0a\u56de\u64a4\u3002\u9019\u7a2e\u300c\u4f4e\u5831\u916c\u3001\u4f4e\u98a8\u96aa\u300d\u7684\u7279\u6027\u4f7f\u7b56\u7565\u66f4\u9069\u5408\u98a8\u96aa\u53ad\u60e1\u578b\u6295\u8cc7\u8005\u6216\u4f5c\u70ba\u8cc7\u7522\u914d\u7f6e\u4e2d\u7684\u7a69\u5b9a\u6536\u76ca\u5c64\u3002<\/p>\n\n\n

3.3 高頻時間框架回測結果<\/h3>\n\n\n\n

60\u5206\u9418\u82075\u5206\u9418\u6642\u9593\u6846\u67b6\u7684\u56de\u6e2c\u63ed\u793a\u4e86\u7b56\u7565\u5728\u9ad8\u983b\u74b0\u5883\u4e2d\u7684\u884c\u70ba\u7279\u5fb5\u3002\u6574\u9ad4\u800c\u8a00\uff0c\u66f4\u9ad8\u983b\u7387\u5e36\u4f86\u66f4\u591a\u4ea4\u6613\u6a5f\u6703\u2014\u20145\u5206\u9418\u5c64\u9762\u6bcf3\u500b\u6708\u7522\u751f71\u81f3110\u7b46\u4ea4\u6613\uff0c\u9060\u8d85\u65e5K\u5c64\u9762\u768412\u81f322\u7b46\u3002\u7136\u800c\u55ae\u7b46\u4ea4\u6613\u7684\u9810\u671f\u5831\u916c\u4e5f\u76f8\u61c9\u964d\u4f4e\uff0c\u56e0\u70ba\u9ad8\u983b\u96dc\u8a0a\u589e\u52a0\u3001\u8da8\u52e2\u4fe1\u865f\u7684\u7a69\u5b9a\u6027\u4e0b\u964d\u3002<\/p>\n\n\n\n

5\u5206\u9418\u5c64\u9762\u6700\u7a81\u51fa\u7684\u7d50\u679c\u662f\u6046\u751f\u6307\u6578\uff08HSI\uff09\uff0c\u7b56\u7565\u7372\u5f97 +3.2%<\/strong> \u5831\u916c\u3001\u6700\u5927\u56de\u64a4\u50c5 0.5%<\/strong>\u3001\u590f\u666e\u7387\u9ad8\u9054 3.52<\/strong>\u3002\u9019\u8868\u660e\u5728\u77ed\u6642\u9593\u6846\u67b6\u4e2d\uff0c\u885d\u6d6a\u6a21\u578b\u7684\u300c\u5feb\u901f\u9032\u51fa\u3001\u56b4\u683c\u6b62\u640d\u300d\u7279\u6027\u80fd\u6709\u6548\u6355\u6349\u65e5\u5167\u8da8\u52e2\u8108\u52d5\u3002TX\u8207DAX\u57285\u5206\u9418\u5c64\u9762\u4e5f\u7372\u5f97\u6b63\u5831\u916c\uff08+0.4%\u8207+0.3%\uff09\uff0c\u4e14\u56de\u64a4\u6975\u4f4e\uff080.3%\u82070.8%\uff09\u3002YM\u8207NQ\u76845\u5206\u9418\u7d50\u679c\u63a5\u8fd1\u640d\u76ca\u5e73\u8861\uff08-0.0%\u8207+0.4%\uff09\uff0c\u4e3b\u8981\u56e0\u70ba\u9019\u5169\u500b\u5e02\u5834\u7684\u77ed\u671f\u96dc\u8a0a\u8f03\u9ad8\uff0c\u5c0e\u81f4\u7b56\u7565\u7684\u983b\u7e41\u9032\u51fa\u7522\u751f\u6469\u64e6\u6210\u672c\u3002NK\u57285\u5206\u9418\u5c64\u9762\u8868\u73fe\u6700\u5dee\uff08-1.5%\uff09\uff0c\u9019\u8207\u5176\u8f03\u4f4e\u7684\u8da8\u52e2\u6301\u7e8c\u6027\u53c3\u6578\uff080.60\uff09\u4e00\u81f4\u2014\u2014\u8da8\u52e2\u53cd\u8f49\u904e\u65bc\u983b\u7e41\u6642\uff0c\u4efb\u4f55\u8da8\u52e2\u8ffd\u8e64\u7b56\u7565\u5747\u96e3\u4ee5\u7372\u5229\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u5e02\u5834<\/th>5T\u4ea4\u6613\u7b46\u6578<\/th>5T\u52dd\u7387<\/th>5T\u5831\u916c<\/th>5T\u6700\u5927\u56de\u64a4<\/th>5T\u590f\u666e\u7387<\/th>60T\u5831\u916c<\/th>60T\u590f\u666e\u7387<\/th><\/tr><\/thead>
TX<\/td>98<\/td>54%<\/td>+0.4%<\/td>0.3%<\/td>1.43<\/td>+0.2%<\/td>0.13<\/td><\/tr>
YM<\/td>98<\/td>70%<\/td>-0.0%<\/td>1.1%<\/td>-0.08<\/td>+0.1%<\/td>0.11<\/td><\/tr>
NK<\/td>88<\/td>60%<\/td>-1.5%<\/td>1.7%<\/td>-2.83<\/td>-0.1%<\/td>-0.06<\/td><\/tr>
HSI<\/td>110<\/td>61%<\/td>+3.2%<\/strong><\/td>0.5%<\/td>3.52<\/strong><\/td>+0.9%<\/td>0.58<\/td><\/tr>
DAX<\/td>88<\/td>61%<\/td>+0.3%<\/td>0.8%<\/td>0.42<\/td>+0.0%<\/td>0.04<\/td><\/tr>
NQ<\/td>71<\/td>68%<\/td>+0.4%<\/td>0.5%<\/td>0.69<\/td>+0.2%<\/td>0.19<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n
\"Surf<\/figure>\n\n\n

