PURR单币种标准差和EMA用不同的统计周期回测

SHI XIAOLONG

— 21 min read

PURR 单币种 EMA/STD 解耦全参数回测报告

回测日期: 2026-02-16
标的: PURR/USDC:USDC (base=HYPE/USDC:USDC)
回测区间: 2026-01-23 08:50 ~ 2026-02-16 10:25
数据点数: 6641 (23.1 天)

目录

数据概况

数据点: 6641 | z4h 均值=-0.143 标准差=1.322 范围=[-4.28, 8.54]

rolling_std 分布 (决定 adaptive_z 分母稳定性):
          窗口      P10      P25      P50      P75      P90
  ────────────────────────────────────────────────
    12 (1.0h)   0.0000   0.0000   0.1583   0.2926   0.5558
    24 (2.0h)   0.0000   0.1226   0.2218   0.3855   0.6500
    36 (3.0h)   0.0774   0.1712   0.2708   0.4728   0.6965
    48 (4.0h)   0.1407   0.2043   0.3152   0.5173   0.7636
    72 (6.0h)   0.1619   0.2395   0.3678   0.5596   0.9046
    96 (8.0h)   0.1867   0.2611   0.4253   0.6133   1.0230
   144 (12.0h)   0.2321   0.3070   0.4847   0.7087   1.1781

z4h 30min变化: 中位=0.0956 P90=0.7096 P99=2.5327

关键发现: 窗口=12时 P10=0.0000 (极不稳定), 窗口=72时 P10=0.1619 (可接受), 窗口=96时 P10=0.1867 (更稳定)

方案A: 耦合 EMA=STD，扫描 span x 持仓时长

保持 EMA span = STD window (当前生产模式), 扫描不同 span 值和持仓上限

持仓上限 = 15min

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
EMA=STD=18 (1.5h) hold≤15min 0 — — — — — —
EMA=STD=18 (1.5h) 219 46.6% -19.98% 0.91 39.08% 11m -0.07
EMA=STD=24 (2.0h) hold≤15min 0 — — — — — —
EMA=STD=24 (2.0h) 256 50.4% -3.59% 0.95 45.10% 11m -0.01
EMA=STD=36 (3.0h) hold≤15min 0 — — — — — —
EMA=STD=36 (3.0h) 202 54.5% -4.10% 0.79 29.25% 11m -0.02
EMA=STD=48 (4.0h) hold≤15min 0 — — — — — —
EMA=STD=48 (4.0h) 133 50.4% +15.86% 1.24 16.37% 11m 0.07
EMA=STD=56 (4.7h) hold≤15min 0 — — — — — —
EMA=STD=56 (4.7h) 107 51.4% +25.72% 1.52 11.16% 11m 0.13
EMA=STD=72 (6.0h) hold≤15min 0 — — — — — —
EMA=STD=72 (6.0h) 99 51.5% +31.56% 1.84 9.09% 11m 0.18
EMA=STD=96 (8.0h) hold≤15min 0 — — — — — —
EMA=STD=96 (8.0h) 92 53.3% +24.67% 1.56 9.17% 11m 0.15

持仓上限 = 30min

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
EMA=STD=18 (1.5h) hold≤30min 0 — — — — — —
EMA=STD=18 (1.5h) 186 48.4% -17.96% 0.87 47.91% 18m -0.06
EMA=STD=24 (2.0h) hold≤30min 0 — — — — — —
EMA=STD=24 (2.0h) 207 50.2% -11.84% 0.88 54.14% 17m -0.04
EMA=STD=36 (3.0h) hold≤30min 0 — — — — — —
EMA=STD=36 (3.0h) 181 51.9% -1.48% 0.91 43.19% 16m -0.01
EMA=STD=48 (4.0h) hold≤30min 0 — — — — — —
EMA=STD=48 (4.0h) 118 51.7% +21.02% 1.32 15.11% 17m 0.10
EMA=STD=56 (4.7h) hold≤30min 0 — — — — — —
EMA=STD=56 (4.7h) 94 57.4% +32.64% 1.47 11.23% 17m 0.21
EMA=STD=72 (6.0h) hold≤30min 0 — — — — — —
EMA=STD=72 (6.0h) 85 57.6% +40.70% 2.12 5.64% 18m 0.32
EMA=STD=96 (8.0h) hold≤30min 0 — — — — — —
EMA=STD=96 (8.0h) 78 52.6% +21.71% 1.66 8.01% 18m 0.18

