ST 门控骑手 (ADA·5m)
Officialv2SuperTrend(30,6) 翻空 + 价<SMA480(2天 regime) 做空、翻多离场,TP6%/SL2%,全仓。 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:+73.6%、Sharpe 1.64、回撤 16.5%、246 笔、PF 1.260。
Published 2026-09-19 16:55:32#short#trend#ada
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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
- 31.18 R
- Expectancy / trade
- 0.13 R
- Closed-trade drawdown
- 8.08 R
- SQN
- 1.63
- Profit factor (R)
- 1.32
- Closed trades
- 246
Strategy performance
| Net PnL | $7,357.34 |
|---|---|
| Return | 73.57% |
| CAGR | 74.1% |
| Max drawdown | 16.46% |
| Sharpe | 1.64 |
| Profit factor | 1.26 |
| Trade freq | 0.68 |
| Win rate | 36.59% |
|---|---|
| Avg hold | 9.6h |
| Avg margin/trade | $14,546.98 |
| Initial equity | $10,000.00 |
| Total fees | $1,429.67 |
| Final equity | $17,357.34 |
Backtest parameters
| Symbol / timeframe | ADAUSDT · 5m |
|---|---|
| Bars | 105408 |
| Window | 2025-09-19 ~ 2026-09-17 |
| Leverage | 1× |
| Cost model | Fee 2bp · Slippage 3bp |
Spec summary
| Universe | binanceADAUSDT5mShort |
|---|---|
| Entry | current Supertrend(6,30)·Direction crosses below 0 AND current close is less than SMA(480) |
| Exit | current Supertrend(6,30)·Direction is greater than 0 |
| 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.