{成长100(159259) 专属策略 · 细网格定版 + GS基准对比 (2026-09-15) · 钱小兜}
【一、移动止损细网格 0.5%步长】训练池=8只长历史成长ETF(16年) | 159259=目标标的
 止损   训练池平均    中位   正收益  收益/MDD  |  159259    MDD   轮次
  5.0%    +195.0%   +97.1%   100%     4.89   |   +39.8%   -8.3%   9
  6.0%    +358.3%  +198.5%   100%     9.19   |   +31.6%  -11.3%   8
  7.0%    +392.3%  +172.6%   100%     9.33   |   +69.8%  -15.8%   8
  7.5%    +345.5%  +185.5%   100%     7.77   |   +88.4%  -17.2%   7  ←159259最优
  8.0%    +431.2%  +166.9%   100%     9.28   |   +81.4%  -18.6%   7
  8.5%    +472.0%  +174.3%   100%     9.81   |   +74.6%  -19.9%   7
  9.0%    +458.1%  +158.6%   100%     9.28   |   +76.5%  -21.2%   6  ←双口径折中(推荐)
  9.5%    +414.3%  +198.8%   100%     8.46   |   +71.8%  -22.1%   5
 10.0%    +528.4%  +197.2%   100%    10.87   |   +46.8%  -22.9%   4  ←训练池最优
 11.0%    +464.5%  +194.1%   100%     9.59   |   +42.0%  -24.6%   4
 12.0%    +440.9%  +178.7%   100%     8.89   |   +45.8%  -26.3%   4
 15.0%    +322.1%  +139.6%   100%     6.14   |   +46.7%  -25.9%   4
 20.0%    +219.8%   +94.5%   100%     3.99   |   +33.2%  -33.6%   3
※ 31档全部 100% 正收益(8只全赚) → 参数高原, 不是尖峰
※ 训练池偏10%, 159259偏7.5%; 两者重叠区 8.5%~9.5% → 取 9%

【二、保本触发细网格】(止损固定10%)
 保本@   训练池平均    中位   正收益  收益/MDD  |  159259    MDD   轮次
  关闭    +476.5%  +180.8%   100%     9.38   |   +67.6%  -22.9%   4
   2%    +721.5%  +220.4%   100%    17.21   |   +57.5%  -16.9%   6  ←训练池最优
   3%    +574.3%  +143.9%   100%    13.03   |   +54.8%  -22.9%   5
   5%    +528.4%  +197.2%   100%    10.87   |   +46.8%  -22.9%   4
   8%    +505.8%  +189.2%   100%    10.00   |   +67.6%  -22.9%   4
  15%    +476.5%  +180.8%   100%     9.38   |   +67.6%  -22.9%   4
※ 保本2%训练池最优(+721.5%), 但159259上胜率仅16.7%(6轮中5轮小亏保本出场)
※ 取 5%: 训练池+528.4% / 159259+46.8%, 交易干净不折腾

【三、最朴素基准: 单纯 GS 金叉死叉】(全仓, 9bp手续费, 金叉买/死叉卖)
 GS参数          训练池平均    中位   正收益  收益/MDD  |  159259    MDD   轮次
 MA5金叉MA10      +18.8%   +18.2%    88%     0.43   |   +30.5%  -13.5%  11
 MA5金叉MA20      +84.6%   +59.8%   100%     2.35   |   +35.0%  -15.2%   6
 MA10金叉MA20    +103.1%   +74.9%   100%     2.61   |   +52.9%  -14.5%   5  ←GS最优(159259)
 MA10金叉MA30    +141.3%  +102.3%   100%     3.79   |   +29.5%  -19.2%   6  ←GS最优(训练池)
 MA5金叉MA60      +95.9%   +68.6%   100%     2.73   |   +24.3%  -25.1%   2
 MA20金叉MA60      +2.8%    -7.6%    38%     0.05   |    +9.9%  -30.4%   2

【四、终极对比】
 口径        策略                                 训练池        159259
 训练池看    WUP+止损10%+保本5%                  +528.4%       +46.8%
             WUP+止损9%+保本5%                   +458.1%       +76.5%
             GS最优(MA10/MA30)                   +141.3%       +29.5%
             GS在159259最优(MA10/MA20)           +103.1%       +52.9%
             买入持有                              —           +29.8%
 → 训练池: WUP 是 GS 的 3.7 倍收益、2.9 倍收益/MDD (完胜)
 → 159259: WUP(9%) +76.5% > GS(MA10/MA20) +52.9% > WUP(10%) +46.8% > 买入持有 +29.8%
 → GS 的唯一优势: 回撤更小(-14.5% vs -21.2%)

【五、定版(双口径折中)】
 买: WUP 主力清洗 (LLV33/A5ema3/A4ema10 — 生产默认参数, 已验证最优)
 卖: 移动止损 9% (从建仓后最高价回撤9%)
 保本: 浮盈5%后止损提到成本价
 灾难线: -20%(实际被移动止损覆盖)
 实测: 训练池 +458.1%(8/8正收益, 收益/MDD 9.28); 159259 +76.5%(MDD -21.2%, 6轮)
       对比买入持有 +29.8%/MDD-37.7%