持仓上限 = 1h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
EMA=STD=18 (1.5h) hold≤1h 0 — — — — — —
EMA=STD=18 (1.5h) 169 50.3% -18.86% 0.81 62.72% 29m -0.06
EMA=STD=24 (2.0h) 187 54.5% -24.33% 0.67 78.69% 26m -0.06
EMA=STD=36 (3.0h) 161 53.4% -6.74% 0.81 59.27% 26m -0.02
EMA=STD=48 (4.0h) 115 53.0% +3.52% 0.93 41.17% 28m 0.01
EMA=STD=56 (4.7h) 91 57.1% +18.33% 1.03 30.58% 28m 0.10
EMA=STD=72 (6.0h) 79 58.2% +25.65% 1.18 22.42% 30m 0.15
EMA=STD=96 (8.0h) 72 58.3% +20.13% 1.12 21.68% 28m 0.14

持仓上限 = 2h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
EMA=STD=18 (1.5h) 148 51.4% -0.96% 0.94 59.78% 45m -0.00
EMA=STD=24 (2.0h) 170 52.9% -12.71% 0.80 77.94% 41m -0.03
EMA=STD=36 (3.0h) 155 54.2% +24.73% 1.06 50.72% 41m 0.06
EMA=STD=48 (4.0h) 114 52.6% +19.43% 1.11 36.02% 48m 0.07
EMA=STD=56 (4.7h) 90 57.8% +32.57% 1.18 24.80% 47m 0.15
EMA=STD=72 (6.0h) 79 58.2% +41.54% 1.40 14.13% 51m 0.21
EMA=STD=96 (8.0h) 72 58.3% +21.56% 1.06 23.06% 48m 0.12

持仓上限 = 4h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
EMA=STD=18 (1.5h) 125 52.8% +12.49% 1.01 41.89% 1.1h 0.04
EMA=STD=24 (2.0h) 145 55.2% -9.03% 0.75 71.50% 1.0h -0.02
EMA=STD=36 (3.0h) 140 53.6% -13.37% 0.75 55.30% 56m -0.04
EMA=STD=48 (4.0h) 107 50.5% -10.04% 0.87 54.14% 1.2h -0.04
EMA=STD=56 (4.7h) 85 56.5% +23.05% 1.07 29.14% 1.3h 0.11
EMA=STD=72 (6.0h) 76 57.9% +23.29% 1.06 27.54% 1.4h 0.12
EMA=STD=96 (8.0h) 70 55.7% +6.68% 0.91 32.26% 1.2h 0.04

持仓上限 = 72h (无限制)

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
EMA=STD=18 (1.5h) 95 50.5% +3.49% 1.01 54.56% 2.5h 0.01
EMA=STD=24 (2.0h) 114 51.8% -0.68% 0.93 84.91% 2.1h -0.00
EMA=STD=36 (3.0h) 112 55.4% +13.02% 0.91 58.52% 2.0h 0.04
EMA=STD=48 (4.0h) 84 54.8% +23.88% 1.05 49.75% 2.5h 0.08
EMA=STD=56 (4.7h) 72 58.3% +44.74% 1.25 33.74% 2.8h 0.18
EMA=STD=72 (6.0h) 65 58.5% +51.05% 1.44 27.01% 3.1h 0.22
EMA=STD=96 (8.0h) 61 59.0% +45.57% 1.41 22.23% 3.0h 0.22

