T+1开盘成交 Walk-Forward验证
2026-08-26 | 313只 | 训练60% → 测试40%
⚠ 重要: 已修复为T+1开盘成交(信号日次日开盘)。
测试集为最近40%数据(约2023-2026), 期间多数股票经历牛市, 收益偏高。
信号选择基于训练集, 测试集验证。
ETF T+1开盘 Walk-Forward结果
| 轮次 | 策略 | 收益 | MDD | 胜率 | PLR | 轮数 | Sharpe |
|---|
| R1_WF | CTA6 | 32.9% | 27.3% | 46.2% | 2.70 | 20 | 1.38 |
| GB | 26.8% | 21.5% | 38.3% | 2.71 | 21 | 1.17 |
| BBI_std | 23.5% | 29.8% | 42.1% | 2.05 | 19 | 0.73 |
| CTA5 | 18.4% | 32.2% | 40.0% | 2.24 | 21 | 1.06 |
| shi | 17.9% | 29.1% | 44.4% | 2.02 | 18 | 0.46 |
| R2_WF | GB+MX3 | 68.4% | 21.2% | 70.0% | 5.24 | 8 | 3.13 |
| BBI_std+CTA3 | 64.8% | 19.3% | 72.5% | 2.74 | 11 | 3.73 |
| BBI_std+CTA7 | 61.1% | 20.2% | 51.2% | 3.64 | 12 | 4.02 |
| BBI_std+CTA6 | 58.0% | 21.7% | 47.4% | 2.32 | 19 | 2.67 |
| CTA5+CTA7 | 52.1% | 23.4% | 50.0% | 2.88 | 26 | 2.23 |
| R3_WF | GB+MX3+CTA7 | 173.1% | 13.1% | 80.0% | 9.59 | 5 | 13.25 |
| MX3+BBI_std+CTA7 | 118.9% | 17.8% | 55.0% | 8.15 | 6 | 8.11 |
| BBI_std+CTA3+xihuo | 108.1% | 17.8% | 66.7% | 4.45 | 12 | 6.07 |
| GB+MX3+CTA3 | 101.5% | 22.7% | 40.0% | 5.24 | 15 | 4.48 |
| GB+MX3+CTA5 | 101.5% | 22.7% | 40.0% | 5.24 | 15 | 4.48 |
| R5_WF | GB+MX3_卖GS | 101.5% | 22.7% | 40.0% | 5.24 | 15 | 4.48 |
| CTA1+CTA5_止损5% | 98.5% | 11.0% | 80.0% | 13.57 | 5 | 8.97 |
| CTA1+CTA5_止损3% | 93.7% | 11.0% | 66.7% | 9.54 | 6 | 8.53 |
| MX3+BBI_std_止损3% | 80.0% | 29.3% | 38.8% | 3.63 | 24 | 2.88 |
| CTA1+CTA5_卖S1 | 78.1% | 14.6% | 75.0% | 4.06 | 4 | 5.36 |
| R6_WF | CTA3_强牛 | 93.3% | 31.5% | 100.0% | - | 2 | 2.97 |
| CTA5_强牛 | 85.4% | 16.6% | 100.0% | - | 2 | 5.15 |
| BBI_std_强牛 | 68.7% | 16.8% | 100.0% | - | 2 | 4.11 |
| BBI_std_弱牛 | 62.6% | 32.2% | 38.4% | 3.70 | 21 | 1.94 |
| CTA1_强牛 | 62.0% | 26.2% | 53.1% | 2.88 | 26 | 2.37 |
个股 T+1开盘 Walk-Forward结果
| 轮次 | 策略 | 收益 | MDD | 胜率 | PLR | 轮数 | Sharpe |
|---|
| R1_WF | MX3 | 43.0% | 45.0% | 46.4% | 2.34 | 26 | 1.08 |
| CTA2 | 38.4% | 37.9% | 45.2% | 2.01 | 21 | 1.51 |
| CTA6 | 36.5% | 38.8% | 44.4% | 2.18 | 27 | 1.02 |
| BBI_std | 33.1% | 38.5% | 42.3% | 2.50 | 15 | 0.94 |
| xihuo | 28.6% | 33.0% | 60.0% | 2.06 | 8 | 1.11 |
| R2_WF | CTA5+CTA7 | 117.9% | 34.5% | 50.0% | 2.38 | 26 | 3.19 |
| MX6+CTA3 | 109.5% | 36.4% | 48.2% | 2.84 | 16 | 3.35 |
| lahgao+CTA7 | 101.0% | 21.3% | 50.0% | 6.10 | 10 | 4.74 |
| CTA2+CTA6 | 98.3% | 36.1% | 53.9% | 2.40 | 31 | 4.68 |
| BBI_std+CTA6 | 94.4% | 31.6% | 35.7% | 4.98 | 21 | 3.10 |
| R3_WF | B1+CTA1+CTA3 | 449.4% | 27.3% | 55.9% | 7.06 | 12 | 16.22 |
| B1+CTA1+CTA6 | 375.5% | 27.3% | 55.9% | 6.79 | 12 | 13.59 |
| B1+CTA1+CTA2 | 372.9% | 27.3% | 49.6% | 6.59 | 12 | 13.46 |
| B1+CTA1+MX3 | 267.8% | 26.6% | 52.8% | 6.80 | 12 | 11.09 |
| B1+CTA1+CTA5 | 230.3% | 27.8% | 48.6% | 5.52 | 12 | 8.32 |
| R5_WF | B1+CTA1_卖GS | 372.0% | 27.3% | 53.1% | 6.79 | 13 | 13.45 |
| CTA1+CTA3_止损8% | 153.3% | 27.8% | 45.2% | 3.01 | 32 | 5.39 |
| CTA1+CTA3_卖GS | 150.6% | 30.8% | 47.2% | 2.90 | 28 | 5.22 |
| B1+CTA1_止损8% | 144.6% | 26.0% | 45.6% | 3.22 | 16 | 5.86 |
| CTA1+CTA3_卖S1 | 143.2% | 27.0% | 43.6% | 2.60 | 57 | 6.28 |
| R6_WF | CTA6_强牛 | 130.2% | 37.1% | 48.8% | 2.78 | 28 | 3.63 |
| CTA2_强牛 | 124.6% | 42.3% | 45.4% | 3.26 | 32 | 2.97 |
| CTA7_强牛 | 110.7% | 36.6% | 50.0% | 2.86 | 25 | 3.31 |
| GB_强牛 | 103.7% | 33.2% | 38.1% | 3.78 | 27 | 2.84 |
| shi_强牛 | 102.5% | 38.9% | 50.0% | 2.11 | 24 | 2.30 |
收盘价 vs T+1开盘 对比
| 资产 | 轮次 | 收盘价 | T+1开盘 | 差异 |
|---|
| ETF | R2 | 96.1% | 28.4% | -67.8% |
| ETF | R3 | 104.0% | 173.1% | +69.1% |
| 个股 | R2 | 151.2% | 117.9% | -33.3% |
| 个股 | R3 | 418.0% | 449.4% | +31.3% |
T+1开盘成交 Walk-Forward验证 | 2026-08-26