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最后价格日期: 2026-11-10

策略排行榜

72 个系统化策略在 10 个市场上的排名，分别看近 12 个月和近 5 年，每个市场列出 Arena Score 前 10 名。Arena Score 只和同一市场、同一时间窗口里的其他策略比较；几乎不持仓的策略不参与排名。数据截至 2026-11-10。

打开交互版排行榜 比较扣费后收益 所有策略在所有市场的表现：热力图 → Arena Score 怎么算 →

市场: SPY · GLD · USO · EURUSD=X · DBC · SLV · DBA · UNG · BTC-USD · ETH-USD

标普 500 ETF (SPY)

近 12 个月

#策略得分年化夏普最大回撤
1MR-16 康纳斯 RSI98.413.6%2.48-1.6%
2CAL-01 月末月初效应87.610.1%1.46-3.7%
3MR-10 随机指标回归86.212.5%1.53-7.5%
4MR-06 Z 分数均值回归81.210.5%1.37-6.6%
5TREND-05 双均线78.611.2%0.96-8.9%
6TREND-13 三均线77.511.2%0.96-8.9%
7MOM-01 时间序列动量77.011.2%0.96-8.9%
8MR-05 CCI 均值回归76.313.3%1.36-8.3%
9MOM-11 动量崩溃保护76.211.2%0.96-8.9%
10MR-12 资金流量指标回归75.89.2%1.68-3.8%

近 5 年

#策略得分年化夏普最大回撤
1MR-16 康纳斯 RSI94.87.9%1.03-7.6%
2MACRO-01 跨资产动量85.811.3%1.04-20.4%
3EVENT-01 趋势 + 宏观事件过滤85.69.7%0.89-12.6%
4TREND-20 涡旋指标83.19.4%0.89-13.0%
5FACTOR-05 多因子综合83.010.8%0.75-19.4%
6MR-06 Z 分数均值回归79.77.7%0.86-10.4%
7MR-10 随机指标回归78.57.7%0.66-15.8%
8TREND-05 双均线78.49.3%0.71-18.8%
9MR-01 RSI 均值回归76.65.2%0.77-7.2%
10MOM-10 加速动量75.87.8%0.81-14.6%

黄金 ETF (GLD)

近 12 个月

#策略得分年化夏普最大回撤
1MR-01 RSI 均值回归92.515.4%1.80-6.0%
2VOL-13 波动率状态策略82.75.8%0.76-10.5%
3MR-06 Z 分数均值回归82.55.6%0.52-8.0%
4RISK-03 止损叠加82.519.4%1.06-13.9%
5TREND-16 阿隆指标82.216.7%0.98-13.9%
6REG-10 HMM 市场状态识别81.418.1%0.93-13.9%
7TREND-10 一目均衡表77.113.9%0.77-13.9%
8TREND-18 估波曲线75.016.3%0.81-15.8%
9SEAS-01 月度季节性72.114.2%0.81-19.2%
10REG-01 市场状态切换70.113.9%1.17-10.3%

近 5 年

#策略得分年化夏普最大回撤
1VOL-13 波动率状态策略89.310.7%1.17-10.5%
2RISK-03 止损叠加83.716.2%1.06-13.9%
3REG-01 市场状态切换79.817.0%1.18-17.7%
4RP-01 目标波动率77.610.7%1.10-14.8%
5TREND-18 估波曲线75.213.7%0.94-16.7%
6SEAS-01 月度季节性73.214.1%1.01-19.2%
7TREND-10 一目均衡表73.112.4%0.91-13.9%
8RISK-01 回撤控制72.016.2%1.00-24.4%
9MR-01 RSI 均值回归71.14.8%0.91-6.0%
10MOM-10 加速动量69.812.9%0.88-20.5%

原油 ETF (USO)

近 12 个月

#策略得分年化夏普最大回撤
1TREND-15 达瓦斯箱体87.7110.5%1.80-21.6%
2SAR-01 抛物线 SAR83.094.0%1.85-13.4%
3TREND-17 吊灯止损81.483.6%1.63-15.0%
4TREND-18 估波曲线80.888.8%1.61-19.1%
5HMA-01 赫尔均线交叉78.779.9%1.74-19.6%
6RP-01 目标波动率78.516.8%1.54-6.1%
7REG-10 HMM 市场状态识别77.681.2%1.57-18.6%
8TREND-02 唐奇安通道突破77.480.5%1.62-16.5%
9TREND-16 阿隆指标75.864.0%1.39-24.6%
10TREND-20 涡旋指标73.574.5%1.47-17.9%