方案A 综合排名 TOP 15

# 配置 交易 胜率 收益 盈亏比 回撤 Sharpe 评分
1 A:E=S=72 H30min 85 57.6% +40.70% 2.12 5.64% 0.32 32.6
2 A:E=S=72 H72h 65 58.5% +51.05% 1.44 27.01% 0.22 31.8
3 A:E=S=96 H72h 61 59.0% +45.57% 1.41 22.23% 0.22 30.6
4 A:E=S=72 H2h 79 58.2% +41.54% 1.40 14.13% 0.21 30.1
5 A:E=S=56 H72h 72 58.3% +44.74% 1.25 33.74% 0.18 27.9
6 A:E=S=56 H30min 94 57.4% +32.64% 1.47 11.23% 0.21 27.2
7 A:E=S=72 H15min 99 51.5% +31.56% 1.84 9.09% 0.18 25.3
8 A:E=S=56 H2h 90 57.8% +32.57% 1.18 24.80% 0.15 24.4
9 A:E=S=96 H15min 92 53.3% +24.67% 1.56 9.17% 0.15 22.8
10 A:E=S=72 H1h 79 58.2% +25.65% 1.18 22.42% 0.15 22.5
11 A:E=S=96 H30min 78 52.6% +21.71% 1.66 8.01% 0.18 22.2
12 A:E=S=56 H15min 107 51.4% +25.72% 1.52 11.16% 0.13 22.1
13 A:E=S=96 H2h 72 58.3% +21.56% 1.06 23.06% 0.12 20.5
14 A:E=S=96 H1h 72 58.3% +20.13% 1.12 21.68% 0.14 20.4
15 A:E=S=72 H4h 76 57.9% +23.29% 1.06 27.54% 0.12 20.3

方案B: 解耦 EMA!=STD（快EMA + 稳STD）

EMA span 和 STD window 独立设置，EMA 用较小值(快速响应), STD 用较大值(稳定分母)

持仓上限 = 15min

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
E12 S48 86 52.3% +3.24% 1.00 10.14% 10m 0.03
E12 S72 61 47.5% -7.24% 0.85 14.35% 10m -0.07
E12 S96 53 50.9% -12.83% 0.55 17.05% 10m -0.13
E12 S144 43 46.5% -16.61% 0.46 17.67% 10m -0.21
E18 S48 95 52.6% +5.49% 1.04 9.84% 10m 0.04
E18 S72 70 51.4% -3.77% 0.84 14.35% 10m -0.03
E18 S96 61 52.5% +0.03% 0.91 11.74% 10m 0.00
E18 S144 50 52.0% +0.96% 0.95 10.35% 10m 0.01
E24 S48 103 51.5% +2.92% 1.01 10.87% 10m 0.02
E24 S72 73 54.8% +29.39% 1.87 4.70% 10m 0.21
E24 S96 67 49.3% +3.55% 1.14 11.74% 10m 0.02
E24 S144 59 54.2% +6.30% 1.01 10.35% 10m 0.05
E36 S48 115 52.2% +17.49% 1.27 13.50% 10m 0.09
E36 S72 81 55.6% +33.28% 1.82 4.70% 11m 0.22
E36 S96 76 51.3% +10.08% 1.21 10.35% 10m 0.06
E36 S144 67 53.7% +10.17% 1.12 10.87% 11m 0.07
E48 S72 88 52.3% +27.91% 1.72 8.42% 11m 0.17
E48 S96 79 54.4% +34.29% 1.95 4.70% 11m 0.22
E48 S144 76 52.6% +9.94% 1.15 10.87% 11m 0.06

持仓上限 = 30min

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
E12 S48 80 56.2% +16.15% 1.22 9.94% 15m 0.13
E12 S72 57 50.9% +6.52% 1.21 10.35% 15m 0.06
E12 S96 50 52.0% -1.02% 0.89 11.13% 16m -0.01
E12 S144 42 50.0% -5.64% 0.76 11.13% 16m -0.07
E18 S48 88 55.7% +12.14% 1.05 16.06% 15m 0.08
E18 S72 65 56.9% +13.11% 1.14 10.35% 16m 0.11
E18 S96 57 54.4% +4.17% 0.98 11.13% 16m 0.04
E18 S144 48 50.0% -7.12% 0.74 11.96% 17m -0.08
E24 S48 96 54.2% +10.96% 1.07 15.80% 15m 0.07
E24 S72 66 56.1% +28.77% 2.16 4.70% 17m 0.29
E24 S96 60 51.7% +3.11% 1.05 11.13% 16m 0.03
E24 S144 55 49.1% -2.15% 0.96 11.96% 17m -0.02
E36 S48 105 56.2% +21.21% 1.16 15.33% 17m 0.11
E36 S72 73 57.5% +35.33% 2.13 4.70% 17m 0.32
E36 S96 68 50.0% +3.73% 1.12 11.96% 17m 0.03
E36 S144 59 47.5% -3.54% 0.99 15.18% 17m -0.03
E48 S72 79 54.4% +32.83% 2.04 4.70% 17m 0.27
E48 S96 70 54.3% +32.64% 2.26 4.70% 17m 0.28
E48 S144 65 55.4% +5.70% 0.95 11.26% 18m 0.05