3.4 操作次數與預算使用分析<\/h3>\n\n\n\n

\u7b56\u7565\u7684\u6838\u5fc3\u8a2d\u8a08\u4e4b\u4e00\u662f\u300c\u6bcf\u7b46\u4ea4\u661310\u6b21\u52a0\u6e1b\u78bc\u300d\u7684\u64cd\u4f5c\u9810\u7b97\u3002\u56de\u6e2c\u7d50\u679c\u986f\u793a\uff0c\u65e5K\u5c64\u9762\u5e73\u5747\u6bcf\u7b46\u4ea4\u6613\u4f7f\u7528 9.4\u81f310.0\u6b21<\/strong> \u64cd\u4f5c\uff0c5\u5206\u9418\u5c64\u9762\u66f4\u662f\u5e7e\u4e4e 100%\u4f7f\u7528\u6eff10\u6b21<\/strong>\u3002\u9019\u8868\u660e\u7b56\u7565\u5728\u6bcf\u6b21\u9032\u5834\u5f8c\u90fd\u5145\u5206\u904b\u7528\u4e86\u52d5\u614b\u8abf\u6574\u7684\u80fd\u529b\u2014\u2014\u5728\u8da8\u52e2\u5411\u597d\u6642\u9010\u6b65\u52a0\u78bc\u3001\u5728\u8da8\u52e2\u8f49\u5f31\u6642\u9010\u6b65\u6e1b\u78bc\uff0c\u76f4\u81f3\u5b8c\u5168\u51fa\u5834\u3002\u5f9e\u885d\u6d6a\u985e\u6bd4\u7684\u89d2\u5ea6\uff0c\u9019\u76f8\u7576\u65bc\u885d\u6d6a\u8005\u5728\u6bcf\u6b21\u8d77\u4e58\u5f8c\u90fd\u6301\u7e8c\u9032\u884c\u91cd\u5fc3\u5fae\u8abf\uff0c\u800c\u975e\u8d77\u4e58\u5f8c\u56fa\u5b9a\u59ff\u614b\u4e0d\u52d5\u3002<\/p>\n\n\n\n

\u64cd\u4f5c\u985e\u578b\u7684\u5206\u5e03\u986f\u793a\uff0c\u9032\u5834\uff08ENTER\uff09\u50c5\u4f54\u7e3d\u64cd\u4f5c\u7684\u7d0410%\uff0c\u5176\u991890%\u70ba\u52a0\u78bc\uff08ADD\uff09\u8207\u6e1b\u78bc\uff08REDUCE\uff09\u3002\u9019\u7a2e\u9ad8\u5ea6\u52d5\u614b\u7684\u8abf\u6574\u6a21\u5f0f\u662f\u7b56\u7565\u8207\u50b3\u7d71\u300c\u9032\u5834\u2192\u6301\u6709\u2192\u51fa\u5834\u300d\u4e09\u968e\u6bb5\u6a21\u578b\u7684\u6839\u672c\u5340\u5225\u3002\u50b3\u7d71\u6a21\u578b\u5c07\u4ea4\u6613\u8996\u70ba\u96e2\u6563\u4e8b\u4ef6\uff0c\u800c\u885d\u6d6a\u6a21\u578b\u5c07\u4ea4\u6613\u8996\u70ba\u9023\u7e8c\u904e\u7a0b<\/strong>\u2014\u2014\u5c31\u50cf\u885d\u6d6a\u8005\u4e0d\u662f\u300c\u7ad9\u4e0a\u677f\u5b50\u300d\u5c31\u7d50\u675f\uff0c\u800c\u662f\u5728\u6574\u6bb5\u6ed1\u884c\u4e2d\u6301\u7e8c\u8abf\u6574\u3002<\/p>\n\n\n

3.5 組合層級回測：等權重資金配置<\/h3>\n\n\n\n

\u524d\u8ff0\u56de\u6e2c\u5206\u6790\u805a\u7126\u65bc\u55ae\u4e00\u5e02\u5834\u7684\u500b\u5225\u8868\u73fe\uff0c\u7136\u800c\u5be6\u52d9\u4ea4\u6613\u4e2d\u6295\u8cc7\u8005\u901a\u5e38\u540c\u6642\u6301\u6709\u591a\u500b\u5e02\u5834\u7684\u90e8\u4f4d\u3002\u70ba\u9a57\u8b49\u885d\u6d6a\u4ea4\u6613\u7b56\u7565\u5728\u7d44\u5408\u5c64\u9762\u7684\u6709\u6548\u6027\uff0c\u672c\u7814\u7a76\u9032\u884c\u300c\u7b49\u6b0a\u91cd\u8cc7\u91d1\u914d\u7f6e\u300d\u7d44\u5408\u56de\u6e2c\u2014\u2014\u5c07\u7e3d\u8cc7\u672c100,000\u7f8e\u5143\u5e73\u5747\u5206\u70ba6\u7b49\u4efd\uff08\u6bcf\u5e02\u583416,667\u7f8e\u5143\uff09\uff0c\u5206\u5225\u65bc\u516d\u5927\u6307\u6578\u671f\u8ca8\u7368\u7acb\u904b\u884c\u7b56\u7565\u5f8c\u5c07\u6b0a\u76ca\u66f2\u7dda\u52a0\u7e3d\u3002\u6b64\u914d\u7f6e\u65b9\u5f0f\u78ba\u4fdd\u6c92\u6709\u4efb\u4f55\u55ae\u4e00\u5e02\u5834\u56e0\u50f9\u683c\u6c34\u5e73\u6216\u6ce2\u52d5\u7387\u5dee\u7570\u800c\u4e3b\u5c0e\u7d44\u5408\u8868\u73fe\u3002<\/p>\n\n\n\n

