ATR波动突破 (XRP)
Officialv3ATR波动突破 (XRP)(存量官方策略,MEXC 成本口径刷新):本官方实测(MEXC 市价费率 0.02%/边+滑点 0.03%/边·3 年):+280.5%、Sharpe 1.21、回撤 30.4%、16 笔、PF 4.758。
Published 2026-09-22 13:43:13#breakout#xrpusdt
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10Quant官方甄选策略 · 经过 1:1 文献复现与真实成本回测验证
Backtest snapshot
R-based system performance
- Win Rate
- 43.75%
- Profit Factor
- 4.76
- Expectancy / trade
- $1,752.91
- Closed trades
- 16
Strategy performance
| Net PnL | $28,046.52 |
|---|---|
| Return | 280.47% |
| CAGR | 56.24% |
| Max drawdown | 30.4% |
| Sharpe | 1.21 |
| Profit factor | 4.76 |
| Trade freq | 0.01 |
| Win rate | 43.75% |
|---|---|
| Avg hold | 14.1d |
| Avg margin/trade | $10,003.00 |
| Initial equity | $10,000.00 |
| Total fees | $69.64 |
| Final equity | $38,046.52 |
Backtest parameters
| Symbol / timeframe | XRPUSDT · 1d |
|---|---|
| Bars | 1114 |
| Window | 2023-09-20 ~ 2026-09-17 |
| Leverage | 1× |
| Cost model | Fee 2bp · Slippage 3bp |
Spec summary
| Universe | binanceXRPUSDT1dLong |
|---|---|
| Entry | current close crosses above Keltner Channel(14,1.5,20)·Upper |
| Exit | current close crosses below Keltner Channel(14,1.5,20)·Middle |
| Position | Order margin 10000 USDT · leverage 1× Stop-loss Not set |
The strategy logic is fully open — anyone can read the complete rules and clone them.