TDX · 成长100 专属策略 细网格定版（WUP + 移动止损9% + 保本5%）
{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%