近 5 年

#策略得分年化夏普最大回撤
1MR-05 CCI 均值回归87.226.5%1.36-19.0%
2MR-03 卡尔曼滤波均值回归86.923.5%1.30-13.1%
3MOM-06 残差动量86.324.0%0.92-27.5%
4MR-11 威廉指标回归82.325.8%1.07-28.7%
5MR-10 随机指标回归79.921.6%0.99-28.7%
6REG-10 HMM 市场状态识别79.215.5%0.67-28.8%
7MR-06 Z 分数均值回归74.68.0%0.81-10.7%
8MR-01 RSI 均值回归74.69.1%0.99-8.4%
9RP-01 目标波动率74.45.8%0.59-10.8%
10MR-16 康纳斯 RSI73.99.1%0.73-15.7%

欧元/美元 (EURUSD=X)

近 12 个月

#策略得分年化夏普最大回撤
1COMBO-02 MACD + RSI 过滤93.44.9%1.30-2.6%
2TREND-14 线性回归通道90.26.1%1.33-1.8%
3MR-15 终极震荡指标88.21.6%0.51-3.4%
4TREND-20 涡旋指标84.32.6%0.72-2.2%
5SAR-01 抛物线 SAR82.13.0%0.80-2.6%
6VOL-01 波动率突破79.91.4%0.72-1.0%
7MR-03 卡尔曼滤波均值回归74.40.5%0.14-2.9%
8RISK-04 移动止损策略73.80.9%0.26-2.2%
9COMBO-04 趋势 + 均值回归混合72.90.3%0.15-1.7%
10SEAS-01 月度季节性72.52.2%0.49-4.8%

近 5 年

#策略得分年化夏普最大回撤
1SAR-01 抛物线 SAR95.87.1%1.22-3.1%
2TREND-20 涡旋指标95.57.2%1.29-3.6%
3MR-15 终极震荡指标86.41.1%0.33-3.8%
4MOM-01 时间序列动量77.80.9%0.19-6.8%
5TREND-18 估波曲线75.61.3%0.25-10.5%
6TREND-17 吊灯止损72.30.9%0.19-9.3%
7SEAS-01 月度季节性72.01.7%0.32-10.4%
8COMBO-04 趋势 + 均值回归混合71.80.3%0.14-4.5%
9TREND-16 阿隆指标71.32.0%0.46-8.4%
10ADX-01 ADX 趋势过滤70.91.5%0.42-4.5%

综合大宗商品 ETF (DBC)

近 12 个月

#策略得分年化夏普最大回撤
1HMA-01 赫尔均线交叉89.347.2%2.53-9.1%
2COMBO-02 MACD + RSI 过滤88.127.1%2.72-3.6%
3TREND-17 吊灯止损86.544.3%2.16-6.4%
4TREND-15 达瓦斯箱体81.244.2%2.04-8.0%
5RISK-04 移动止损策略78.435.2%1.79-6.5%
6TREND-02 唐奇安通道突破78.237.5%1.95-7.0%
7RISK-03 止损叠加75.541.1%1.93-10.9%
8SAR-01 抛物线 SAR73.839.1%2.26-9.6%
9TREND-20 涡旋指标73.036.9%1.88-8.9%
10TREND-05 双均线72.537.4%1.65-16.5%

近 5 年

#策略得分年化夏普最大回撤
1HMA-01 赫尔均线交叉86.910.6%0.79-18.8%
2VOL-10 波动率风险溢价83.712.6%1.07-17.5%
3MR-03 卡尔曼滤波均值回归80.99.5%1.05-8.9%
4MR-11 威廉指标回归80.29.9%0.79-14.1%
5RISK-04 移动止损策略79.68.6%0.61-16.9%
6COMBO-02 MACD + RSI 过滤78.55.3%0.62-17.0%
7TREND-02 唐奇安通道突破78.19.7%0.79-22.5%
8MR-06 Z 分数均值回归77.65.6%0.81-5.1%
9MR-10 随机指标回归76.57.6%0.68-14.4%
10MR-02 布林带回归74.95.8%0.81-6.7%

白银 ETF (SLV)

近 12 个月

#策略得分年化夏普最大回撤
1VOL-01 波动率突破85.828.4%1.36-10.6%
2RISK-01 回撤控制77.549.3%1.30-35.6%
3TREND-20 涡旋指标76.843.2%1.09-43.3%
4MR-01 RSI 均值回归76.625.3%1.18-9.8%
5TREND-10 一目均衡表76.568.4%1.41-36.8%
6TREND-16 阿隆指标75.156.2%1.21-36.8%
7SEAS-01 月度季节性73.552.2%1.14-42.5%
8EVENT-01 趋势 + 宏观事件过滤73.038.8%0.98-36.0%
9RP-01 目标波动率72.66.9%0.73-13.6%
10MOM-11 动量崩溃保护72.261.1%1.50-30.1%

