📈 T+10 10-day swing Equity Curve
⚠ 先讀呢段：呢條曲線唔係你可以達到嘅回報。
2003 單係機械喺 2036 個交易日內產生嘅訊號， 即係平均每日 1.0 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。
2003 單係機械喺 2036 個交易日內產生嘅訊號， 即係平均每日 1.0 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+10 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 2003 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+10 +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$9,102,622
Total Return
+810.26%
Max Drawdown
-20.58%
Calmar (ann.)
+1.32
Trades Taken
2003 / 6675
Skipped (slot full)
4672
Win Rate
61.2%
Avg PnL/trade
+US$4,045
Equity Curve (2017-07-19 → 2026-10-01, 2036 days)
📋 Daily equity (last 60 days, 2036 total rows)
| Date | Equity (US$) | Open positions | Drawdown % |
|---|---|---|---|
| 2026-07-07 | US$8,795,106 | 10 | 0.0% |
| 2026-07-08 | US$8,797,025 | 10 | 0.0% |
| 2026-07-09 | US$8,797,025 | 10 | 0.0% |
| 2026-07-10 | US$8,826,269 | 9 | 0.0% |
| 2026-07-13 | US$9,004,189 | 5 | 0.0% |
| 2026-07-14 | US$9,004,189 | 5 | 0.0% |
| 2026-07-15 | US$9,081,285 | 9 | 0.0% |
| 2026-07-16 | US$9,081,285 | 10 | 0.0% |
| 2026-07-17 | US$9,076,204 | 10 | -0.05595221159309105% |
| 2026-07-20 | US$9,095,803 | 9 | 0.0% |
| 2026-07-21 | US$9,092,253 | 9 | -0.03903206799565906% |
| 2026-07-22 | US$9,084,838 | 8 | -0.12054922513344835% |
| 2026-07-23 | US$9,084,838 | 10 | -0.12054922513344835% |
| 2026-07-27 | US$9,084,838 | 10 | -0.12054922513344835% |
| 2026-07-28 | US$9,084,838 | 10 | -0.12054922513344835% |
| 2026-07-29 | US$8,941,617 | 7 | -1.6951373123246238% |
| 2026-07-30 | US$8,909,665 | 8 | -2.0464110822752457% |
| 2026-07-31 | US$8,853,028 | 9 | -2.66908760887552% |
| 2026-08-03 | US$8,853,028 | 10 | -2.66908760887552% |
| 2026-08-04 | US$8,853,178 | 10 | -2.667438386695853% |
| 2026-08-05 | US$8,853,178 | 10 | -2.667438386695853% |
| 2026-08-06 | US$8,861,970 | 10 | -2.570782049382947% |
| 2026-08-07 | US$8,861,970 | 10 | -2.570782049382947% |
| 2026-08-10 | US$8,861,970 | 10 | -2.570782049382947% |
| 2026-08-11 | US$8,861,970 | 10 | -2.570782049382947% |
| 2026-08-12 | US$9,007,761 | 8 | -0.9679452192443483% |
| 2026-08-13 | US$8,997,871 | 6 | -1.0766748171986862% |
| 2026-08-14 | US$9,078,267 | 4 | -0.19279639255422865% |
| 2026-08-17 | US$9,081,330 | 3 | -0.15911800253078923% |
| 2026-08-18 | US$9,114,277 | 2 | 0.0% |
| 2026-08-19 | US$9,114,277 | 2 | 0.0% |
| 2026-08-20 | US$9,187,937 | 1 | 0.0% |
| 2026-08-21 | US$9,187,937 | 2 | 0.0% |
| 2026-08-24 | US$9,187,937 | 3 | 0.0% |
| 2026-08-25 | US$9,187,937 | 4 | 0.0% |
| 2026-08-27 | US$9,187,937 | 8 | 0.0% |
| 2026-08-28 | US$9,175,882 | 9 | -0.1312005113661585% |
| 2026-08-31 | US$9,175,882 | 10 | -0.1312005113661585% |
| 2026-09-01 | US$9,175,882 | 10 | -0.1312005113661585% |
| 2026-09-02 | US$9,175,882 | 10 | -0.1312005113661585% |
| 2026-09-03 | US$9,175,882 | 10 | -0.1312005113661585% |
| 2026-09-04 | US$9,211,677 | 10 | 0.0% |
| 2026-09-08 | US$9,167,188 | 10 | -0.48296697526795107% |
| 2026-09-09 | US$9,023,163 | 10 | -2.04647590863436% |
| 2026-09-10 | US$9,023,163 | 10 | -2.04647590863436% |
| 2026-09-11 | US$8,965,778 | 10 | -2.669430850871335% |
| 2026-09-14 | US$8,898,889 | 10 | -3.3955633092694226% |
| 2026-09-15 | US$8,873,986 | 10 | -3.6659038645931896% |
| 2026-09-16 | US$8,873,986 | 10 | -3.6659038645931896% |
| 2026-09-17 | US$8,873,986 | 10 | -3.6659038645931896% |
| 2026-09-18 | US$8,873,986 | 10 | -3.6659038645931896% |
| 2026-09-21 | US$8,873,915 | 9 | -3.6666732141531266% |
| 2026-09-22 | US$8,955,934 | 8 | -2.776299659975301% |
| 2026-09-23 | US$8,919,843 | 5 | -3.168094532914756% |
| 2026-09-24 | US$8,919,843 | 5 | -3.168094532914756% |
| 2026-09-25 | US$8,968,147 | 2 | -2.643719138642109% |
| 2026-09-28 | US$8,938,368 | 1 | -2.966989684417387% |
| 2026-09-29 | US$9,102,622 | 0 | -1.183887630386049% |
| 2026-09-30 | US$9,102,622 | 0 | -1.183887630386049% |
| 2026-10-01 | US$9,102,622 | 0 | -1.183887630386049% |
Methodology
- Universe: 6675 T+10 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: 10 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 / 6675 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 · 6675 T+10 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