第一次發(fā)帖， 敬請高手指點。

測試報告

      測試品種數(shù):                 8
          凈利潤:     84,789,552.50          凈利潤率:           706.58%
          總盈利:    151,960,704.00            總虧損:    -67,171,184.00

        交易次數(shù):             511次              勝率:            50.49%
    年均交易次數(shù):  69.21(8.65/品種)         盈/虧次數(shù):           258/253

    多頭交易次數(shù):               146      空頭交易次數(shù):               365
    多頭盈利次數(shù):                71      空頭盈利次數(shù):               187
        多頭勝率:            48.63%          空頭勝率:            51.23%
      多頭盈虧比:              0.95        空頭盈虧比:              1.05

    最大單次盈利:375.84%(6,238,878.00)     最大單次虧損:-4629.30%(-5,612,076.00)
        平均盈利:        588,994.98          平均虧損:       -265,498.75
    所有平均利潤:        165,928.67     均盈利/均虧損:              2.22

    最大連盈次數(shù):                 9      最大連虧次數(shù):                 7
    最大連盈幅度:235.45%(10,242,569.00)      最大連虧幅度:-22.21%(-4,999,085.00)
盈利交易平均周期:            103.74  虧損交易平均周期:             28.95
  交易平均周期數(shù):             66.71          盈利系數(shù):              0.01
          夏普率:           -0.0402           MAR比率:             0.14%

    最大浮動盈利:4003.27%(1,955,547.88)     最大浮動虧損:-10311.72%(-406,373.66)
    最大回撤幅度:           237.91%     最大回撤時間:           237.91%

        初始投入:        12,000,000          最大投入:       163,216,494
        年回報率:    32.68%(2695天)      年有效回報率:             5.83%
簡單買入持有回報:             0.00%  買入持有年回報率:             0.00%

        總交易額:  1,641,553,152.00            交易費:        610,951.31
     交易費/利潤:              0.01      融資、券費用:              0.00

        測試時間: 2006/12/18 -- 2014/05/05  共2695天
      測試周期數(shù):              5599
        平均倉位:            19.20%          最大倉位:            20.00%
      平均持倉量:            158.90        最大持倉量:          1,093.00
      無倉周期數(shù):             10701      無倉周期比例:              0.24
    最長無倉周期:               138      平均無倉周期:              27.3