\u7d44\u5408\u56de\u6e2c\u7d50\u679c\u986f\u793a\u51fa\u986f\u8457\u7684\u98a8\u96aa\u5206\u6563\u6548\u61c9\u3002\u65e5K\u5c64\u9762\u7d44\u5408\u7372\u5f97 +8.84%<\/strong> \u7d2f\u7a4d\u5831\u916c\uff0c\u6700\u5927\u56de\u64a4\u50c5 1.57%<\/strong>\uff0c\u590f\u666e\u7387 0.77<\/strong>\uff0cCalmar\u6bd4\u7387 5.61<\/strong>\u3002\u8207\u7b49\u6b0a\u91cd\u8cb7\u5165\u6301\u6709\u7d44\u5408\uff08B&H Return: +142.70%\uff09\u76f8\u6bd4\uff0c\u7b56\u7565\u5831\u916c\u660e\u986f\u8f03\u4f4e\uff0c\u4f46\u56de\u64a4\u63a7\u5236\u5353\u8d8a\u2014\u2014B&H\u7d44\u5408\u57282018\u5e74\u30012020\u5e74\u53ca2022\u5e74\u5747\u7d93\u6b77\u8d85\u904e20%\u7684\u56de\u64a4\uff0c\u800c\u885d\u6d6a\u7b56\u7565\u7d44\u5408\u7684\u56de\u64a4\u59cb\u7d42\u63a7\u5236\u57282%\u4ee5\u5167\u300260\u5206\u9418\u82075\u5206\u9418\u5c64\u9762\u540c\u6a23\u5448\u73fe\u300c\u4f4e\u5831\u916c\u3001\u6975\u4f4e\u56de\u64a4\u300d\u7684\u7279\u5fb5\uff1a60T\u5831\u916c +1.16%<\/strong> \/ \u56de\u64a4 0.45%<\/strong> \/ \u590f\u666e\u7387 1.16<\/strong>\uff1b5T\u5831\u916c +0.71%<\/strong> \/ \u56de\u64a4 0.23%<\/strong> \/ \u590f\u666e\u7387 2.01<\/strong>\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u6642\u9593\u6846\u67b6<\/th>\u7b56\u7565\u5831\u916c<\/th>B&H\u5831\u916c<\/th>Alpha<\/th>\u6700\u5927\u56de\u64a4<\/th>\u590f\u666e\u7387<\/th>Calmar<\/th>\u7e3d\u4ea4\u6613\u7b46\u6578<\/th><\/tr><\/thead>
\u65e5K (1D)<\/td>+8.84%<\/strong><\/td>+142.70%<\/td>-133.86%<\/td>1.57%<\/strong><\/td>0.77<\/strong><\/td>5.61<\/strong><\/td>4<\/td><\/tr>
60\u5206\u9418 (60T)<\/td>+1.16%<\/strong><\/td>+11.25%<\/td>-10.09%<\/td>0.45%<\/strong><\/td>1.16<\/strong><\/td>2.60<\/strong><\/td>2<\/td><\/tr>
5\u5206\u9418 (5T)<\/td>+0.71%<\/strong><\/td>+10.29%<\/td>-9.58%<\/td>0.23%<\/strong><\/td>2.01<\/strong><\/td>3.14<\/strong><\/td>3<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n

\u7d44\u5408\u5c64\u9762\u4ea4\u6613\u7b46\u6578\u6975\u5c11\uff08\u65e5K\u50c54\u7b46\uff09\uff0c\u9019\u53cd\u6620\u51fa\u7b56\u7565\u5728\u7b49\u6b0a\u91cd\u914d\u7f6e\u4e0b\u7684\u4fdd\u5b88\u7279\u8cea\u2014\u2014\u6bcf\u500b\u5b50\u7b56\u7565\u7368\u7acb\u904b\u4f5c\uff0c\u50c5\u5728\u5404\u81ea\u5e02\u5834\u51fa\u73fe\u660e\u78ba\u8da8\u52e2\u4fe1\u865f\u6642\u624d\u9032\u5834\uff0c\u800c\u516d\u500b\u5e02\u5834\u540c\u6642\u51fa\u73fe\u9032\u5834\u8a0a\u865f\u7684\u6a5f\u6703\u6709\u9650\u3002\u5f9e\u6295\u8cc7\u7d44\u5408\u7406\u8ad6\u7684\u89d2\u5ea6\uff0c\u9019\u7a2e\u4f4e\u76f8\u95dc\u6027\u7684\u9032\u51fa\u5834\u6642\u6a5f\u5929\u7136\u5177\u5099\u5206\u6563\u6548\u679c\uff1a\u7576\u67d0\u500b\u5e02\u5834\u56e0\u7121\u6d6a\u72c0\u614b\u800c\u7a7a\u624b\u89c0\u671b\u6642\uff0c\u5176\u4ed6\u5e02\u5834\u53ef\u80fd\u6b63\u8655\u65bc\u6210\u5f62\u6d6a\u6216\u5927\u6d6a\u72c0\u614b\u800c\u7a4d\u6975\u4f48\u5c40\u3002<\/p>\n\n\n\n