持仓上限 = 1h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
E12 S48 80 57.5% +4.47% 0.81 27.16% 24m 0.03
E12 S72 57 57.9% +18.98% 1.21 18.93% 25m 0.15
E12 S96 50 58.0% +8.59% 0.94 20.38% 27m 0.08
E12 S144 42 54.8% +8.44% 1.17 15.91% 28m 0.09
E18 S48 88 55.7% +0.84% 0.81 33.73% 24m 0.00
E18 S72 65 58.5% +17.95% 1.14 18.71% 28m 0.14
E18 S96 57 59.6% +14.17% 1.01 18.70% 27m 0.12
E18 S144 47 53.2% -1.76% 0.83 27.95% 28m -0.01
E24 S48 96 55.2% -0.41% 0.81 36.47% 25m -0.00
E24 S72 66 57.6% +17.94% 1.17 18.71% 28m 0.14
E24 S96 59 57.6% +12.87% 1.05 19.25% 28m 0.10
E24 S144 53 58.5% +15.79% 1.15 17.57% 29m 0.14
E36 S48 103 56.3% +8.35% 0.88 36.01% 27m 0.04
E36 S72 73 57.5% +19.26% 1.13 23.49% 28m 0.13
E36 S96 66 59.1% +15.36% 1.00 20.81% 28m 0.11
E36 S144 56 57.1% +7.50% 0.91 25.81% 29m 0.05
E48 S72 77 57.1% +21.26% 1.16 24.31% 29m 0.13
E48 S96 69 60.9% +26.59% 1.15 20.14% 28m 0.18
E48 S144 61 60.7% +23.53% 1.22 16.50% 30m 0.19

持仓上限 = 2h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
E12 S48 80 55.0% +9.98% 0.98 20.71% 40m 0.05
E12 S72 57 57.9% +25.78% 1.30 12.46% 42m 0.17
E12 S96 50 58.0% +15.46% 1.08 13.26% 46m 0.12
E12 S144 42 52.4% +8.06% 1.18 17.46% 47m 0.08
E18 S48 88 54.5% +7.01% 0.93 29.51% 40m 0.03
E18 S72 65 61.5% +35.18% 1.30 12.46% 48m 0.23
E18 S96 57 59.6% +24.03% 1.18 12.46% 47m 0.17
E18 S144 47 51.1% -2.39% 0.90 30.23% 48m -0.02
E24 S48 96 54.2% +7.61% 0.94 32.85% 41m 0.03
E24 S72 66 60.6% +34.00% 1.31 12.46% 49m 0.22
E24 S96 59 57.6% +22.77% 1.24 12.46% 47m 0.16
E24 S144 53 56.6% +14.79% 1.10 19.71% 50m 0.11
E36 S48 103 55.3% +28.52% 1.16 25.98% 46m 0.11
E36 S72 73 61.6% +36.44% 1.20 12.46% 48m 0.21
E36 S96 66 59.1% +26.98% 1.17 12.46% 49m 0.17
E36 S144 56 55.4% +6.50% 0.93 27.96% 49m 0.04
E48 S72 77 59.7% +38.51% 1.25 16.27% 49m 0.20
E48 S96 69 60.9% +38.41% 1.28 12.46% 48m 0.22
E48 S144 61 59.0% +24.39% 1.18 17.58% 53m 0.17

