📈 T+1 day-trade Equity Curve
⚠ 先讀呢段：呢條曲線唔係你可以達到嘅回報。
6042 單係機械喺 1952 個交易日內產生嘅訊號， 即係平均每日 3.1 單。 入場係掛 S1 限價單，但模擬假設每個訊號都以 S1 精確成交。 持倉期越短 → 單數越多 → 曲線越靚。呢個係供給假設嘅產物， 唔係 alpha。真人執行唔會有呢個成交率。
6042 單係機械喺 1952 個交易日內產生嘅訊號， 即係平均每日 3.1 單。 入場係掛 S1 限價單，但模擬假設每個訊號都以 S1 精確成交。 持倉期越短 → 單數越多 → 曲線越靚。呢個係供給假設嘅產物， 唔係 alpha。真人執行唔會有呢個成交率。
Fixed-capital simulation of the T+1 strategy. Initial capital US$1,000,000, 1% risk per trade, max 10 concurrent positions. Daily mark-to-market.
2026-10-07 — 數據源已更換，呢頁嘅歷史數字全部作廢。
呢四頁原本讀
data/monthly_backtest/，嗰個係舊版 v1 swing/day-trade 引擎
（固定 −2/−5/−7/−10% 止損、+2/+5/+10/+15% 目標），完全冇涉及 v2 ——
而本頁面現時描述嘅規則明確寫住「冇目標價」。用呢啲數字去揀持倉期，等於用另一套策略嘅結果。
而家改由 scripts/v2_equity_export.py 用現行 v2 規則重算。
讀呢條曲線之前，請先睇交易筆數。
本頁 6042 單係機器喺 9 年內產生嘅，唔係你會做到嘅單數。
入場係掛 S1 限價單，但模擬假設每個訊號都以 S1 精確成交。
持倉期越短，單數越多、曲線越靚 —— 呢個係供給假設嘅產物，唔係 alpha。
只有 T+10（現行引擎規則） 嘅回報同已發布嘅組合測試同源。組合測試嗰邊：美股 v2 +25.6% vs 等權持有 +24.6%，0.25% 成本口徑下差 1.0 點/年 —— 但呢個唔係一個穩定嘅優勢：2016–20 係 +3.7 點、2021–26 係 -2.4 點，全期數字會變號，代表差額由單一 regime 決定，唔應該當成持久 alpha 去引用。
絕對水平仍然帶靜態倖存者偏差（今日名單倒套 9 年），
可比較嘅只有四條曲線之間嘅關係。
2026-09-11 update (Astra/Grok review fix): The backtest page previously showed "T+1 +X%" as the sum of per-trade percentages. That figure is not a portfolio return — it assumes 100% capital in every trade simultaneously. This page is the honest fixed-capital simulation with position sizing, concurrent-cap, and daily mark-to-market.
Initial Capital
US$1,000,000
Final Equity
US$171,398,522
Total Return
+17039.85%
Max Drawdown
-10.77%
Calmar (ann.)
+6.95
Trades Taken
6042 / 6714
Skipped (slot full)
672
Win Rate
68.5%
Avg PnL/trade
+US$28,202
Equity Curve (2017-07-19 → 2026-10-01, 1952 days)
📋 Daily equity (last 60 days, 1952 total rows)
| Date | Equity (US$) | Open positions | Drawdown % |
|---|---|---|---|
| 2026-06-30 | US$145,323,132 | 2 | 0.0% |
| 2026-07-01 | US$145,546,256 | 1 | 0.0% |
| 2026-07-02 | US$145,750,673 | 3 | 0.0% |
| 2026-07-06 | US$146,378,793 | 1 | 0.0% |
| 2026-07-07 | US$146,787,647 | 5 | 0.0% |
| 2026-07-08 | US$148,552,665 | 2 | 0.0% |
| 2026-07-09 | US$150,082,760 | 2 | 0.0% |
| 2026-07-10 | US$150,813,168 | 0 | 0.0% |
| 2026-07-15 | US$150,813,168 | 5 | 0.0% |
| 2026-07-16 | US$150,328,168 | 5 | -0.3215898827832686% |
| 2026-07-17 | US$149,425,584 | 3 | -0.9200679217560292% |
| 2026-07-20 | US$149,841,008 | 0 | -0.6446121670136695% |
| 2026-07-21 | US$149,841,008 | 1 | -0.6446121670136695% |
| 2026-07-22 | US$150,186,338 | 0 | -0.41563346792726774% |
| 2026-07-23 | US$150,186,338 | 3 | -0.41563346792726774% |
| 2026-07-24 | US$150,595,427 | 0 | -0.1443778371439164% |
| 2026-07-27 | US$150,595,427 | 5 | -0.1443778371439164% |
| 2026-07-28 | US$150,598,604 | 10 | -0.1422715025025889% |
| 2026-07-29 | US$149,427,137 | 2 | -0.9190383365936583% |
| 2026-07-30 | US$150,648,720 | 2 | -0.1090407901685575% |
| 2026-07-31 | US$150,848,374 | 3 | 0.0% |
| 2026-08-03 | US$151,159,825 | 4 | 0.0% |
| 2026-08-04 | US$151,942,037 | 6 | 0.0% |
