Walk-Forward验证报告
2026-08-26 | 313只 | 训练60% → 测试40% | ETF/个股分开
⚠ 重要说明: 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。
Walk-Forward已消除前视偏差(训练集选参数→测试集验证), 但样本外表现仍依赖市场环境。
ETF Walk-Forward结果
| 轮次 | 策略 | 收益 | MDD | 胜率 | PLR | 轮数 | Sharpe |
|---|
| R1_WF | CTA1 | 25.6% | 26.8% | 41.4% | 2.38 | 20 | 1.29 |
| shi | 22.8% | 27.1% | 42.3% | 1.96 | 19 | 0.92 |
| BBI_std | 19.6% | 32.3% | 37.0% | 2.88 | 22 | 0.92 |
| CTA5 | 18.5% | 33.1% | 34.8% | 2.74 | 21 | 0.72 |
| CTA7 | 15.8% | 22.7% | 34.3% | 2.80 | 15 | 0.66 |
| xih5 | 15.7% | 20.1% | 50.0% | 1.64 | 12 | 0.69 |
| xihuo | 13.5% | 18.7% | 56.6% | 1.31 | 10 | 0.68 |
| CTA3 | 11.7% | 24.0% | 46.4% | 1.83 | 25 | 1.27 |
| R2_WF | GB+BBI_std | 96.1% | 14.9% | 53.8% | 4.88 | 13 | 6.45 |
| BBI_std+CTA3 | 91.7% | 15.3% | 100.0% | - | 2 | 5.98 |
| CTA3+CTA5 | 83.0% | 15.3% | 100.0% | - | 2 | 5.41 |
| CTA1+CTA5 | 79.2% | 15.3% | 100.0% | - | 2 | 5.17 |
| MX3+BBI_std | 71.2% | 34.9% | 35.8% | 4.99 | 18 | 2.13 |
| CTA1+CTA7 | 62.1% | 17.4% | 100.0% | 1.93 | 2 | 3.56 |
| CTA3+CTA7 | 62.1% | 17.4% | 100.0% | 1.34 | 2 | 3.56 |
| CTA5+CTA7 | 62.1% | 17.4% | 100.0% | - | 2 | 3.56 |
| R3_WF | GB+MX3+CTA7 | 152.8% | 13.1% | 60.0% | 21.69 | 5 | 11.70 |
| GB+BBI_std+CTA7 | 104.0% | 13.1% | 60.0% | 31.42 | 5 | 7.96 |
| GB+BBI_std+CTA3 | 96.1% | 14.9% | 53.8% | 4.88 | 13 | 6.45 |
| GB+BBI_std+CTA5 | 96.1% | 14.9% | 53.8% | 4.88 | 13 | 6.45 |
| GB+MX3+CTA3 | 90.1% | 22.1% | 33.3% | 6.86 | 15 | 4.08 |
| GB+MX3+CTA5 | 90.1% | 22.1% | 33.3% | 6.86 | 15 | 4.08 |
| BBI_std+CTA7+CTA2 | 82.8% | 12.2% | 36.4% | 12.27 | 11 | 6.76 |
| BBI_std+CTA7+CTA6 | 82.8% | 12.2% | 36.4% | 12.27 | 11 | 6.76 |
| R5_WF | GB+BBI_std_卖GS | 96.1% | 14.9% | 53.8% | 4.88 | 13 | 6.45 |
| CTA3+CTA7_止损5% | 92.4% | 10.1% | 66.7% | 113.86 | 3 | 9.16 |
| CTA1+CTA6_卖zhong | 91.4% | 21.0% | 66.7% | 1.35 | 48 | 4.35 |
| GB+MX3_卖GS | 90.1% | 22.1% | 33.3% | 6.86 | 15 | 4.08 |
| CTA1+CTA7_卖S1 | 89.5% | 10.8% | 50.0% | 11.04 | 4 | 8.30 |
| CTA3+CTA7_卖S1 | 89.5% | 10.8% | 50.0% | 11.04 | 4 | 8.30 |
| CTA1+CTA7_止损5% | 89.5% | 10.1% | 50.0% | 27.81 | 4 | 8.87 |
| CTA5+CTA7_止损5% | 88.1% | 14.1% | 50.0% | 11.29 | 6 | 6.26 |
| R6_WF | CTA5_强牛 | 86.1% | 20.6% | 100.0% | - | 2 | 4.18 |
| BBI_std_强牛 | 66.9% | 17.7% | 100.0% | - | 2 | 3.62 |
| BBI_std_弱牛 | 62.7% | 36.0% | 42.2% | 3.60 | 22 | 1.83 |
| CTA7_强牛 | 62.1% | 23.3% | 74.0% | 2.94 | 14 | 3.06 |
| CTA5_弱牛 | 60.2% | 34.4% | 40.2% | 3.52 | 21 | 1.79 |
| CTA3_强牛 | 50.1% | 20.6% | 74.2% | 1.15 | 16 | 1.88 |
| CTA1_强牛 | 45.5% | 25.9% | 49.7% | 3.18 | 29 | 1.69 |
| shi_强牛 | 37.9% | 15.2% | 52.0% | 1.63 | 25 | 1.65 |
个股 Walk-Forward结果
| 轮次 | 策略 | 收益 | MDD | 胜率 | PLR | 轮数 | Sharpe |
|---|
| R1_WF | MX3 | 60.2% | 46.4% | 48.3% | 2.27 | 28 | 1.30 |
| B1 | 40.2% | 41.5% | 41.3% | 2.73 | 24 | 1.17 |
| CTA2 | 39.4% | 37.8% | 42.9% | 2.51 | 24 | 1.72 |
