#228
pattern
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岛形反转形态识别策略
研究报告
{"v3_rating": {"star_level": "S2", "code_grade": "A", "combined_rating": "★★★★", "date": "2026-06-13"}, "sop_scores": {"logic_completeness": 9.0, "trading_logic_quality": 8.5, "risk_management": 8.0, "interpretability": 8.0, "total": 8.38}, "backtest_indicators": {"win_rate": 58.1, "avg_return": 35.6, "sharpe_ratio": 1.24, "calmar_ratio": 6.65, "profit_loss_ratio": 1.92, "max_drawdown": 11.8, "total_trades": 854, "effective_stocks": 39, "positive_rate": 92.3, "positive_stocks": 36}, "optimization_iterations": [{"version": "原始版", "sharpe": 0.2, "return": 3.7, "win_rate": 49.6, "calmar": 1.03, "coverage": 25, "rating": "S4-B ★★", "note": "逻辑缺陷:GAP_DOWN和GAP_UP同BAR矛盾"}, {"version": "V3优化版", "sharpe": 1.24, "return": 35.6, "win_rate": 58.1, "calmar": 6.65, "coverage": 39, "rating": "S2-A ★★★★", "note": "修复序列检测+横盘确认+量能确认"}]}
回测统计
胜率
0.0%
平均收益
0.00%
夏普比率
1.42
最大回撤
-1.0%
按市场状态分段表现
| 市场状态 | 描述 | 胜率 | 样本数 |
|---|---|---|---|
| 牛市 Bull | 均线多头排列 + 指数创新高 | 0.0% | ~ 280 |
| 熊市 Bear | 均线空头 + 成交低迷 | 0.0% | ~ 110 |
| 震荡 Sideways | 指数在 5% 区间内震荡 | 0.0% | ~ 410 |
| 高波动 Volatile | VIX-like 指标偏高 | 42.0% | ~ 75 |
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