| 2026-08-05 | US$154,428,104 | 3 | 0.0% |
| 2026-08-06 | US$154,450,004 | 2 | 0.0% |
| 2026-08-07 | US$154,860,352 | 1 | 0.0% |
| 2026-08-10 | US$155,126,860 | 1 | 0.0% |
| 2026-08-11 | US$155,223,572 | 2 | 0.0% |
| 2026-08-12 | US$154,938,480 | 0 | -0.1836652552398066% |
| 2026-08-14 | US$154,938,480 | 1 | -0.1836652552398066% |
| 2026-08-17 | US$154,836,623 | 0 | -0.24928485062896133% |
| 2026-08-21 | US$154,836,623 | 1 | -0.24928485062896133% |
| 2026-08-24 | US$155,002,510 | 1 | -0.14241533481276214% |
| 2026-08-25 | US$155,102,924 | 2 | -0.07772564973291818% |
| 2026-08-26 | US$155,490,497 | 0 | 0.0% |
| 2026-08-27 | US$155,490,497 | 4 | 0.0% |
| 2026-08-28 | US$155,083,026 | 2 | -0.26205527519571614% |
| 2026-08-31 | US$154,965,706 | 5 | -0.33750688941699414% |
| 2026-09-01 | US$154,164,541 | 8 | -0.8527567632657718% |
| 2026-09-02 | US$156,049,331 | 10 | 0.0% |
| 2026-09-03 | US$160,605,139 | 10 | 0.0% |
| 2026-09-04 | US$167,340,916 | 1 | 0.0% |
| 2026-09-08 | US$167,214,745 | 2 | -0.07539727478927949% |
| 2026-09-09 | US$167,589,485 | 5 | 0.0% |
| 2026-09-10 | US$167,624,680 | 4 | 0.0% |
| 2026-09-11 | US$168,428,406 | 6 | 0.0% |
| 2026-09-14 | US$169,371,916 | 9 | 0.0% |
| 2026-09-15 | US$169,534,530 | 10 | 0.0% |
| 2026-09-16 | US$169,246,942 | 6 | -0.16963396750209192% |
| 2026-09-17 | US$170,244,850 | 6 | 0.0% |
| 2026-09-18 | US$170,281,340 | 8 | 0.0% |
| 2026-09-21 | US$170,644,335 | 3 | 0.0% |
| 2026-09-22 | US$171,344,993 | 3 | 0.0% |
| 2026-09-23 | US$170,662,603 | 5 | -0.39825498769988643% |
| 2026-09-24 | US$170,799,132 | 6 | -0.3185740482286259% |
| 2026-09-25 | US$172,248,494 | 3 | 0.0% |
| 2026-09-28 | US$171,396,578 | 4 | -0.4945850279400199% |
| 2026-09-29 | US$171,619,535 | 7 | -0.3651462819794782% |
| 2026-09-30 | US$171,454,817 | 1 | -0.46077433456538364% |
| 2026-10-01 | US$171,398,522 | 0 | -0.49345658846294826% |
Methodology
- Universe: 6714 T+1 signals from 2017-07-19 to 2026-10-01
- Initial capital: US$1,000,000
- Risk per trade: 1% of equity (position sized to stop distance)
- Max concurrent: 10 positions; if full, signal skipped
- Holding period: 1 trading days; exit at end OR at stop/target (already in return_pct)
- Costs: HK 0.25% round-trip already deducted from return_pct by source backtest
- Mark-to-market: daily equity = cash + sum(open position value at current return_pct)
- Calmar: annualized return / max drawdown
Caveats
- No slippage, no liquidity filter, no shortable filter (long-only assumption)
- "Today's top-200 universe" used historically (selection bias — see methodology)
- 6mo / 6714 signals — sample still small; multiple testing concerns
- Best config from 9-config tune: 1% risk × 5 cap (locked 2026-09-11). Other configs range from -0.8% to +1.1%.
Source: data/v2_equity_trades.json · v2 rule set (portfolio_test.walk) · exported 2026-10-18 · 6714 T+1 signals · 本頁係 v2 引擎，同 /methodology.html 同 /backtest.html 用同一套規則；唔係舊版 v1 swing/day-trade 系統