价量偏离回归系统：90段64段盈利，中位段收益+18.5%，最深回撤51.7%
赌量价同步：OBV 上穿均线且价格突破近 20 根高点时入场，量价背离或假突破频繁时反复止损。
测试所用仓位为满仓复利（all-in）：每次入场投入当时全部可用资金，盈利后会自动加大投入，亏损后会自动缩小。请据此解读上面的数字。
先给结论：价量偏离回归系统在90次切法里64段盈利，中位段收益+18.5%，但它并非低风险，最深回撤51.7%；中位段收益还低于同期买入持有各段收益均值+30.6%，多数切法没有明显跑赢“什么都不做”。 这90次回测来自同一份BTCUSDT 1h数据的90种切法，不是90个独立样本。段收益中位+18.5%、最高+151.9%、最低-43.7%；盈利段64/90，爆仓0段。最好段2023-09-01至2024-03-15段收益+151.9%，该段回撤21.1%；最差段2025-10-02至2026-03-19段收益-43.7%，该段回撤51.3%。单笔平均盈利$12,379，平均亏损$7,226。 它赌的是价量偏离后的回归：价格与成交量或代理指标偏离到一定程度后更可能反向修复，核心是均值回归/反转，而非追随趋势。赚钱来源是偏离回补，弱点也在这里——单边趋势或波动放大时回归假设会失效，逆势持仓容易连续亏损；最差段-43.7%、该段回撤51.3%、全局最深回撤51.7%就是证据。震荡市里它可能靠反复回归积累小胜，但低波动会让偏离阈值和均线参数敏感，信号稀疏或反复止损都会拖累结果。 最该看的是64/90和51.7%这一组：盈利段比例不低，说明多数切法能赚钱，但中位+18.5%与最高+151.9%、最低-43.7%并列，分布明显不对称，少数窗口贡献很大，尾部亏损也重；最深回撤51.7%意味着持有过程要承受很大的净值回撤。单笔平均盈利$12,379高于平均亏损$7,226，说明盈利单金额更大，但亏损单绝对额也不低，连续亏损会快速消耗。与买入持有对比，策略中位段收益+18.5%低于持有各段均值+30.6%，两者一个是中位、一个是均值，口径不完全一致，但至少说明典型切法没有明显优势，且回撤更大；最好段+151.9%仍有21.1%回撤。 方法上要诚实：90次只是同一份数据的90种切法，6个不重叠窗口重复15轮并抖动边界，随机种子已落库，可复现同样切分，但统计独立性有限。参数里interval、obv_ma_period、proxy_indicator_choice原文没给，是按行业惯例填的，其余照搬原文；所以这不是原文完整参数复现，未复现的正是这三项取值，结果会受样本区间、参数和窗口边界影响，不能把段收益外推。 本内容为历史数据的复现验证，不构成投资建议，本平台不推荐、不评级、不排名。
两段对比
同一个策略的 90 个时间窗里，收益最高的那一段与回撤最大的那一段并排。两张图用同一刻度 —— 如果一条平滑、一条锯齿，那是策略本身不稳定，不是画法问题。
收益最高段
2023-09-01 → 2024-03-15
图上显示 1d（策略跑在 1h，每 24 根合并，原始 4723 根）。
回撤最大段
2025-10-02 → 2026-03-19
图上显示 1d（策略跑在 1h，每 24 根合并，原始 4029 根）。
汇总
- 段收益中位
- 18.5%
- 最高段收益
- 151.9%
- 最低段收益
- -43.7%
- 最深回撤（90 段里最深）
- 51.7%
- 盈利时段
- 64 / 90
- 是否出现过强平
- 无
- 单笔平均盈利（$）
- $12,379
- 单笔平均亏损（$）
- $7,226
分段明细
同一份数据切成若干个等长且互不重叠的时段，每段各跑一遍，按顺序连续编号（1–90）。没有任何一段是事后挑出来的。
| 段 | 起 | 止 | 年化收益 | 最大回撤 | 交易数 | 胜率 |
|---|---|---|---|---|---|---|
| 1 | 2023-09-01 | 2024-01-28 | 185.7% | 21.1% | 15 | 33.3% |
| 2 | 2024-01-28 | 2024-09-01 | 46.4% | 36.4% | 10 | 50.0% |
| 3 | 2024-09-01 | 2025-02-07 | 203.0% | 17.1% | 7 | 57.1% |
| 4 | 2025-02-07 | 2025-10-21 | 11.2% | 25.0% | 36 | 38.9% |
| 5 | 2025-10-21 | 2026-02-22 | -77.6% | 47.0% | 1 | 0.0% |
| 6 | 2026-02-22 | 2026-10-16 | 53.3% | 17.4% | 31 | 29.0% |
| 7 | 2023-09-01 | 2024-02-16 | 307.6% | 21.1% | 15 | 33.3% |
| 8 | 2024-02-16 | 2024-09-25 | 10.4% | 40.2% | 15 | 26.7% |
| 9 | 2024-09-25 | 2025-05-09 | 84.9% | 33.0% | 15 | 20.0% |
| 10 | 2025-05-09 | 2025-10-15 | 15.6% | 13.2% | 13 | 15.4% |
| 11 | 2025-10-15 | 2026-04-28 | -48.3% | 47.0% | 1 | 0.0% |
| 12 | 2026-04-28 | 2026-10-16 | 2.0% | 29.9% | 5 | 60.0% |
| 13 | 2023-09-01 | 2024-03-15 | 455.0% | 21.1% | 15 | 33.3% |
