ETH4hmedium 风险
High-Return ETH MACD Momentum (Short) (4h)
发布于 2026年7月19日
MACD Momentum (Short) strategy on ETH. +47.36% return over the test period with 41.3% win rate and 1.39 profit factor. Sharpe ratio: 1.24. Max drawdown: 24.75%. 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
+23.93%
夏普比率
1.24
胜率
41.30%
最大回撤
24.75%
交易次数
63
利润因子
1.39
平均回报/交易
0.72%
平均持仓(柱)
13
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
18.88%
OOS 胜率
50.00%
OOS 夏普
2.72
退化
OOS improved
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
96%
盈利时段
4/4
对比买入持有
-48.05%
已测试策略数
535
回报范围（90% 置信度）: -22.32% ··· 47.36% ··· 155.1%
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MACD histogram crosses_below 0
止损percent 3%
止盈percent 6%
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.
等待 24%
分配 16%
| 状态 | 回报 | 交易 | 胜率 |
|---|---|---|---|
| 等待 | 8.88% | 24 | 37.5% |
| 积累 | 9.13% | 9 | 44.4% |
| 分配 | 5.92% | 16 | 37.5% |
| _best_combo | 23.93% | 49 | 38.8% |
交易记录 (49 笔交易)
| 入场 | 出场 | 回报 | 状态 |
|---|---|---|---|
| 10/21/2025 | 10/24/2025 | -3.11% | 等待 |
| 10/28/2025 | 10/29/2025 | +6.17% | 积累 |
| 11/3/2025 | 11/4/2025 | +6.17% | 分配 |
| 11/11/2025 | 11/12/2025 | -3.11% | 分配 |
| 11/16/2025 | 11/17/2025 | -3.11% | 分配 |
| 11/17/2025 | 11/18/2025 | -3.11% | 分配 |
| 11/19/2025 | 11/19/2025 | -3.11% | 分配 |
| 11/20/2025 | 11/21/2025 | +6.17% | 分配 |
| 11/29/2025 | 12/1/2025 | +6.17% | 等待 |
| 12/5/2025 | 12/7/2025 | +6.17% | 等待 |