\"Portfolio<\/figure>\n\n\n\n

\u4e0a\u5716\u5de6\u4e0a\u5448\u73fe\u65e5K\u7d44\u5408\u6b0a\u76ca\u66f2\u7dda\u8207\u7b49\u6b0a\u91cdB&H\u7684\u6bd4\u8f03\uff0c\u53ef\u6e05\u695a\u89c0\u5bdf\u5230\u7b56\u7565\u66f2\u7dda\u7684\u5e73\u7a69\u4e0a\u5347\u8207B&H\u7684\u5287\u70c8\u6ce2\u52d5\u5f62\u6210\u9bae\u660e\u5c0d\u6bd4\u3002\u53f3\u4e0a\u70ba\u7d44\u5408\u56de\u64a4\u66f2\u7dda\uff0c\u6700\u5927\u56de\u64a41.57%\u767c\u751f\u65bc2023\u5e74\u3002\u5de6\u4e0b\u70ba\u6708\u5ea6\u5831\u916c\u5206\u5e03\uff0c\u591a\u6578\u6708\u4efd\u5831\u916c\u96c6\u4e2d\u5728-0.5%\u81f3+1.0%\u4e4b\u9593\uff0c\u7121\u986f\u8457\u8ca0\u503c\u6708\u4efd\u3002\u53f3\u4e0b\u70ba\u6efe\u52d5\u4e00\u5e74\u5831\u916c\uff0c\u57282016-2017\u5e74\u53ca2020-2021\u5e74\u51fa\u73fe\u8f03\u9ad8\u7684\u4e00\u5e74\u671f\u5831\u916c\uff0c2018\u5e74\u5247\u63a5\u8fd1\u96f6\uff0c\u986f\u793a\u7b56\u7565\u5728\u9707\u76ea\u5e02\u4e2d\u80fd\u4fdd\u6301\u97cc\u6027\u3002<\/p>\n\n\n\n

\"Portfolio<\/figure>\n\n\n\n

\u5f9e\u885d\u6d6a\u985e\u6bd4\u7406\u89e3\u7d44\u5408\u914d\u7f6e\uff0c\u76f8\u7576\u65bc\u885d\u6d6a\u8005\u540c\u6642\u5728\u591a\u500b\u6d6a\u9ede\uff08\u4e0d\u540c\u5e02\u5834\uff09\u4f48\u5c40\uff0c\u6bcf\u500b\u6d6a\u9ede\u7684\u6d6a\u6cc1\u7368\u7acb\u8b8a\u5316\u3002\u7576\u53f0\u7063\u6d77\u5cfd\u7121\u6d6a\u6642\uff0c\u592a\u5e73\u6d0b\u53e6\u4e00\u5cb8\u53ef\u80fd\u6b63\u6709\u5927\u6d6a\u6210\u5f62\u2014\u2014\u9019\u7a2e\u5730\u7406\u5206\u6563\uff08\u5e02\u5834\u5206\u6563\uff09\u8b93\u885d\u6d6a\u8005\u7e3d\u6709\u677f\u53ef\u6ed1\u3001\u7e3d\u6709\u6d6a\u53ef\u8ffd\u3002\u7d44\u5408\u5c64\u9762\u7684\u4f4e\u56de\u64a4\u6b63\u662f\u9019\u7a2e\u300c\u6c38\u9060\u6709\u5e02\u5834\u5728\u8da8\u52e2\u4e2d\u300d\u7684\u7d71\u8a08\u6548\u61c9\u7684\u9ad4\u73fe\u3002<\/p>\n\n\n

