ST 双向骑手 (SOL·5m)

Officialv3

SuperTrend(60,10) regime 双向,TP8%/SL2%,0.75 仓。 5 分钟级 regime 骑手(多空双向,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:+54.6%、Sharpe 1.55、回撤 18.6%、202 笔、PF 1.294。

Published 2026-09-19 16:47:29#dual#trend#sol

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: 35.46 R
Expectancy / trade: 0.18 R
Closed-trade drawdown: 11.67 R
SQN: 1.61
Profit factor (R): 1.37
Closed trades: 202

Strategy performance

Net PnL	$5,940.77
Return	54.6%
CAGR	54.97%
Max drawdown	18.58%
Sharpe	1.55
Profit factor	1.29
Trade freq	0.56

Win rate	37.13%
Avg hold	18.4h
Avg margin/trade	$11,145.35
Initial equity	$10,880.15
Total fees	$898.00
Final equity	$16,820.92

Backtest parameters

Symbol / timeframe	SOLUSDT · 5m
Bars	105696
Window	2025-09-19 ~ 2026-09-17
Leverage	1×
Cost model	Fee 2bp · Slippage 3bp

Spec summary

Universe	binanceSOLUSDT5mBoth
Entry	current Supertrend(10,60)·Direction crosses above 0 AND current close is greater than SMA(500)
Exit	current Supertrend(10,60)·Direction is less than 0
Position	Order margin 10000 USDT · leverage 1× Stop-loss 2 price %Take-profit 8 price %

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