DOT1hmedium 风险
High-Return DOT RSI Mean Reversion (Short) (1h)
发布于 2026年7月19日
RSI Mean Reversion (Short) strategy on DOT. +158.97% return over the test period with 45.5% win rate and 1.73 profit factor. Sharpe ratio: 1.87. Max drawdown: 24.46%. Best performance in accumulate regime.
通过 Anny 部署Short strategy — requires a futures account. Anny will guide you through setup.
绩效指标
总回报
+95.96%
夏普比率
1.87
胜率
45.50%
最大回撤
24.46%
交易次数
55
利润因子
1.73
平均回报/交易
2.05%
平均持仓(柱)
78
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。
OOS 回报
15.22%
OOS 胜率
50.00%
OOS 夏普
1.57
退化
18.65%
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。
样本外置信度
76%
盈利时段
4/4
对比买入持有
-80.54%
已测试策略数
752
回报范围（90% 置信度）: 2.7% ··· 158.97% ··· 553.01%
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。
净值曲线
策略规则
入场触发RSI value crosses_above 80
止损percent 5%
止盈percent 10%
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.
积累 15%
等待 34%
| 状态 | 回报 | 交易 | 胜率 |
|---|---|---|---|
| 等待 | 20.1% | 33 | 36.4% |
| 积累 | 65.19% | 15 | 60% |
| 分配 | 10.67% | 1 | 100% |
| _best_combo | 95.96% | 49 | 44.9% |
交易记录 (49 笔交易)
| 入场 | 出场 | 回报 | 状态 |
|---|---|---|---|
| 8/17/2025 | 8/24/2025 | -5.14% | 等待 |
| 8/31/2025 | 9/7/2025 | -5.14% | 等待 |
| 9/13/2025 | 9/13/2025 | -5.14% | 积累 |
| 9/17/2025 | 9/19/2025 | -5.14% | 等待 |
| 9/19/2025 | 9/20/2025 | +10.67% | 积累 |
| 9/28/2025 | 10/1/2025 | -5.14% | 等待 |
| 10/1/2025 | 10/2/2025 | -5.14% | 等待 |
| 10/6/2025 | 10/10/2025 | +10.67% | 等待 |
| 10/12/2025 | 10/13/2025 | -5.14% | 等待 |
| 10/20/2025 | 10/30/2025 | +10.67% | 等待 |