4. 結果討論<\/h2>\n\n\n

4.1 策略特性與優勢<\/h3>\n\n\n\n

\u672c\u7b56\u7565\u6700\u986f\u8457\u7684\u7279\u5fb5\u662f\u5176\u6975\u4f4e\u7684\u6700\u5927\u56de\u64a4<\/strong>\u3002\u5728\u65e5K\u5c64\u9762\uff0c\u516d\u5927\u5e02\u5834\u7684\u6700\u5927\u56de\u64a4\u5747\u63a7\u5236\u57284.3%\u4ee5\u5167\uff1b\u57285\u5206\u9418\u5c64\u9762\uff0c\u56de\u64a4\u9032\u4e00\u6b65\u58d3\u7e2e\u81f31.7%\u4ee5\u5167\u3002\u9019\u7a2e\u98a8\u96aa\u63a7\u5236\u80fd\u529b\u7684\u4f86\u6e90\u4e26\u975e\u50b3\u7d71\u7684\u6b62\u640d\u55ae\uff0c\u800c\u662f\u885d\u6d6a\u7269\u7406\u6a21\u578b\u4e2d\u7684\u591a\u5c64\u9632\u8b77\u6a5f\u5236\u2014\u2014\u6d6a\u6cc1\u5206\u985e\u5668\u63d0\u524d\u8b58\u5225\u4e0d\u5229\u74b0\u5883\u3001L\/D\u6bd4\u7387\u5373\u6642\u76e3\u63a7\u90e8\u4f4d\u6548\u7387\u3001\u4e09\u5c64wipeout\u898f\u5247\u63d0\u4f9b\u786c\u6027\u4fdd\u8b77\u3002\u9019\u7a2e\u300c\u8edf\u6027\u9810\u8b66+\u786c\u6027\u6b62\u640d\u300d\u7684\u96d9\u5c64\u7d50\u69cb\u985e\u6bd4\u885d\u6d6a\u4e2d\u7684\u300c\u8b80\u6d6a\u80fd\u529b+\u6454\u6d6a\u6280\u5de7\u300d\u2014\u2014\u512a\u79c0\u885d\u6d6a\u8005\u9996\u5148\u900f\u904e\u89c0\u5bdf\u907f\u514d\u9032\u5165\u5371\u96aa\u6d6a\u6cc1\uff0c\u842c\u4e00\u5931\u63a7\u4e5f\u77e5\u9053\u5982\u4f55\u5b89\u5168\u843d\u6c34\u3002<\/p>\n\n\n\n

\u7b56\u7565\u7684\u7b2c\u4e8c\u500b\u512a\u52e2\u662f\u8de8\u5e02\u5834\u9069\u61c9\u6027<\/strong>\u3002\u7531\u65bc\u6240\u6709\u53c3\u6578\u5747\u63a1\u7528\u76f8\u5c0d\u8a2d\u8a08\uff08z-score\u3001\u6bd4\u7387\u3001MA\u4ea4\u53c9\uff09\uff0c\u7b56\u7565\u7121\u9700\u91dd\u5c0d\u4e0d\u540c\u5e02\u5834\u8abf\u6574\u53c3\u6578\u5373\u53ef\u904b\u4f5c\u3002\u56de\u6e2c\u4e2d\u516d\u500b\u5e02\u5834\u4f7f\u7528\u5b8c\u5168\u76f8\u540c\u7684\u6f14\u7b97\u6cd5\u908f\u8f2f\uff0c\u50c5\u5e02\u5834\u672c\u8eab\u7684\u7d71\u8a08\u7279\u5fb5\u4e0d\u540c\u3002\u9019\u7a2e\u300c\u4e00\u9ad4\u9069\u7528\u300d\u7684\u7279\u6027\u4f86\u81ea\u885d\u6d6a\u7269\u7406\u7684\u666e\u904d\u6027\u2014\u2014\u7121\u8ad6\u6d6a\u9ad82\u82f1\u5c3a\u621620\u82f1\u5c3a\uff0c\u885d\u6d6a\u8005\u7684\u5e73\u8861\u539f\u7406\u3001\u8f49\u5411\u529b\u5b78\u8207\u6454\u6d6a\u4fdd\u8b77\u6280\u5de7\u662f\u76f8\u540c\u7684\u3002<\/p>\n\n\n\n

\u7b2c\u4e09\u500b\u512a\u52e2\u662f\u64cd\u4f5c\u7684\u53ef\u89e3\u91cb\u6027<\/strong>\u3002\u6bcf\u6b21\u52a0\u6e1b\u78bc\u6c7a\u7b56\u90fd\u6709\u660e\u78ba\u7684\u7269\u7406\u5c0d\u61c9\u2014\u2014\u300c\u56e0\u70ba\u6d6a\u6cc1\u5f9e\u6210\u5f62\u6d6a\u8f49\u70ba\u5927\u6d6a\uff0c\u6240\u4ee5\u52a0\u78bc15%\u300d\u6216\u300c\u56e0\u70baL\/D\u6bd4\u7387\u8dcc\u78340.5\uff0c\u6240\u4ee5\u6e1b\u78bc\u81f350%\u300d\u3002\u9019\u7a2e\u53ef\u89e3\u91cb\u6027\u5c0d\u65bc\u5be6\u969b\u4ea4\u6613\u7684\u57f7\u884c\u81f3\u95dc\u91cd\u8981\uff0c\u4ea4\u6613\u8005\u53ef\u4ee5\u7406\u89e3\u4e26\u4fe1\u4efb\u7cfb\u7d71\u7684\u6c7a\u7b56\u908f\u8f2f\uff0c\u800c\u975e\u9762\u5c0d\u9ed1\u7bb1\u8a0a\u865f\u3002<\/p>\n\n\n