| 14 | 2024-03-15 | 2024-08-03 | -34.1% | 27.9% | 1 | 0.0% |
| 15 | 2024-08-03 | 2025-04-15 | 54.9% | 37.1% | 3 | 66.7% |
| 16 | 2025-04-15 | 2025-10-19 | 45.3% | 14.4% | 31 | 29.0% |
| 17 | 2025-10-19 | 2026-03-19 | -69.5% | 47.0% | 1 | 0.0% |
| 18 | 2026-03-19 | 2026-10-16 | 12.7% | 28.3% | 39 | 28.2% |
| 19 | 2023-09-01 | 2024-02-15 | 304.3% | 21.1% | 15 | 33.3% |
| 20 | 2024-02-15 | 2024-08-19 | 5.8% | 36.4% | 11 | 63.6% |
| 21 | 2024-08-19 | 2025-04-26 | 81.4% | 33.1% | 5 | 40.0% |
| 22 | 2025-04-26 | 2025-10-22 | 14.4% | 17.8% | 43 | 41.9% |
| 23 | 2025-10-22 | 2026-02-28 | -77.8% | 47.0% | 1 | 0.0% |
| 24 | 2026-02-28 | 2026-10-16 | 51.8% | 17.9% | 24 | 37.5% |
| 25 | 2023-09-01 | 2024-02-03 | 185.1% | 21.1% | 15 | 33.3% |
| 26 | 2024-02-03 | 2024-10-30 | 70.2% | 37.2% | 27 | 29.6% |
| 27 | 2024-10-30 | 2025-04-30 | 60.7% | 33.0% | 2 | 100.0% |
| 28 | 2025-04-30 | 2025-08-14 | 74.8% | 12.9% | 28 | 25.0% |
| 29 | 2025-08-14 | 2026-04-08 | -56.0% | 51.6% | 1 | 0.0% |
| 30 | 2026-04-08 | 2026-10-16 | 17.3% | 29.5% | 18 | 33.3% |
| 31 | 2023-09-01 | 2024-04-07 | 343.2% | 21.1% | 15 | 33.3% |
| 32 | 2024-04-07 | 2024-09-09 | -47.3% | 32.3% | 2 | 0.0% |
| 33 | 2024-09-09 | 2025-02-24 | 131.8% | 17.1% | 15 | 33.3% |
| 34 | 2025-02-24 | 2025-10-22 | 13.7% | 20.9% | 46 | 30.4% |
| 35 | 2025-10-22 | 2026-04-24 | -49.6% | 45.4% | 6 | 16.7% |
| 36 | 2026-04-24 | 2026-10-16 | 1.3% | 30.4% | 18 | 16.7% |
| 37 | 2023-09-01 | 2024-04-01 | 368.3% | 21.1% | 15 | 33.3% |
| 38 | 2024-04-01 | 2024-08-12 | -36.0% | 33.8% | 1 | 0.0% |
| 39 | 2024-08-12 | 2025-04-03 | 48.9% | 30.2% | 5 | 60.0% |
| 40 | 2025-04-03 | 2025-09-27 | 78.3% | 13.9% | 5 | 40.0% |
| 41 | 2025-09-27 | 2026-04-18 | -42.2% | 47.5% | 6 | 50.0% |
| 42 | 2026-04-18 | 2026-10-16 | 11.8% | 29.7% | 1 | 100.0% |
| 43 | 2023-09-01 | 2024-03-01 | 412.8% | 21.1% | 15 | 33.3% |
| 44 | 2024-03-01 | 2024-08-21 | -17.5% | 36.7% | 3 | 33.3% |
| 45 | 2024-08-21 | 2025-04-17 | 53.6% | 33.1% | 4 | 50.0% |
| 46 | 2025-04-17 | 2025-10-02 | 87.0% | 13.8% | 8 | 50.0% |
| 47 | 2025-10-02 | 2026-03-19 | -71.3% | 51.3% | 1 | 0.0% |
| 48 | 2026-03-19 | 2026-10-16 | 42.6% | 27.8% | 17 | 47.1% |
| 49 | 2023-09-01 | 2024-02-02 | 189.8% | 21.1% | 15 | 33.3% |
| 50 | 2024-02-03 | 2024-10-01 | 66.0% | 34.3% | 8 | 37.5% |
| 51 | 2024-10-01 | 2025-04-06 | 40.9% | 30.2% | 2 | 100.0% |
| 52 | 2025-04-06 | 2025-09-06 | 86.8% | 13.9% | 5 | 40.0% |
| 53 | 2025-09-06 | 2026-05-15 | -38.0% | 51.2% | 3 | 66.7% |
| 54 | 2026-05-15 | 2026-10-16 | 5.2% | 26.1% | 1 | 100.0% |
