通道极慢 (XRP·5m)
Officialv2唐奇安(144 根=12小时) 下破 + 价<SMA288 做空、上沿回补,TP9%/SL2.5%,0.65 仓。 5 分钟级 regime 骑手(空头,参数经七轮矩阵+TP/SL 网格+仓位扫参选定)。费用口径 MEXC 市价 0.02%/边+滑点 0.03%/边,1 年窗口;不含资金费。本官方实测:+37.8%、Sharpe 1.25、回撤 18.7%、213 笔、PF 1.272。
Published 2026-09-19 16:37:55#short#breakout#xrp
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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
- 22.28 R
- Expectancy / trade
- 0.1 R
- Closed-trade drawdown
- 10.52 R
- SQN
- 1.31
- Profit factor (R)
- 1.3
- Closed trades
- 213
Strategy performance
| Net PnL | $3,781.11 |
|---|---|
| Return | 37.81% |
| CAGR | 38.05% |
| Max drawdown | 18.74% |
| Sharpe | 1.25 |
| Profit factor | 1.27 |
| Trade freq | 0.59 |
| Win rate | 39.91% |
|---|---|
| Avg hold | 19.8h |
| Avg margin/trade | $7,585.40 |
| Initial equity | $10,000.00 |
| Total fees | $645.38 |
| Final equity | $13,781.11 |
Backtest parameters
| Symbol / timeframe | XRPUSDT · 5m |
|---|---|
| Bars | 105408 |
| Window | 2025-09-19 ~ 2026-09-17 |
| Leverage | 1× |
| Cost model | Fee 2bp · Slippage 3bp |
Spec summary
| Universe | binanceXRPUSDT5mShort |
|---|---|
| Entry | current close crosses below Donchian Channel(144)·Lower (prior bars) AND current close is less than SMA(288) |
| Exit | current close is greater than Donchian Channel(144)·Upper (prior bars) |
| Position | Order margin 10000 USDT · leverage 1× Stop-loss 2.5 price %Take-profit 9 price % |
The strategy logic is fully open — anyone can read the complete rules and clone them.