趋势翻转 (ETH·30m)

Officialv2

Anny Trend Flip 原型 30 分钟版:EMA21/55 死叉 + regime 做空,金叉离场,TP6%/SL2%,仓位 85%。MEXC 口径,1 年;不含资金费。本官方实测(MEXC 市价费率 0.02%/边+滑点 0.03%/边·1 年窗口):+46.5%、Sharpe 1.61、回撤 19.8%、140 笔、PF 1.339。

Published 2026-09-19 16:39:05#short#trend#eth

10Quant 官方官方甄选策略 · 经过 1:1 文献复现与真实成本回测验证

Backtest snapshot

R-based system performance

Closed trades only. R = net PnL ÷ initial stop risk; fees are already deducted. Drawdown uses the closed-trade R curve, not intratrade equity. SQN uses sample standard deviation.

Total R: 24.57 R
Expectancy / trade: 0.18 R
Closed-trade drawdown: 12.29 R
SQN: 1.55
Profit factor (R): 1.44
Closed trades: 140

Strategy performance

Net PnL	$4,651.69
Return	46.52%
CAGR	46.83%
Max drawdown	19.77%
Sharpe	1.61
Profit factor	1.34
Trade freq	0.39

Win rate	32.86%
Avg hold	21.5h
Avg margin/trade	$12,161.44
Initial equity	$10,000.00
Total fees	$679.97
Final equity	$14,651.69

Backtest parameters

Symbol / timeframe	ETHUSDT · 30m
Bars	17616
Window	2025-09-19 ~ 2026-09-17
Leverage	1×
Cost model	Fee 2bp · Slippage 3bp

Spec summary

Universe	binanceETHUSDT30mShort
Entry	current Exponential MA(21) crosses below Exponential MA(55) AND current close is less than SMA(100)
Exit	current Exponential MA(21) crosses above Exponential MA(55)
Position	Order margin 10000 USDT · leverage 1× Stop-loss 2 price %Take-profit 6 price %

The strategy logic is fully open — anyone can read the complete rules and clone them.