High-Return ADA Keltner Channel Breakdown (Short) (4h)
发布于 2026年7月19日
Keltner Channel Breakdown (Short) strategy on ADA. +32.03% return over the test period with 40.4% win rate and 1.34 profit factor. Sharpe ratio: 1. Max drawdown: 17.54%. Best performance in distribute regime.
绩效指标
样本外验证
在未见数据上测试，验证策略未过度拟合。 低退化证实稳健性。
统计置信度
优势真实存在的可能性——样本外统计置信度、跨时间的一致性，以及与单纯持有资产的比较。
回报范围（90% 置信度）: -16.43% ··· 32.03% ··· 128.57%
回测包含交易费用和滑点，假设全额资金顺序复利，且未计入做空时的期货资金费用。
杠杆模式（合约）— 推算
与现货回测相同的进出场点位，盈亏按杠杆倍数放大。亏损与盈利同等放大 — 请比较回撤，而不仅仅是收益。
2× 杠杆
基于现货交易的推算 — 不含资金费率，并假设止损按设定价位成交。在这些杠杆下止损位距强平价有充足空间，但杠杆合约可能损失全部保证金。不构成投资建议。
净值曲线
策略规则
CFO 市场状态分析
Anny's CFO Line divides market conditions into three regimes. Accumulate means the trend is bullish — ideal for long entries. Distribute means bearish — better to avoid or short. Wait means the trend is unclear. This breakdown shows how the strategy performed in each regime, helping you understand when it works best.
This strategy performs best during wait+distribute — consider using the regime filter to only enter trades when the CFO Line signals wait+distribute.
| 状态 | 回报 | 交易 | 胜率 |
|---|---|---|---|
| 等待 | 5.87% | 19 | 36.8% |
| 积累 | 0% | 0 | 0% |
| 分配 | 24.23% | 31 | 41.9% |
| _best_combo | 30.1% | 50 | 40% |
交易记录 (50 笔交易)
| 入场 | 出场 | 回报 | 状态 |
|---|---|---|---|
| 7/30/2025 | 7/30/2025 | -3.11% | 分配 |
| 7/31/2025 | 8/2/2025 | +6.17% | 分配 |
| 8/19/2025 | 8/20/2025 | -3.11% | 等待 |
| 8/25/2025 | 8/26/2025 | -3.11% | 等待 |
| 9/15/2025 | 9/17/2025 | -3.11% | 等待 |
| 9/22/2025 | 9/22/2025 | +6.17% | 等待 |
| 9/25/2025 | 10/1/2025 | -3.11% | 分配 |
| 10/7/2025 | 10/8/2025 | -3.11% | 等待 |
| 10/10/2025 | 10/10/2025 | +6.17% | 分配 |
| 10/17/2025 | 10/17/2025 | -3.11% | 分配 |