持仓上限 = 4h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
E12 S48 75 56.0% +3.74% 0.84 23.65% 1.2h 0.02
E12 S72 55 54.5% +13.01% 1.15 21.94% 1.1h 0.09
E12 S96 48 56.2% +1.79% 0.82 22.99% 1.3h 0.02
E12 S144 40 50.0% +0.87% 1.03 21.89% 1.2h 0.01
E18 S48 83 54.2% +0.17% 0.85 32.98% 1.1h 0.00
E18 S72 63 58.7% +20.15% 1.11 21.31% 1.3h 0.14
E18 S96 55 58.2% +11.39% 0.96 21.31% 1.3h 0.09
E18 S144 45 48.9% -12.67% 0.75 37.84% 1.3h -0.10
E24 S48 88 53.4% -1.57% 0.85 38.36% 1.2h -0.01
E24 S72 64 57.8% +17.75% 1.08 21.31% 1.3h 0.12
E24 S96 57 56.1% +8.53% 0.96 21.80% 1.3h 0.06
E24 S144 50 54.0% +4.79% 0.96 26.13% 1.3h 0.04
E36 S48 95 53.7% +10.51% 0.99 34.83% 1.2h 0.04
E36 S72 71 59.2% +19.69% 1.01 23.41% 1.3h 0.12
E36 S96 63 57.1% +9.13% 0.91 24.01% 1.3h 0.06
E36 S144 53 52.8% -3.50% 0.83 34.37% 1.3h -0.02
E48 S72 73 56.2% +18.35% 1.08 28.67% 1.2h 0.10
E48 S96 66 57.6% +19.17% 1.07 23.34% 1.3h 0.12
E48 S144 58 56.9% +12.18% 1.01 25.11% 1.4h 0.09

方案B 综合排名 TOP 15

# 配置 交易 胜率 收益 盈亏比 回撤 Sharpe 评分
1 B:E36S72 H30min 73 57.5% +35.33% 2.13 4.70% 0.32 30.8
2 B:E48S96 H2h 69 60.9% +38.41% 1.28 12.46% 0.22 30.1
3 B:E36S72 H2h 73 61.6% +36.44% 1.20 12.46% 0.21 29.5
4 B:E18S72 H2h 65 61.5% +35.18% 1.30 12.46% 0.23 29.3
5 B:E48S72 H2h 77 59.7% +38.51% 1.25 16.27% 0.20 28.9
6 B:E24S72 H2h 66 60.6% +34.00% 1.31 12.46% 0.22 28.5
7 B:E48S72 H30min 79 54.4% +32.83% 2.04 4.70% 0.27 28.5
8 B:E48S96 H30min 70 54.3% +32.64% 2.26 4.70% 0.28 28.4
9 B:E48S96 H15min 79 54.4% +34.29% 1.95 4.70% 0.22 28.2
10 B:E36S72 H15min 81 55.6% +33.28% 1.82 4.70% 0.22 28.1
11 B:E24S72 H30min 66 56.1% +28.77% 2.16 4.70% 0.29 27.7
12 B:E24S72 H15min 73 54.8% +29.39% 1.87 4.70% 0.21 26.4
13 B:E36S96 H2h 66 59.1% +26.98% 1.17 12.46% 0.17 24.8
14 B:E12S72 H2h 57 57.9% +25.78% 1.30 12.46% 0.17 24.2
15 B:E48S72 H15min 88 52.3% +27.91% 1.72 8.42% 0.17 24.1

方案C: 仅调 threshold（保持 EMA=STD=72）

固定 EMA=STD=72 (当前生产值), 仅扫描 threshold 和持仓时长

持仓上限 = 30min

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
Th=1.5 227 51.1% +23.01% 1.17 23.23% 19m 0.06
Th=2.0 132 53.0% +33.06% 1.45 18.72% 18m 0.15
Th=2.5 85 57.6% +40.70% 2.12 5.64% 18m 0.32
Th=3.0 56 55.4% +21.82% 1.81 5.64% 18m 0.24
Th=3.5 39 51.3% +8.87% 1.55 7.66% 17m 0.13
Th=4.0 25 52.0% +10.01% 1.96 3.60% 18m 0.20
Th=5.0 9 55.6% +6.17% 2.03 2.18% 27m 0.24
Th=6.0 2 50.0% -0.40% 0.30 0.57% 30m -0.54

持仓上限 = 1h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
Th=1.5 197 52.8% +11.13% 0.98 44.81% 30m 0.03
Th=2.0 117 53.0% +20.76% 1.17 37.57% 29m 0.08
Th=2.5 79 58.2% +25.65% 1.18 22.42% 30m 0.15
Th=3.0 56 57.1% +10.90% 1.01 20.72% 29m 0.09
Th=3.5 39 53.8% +2.38% 0.94 20.76% 28m 0.03
Th=4.0 25 56.0% +6.83% 1.15 12.23% 31m 0.10
Th=5.0 9 66.7% +1.73% 0.57 10.19% 48m 0.05
Th=6.0 2 100.0% +0.24% INF 0.00% 1.0h 2.29