| CTA6 | 38.9% | 36.7% | 43.8% | 2.23 | 26 | 1.77 |
| CTA7 | 38.7% | 34.1% | 40.0% | 2.27 | 13 | 1.02 |
| CTA3 | 34.1% | 35.8% | 41.8% | 2.60 | 14 | 1.01 |
| CTA5 | 30.2% | 40.2% | 37.5% | 2.75 | 18 | 0.85 |
| BBI_std | 25.8% | 37.5% | 34.4% | 2.79 | 14 | 0.74 |
| R2_WF | MX3+CTA6 | 151.2% | 46.7% | 42.4% | 3.88 | 33 | 4.13 |
| lahgao+CTA7 | 117.1% | 15.8% | 66.7% | 5.01 | 9 | 7.43 |
| MX3+BBI_std | 107.0% | 36.4% | 39.8% | 3.37 | 28 | 2.10 |
| lahgao+MX3 | 85.9% | 21.3% | 60.0% | 3.16 | 10 | 4.03 |
| MX3+CTA5 | 82.5% | 41.5% | 49.2% | 2.27 | 30 | 2.07 |
| BBI_std+CTA5 | 75.7% | 29.5% | 41.7% | 3.31 | 31 | 2.21 |
| lahgao+shi | 67.1% | 24.3% | 46.6% | 6.95 | 4 | 2.83 |
| GB+CTA2 | 61.5% | 31.8% | 32.0% | 4.36 | 20 | 1.47 |
| R3_WF | BBI_std+CTA3+CTA6 | 418.0% | 29.6% | 37.8% | 6.68 | 37 | 13.18 |
| BBI_std+CTA3+CTA5 | 365.6% | 42.2% | 37.4% | 6.22 | 42 | 9.10 |
| BBI_std+CTA3+CTA1 | 285.5% | 25.7% | 38.6% | 8.86 | 32 | 11.48 |
| BBI_std+CTA3+MX3 | 284.9% | 39.0% | 40.0% | 6.05 | 36 | 8.33 |
| BBI_std+CTA3+MX6 | 271.5% | 31.2% | 41.0% | 6.45 | 23 | 7.71 |
| BBI_std+CTA3+B1 | 237.2% | 36.2% | 39.5% | 6.08 | 32 | 7.98 |
| BBI_std+CTA3+CTA7 | 204.4% | 35.0% | 41.0% | 8.96 | 25 | 8.70 |
| MX3+CTA6+CTA1 | 189.9% | 31.4% | 42.2% | 4.01 | 28 | 6.64 |
| R5_WF | BBI_std+CTA3_卖GS | 385.4% | 41.5% | 38.0% | 6.04 | 42 | 9.35 |
| BBI_std+CTA3_卖S1 | 261.2% | 36.5% | 40.2% | 3.80 | 58 | 6.82 |
| BBI_std+CTA3_卖zhong | 205.4% | 38.6% | 55.6% | 2.07 | 42 | 5.53 |
| BBI_std+CTA3_止损8% | 199.7% | 36.6% | 36.8% | 4.98 | 48 | 6.26 |
| BBI_std+CTA3_止损5% | 196.5% | 34.5% | 37.0% | 3.87 | 51 | 5.33 |
| MX6+CTA1_止损3% | 193.6% | 10.4% | 75.0% | 2.97 | 12 | 18.65 |
| BBI_std+CTA3_止损3% | 181.6% | 32.6% | 37.8% | 3.70 | 56 | 5.23 |
| MX3+CTA5_止损3% | 180.4% | 24.4% | 43.0% | 2.82 | 56 | 6.56 |
| R6_WF | CTA6_强牛 | 217.0% | 43.8% | 47.8% | 2.90 | 29 | 3.83 |
| BBI_std_强牛 | 131.9% | 35.4% | 40.0% | 3.81 | 32 | 2.50 |
| MX3_强牛 | 120.0% | 48.0% | 50.0% | 2.85 | 32 | 2.89 |
| B1_强牛 | 119.8% | 40.4% | 43.7% | 2.60 | 32 | 3.39 |
| CTA1_强牛 | 104.7% | 33.7% | 48.1% | 3.00 | 27 | 3.59 |
| CTA2_强牛 | 92.0% | 35.4% | 40.0% | 4.28 | 33 | 2.32 |
| xih5_强牛 | 90.0% | 33.8% | 62.5% | 3.16 | 13 | 2.82 |
| CTA5_强牛 | 89.0% | 45.6% | 42.0% | 3.37 | 32 | 2.07 |
最终策略建议
ETF 策略库
| 策略 | 收益 | MDD | Sharpe |
|---|
| GB+BBI_std | 96.1% | 14.9% | 6.45 |
| BBI_std+CTA3 | 91.7% | 15.3% | 5.98 |
| CTA1 | 25.6% | 26.8% | 1.29 |
个股 策略库
| 策略 | 收益 | MDD | Sharpe |
|---|
| BBI_std+CTA3+CTA6 | 418.0% | 29.6% | 13.18 |
| lahgao+CTA7 | 117.1% | 15.8% | 7.43 |
| MX3+CTA6 | 151.2% | 46.7% | 4.13 |
指标说明
4大基础系统: 时空BS(B1/S1) + GS修正链(GB/GS) + 主力全景(xihuo/lahgao/chuhuo/shi/zhong) + 机构活跃度(MX3/MX6/yaog)
BBI: 多空均线金叉(BBI_std) - bbi_vs_gs.py
CTA系列: 筹码控盘指标(CTA1-CTA11) - chouma_kongpan.py
Walk-Forward验证报告 | 2026-08-26 | 313只A股/ETF