4.2 局限與改進方向<\/h3>\n\n\n\n

\u7b56\u7565\u6700\u660e\u986f\u7684\u5c40\u9650\u662f\u5728\u5f37\u8da8\u52e2\u5e02\u5834\u4e2d\u5831\u916c\u986f\u8457\u843d\u5f8c\u8cb7\u5165\u6301\u6709<\/strong>\u3002\u7576\u5e02\u5834\u8655\u65bc\u9577\u671f\u55ae\u908a\u4e0a\u6f32\u6642\uff0c\u7b56\u7565\u7684\u983b\u7e41\u9032\u51fa\u8207\u6e1b\u78bc\u64cd\u4f5c\u6703\u932f\u5931\u5927\u91cf\u6f32\u5e45\u3002\u9019\u662f\u300c\u885d\u6d6a\u54f2\u5b78\u300d\u7684\u5167\u5728\u53d6\u6368\u2014\u2014\u885d\u6d6a\u8005\u4e0d\u53ef\u80fd\u5f9e\u6d77\u5cb8\u7dda\u4e00\u76f4\u6ed1\u884c\u5230\u6d77\u5e73\u7dda\uff0c\u6bcf\u9053\u6d6a\u90fd\u6709\u5176\u6975\u9650\u9577\u5ea6\uff1b\u540c\u6a23\u5730\uff0c\u7b56\u7565\u4e5f\u4e0d\u53ef\u80fd\u55ae\u7b46\u4ea4\u6613\u5f9e\u725b\u982d\u6301\u5230\u725b\u5c3e\u3002\u6539\u9032\u65b9\u5411\u4e4b\u4e00\u662f\u5f15\u5165\u300c\u5927\u6d6a\u7e8c\u822a\u300d\u6a5f\u5236\u2014\u2014\u7576\u6d6a\u6cc1\u6301\u7e8c\u8655\u65bc\u300c\u5927\u6d6a\u300d\u72c0\u614b\u8d85\u904e\u4e00\u5b9a\u95be\u503c\u6642\uff0c\u66ab\u6642\u51cd\u7d50\u6e1b\u78bc\u64cd\u4f5c\uff0c\u5141\u8a31\u90e8\u4f4d\u5728\u5f37\u8da8\u52e2\u4e2d\u5145\u5206\u7372\u5229\u3002<\/p>\n\n\n\n

\u7b2c\u4e8c\u500b\u5c40\u9650\u662f\u9ad8\u983b\u6846\u67b6\u7684\u96dc\u8a0a\u654f\u611f\u6027<\/strong>\u30025\u5206\u9418\u5c64\u9762\u96d6\u7136\u5728HSI\u4e0a\u8868\u73fe\u51fa\u8272\uff0c\u4f46\u5728NK\u4e0a\u51fa\u73fe\u660e\u986f\u8667\u640d\u3002\u9019\u53cd\u6620\u4e86\u7b56\u7565\u5c0d\u8da8\u52e2\u6301\u7e8c\u6027\u7684\u4f9d\u8cf4\u2014\u2014\u7576\u5e02\u5834\u7684\u8da8\u52e2\u6301\u7e8c\u6027\u53c3\u6578\u4f4e\u65bc\u67d0\u500b\u81e8\u754c\u503c\u6642\uff0c\u4efb\u4f55\u57fa\u65bc\u8da8\u52e2\u7684\u52d5\u614b\u8abf\u6574\u90fd\u6703\u88ab\u96dc\u8a0a\u6df9\u6c92\u3002\u6539\u9032\u65b9\u5411\u662f\u70ba\u9ad8\u983b\u6846\u67b6\u589e\u52a0\u984d\u5916\u7684\u6ffe\u6ce2\u6a5f\u5236\uff0c\u4f8b\u5982\u5728\u9032\u5834\u524d\u8981\u6c42\u591a\u500b\u6642\u9593\u6846\u67b6\u7684\u6d6a\u6cc1\u4fe1\u865f\u4e00\u81f4\u3002<\/p>\n\n\n\n

\u7b2c\u4e09\u500b\u5c40\u9650\u662f\u50c5\u9650\u591a\u65b9\u64cd\u4f5c<\/strong>\u3002\u96d6\u7136\u7528\u6236\u6307\u5b9a\u50c5\u505a\u591a\u65b9\uff0c\u4f46\u5f9e\u885d\u6d6a\u985e\u6bd4\u7684\u5b8c\u6574\u6027\u4f86\u770b\uff0c\u885d\u6d6a\u8005\u4e5f\u53ef\u4ee5\u300c\u53cd\u624b\u300d\u2014\u2014\u7576\u6d6a\u7684\u65b9\u5411\u6539\u8b8a\u6642\u8abf\u6574\u7ad9\u59ff\u3002\u672a\u4f86\u64f4\u5c55\u53ef\u52a0\u5165\u7a7a\u65b9\u908f\u8f2f\uff1a\u7576 C<\/em>L<\/em>\u200b \u70ba\u8ca0\u503c\u4e14\u8da8\u52e2\u660e\u78ba\u5411\u4e0b\u6642\uff0c\u5efa\u7acb\u7a7a\u982d\u90e8\u4f4d\u3002<\/p>\n\n\n

4.3 與傳統動態部位管理策略的比較<\/h3>\n\n\n\n

\u50b3\u7d71\u7684\u52d5\u614b\u90e8\u4f4d\u7ba1\u7406\u65b9\u6cd5\u5305\u62ec\u56fa\u5b9a\u5206\u6578\u6cd5\uff08Fixed Fractional\uff09\u3001\u6ce2\u52d5\u7387\u76ee\u6a19\u6cd5\uff08Volatility Targeting\uff09\u8207Kelly\u6e96\u5247\u7684\u5404\u7a2e\u8b8a\u9ad4 <\/a>\u3002\u56fa\u5b9a\u5206\u6578\u6cd5\u6bcf\u6b21\u4ea4\u6613\u56fa\u5b9a\u98a8\u96aa\u8cc7\u91d1\u6bd4\u4f8b\uff08\u59821%\u62162%\uff09\uff0c\u7c21\u55ae\u4f46\u7121\u6cd5\u9069\u61c9\u5e02\u5834\u72c0\u614b\u8b8a\u5316\u3002\u6ce2\u52d5\u7387\u76ee\u6a19\u6cd5\u6839\u64da\u5be6\u969b\u6ce2\u52d5\u7387\u8abf\u6574\u90e8\u4f4d\uff0c\u4f7f\u5176\u7dad\u6301\u6046\u5b9a\u6ce2\u52d5\u7387\u8ca2\u737b\uff0c\u4f46\u5ffd\u7565\u4e86\u8da8\u52e2\u65b9\u5411\u6027\u3002Kelly\u6e96\u5247\u96d6\u7136\u7406\u8ad6\u4e0a\u6700\u512a\uff0c\u4f46\u5be6\u52d9\u4e2dFull Kelly\u7684\u56de\u64a4\u904e\u5927\uff08\u53ef\u80fd\u8d85\u904e80%\uff09\uff0c\u56e0\u6b64\u5c08\u696d\u4ea4\u6613\u8005\u901a\u5e38\u4f7f\u7528Half-Kelly\u6216Quarter-Kelly <\/a>\u3002<\/p>\n\n\n\n