持仓上限 = 2h

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
Th=1.5 147 52.4% +17.81% 1.06 52.74% 53m 0.05
Th=2.0 97 55.7% +46.57% 1.43 24.78% 57m 0.19
Th=2.5 68 61.8% +40.78% 1.24 14.96% 59m 0.23
Th=3.0 47 59.6% +21.29% 1.20 11.78% 57m 0.18
Th=3.5 34 58.8% +10.48% 1.05 13.66% 50m 0.12
Th=4.0 23 56.5% +8.83% 1.23 8.67% 55m 0.14
Th=5.0 9 55.6% +2.46% 0.92 10.41% 1.4h 0.06
Th=6.0 2 50.0% -1.80% 0.17 2.17% 2.0h -0.71

持仓上限 = 72h (无限制)

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
Th=1.5 100 55.0% +21.81% 0.98 61.78% 2.6h 0.06
Th=2.0 71 62.0% +64.12% 1.28 35.96% 3.3h 0.24
Th=2.5 55 61.8% +50.16% 1.29 27.90% 3.6h 0.24
Th=3.0 43 60.5% +45.29% 1.67 11.95% 3.4h 0.30
Th=3.5 32 59.4% +31.95% 1.71 10.98% 3.0h 0.27
Th=4.0 21 57.1% +29.47% 2.20 10.77% 4.0h 0.33
Th=5.0 8 62.5% +15.73% 1.23 9.71% 8.3h 0.32
Th=6.0 2 50.0% +4.38% 3.55 1.71% 18.0h 0.56

方案C 综合排名 TOP 15

# 配置 交易 胜率 收益 盈亏比 回撤 Sharpe 评分
1 C:Th2.0 H72h 71 62.0% +64.12% 1.28 35.96% 0.24 36.1
2 C:Th3.0 H72h 43 60.5% +45.29% 1.67 11.95% 0.30 33.7
3 C:Th2.5 H30min 85 57.6% +40.70% 2.12 5.64% 0.32 32.6
4 C:Th2.5 H72h 55 61.8% +50.16% 1.29 27.90% 0.24 32.4
5 C:Th2.5 H2h 68 61.8% +40.78% 1.24 14.96% 0.23 30.9
6 C:Th2.0 H2h 97 55.7% +46.57% 1.43 24.78% 0.19 29.3
7 C:Th3.5 H72h 32 59.4% +31.95% 1.71 10.98% 0.27 28.5
8 C:Th4.0 H72h 21 57.1% +29.47% 2.20 10.77% 0.33 28.0
9 C:Th5.0 H72h 8 62.5% +15.73% 1.23 9.71% 0.32 24.5
10 C:Th2.0 H30min 132 53.0% +33.06% 1.45 18.72% 0.15 24.2
11 C:Th3.0 H30min 56 55.4% +21.82% 1.81 5.64% 0.24 24.2
12 C:Th3.0 H2h 47 59.6% +21.29% 1.20 11.78% 0.18 23.3
13 C:Th2.5 H1h 79 58.2% +25.65% 1.18 22.42% 0.15 22.5
14 C:Th5.0 H30min 9 55.6% +6.17% 2.03 2.18% 0.24 19.3
15 C:Th4.0 H30min 25 52.0% +10.01% 1.96 3.60% 0.20 19.0

方案D: 全参数网格搜索

基于 A/B/C 收敛范围的精细网格搜索

搜索空间: 1782 组合

  • EMA: [24, 36, 48, 72]
  • STD: [0(耦合), 72, 96]
  • Threshold: [2.0, 2.5, 3.0]
  • Hold: [0.5, 1.0, 2.0]h
  • Stop Loss: [1%, 3%, 5%]
  • Reversion Factor: [0.1, 0.18, 0.3]
  • Cooldown: [15, 30]min

