闲来无事,把现在用的方法放到通达信的交易测评里. 结果还不错 :D

指标名称                 全部交易            多头                空头               
-------------------------------------------------------------------------
评测品种                 -------综合统计                                            
初始资金                 80000.00                                                   
评测日期                 2011/10/10-2015/04/30                                       
有效天数                 1298                                                       
评测周期数               0                                                          
期末权益                 139382.56                                                  
盈亏时间比               1.46                1.46                0.00               
总盈利                   134298.79           134298.79           0.00               
总亏损                   68667.63            68667.63            0.00               
净利润                   59382.56            59382.56            0.00               
年化收益                 16698.48            16698.48            0.00               
收益率                   74.23%              74.23%              0.00%              
年化收益率               20.87%              20.87%              0.00%              
相对收益率α                            64.54%                             64.54%                             0.00%                        
相对收益率β                            0.00%                              0.00%                              0.00%                        
平均利润                 0.31                0.31                0.00               
交易量(股/手)            191133              191133              0                  
盈利量(股/手)            102424              102424              0                  
亏损量(股/手)            88709               88709               0                  
交易次数                 891                 891                 0                  
胜率                     52.64%                                                     
最大回撤比               54.77%                                                     
最大回撤                 3259.16                                                    

区间涨幅                 0.00(0.00%)                                                
成交额                   4165735.04          4165735.04          0.00               
手续费                   6248.60             6248.60             0.00               
手续费率                 0.150%              0.150%              0.000%             
最大持仓量               1144                1144                0                  
持仓周期数               16966               16966               0                  
持仓周期比率             51.93%              51.93%              0.00%              
最大连续持仓周期数       36                  36                  0                  
MAR比率                  0.38                                                       
年化波动率               0.13                                                       
标准离差                 0.13                                                       
标准离差率               0.13                                                       

平均盈利                 1.31                1.31                0.00               
平均亏损                 0.77                0.77                0.00               
平均盈利/平均亏损        1.69                1.69                0.00               
盈利系数                 0.05                                                       
亏损比率                 47.36%              47.36%              0.00%              
盈利次数                 469                 469                 0                  
亏损次数                 422                 422                 0                  
盈亏次数比               1.11                1.11                0.00               
总盈利/总亏损            1.96                1.96                0.00               
最大持续盈利次数         7                   7                   0                  
最大持续亏损次数         8                   8                   0                  

最大盈利                 7023.36             7023.36             0.00               
最大亏损                 745.60              745.60              0.00               
最大盈利/总盈利          0.05                0.05                0.00               
最大亏损/总亏损          0.01                0.01                0.00               
净利润/最大亏损          79.64               79.64               0.00               
扣除最大盈利后收益率     65.45%              65.45%              0.00%              
扣除最大亏损后收益率     75.16%              75.16%              0.00%              
最大回撤开始时间         2013/04/26 00:00                                           
最大回撤结束时间         2014/12/25 00:00