\u672c\u7b56\u7565\u7684\u5275\u65b0\u4e4b\u8655\u5728\u65bc\u5c07\u9019\u4e9b\u50b3\u7d71\u65b9\u6cd5\u6574\u5408\u65bc\u4e00\u500b\u7269\u7406\u555f\u767c\u7684\u7d71\u4e00\u6846\u67b6<\/strong>\u4e2d\u3002Kelly\u6e96\u5247\u7528\u65bc\u90e8\u4f4d\u898f\u6a21\u7684\u300c\u57fa\u6e96\u7dda\u300d\u8a2d\u5b9a\uff0c\u4f46\u5be6\u969b\u90e8\u4f4d\u9084\u53d7\u5230\u6d6a\u6cc1\u54c1\u8cea\uff08state_mult\uff09\u3001\u6ce2\u52d5\u7387\u963b\u5c3c\uff08vol_z\uff09\u8207L\/D\u6bd4\u7387\u7684\u52d5\u614b\u8abf\u6574\u3002\u9019\u76f8\u7576\u65bc\u885d\u6d6a\u8005\u6839\u64da\u6d6a\u6cc1\u6c7a\u5b9a\u521d\u59cb\u5212\u6c34\u529b\u5ea6\uff08Kelly\uff09\uff0c\u4f46\u5728\u6ed1\u884c\u904e\u7a0b\u4e2d\u6301\u7e8c\u6839\u64da\u6d6a\u7684\u5be6\u969b\u63a8\u529b\uff08L\/D\uff09\u8abf\u6574\u91cd\u5fc3\u3002\u50b3\u7d71\u65b9\u6cd5\u5982\u540c\u300c\u6309\u8868\u64cd\u8ab2\u300d\u7684\u8a13\u7df4\u8a08\u756b\uff0c\u800c\u885d\u6d6a\u6a21\u578b\u5247\u5982\u540c\u300c\u81e8\u5834\u53cd\u61c9\u300d\u7684\u7af6\u6280\u8868\u73fe\u3002<\/p>\n\n\n\n

\u8868\u683c<\/p>\n\n\n\n

\u7b56\u7565\u985e\u578b<\/th>\u90e8\u4f4d\u8abf\u6574\u4f9d\u64da<\/th>\u512a\u9ede<\/th>\u7f3a\u9ede<\/th>\u672c\u7b56\u7565\u5c0d\u61c9<\/th><\/tr><\/thead>
\u56fa\u5b9a\u5206\u6578 <\/a><\/td>\u56fa\u5b9a\u8cc7\u91d1\u6bd4\u4f8b<\/td>\u7c21\u55ae\u3001\u9632\u7834\u7522<\/td>\u7121\u6cd5\u9069\u61c9\u5e02\u5834\u8b8a\u5316<\/td>\u57fa\u790eKelly + \u52d5\u614b\u8abf\u6574<\/td><\/tr>
\u6ce2\u52d5\u7387\u76ee\u6a19 <\/a><\/td>\u6b77\u53f2\u6ce2\u52d5\u7387<\/td>\u7a69\u5b9a\u98a8\u96aa\u8ca2\u737b<\/td>\u5ffd\u7565\u8da8\u52e2\u65b9\u5411<\/td>CL\/CD\u4e2d\u7684vol_z\u9805<\/td><\/tr>
Kelly\u6e96\u5247 <\/a><\/td>\u52dd\u7387\u8207\u8ce0\u7387<\/td>\u7406\u8ad6\u6700\u512a\u6210\u9577<\/td>\u56de\u64a4\u6975\u5927\u3001\u53c3\u6578\u654f\u611f<\/td>\u57fa\u790ef*\u8a08\u7b97 + \u4e0a\u9650\u4fdd\u8b77<\/td><\/tr>
\u885d\u6d6a\u6a21\u578b\uff08\u672c\u7814\u7a76\uff09<\/td>\u6d6a\u6cc1+L\/D+\u7269\u7406\u529b<\/td>\u9806\u52e2\u8abf\u6574\u3001\u53ef\u89e3\u91cb<\/td>\u5f37\u8da8\u52e2\u4e2d\u5831\u916c\u843d\u5f8c<\/td>\u5b8c\u6574\u96d9\u5c64\u67b6\u69cb<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n