综合评分 TOP 20

评分公式: score = total_pnl*0.35 + win_rate*0.25 + sharpe*15 - max_dd*0.15

# 配置 交易 胜率 收益 盈亏比 回撤 Sharpe 评分
1 E72S72(C) Th2.5 SL1% RF0.10 CD15m H30m 91 59.3% +57.83% 2.32 5.64% 0.32 39.0
2 E36S72(D) Th2.0 SL1% RF0.10 CD15m H30m 111 56.8% +60.15% 2.06 5.99% 0.27 38.5
3 E72S72(C) Th2.5 SL1% RF0.18 CD15m H30m 91 59.3% +54.48% 2.23 5.64% 0.33 38.0
4 E72S72(C) Th2.5 SL1% RF0.30 CD15m H30m 92 58.7% +53.55% 2.21 5.64% 0.32 37.4
5 E72S72(C) Th2.0 SL1% RF0.30 CD15m H30m 143 53.1% +57.99% 1.99 5.73% 0.24 36.4
6 E24S72(D) Th2.0 SL1% RF0.10 CD15m H30m 101 55.4% +53.90% 2.12 5.64% 0.26 35.8
7 E48S48(C) Th2.0 SL1% RF0.30 CD15m H30m 184 51.6% +60.11% 1.84 7.96% 0.21 35.8
8 E36S72(D) Th2.5 SL5% RF0.18 CD30m H120m 61 67.2% +43.67% 1.25 9.15% 0.31 35.4
9 E48S72(D) Th2.0 SL1% RF0.10 CD15m H30m 120 55.0% +54.93% 1.93 9.12% 0.24 35.2
10 E36S72(D) Th2.5 SL1% RF0.10 CD15m H30m 76 57.9% +47.77% 2.33 4.70% 0.30 34.9
11 E24S72(D) Th2.5 SL5% RF0.18 CD30m H120m 54 66.7% +41.24% 1.43 8.43% 0.34 34.9
12 E24S72(D) Th2.5 SL5% RF0.10 CD30m H120m 52 65.4% +41.91% 1.51 8.43% 0.34 34.8
13 E72S72(C) Th2.0 SL1% RF0.18 CD15m H30m 142 52.8% +55.14% 1.92 8.17% 0.23 34.8
14 E24S72(D) Th2.0 SL5% RF0.18 CD30m H120m 78 60.3% +50.59% 1.50 13.70% 0.27 34.7
15 E36S72(D) Th2.5 SL5% RF0.30 CD30m H120m 61 67.2% +40.70% 1.35 10.53% 0.34 34.6
16 E48S72(D) Th2.5 SL5% RF0.18 CD30m H120m 65 64.6% +45.75% 1.28 13.49% 0.28 34.4
17 E72S72(C) Th2.0 SL1% RF0.10 CD15m H30m 142 52.1% +56.22% 1.95 10.59% 0.22 34.4
18 E24S72(D) Th2.5 SL5% RF0.30 CD30m H120m 54 66.7% +38.26% 1.61 9.29% 0.38 34.3
19 E36S72(D) Th2.5 SL1% RF0.18 CD15m H30m 76 57.9% +44.42% 2.21 4.70% 0.31 33.9
20 E36S72(D) Th2.5 SL5% RF0.10 CD30m H120m 58 65.5% +41.39% 1.30 9.15% 0.30 33.9

按累计收益 TOP 10

# 配置 交易 胜率 收益 盈亏比 回撤 Sharpe
1 E36S72(D) Th2.0 SL1% RF0.10 CD15m H30m 111 56.8% +60.15% 2.06 5.99% 0.27
2 E48S48(C) Th2.0 SL1% RF0.30 CD15m H30m 184 51.6% +60.11% 1.84 7.96% 0.21
3 E48S48(C) Th2.0 SL1% RF0.10 CD15m H30m 182 50.0% +58.81% 1.90 15.11% 0.19
4 E72S72(C) Th2.0 SL1% RF0.30 CD15m H30m 143 53.1% +57.99% 1.99 5.73% 0.24
5 E72S72(C) Th2.5 SL1% RF0.10 CD15m H30m 91 59.3% +57.83% 2.32 5.64% 0.32
6 E72S72(C) Th2.0 SL1% RF0.10 CD15m H30m 142 52.1% +56.22% 1.95 10.59% 0.22
7 E72S72(C) Th2.0 SL1% RF0.18 CD15m H30m 142 52.8% +55.14% 1.92 8.17% 0.23
8 E48S72(D) Th2.0 SL1% RF0.10 CD15m H30m 120 55.0% +54.93% 1.93 9.12% 0.24
9 E72S72(C) Th2.5 SL1% RF0.18 CD15m H30m 91 59.3% +54.48% 2.23 5.64% 0.33
10 E24S72(D) Th2.0 SL1% RF0.10 CD15m H30m 101 55.4% +53.90% 2.12 5.64% 0.26

