📈 T+3 3-day swing Equity Curve
⚠ 先讀呢段：呢條曲線唔係你可以達到嘅回報。
4131 單係機械喺 2003 個交易日內產生嘅訊號， 即係平均每日 2.1 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。
4131 單係機械喺 2003 個交易日內產生嘅訊號， 即係平均每日 2.1 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+3 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 4131 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+3 +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$33,246,785
Total Return
+3224.68%
Max Drawdown
-15.96%
Calmar (ann.)
+2.90
Trades Taken
4131 / 6706
Skipped (slot full)
2575
Win Rate
62.6%
Avg PnL/trade
+US$7,806
Equity Curve (2017-07-19 → 2026-10-01, 2003 days)
📋 Daily equity (last 60 days, 2003 total rows)
| Date | Equity (US$) | Open positions | Drawdown % |
|---|---|---|---|
| 2026-07-06 | US$29,298,835 | 5 | 0.0% |
| 2026-07-07 | US$29,299,914 | 9 | 0.0% |
| 2026-07-08 | US$29,428,042 | 8 | 0.0% |
| 2026-07-09 | US$29,545,031 | 9 | 0.0% |
| 2026-07-10 | US$30,040,865 | 4 | 0.0% |
| 2026-07-13 | US$30,242,937 | 2 | 0.0% |
| 2026-07-14 | US$30,477,815 | 0 | 0.0% |
| 2026-07-15 | US$30,477,815 | 5 | 0.0% |
| 2026-07-16 | US$30,477,815 | 10 | 0.0% |
| 2026-07-17 | US$30,477,815 | 10 | 0.0% |
| 2026-07-20 | US$30,147,267 | 5 | -1.0845542462487479% |
| 2026-07-21 | US$30,156,105 | 1 | -1.0555569250398356% |
| 2026-07-22 | US$30,156,105 | 1 | -1.0555569250398356% |
| 2026-07-23 | US$30,156,105 | 4 | -1.0555569250398356% |
| 2026-07-24 | US$30,543,128 | 3 | 0.0% |
| 2026-07-27 | US$30,543,128 | 8 | 0.0% |
| 2026-07-28 | US$30,621,901 | 10 | 0.0% |
| 2026-07-29 | US$30,314,217 | 10 | -1.0047851211998582% |
| 2026-07-30 | US$30,608,866 | 8 | -0.04256864977589814% |
| 2026-07-31 | US$30,881,282 | 6 | 0.0% |
| 2026-08-03 | US$31,149,580 | 9 | 0.0% |
| 2026-08-04 | US$31,284,408 | 10 | 0.0% |
| 2026-08-05 | US$31,473,219 | 10 | 0.0% |
| 2026-08-06 | US$31,559,641 | 8 | 0.0% |
| 2026-08-07 | US$31,814,584 | 6 | 0.0% |
| 2026-08-10 | US$31,901,542 | 4 | 0.0% |
| 2026-08-11 | US$32,010,558 | 4 | 0.0% |
| 2026-08-12 | US$32,040,349 | 3 | 0.0% |
| 2026-08-13 | US$32,090,620 | 2 | 0.0% |
| 2026-08-14 | US$32,136,364 | 1 | 0.0% |
| 2026-08-19 | US$32,058,669 | 0 | -0.24176652305506474% |
| 2026-08-21 | US$32,058,669 | 1 | -0.24176652305506474% |
| 2026-08-24 | US$32,058,669 | 2 | -0.24176652305506474% |
| 2026-08-25 | US$32,058,669 | 3 | -0.24176652305506474% |
| 2026-08-26 | US$32,100,246 | 2 | -0.11239021920402825% |
| 2026-08-27 | US$32,148,634 | 5 | 0.0% |
| 2026-08-28 | US$32,083,356 | 6 | -0.20305083411125135% |
| 2026-08-31 | US$32,083,356 | 10 | -0.20305083411125135% |
| 2026-09-01 | US$31,584,058 | 10 | -1.7561424712777662% |
| 2026-09-02 | US$31,403,538 | 10 | -2.317660539498656% |
| 2026-09-03 | US$31,439,887 | 10 | -2.20459623413084% |
| 2026-09-04 | US$31,965,555 | 7 | -0.5694776598480167% |
| 2026-09-08 | US$32,307,678 | 7 | 0.0% |
| 2026-09-09 | US$32,880,518 | 8 | 0.0% |
| 2026-09-10 | US$32,845,406 | 10 | -0.10678566583028903% |
| 2026-09-11 | US$33,065,472 | 10 | 0.0% |
| 2026-09-14 | US$33,032,707 | 10 | -0.09909052599889057% |
| 2026-09-15 | US$33,029,191 | 10 | -0.10972509372508821% |
| 2026-09-16 | US$33,106,938 | 10 | 0.0% |
| 2026-09-17 | US$33,085,798 | 10 | -0.06385287004125884% |
| 2026-09-18 | US$33,447,891 | 10 | 0.0% |
| 2026-09-21 | US$33,447,788 | 10 | -0.00030737363978516896% |
| 2026-09-22 | US$33,195,956 | 7 | -0.7532173553184585% |
| 2026-09-23 | US$33,360,264 | 9 | -0.2619804339831111% |
| 2026-09-24 | US$33,325,512 | 10 | -0.3658802583397569% |
| 2026-09-25 | US$33,321,626 | 10 | -0.37749731365723793% |
| 2026-09-28 | US$33,220,778 | 8 | -0.6790042158412946% |
| 2026-09-29 | US$33,241,997 | 5 | -0.6155667333405224% |
| 2026-09-30 | US$33,071,433 | 3 | -1.1255052224368955% |
| 2026-10-01 | US$33,246,785 | 0 | -0.6012530057575183% |
Methodology
- Universe: 6706 T+3 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: 3 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 / 6706 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 · 6706 T+3 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