---------------------按月收益率統(tǒng)計(日期 資產(chǎn) 收益金額 收益百分比)-------------------
      06/12     12,000,000.00                   0.00                0.00%
      07/01     12,137,748.00             137,748.00                1.15%
      07/02     12,054,136.00             -83,612.00               -0.69%
      07/03     12,035,455.00             -18,681.00               -0.15%
      07/04     12,106,304.00              70,849.00                0.59%
      07/05     11,997,361.00            -108,943.00               -0.90%
      07/06     11,962,132.00             -35,229.00               -0.29%
      07/07     11,896,088.00             -66,044.00               -0.55%
      07/08     12,010,788.00             114,700.00                0.96%
      07/09     11,949,171.00             -61,617.00               -0.51%
      07/10     11,996,587.00              47,416.00                0.40%
      07/11     11,996,587.00                   0.00                0.00%
      07/12     12,018,898.00              22,311.00                0.19%
      08/01     11,950,658.00             -68,240.00               -0.57%
      08/02     12,254,499.00             303,841.00                2.54%
      08/03     12,466,733.00             212,234.00                1.73%
      08/04     12,472,579.00               5,846.00                0.05%
      08/05     12,727,674.00             255,095.00                2.05%
      08/06     13,309,528.00             581,854.00                4.57%
      08/07     12,986,464.00            -323,064.00               -2.43%
      08/08     13,324,744.00             338,280.00                2.60%
      08/09     14,057,870.00             733,126.00                5.50%
      08/10     15,272,235.00           1,214,365.00                8.64%
      08/11     18,771,564.00           3,499,329.00               22.91%
      08/12     19,655,570.00             884,006.00                4.71%
      09/01     21,809,520.00           2,153,950.00               10.96%
      09/02     21,863,222.00              53,702.00                0.25%
      09/03     23,284,876.00           1,421,654.00                6.50%
      09/04     25,566,212.00           2,281,336.00                9.80%
      09/05     26,638,094.00           1,071,882.00                4.19%
      09/06     27,031,660.00             393,566.00                1.48%
      09/07     28,049,618.00           1,017,958.00                3.77%
      09/08     30,945,792.00           2,896,174.00               10.33%
      09/09     31,377,408.00             431,616.00                1.39%
      09/10     33,269,460.00           1,892,052.00                6.03%
      09/11     35,680,236.00           2,410,776.00                7.25%
      09/12     35,806,700.00             126,464.00                0.35%
      10/01     37,447,128.00           1,640,428.00                4.58%
      10/02     35,453,984.00          -1,993,144.00               -5.32%
      10/03     34,950,560.00            -503,424.00               -1.42%
      10/04     34,553,664.00            -396,896.00               -1.14%
      10/05     38,175,396.00           3,621,732.00               10.48%
      10/06     38,636,824.00             461,428.00                1.21%
      10/07     37,991,416.00            -645,408.00               -1.67%
      10/08     39,923,792.00           1,932,376.00                5.09%
      10/09     41,129,776.00           1,205,984.00                3.02%
      10/10     47,375,736.00           6,245,960.00               15.19%
      10/11     47,980,440.00             604,704.00                1.28%
      10/12     52,719,640.00           4,739,200.00                9.88%
      11/01     52,619,872.00             -99,768.00               -0.19%
      11/02     54,502,096.00           1,882,224.00                3.58%
      11/03     53,846,288.00            -655,808.00               -1.20%
      11/04     52,129,276.00          -1,717,012.00               -3.19%
      11/05     57,503,360.00           5,374,084.00               10.31%
      11/06     56,180,576.00          -1,322,784.00               -2.30%
      11/07     61,134,640.00           4,954,064.00                8.82%
      11/08     58,449,592.00          -2,685,048.00               -4.39%
      11/09     56,949,700.00          -1,499,892.00               -2.57%
      11/10     66,883,584.00           9,933,884.00               17.44%
      11/11     66,290,856.00            -592,728.00               -0.89%
      11/12     66,463,244.00             172,388.00                0.26%
      12/01     65,759,240.00            -704,004.00               -1.06%
      12/02     69,866,200.00           4,106,960.00                6.25%
      12/03     70,875,888.00           1,009,688.00                1.45%
      12/04     70,525,776.00            -350,112.00               -0.49%
      12/05     74,655,408.00           4,129,632.00                5.86%
      12/06     80,144,720.00           5,489,312.00                7.35%
      12/07     75,791,648.00          -4,353,072.00               -5.43%
      12/08     76,183,504.00             391,856.00                0.52%
      12/09     77,705,024.00           1,521,520.00                2.00%
      12/10     77,670,328.00             -34,696.00               -0.04%
      12/11     72,666,016.00          -5,004,312.00               -6.44%
      12/12     71,387,952.00          -1,278,064.00               -1.76%
      13/01     76,095,968.00           4,708,016.00                6.59%
      13/02     75,821,632.00            -274,336.00               -0.36%
      13/03     78,410,424.00           2,588,792.00                3.41%
      13/04     84,642,840.00           6,232,416.00                7.95%
      13/05     84,725,824.00              82,984.00                0.10%
      13/06     87,289,760.00           2,563,936.00                3.03%
      13/07     87,426,816.00             137,056.00                0.16%
      13/08     85,677,856.00          -1,748,960.00               -2.00%
      13/09     86,032,608.00             354,752.00                0.41%
      13/10     87,084,944.00           1,052,336.00                1.22%
      13/11     89,548,664.00           2,463,720.00                2.83%
      13/12     88,173,040.00          -1,375,624.00               -1.54%
      14/01     94,104,736.00           5,931,696.00                6.73%
      14/02     97,331,528.00           3,226,792.00                3.43%
      14/03     94,538,064.00          -2,793,464.00               -2.87%
      14/04     95,207,344.00             669,280.00                0.71%
      14/05     96,789,552.00           1,582,208.00                1.66%