📊 TD Sequential 回测报告 — BTC & ETH
数据: Binance 1分钟K线 2017-2024 (8.5年) | 手续费: 0.02% | Walk-Forward验证
₿ BTC — 多周期深度回测
🏆 BTC Top策略 (Walk-Forward排名)
| # | 策略 | 周期 | MA过滤 | 总回报 | WF回报 | 最大回撤 | 胜率 | 交易数 | 平均持仓 |
|---|
| 1 | 2h_sell9_rev_ATR4.0 | 2h | MA100 | +788.4% | +208.0% | -55.5% | 45.8% | 273 | 98h |
| 2 | 2h_sell9_rev_ATR4.0 | 2h | MA50 | +885.9% | +190.1% | -53.6% | 46.0% | 291 | 102h |
| 3 | 2h_sell9_rev_ATR4.0 | 2h | NoFilter | +637.6% | +188.7% | -50.4% | 44.5% | 321 | 106h |
| 4 | 30m_sell9_rev_ATR5.0 | 30m | NoFilter | +546.4% | +159.4% | -77.7% | 38.4% | 938 | 47h |
| 5 | 2h_sell9_rev_ATR5.0 | 2h | MA100 | +557.7% | +150.7% | -59.5% | 41.6% | 226 | 142h |
| 6 | 2h_sell9_rev_ATR4.0 | 2h | MA200 | +1,711.6% | +148.6% | -35.7% | 46.7% | 246 | 97h |
| 7 | 2h_sell9_rev_ATR5.0 | 2h | MA50 | +817.0% | +141.9% | -59.4% | 43.4% | 235 | 158h |
| 8 | 2h_sell9_rev_ATR5.0 | 2h | MA200 | +1,757.3% | +134.3% | -44.7% | 43.7% | 197 | 146h |
| 9 | 1h_sell13_rev_ATR5.0 | 1h | MA50 | +734.4% | +111.1% | -43.3% | 44.4% | 234 | 78h |
| 10 | 2h_sell9_rev_ATR5.0 | 2h | NoFilter | +767.6% | +109.8% | -57.6% | 42.8% | 250 | 170h |
🛡️ BTC 低回撤策略 (DD < 40%)
| # | 策略 | MA过滤 | 总回报 | WF回报 | 最大回撤 | 胜率 | 交易数 |
|---|
| 1 | 2h_sell9_rev_ATR4.0 | MA200 | +1,711.6% | +148.6% | -35.7% | 46.7% | 246 |
| 2 | 2h_sell13_rev_ATR5.0 | MA100 | +576.7% | +108.9% | -35.2% | 45.9% | 122 |
| 3 | 1h_sell13_rev_ATR5.0 | MA100 | +804.7% | +107.3% | -34.4% | 45.2% | 221 |
| 4 | 2h_sell13_rev_ATR5.0 | MA200 | +878.8% | +103.0% | -30.0% | 46.0% | 113 |
| 5 | 1h_sell13_rev_ATR5.0 | MA200 | +422.2% | +101.0% | -31.4% | 46.1% | 206 |
| 6 | 2h_sell13_rev_ATR5.0 | MA50 | +747.8% | +95.9% | -34.2% | 46.2% | 130 |
| 7 | 2h_sell13_rev_ATR5.0 | NoFilter | +592.3% | +83.7% | -39.6% | 44.1% | 136 |
| 8 | 2h_sell13_rev_ATR4.0 | MA200 | +637.5% | +72.4% | -30.8% | 47.6% | 126 |
| 9 | 2h_sell9_rev_ATR3.0 | MA200 | +385.5% | +59.2% | -39.2% | 42.0% | 319 |
| 10 | 1h_sell13_rev_ATR4.0 | MA100 | +509.6% | +58.8% | -25.8% | 44.8% | 250 |
💡 BTC关键发现:
• 王者策略: 2h_sell9_rev + ATR4.0 + MA200 — 总回报1711%, WF 148%, 回撤仅35.7%
• sell9_rev(追涨反转) 全面碾压 buy9(抄底), 说明BTC趋势跟踪 > 均值回归
• MA200过滤显著降低回撤(35% vs 50%+), 代价是少做一些交易
• 2h级别最稳, 30m级别交易多但回撤大(77%!)
