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test: v11.2/3/4枢轴出场全否——弱撑止损77%被洗,强压减半砍掉大赢腿(+32%vs v8.1的+93%)，实证ATR止损+MA10波段即最优,枢轴S/R不适用于出场

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hmo
2026-07-29 14:03:33 +08:00
parent f69cab552b
commit f857a14762
1 changed files with 75 additions and 0 deletions
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strategy_lab.py
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@@ -271,6 +271,24 @@ STRATEGIES.update({
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6},
exit_overrides={"tp_pct": None, "use_pivot_sr": True, "max_hold_days": 20}),
"v11.2": _v40_branch("v11.2", "真波段+枢轴减半",
"v8.1真波段(MA10先出再进) + 弱支撑止损 + 强压减半仓——取MA10贴身波段与枢轴风控两者之长",
"v11.0的'枢轴波段'实为纯硬扛(弱撑从不触发)，v8.1才是真波段(44次先出10次再进)；用枢轴弱撑做初始止损、强压减半落袋改善风险结构",
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6},
exit_overrides={"tp_pct": None, "exit_mode": "swing_ptp", "sl_atr": 1.5, "max_hold_days": 60, "reentry_days": 10, "stop_mode": "pivot_ws"}),
"v11.3": _v40_branch("v11.3", "真波段+强撑止损+减半",
"v11.2的弱支撑止损太紧(77%被洗)——改强支撑止损+强压减半",
"v11.2实证：弱支撑是日内贴身位，当止损77%出场率无法接受；改用更宽的强支撑",
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6},
exit_overrides={"tp_pct": None, "exit_mode": "swing_ptp", "sl_atr": 1.5, "max_hold_days": 60, "reentry_days": 10, "stop_mode": "pivot_ss"}),
"v11.4": _v40_branch("v11.4", "v8.1+强压减半",
"v8.1原样(ATR止损+MA10波段) + 仅加强压减半落袋——隔离减半特征",
"v11.2证明弱撑止损有毒，v11.3测强撑，v11.4回到v8.1的ATR止损只保留强压减半这一个枢轴特征",
entry_overrides={"vol_ratio_min": 0.9, "vol_ratio_max": 2.0, "sector_slope_max": 1.0,
"hl_only": True, "rsi_delta_min": 6},
exit_overrides={"tp_pct": None, "exit_mode": "swing_ptp", "sl_atr": 1.5, "max_hold_days": 60, "reentry_days": 10, "stop_mode": "atr"}),
# ── 港股专用版本（港股通宇宙归因推导，2026-07-29）──
"h1.0": {
"version": "h1.0",
@@ -913,6 +931,63 @@ def run_backtest(strategy_version, start_date, end_date, capital=1000000, save=T
pnl = (total_ret - 1) * 100
exit_price = ep * total_ret
hold_days = len(future) if future else 0
elif exit_cfg.get('exit_mode') == 'swing_ptp':
# ── v11.2: MA10真波段 + 弱支撑止损 + 强压减半仓 ──
reentry_window = exit_cfg.get('reentry_days', 10)
_stop_mode = exit_cfg.get('stop_mode', 'atr')
ws0 = last.get('weak_support') or 0
ss0 = last.get('strong_support') or 0
r2_0 = last.get('strong_resist') or 0
if _stop_mode == 'pivot_ws' and 0 < ws0 < ep:
stop_cur = ws0
elif _stop_mode == 'pivot_ss' and 0 < ss0 < ep:
stop_cur = ss0
else:
stop_cur = stop
remaining = 1.0
realized_pnl = 0.0
in_pos = True
entry_p = ep
wait = 0
exit_reason = 'keep'
half_done = False
for k, fb in enumerate(future):
fh, fl, fc = fb.get('high') or 0, fb.get('low') or 0, fb.get('close') or 0
fma10 = fb.get('ma10') or 0
if in_pos:
# 强压减半落袋
if r2_0 > 0 and not half_done and fh >= r2_0:
realized_pnl += remaining * 0.5 * (r2_0 / entry_p - 1)
remaining *= 0.5
half_done = True
if fl <= stop_cur:
realized_pnl += remaining * (fc / entry_p - 1)
remaining = 0
exit_reason = 'stop'
in_pos = False
break
if fma10 > 0 and fc < fma10:
realized_pnl += remaining * (fc / entry_p - 1)
in_pos = False
wait = reentry_window
exit_reason = 'swing_out'
else:
wait -= 1
if wait < 0:
break
prev_high = future[k-1].get('high') or 0 if k > 0 else 0
if fma10 > 0 and fc > fma10 and fh > prev_high:
in_pos = True
entry_p = fc
stop_cur = fb.get('weak_support') or stop_cur
r2_0 = fb.get('strong_resist') or r2_0
half_done = False
exit_reason = 'swing_re'
if in_pos:
realized_pnl += remaining * ((future[-1].get('close') if future else entry_p) / entry_p - 1)
pnl = realized_pnl * 100
exit_price = ep * (1 + realized_pnl)
hold_days = len(future) if future else 0
else:
exit_price = exit_reason = None
hold_days = 0