5. 結論<\/h2>\n\n\n\n

\u672c\u7814\u7a76\u6210\u529f\u5efa\u7acb\u4e86\u4e00\u5957\u5f9e\u885d\u6d6a\u7269\u7406\u5230\u4ea4\u6613\u6f14\u7b97\u6cd5\u7684\u5b8c\u6574\u96d9\u5c64\u6a21\u578b\u3002\u7b2c\u4e00\u5c64\u501f\u9451\u8a08\u7b97\u6d41\u9ad4\u529b\u5b78\u6587\u737b\u4e2d\u7684\u5347\u529b\/\u963b\u529b\/\u4fef\u4ef0\u529b\u77e9\u65b9\u7a0b\uff0c\u5c07\u5e02\u5834\u72c0\u614b\u8f49\u8b6f\u70ba\u4e94\u7a2e\u6d6a\u6cc1\u4e26\u8a08\u7b97\u90e8\u4f4d\u6548\u7387\u6307\u6a19\uff1b\u7b2c\u4e8c\u5c64\u7d50\u5408Kelly\u6e96\u5247\u300110\u6b21\u52a0\u6e1b\u78bc\u9810\u7b97\u8207\u4e09\u5c64wipeout\u9632\u8b77\u57f7\u884c\u4ea4\u6613\u3002\u56de\u6e2c\u7d50\u679c\u8b49\u660e\u7b56\u7565\u80fd\u5920\u5728\u516d\u5927\u5168\u7403\u6307\u6578\u671f\u8ca8\u5e02\u5834\u7684\u65e5K\u8207\u9ad8\u983b\u6642\u9593\u6846\u67b6\u4e0a\u7a69\u5b9a\u904b\u4f5c\u3002\u55ae\u5e02\u5834\u65e5K\u6700\u5927\u56de\u64a4\u63a7\u5236\u57284.3%\u4ee5\u5167\uff0cNASDAQ\u7372\u5f97 +8.6%<\/strong> \u5831\u916c\u8207 0.43<\/strong> \u590f\u666e\u7387\uff0c\u6046\u751f\u6307\u65785\u5206\u9418\u6846\u67b6\u9054\u5230 3.52<\/strong> \u590f\u666e\u7387\u3002<\/p>\n\n\n\n

\u7d44\u5408\u5c64\u7d1a\u56de\u6e2c\u9032\u4e00\u6b65\u9a57\u8b49\u4e86\u7b56\u7565\u7684\u98a8\u96aa\u5206\u6563\u50f9\u503c\u3002\u63a1\u7528\u7b49\u6b0a\u91cd\u8cc7\u91d1\u914d\u7f6e\uff08\u6bcf\u5e02\u583416,667\u7f8e\u5143\uff09\u5f8c\uff0c\u65e5K\u7d44\u5408\u6700\u5927\u56de\u64a4\u964d\u81f3 1.57%<\/strong>\uff0c\u590f\u666e\u7387\u63d0\u5347\u81f3 0.77<\/strong>\uff0cCalmar\u6bd4\u7387\u9054\u5230 5.61<\/strong>\u300260\u5206\u9418\u82075\u5206\u9418\u7d44\u5408\u7684\u56de\u64a4\u66f4\u9032\u4e00\u6b65\u58d3\u7e2e\u81f3 0.45%<\/strong> \u8207 0.23%<\/strong>\uff0c\u590f\u666e\u7387\u5206\u5225\u70ba 1.16<\/strong> \u8207 2.01<\/strong>\u3002\u9019\u7a2e\u300c\u6975\u4f4e\u56de\u64a4\u3001\u7a69\u5b9a\u590f\u666e\u300d\u7684\u7279\u5fb5\u4f7f\u7b56\u7565\u9069\u5408\u4f5c\u70ba\u8cc7\u7522\u914d\u7f6e\u4e2d\u7684\u7a69\u5b9a\u6536\u76ca\u5c64\u6216\u98a8\u96aa\u5c0d\u6c96\u5de5\u5177\u3002<\/p>\n\n\n\n

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\u4e0b\u9762\u662f\u4e0d\u542b Buy & Hold \u5c0d\u6bd4\u7684\u7368\u7acb\u7d44\u5408\u6b0a\u76ca\u66f2\u7dda\u5716\u8868\uff1a<\/p>\n\n\n\n

\u8a2d\u8a08\u8aaa\u660e\uff1a<\/strong><\/p>\n\n\n

    \n
  • \n左上（日K 10年）<\/strong>：策略獨立權益曲線，帶偶數年份標註點（100→103→105→108），附關鍵績效指標框<\/li>\n\n\n\n
  • \n右上（60分鐘 2年）<\/strong>：中頻段曲線，綠色主調，回撤僅 0.45%<\/li>\n\n\n\n
  • \n左下（5分鐘 3個月）<\/strong>：高頻段曲線，紅色主調，夏普率最高 2.01<\/li>\n\n\n\n
  • \n右下<\/strong>：三時間框架績效對照表（Return \/ Max DD \/ Sharpe \/ Calmar \/ Trades）<\/li>\n<\/ul>\n\n\n\n

    \u6240\u6709\u66f2\u7dda\u4e0b\u65b9\u6709\u6de1\u8272\u586b\u5145\u5340\u57df\u7a81\u986f\u6de8\u503c\u589e\u9577\u8ecc\u8de1\uff0c\u865b\u7dda\u6a19\u793a 100 \u57fa\u6e96\u7dda\u3002<\/p>\n\n\n\n

    \"\"<\/figure>\n","protected":false},"excerpt":{"rendered":"

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