📈 T+5 5-day swing Equity Curve
⚠ 先讀呢段：呢條曲線唔係你可以達到嘅回報。
3154 單係機械喺 2009 個交易日內產生嘅訊號， 即係平均每日 1.6 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。
3154 單係機械喺 2009 個交易日內產生嘅訊號， 即係平均每日 1.6 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+5 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 3154 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+5 +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$15,757,143
Total Return
+1475.71%
Max Drawdown
-16.17%
Calmar (ann.)
+2.16
Trades Taken
3154 / 6699
Skipped (slot full)
3545
Win Rate
61.4%
Avg PnL/trade
+US$4,679
Equity Curve (2017-07-19 → 2026-10-01, 2009 days)
📋 Daily equity (last 60 days, 2009 total rows)
| Date | Equity (US$) | Open positions | Drawdown % |
|---|---|---|---|
| 2026-07-02 | US$14,263,590 | 10 | 0.0% |
| 2026-07-06 | US$14,320,948 | 7 | 0.0% |
| 2026-07-07 | US$14,297,437 | 10 | -0.16417732581819333% |
| 2026-07-08 | US$14,370,232 | 10 | 0.0% |
| 2026-07-09 | US$14,370,232 | 10 | 0.0% |
| 2026-07-10 | US$14,522,911 | 8 | 0.0% |
| 2026-07-13 | US$14,586,800 | 7 | 0.0% |
| 2026-07-14 | US$14,788,508 | 2 | 0.0% |
| 2026-07-15 | US$14,790,647 | 5 | 0.0% |
| 2026-07-16 | US$14,790,647 | 10 | 0.0% |
| 2026-07-17 | US$14,790,647 | 10 | 0.0% |
| 2026-07-21 | US$14,790,647 | 10 | 0.0% |
| 2026-07-22 | US$14,769,032 | 5 | -0.1461443810924723% |
| 2026-07-23 | US$14,759,116 | 3 | -0.21318634199359865% |
| 2026-07-24 | US$14,759,116 | 3 | -0.21318634199359865% |
| 2026-07-27 | US$14,759,116 | 8 | -0.21318634199359865% |
| 2026-07-28 | US$14,759,116 | 10 | -0.21318634199359865% |
| 2026-07-29 | US$14,610,436 | 10 | -1.2184152997446906% |
| 2026-07-30 | US$14,644,038 | 8 | -0.9912309226833615% |
| 2026-07-31 | US$14,644,038 | 10 | -0.9912309226833615% |
| 2026-08-03 | US$14,784,546 | 10 | -0.04124964826675015% |
| 2026-08-04 | US$15,144,529 | 10 | 0.0% |
| 2026-08-05 | US$15,280,866 | 10 | 0.0% |
| 2026-08-06 | US$15,280,816 | 10 | -0.00032707569470602493% |
| 2026-08-07 | US$15,325,491 | 9 | 0.0% |
| 2026-08-10 | US$15,343,113 | 6 | 0.0% |
| 2026-08-11 | US$15,347,710 | 6 | 0.0% |
| 2026-08-12 | US$15,446,593 | 5 | 0.0% |
| 2026-08-13 | US$15,504,008 | 4 | 0.0% |
| 2026-08-14 | US$15,527,116 | 4 | 0.0% |
| 2026-08-17 | US$15,555,696 | 3 | 0.0% |
| 2026-08-18 | US$15,530,136 | 1 | -0.1643152447226015% |
| 2026-08-21 | US$15,498,445 | 1 | -0.3680410692622593% |
| 2026-08-24 | US$15,498,445 | 2 | -0.3680410692622593% |
| 2026-08-25 | US$15,498,445 | 3 | -0.3680410692622593% |
| 2026-08-27 | US$15,498,445 | 7 | -0.3680410692622593% |
| 2026-08-28 | US$15,497,572 | 8 | -0.37365097574486583% |
| 2026-08-31 | US$15,488,696 | 10 | -0.43071091046512633% |
| 2026-09-01 | US$15,398,042 | 10 | -1.0134790477774547% |
| 2026-09-02 | US$15,398,042 | 10 | -1.0134790477774547% |
| 2026-09-03 | US$15,203,885 | 10 | -2.26162499782403% |
| 2026-09-04 | US$15,119,468 | 9 | -2.80429695436778% |
| 2026-09-08 | US$15,212,471 | 8 | -2.206425539159884% |
| 2026-09-09 | US$15,297,584 | 10 | -1.6592778587484314% |
| 2026-09-10 | US$15,297,584 | 10 | -1.6592778587484314% |
| 2026-09-11 | US$15,602,938 | 10 | 0.0% |
| 2026-09-14 | US$15,565,348 | 10 | -0.24091615912316122% |
| 2026-09-15 | US$15,670,466 | 10 | 0.0% |
| 2026-09-16 | US$15,554,358 | 10 | -0.7409377615190227% |
| 2026-09-17 | US$15,554,358 | 10 | -0.7409377615190227% |
| 2026-09-18 | US$15,575,363 | 10 | -0.6068916521053014% |
| 2026-09-21 | US$15,576,464 | 10 | -0.5998671003146994% |
| 2026-09-22 | US$15,703,815 | 10 | 0.0% |
| 2026-09-23 | US$15,915,700 | 10 | 0.0% |
| 2026-09-24 | US$15,915,700 | 10 | 0.0% |
| 2026-09-25 | US$15,866,644 | 6 | -0.3082280349134603% |
| 2026-09-28 | US$15,870,408 | 5 | -0.28457648361297494% |
| 2026-09-29 | US$15,841,101 | 3 | -0.46871233446035276% |
| 2026-09-30 | US$15,757,143 | 0 | -0.9962285536163629% |
| 2026-10-01 | US$15,757,143 | 0 | -0.9962285536163629% |
Methodology
- Universe: 6699 T+5 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: 5 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 / 6699 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 · 6699 T+5 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