📈 BTC 5分钟级别 (做多)
| # | 入场 | 出场 | SL | TP | 时间止损 | Trail | 总回报 | WF回报 | 回撤 | 胜率 | 交易数 |
|---|
| 1 | buy9 | td9 | 0% | 3% | 96 | 0.0% | +52.5% | +50.5% | -56.1% | 61.2% | 2786 |
| 2 | buy9 | td9+13 | 0% | 3% | 96 | 0.0% | +52.5% | +50.5% | -56.1% | 61.2% | 2786 |
| 3 | buy9 | td9 | 2% | 3% | 48 | 3.0% | -38.0% | +50.2% | -68.3% | 43.0% | 3260 |
| 4 | buy9 | td9+13 | 2% | 3% | 48 | 3.0% | -38.0% | +50.2% | -68.3% | 43.0% | 3260 |
| 5 | buy9 | td9 | 0% | 3% | 48 | 3.0% | -29.2% | +49.9% | -66.5% | 43.0% | 3258 |
| 6 | buy9 | td9 | 3% | 3% | 48 | 3.0% | -37.6% | +49.9% | -67.9% | 43.0% | 3259 |
| 7 | buy9 | td9 | 5% | 3% | 48 | 3.0% | -28.5% | +49.9% | -66.2% | 43.0% | 3258 |
| 8 | buy9 | td9+13 | 0% | 3% | 48 | 3.0% | -29.2% | +49.9% | -66.5% | 43.0% | 3258 |
| 9 | buy9 | td9+13 | 3% | 3% | 48 | 3.0% | -37.6% | +49.9% | -67.9% | 43.0% | 3259 |
| 10 | buy9 | td9+13 | 5% | 3% | 48 | 3.0% | -28.5% | +49.9% | -66.2% | 43.0% | 3258 |
⟠ ETH — 5分钟级别回测
📈 ETH 做多 Top10
| # | 入场 | 出场 | SL | TP | 时间止损 | Trail | 总回报 | WF回报 | 回撤 | 胜率 | 交易数 |
|---|
| 1 | buy9 | td9 | 5% | 5% | 48 | 0.0% | +206.3% | +96.2% | -32.4% | 57.1% | 3046 |
| 2 | buy9 | td9+13 | 5% | 5% | 48 | 0.0% | +206.3% | +96.2% | -32.4% | 57.1% | 3046 |
| 3 | buy9 | td9 | 5% | 0% | 48 | 0.0% | +218.5% | +96.1% | -30.6% | 57.1% | 3046 |
| 4 | buy9 | td9 | 5% | 8% | 48 | 0.0% | +205.0% | +96.1% | -31.0% | 57.1% | 3046 |
| 5 | buy9 | td9 | 5% | 10% | 48 | 0.0% | +212.0% | +96.1% | -30.6% | 57.1% | 3046 |
| 6 | buy9 | td9 | 5% | 15% | 48 | 0.0% | +218.5% | +96.1% | -30.6% | 57.1% | 3046 |
| 7 | buy9 | td9+13 | 5% | 0% | 48 | 0.0% | +218.5% | +96.1% | -30.6% | 57.1% | 3046 |
| 8 | buy9 | td9+13 | 5% | 8% | 48 | 0.0% | +205.0% | +96.1% | -31.0% | 57.1% | 3046 |
| 9 | buy9 | td9+13 | 5% | 10% | 48 | 0.0% | +212.0% | +96.1% | -30.6% | 57.1% | 3046 |
| 10 | buy9 | td9+13 | 5% | 15% | 48 | 0.0% | +218.5% | +96.1% | -30.6% | 57.1% | 3046 |
📉 ETH 做空 Top10
| # | 入场 | 出场 | SL | TP | 时间止损 | Trail | 总回报 | WF回报 | 回撤 | 胜率 | 交易数 |
|---|
| 1 | sell9 | td9 | 2% | 2% | 48 | 0.0% | -44.2% | +37.2% | -73.5% | 53.8% | 3146 |
| 2 | sell9 | td9+13 | 2% | 2% | 48 | 0.0% | -44.2% | +37.2% | -73.5% | 53.8% | 3146 |
| 3 | sell9 | td9 | 3% | 2% | 48 | 0.0% | -8.9% | +33.5% | -65.4% | 55.2% | 3123 |
| 4 | sell9 | td9+13 | 3% | 2% | 48 | 0.0% | -8.9% | +33.5% | -65.4% | 55.2% | 3123 |
| 5 | sell9 | td9 | 1% | 2% | 48 | 0.0% | -41.8% | +28.0% | -68.1% | 48.3% | 3248 |
| 6 | sell9 | td9+13 | 1% | 2% | 48 | 0.0% | -41.8% | +28.0% | -68.1% | 48.3% | 3248 |
| 7 | sell9 | td9 | 0% | 3% | 0 | 2.0% | -50.2% | +27.9% | -66.4% | 38.6% | 3580 |
| 8 | sell9 | td9 | 0% | 3% | 96 | 2.0% | -50.2% | +27.9% | -66.4% | 38.6% | 3580 |
| 9 | sell9 | td9 | 5% | 3% | 0 | 2.0% | -49.5% | +27.9% | -65.9% | 38.6% | 3580 |
| 10 | sell9 | td9 | 5% | 3% | 96 | 2.0% | -49.5% | +27.9% | -65.9% | 38.6% | 3580 |
💡 ETH关键发现:
• ETH做多最佳: buy9 + td9出场 + SL5% + TP5% + 48bar时间止损 — WF 96.2%, 回撤32.4%
• ETH比BTC更适合均值回归(buy9抄底), BTC更适合趋势(sell9_rev追涨)
• ETH做空WF最高37% — 做空收益远低于做多, 建议只做多
• 5%止损显著提升ETH表现(无止损回撤翻倍)
🔥 BTC vs ETH 最优策略对比
₿ BTC 最优
2h_sell9_rev_ATR4.0 + MA200
⟠ ETH 最优
buy9 + td9出场 + SL5% + 48bar时间止损
📋 核心结论
- BTC用趋势策略: sell9_rev(追涨反转) + 2h级别 + MA200过滤 + ATR止盈
- ETH用均值回归: buy9(抄底) + 5m级别 + 5%止损 + TD9信号出场
- 两者风格完全不同 — 不能用同一套参数!
- MA200过滤对BTC效果显著: 回撤从50%+降到35%, 但交易频率降低
- 小币(DOGE)不适合TD: 噪音太大, 信号失效, 模拟交易验证-16%
- 做空收益极低: BTC/ETH做空WF都<40%, 建议只做多
- 时间止损是最大亏损来源: 模拟交易中30笔时间止损贡献-28%亏损
🎯 模拟交易 vs 回测对比
| 回测最优 | 当前模拟(5m) | 差异 |
|---|
| BTC | WF +148.6% (2h) | +3.14% (122笔中25笔) | 模拟用5m, 回测最优2h |
| ETH | WF +96.2% (5m) | +2.30% (25笔) | 需加5%止损 |
| DOGE | 未做深度回测 | -15.99% (20笔) | 应移除 |
Generated by 布丁 🍮 | Data: Binance 2017-2024 | 2026-03-14 10:26 UTC