| 55 | 2023-09-01 | 2024-03-26 | 407.1% | 21.1% | 15 | 33.3% |
| 56 | 2024-03-26 | 2024-10-25 | -11.8% | 33.9% | 1 | 0.0% |
| 57 | 2024-10-25 | 2025-03-22 | 56.7% | 30.2% | 1 | 100.0% |
| 58 | 2025-03-22 | 2025-09-03 | 51.7% | 15.3% | 27 | 29.6% |
| 59 | 2025-09-03 | 2026-03-06 | -64.7% | 51.5% | 1 | 0.0% |
| 60 | 2026-03-06 | 2026-10-16 | 43.8% | 17.6% | 41 | 26.8% |
| 61 | 2023-09-01 | 2024-03-21 | 355.0% | 21.1% | 15 | 33.3% |
| 62 | 2024-03-21 | 2024-08-17 | -29.5% | 33.8% | 9 | 55.6% |
| 63 | 2024-08-17 | 2025-02-16 | 148.8% | 18.0% | 2 | 100.0% |
| 64 | 2025-02-16 | 2025-09-23 | 14.7% | 25.0% | 26 | 30.8% |
| 65 | 2025-09-23 | 2026-04-29 | -49.6% | 51.7% | 3 | 66.7% |
| 66 | 2026-04-29 | 2026-10-16 | 6.9% | 30.7% | 10 | 20.0% |
| 67 | 2023-09-01 | 2024-01-28 | 188.7% | 21.1% | 15 | 33.3% |
| 68 | 2024-01-28 | 2024-09-08 | 26.5% | 37.6% | 14 | 42.9% |
| 69 | 2024-09-08 | 2025-04-28 | 87.8% | 33.2% | 10 | 40.0% |
| 70 | 2025-04-28 | 2025-11-04 | -3.7% | 18.6% | 50 | 28.0% |
| 71 | 2025-11-04 | 2026-05-01 | -43.7% | 42.0% | 1 | 0.0% |
| 72 | 2026-05-01 | 2026-10-16 | 1.3% | 30.4% | 9 | 22.2% |
| 73 | 2023-09-01 | 2024-03-20 | 323.5% | 21.1% | 15 | 33.3% |
| 74 | 2024-03-20 | 2024-09-15 | -29.8% | 34.5% | 17 | 23.5% |
| 75 | 2024-09-15 | 2025-04-17 | 62.3% | 33.1% | 14 | 42.9% |
| 76 | 2025-04-17 | 2025-09-29 | 75.2% | 13.8% | 6 | 66.7% |
| 77 | 2025-09-29 | 2026-05-17 | -47.5% | 51.3% | 4 | 50.0% |
| 78 | 2026-05-17 | 2026-10-16 | 9.5% | 25.6% | 1 | 100.0% |
| 79 | 2023-09-01 | 2024-03-22 | 339.2% | 21.1% | 15 | 33.3% |
| 80 | 2024-03-22 | 2024-09-13 | -24.4% | 32.2% | 11 | 54.5% |
| 81 | 2024-09-13 | 2025-03-16 | 59.7% | 30.3% | 11 | 54.5% |
| 82 | 2025-03-16 | 2025-10-15 | 66.7% | 16.1% | 4 | 50.0% |
| 83 | 2025-10-15 | 2026-04-25 | -47.5% | 47.0% | 1 | 0.0% |
| 84 | 2026-04-25 | 2026-10-16 | -0.1% | 31.4% | 8 | 37.5% |
| 85 | 2023-09-01 | 2024-03-26 | 402.6% | 21.1% | 15 | 33.3% |
| 86 | 2024-03-26 | 2024-10-18 | -0.1% | 32.3% | 6 | 50.0% |
| 87 | 2024-10-18 | 2025-03-02 | 111.4% | 28.9% | 3 | 66.7% |
| 88 | 2025-03-03 | 2025-11-01 | 37.7% | 21.0% | 13 | 38.5% |
| 89 | 2025-11-01 | 2026-04-08 | -65.3% | 44.5% | 1 | 0.0% |
| 90 | 2026-04-08 | 2026-10-16 | 13.3% | 29.5% | 21 | 28.6% |
可复现性
- 数据区间
- 2023-09-01 → 2026-10-16
- 轮数 × 段数
- 15 轮 × 6 段 = 90 次回测
- 随机种子
- 8eaf8461984f
- 数据版本
- 498f@202610180240
- 引擎版本
- 2026.10.02-contract-v2
- 发布时间
- 2026-10-18
基于历史数据的模拟。它描述的是这套规则过去会怎么做，而不是将来会怎么做。不构成投资建议 —— 本站不推荐、不评级、不排名任何策略。