通道空头 (ETH·30m)
Officialv2唐奇安 20 通道下破 + 价<SMA100 regime 做空,通道上沿回补,TP5%/SL2.5%,仓位 65%。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):+35.0%、Sharpe 1.43、回撤 19.1%、181 笔、PF 1.235。
Published 2026-09-19 16:39:34#short#breakout#eth
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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
- 20.23 R
- Expectancy / trade
- 0.11 R
- Closed-trade drawdown
- 12.9 R
- SQN
- 1.37
- Profit factor (R)
- 1.29
- Closed trades
- 181
Strategy performance
| Net PnL | $3,499.70 |
|---|---|
| Return | 35% |
| CAGR | 35.22% |
| Max drawdown | 19.07% |
| Sharpe | 1.43 |
| Profit factor | 1.23 |
| Trade freq | 0.50 |
| Win rate | 39.23% |
|---|---|
| Avg hold | 16.3h |
| Avg margin/trade | $8,435.59 |
| Initial equity | $10,000.00 |
| Total fees | $609.92 |
| Final equity | $13,499.70 |
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 close crosses below Donchian Channel(20)·Lower (prior bars) AND current close is less than SMA(100) |
| Exit | current close is greater than Donchian Channel(20)·Upper (prior bars) |
| Position | Order margin 10000 USDT · leverage 1× Stop-loss 2.5 price %Take-profit 5 price % |
The strategy logic is fully open — anyone can read the complete rules and clone them.