按 Sharpe 比率 TOP 10

# 配置 交易 胜率 收益 盈亏比 回撤 Sharpe
1 E24S72(D) Th2.5 SL5% RF0.30 CD30m H120m 54 66.7% +38.26% 1.61 9.29% 0.38
2 E36S72(D) Th2.5 SL5% RF0.30 CD30m H30m 61 60.7% +35.04% 2.26 3.46% 0.37
3 E36S72(D) Th2.5 SL5% RF0.10 CD30m H30m 61 60.7% +34.72% 2.17 4.18% 0.37
4 E36S72(D) Th2.5 SL5% RF0.18 CD30m H30m 61 60.7% +34.44% 2.16 4.18% 0.36
5 E48S72(D) Th3.0 SL5% RF0.30 CD30m H60m 44 63.6% +22.05% 1.84 6.51% 0.35
6 E24S72(D) Th2.5 SL5% RF0.30 CD30m H30m 54 59.3% +28.48% 2.35 3.46% 0.34
7 E36S72(D) Th2.5 SL5% RF0.30 CD30m H120m 61 67.2% +40.70% 1.35 10.53% 0.34
8 E24S72(D) Th2.5 SL5% RF0.10 CD30m H30m 54 59.3% +28.16% 2.24 4.18% 0.34
9 E24S72(D) Th2.5 SL5% RF0.18 CD30m H120m 54 66.7% +41.24% 1.43 8.43% 0.34
10 E24S72(D) Th2.5 SL5% RF0.10 CD30m H120m 52 65.4% +41.91% 1.51 8.43% 0.34

方案E: 最终对比

参数 交易 胜率 累计收益 盈亏比 回撤 持仓 Sharpe
当前生产参数 (EMA=72, 72h) 55 61.8% +50.16% 1.29 27.90% 3.6h 0.24
方案A最优(耦合) → A:E=S=72 H30min 85 57.6% +40.70% 2.12 5.64% 18m 0.32
方案B最优(解耦) → B:E36S72 H30min 73 57.5% +35.33% 2.13 4.70% 17m 0.32
方案C最优(仅Th) → C:Th2.0 H72h 71 62.0% +64.12% 1.28 35.96% 3.3h 0.24
方案D最优(全网格) → E72S72(C) Th2.5 SL1% RF0.10 CD15m H30m 91 59.3% +57.83% 2.32 5.64% 18m 0.32

平仓原因分布:

  • 方案A最优: reversion=45 | timeout=40
  • 方案B最优: reversion=43 | timeout=30
  • 方案C最优: end_of_data=1 | reversion=63 | stop_loss=7
  • 方案D最优: reversion=42 | stop_loss=8 | timeout=41

结论与推荐配置

全局最优配置 (PURR 单币种)

TRADING_STRATEGY_EMA_SPAN = 72
# STD_WINDOW = EMA_SPAN (耦合，无需新参数)
TRADING_STRATEGY_ADAPTIVE_THRESHOLD = 2.5
TRADING_MAX_HOLD_HOURS = 0.5
TRADING_STOP_LOSS_PCT = 0.01
TRADING_STRATEGY_REVERSION_FACTOR = 0.1
TRADING_STRATEGY_COOLDOWN_MINUTES = 15

综合评分: 39.0 | 收益: +57.83% | 胜率: 59.3% | Sharpe: 0.32 | 回撤: 5.64%

关键发现

  1. 紧止损 (1%) + 30min 持仓上限 是最大的改进因素，而非 EMA/STD 解耦
  2. EMA=72 仍是最优 span，更小的 EMA 在耦合模式下效果变差
  3. Threshold=2.5 是最佳平衡点，Th=2.0 交易更多但回撤更大
  4. 解耦方案B (E36S72) 在 Sharpe 相同的情况下回撤更小 (4.70% vs 5.64%)
  5. 方案C (Th2.0 H72h) 累计收益最高 (+64.12%) 但回撤大 (35.96%)

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