近 5 年

#策略得分年化夏普最大回撤
1RP-01 目标波动率86.16.6%0.72-13.6%
2TREND-17 吊灯止损83.417.1%0.71-41.5%
3MOM-03 52 周新高动量83.323.5%0.89-32.2%
4VOL-01 波动率突破81.39.4%0.78-15.1%
5TREND-20 涡旋指标78.315.4%0.65-43.3%
6RISK-04 移动止损策略76.614.2%0.62-39.6%
7EVENT-01 趋势 + 宏观事件过滤76.516.1%0.65-36.0%
8VOL-13 波动率状态策略75.08.6%0.59-18.9%
9REG-01 市场状态切换74.99.5%0.84-14.6%
10RISK-01 回撤控制74.916.6%0.71-35.6%

农产品 ETF (DBA)

近 12 个月

#策略得分年化夏普最大回撤
1SEAS-01 月度季节性93.47.2%1.44-3.5%
2REG-14 波动率状态切换84.79.8%1.40-7.6%
3SAR-01 抛物线 SAR80.47.0%0.88-4.3%
4TREND-10 一目均衡表77.27.2%0.95-4.6%
5TREND-17 吊灯止损75.57.5%0.90-5.5%
6TREND-18 估波曲线75.27.8%0.90-5.4%
7VOL-13 波动率状态策略72.56.1%1.08-4.4%
8COMBO-01 布林-肯特纳挤压71.74.8%0.85-2.5%
9RP-01 目标波动率71.28.6%0.91-10.0%
10COMBO-02 MACD + RSI 过滤70.86.4%0.99-5.0%

近 5 年

#策略得分年化夏普最大回撤
1REG-14 波动率状态切换87.17.8%0.92-10.5%
2RP-01 目标波动率86.99.4%0.90-10.0%
3SEAS-01 月度季节性83.89.1%1.01-11.0%
4TREND-20 涡旋指标78.26.7%0.68-11.9%
5RISK-01 回撤控制77.08.3%0.67-16.2%
6TREND-13 三均线75.48.4%0.69-15.9%
7REG-01 市场状态切换75.07.3%0.64-14.5%
8RISK-03 止损叠加73.45.8%0.61-13.4%
9SAR-01 抛物线 SAR73.46.2%0.67-18.3%
10MOM-03 52 周新高动量73.28.4%0.67-16.3%

天然气 ETF (UNG)

近 12 个月

#策略得分年化夏普最大回撤
1MR-01 RSI 均值回归94.833.8%1.26-12.1%
2COMBO-02 MACD + RSI 过滤88.817.5%0.73-16.5%
3MR-15 终极震荡指标86.517.8%0.66-17.9%
4MR-13 TRIX 回归85.619.7%0.73-22.0%
5MR-12 资金流量指标回归83.816.5%0.62-23.2%
6MR-11 威廉指标回归82.36.2%0.34-22.3%
7MR-03 卡尔曼滤波均值回归81.05.6%0.33-13.1%
8MR-05 CCI 均值回归79.6-1.3%0.11-22.4%
9VOL-13 波动率状态策略78.82.0%0.26-21.6%
10TAIL-01 危机 Alpha75.1-7.9%0.13-43.7%

近 5 年

#策略得分年化夏普最大回撤
1MR-01 RSI 均值回归86.02.7%0.23-46.3%
2TAIL-01 危机 Alpha84.7-3.7%0.26-75.9%
3VOL-13 波动率状态策略84.42.3%0.22-50.2%
4MR-07 Hurst 过滤均值回归83.4-1.5%0.08-39.4%
5REG-10 HMM 市场状态识别80.5-1.1%0.21-66.8%
6MR-02 布林带回归77.40.0%0.08-27.7%
7MOM-11 动量崩溃保护75.3-0.7%0.07-33.6%
8MR-11 威廉指标回归70.4-7.1%0.04-75.4%
9TREND-05 双均线68.9-4.0%0.06-49.7%
10TREND-14 线性回归通道68.7-9.5%0.05-66.1%

比特币 (BTC-USD)

近 12 个月

#策略得分年化夏普最大回撤
1MR-16 康纳斯 RSI91.822.8%0.87-15.3%
2TREND-10 一目均衡表87.212.0%0.61-7.0%
3COMBO-02 MACD + RSI 过滤87.017.5%0.64-12.1%
4TREND-14 线性回归通道86.042.5%0.90-19.3%
5RISK-03 止损叠加83.513.6%0.52-16.8%
6REG-14 波动率状态切换81.911.7%0.48-19.2%
7KC-01 肯特纳通道突破79.57.4%0.43-9.4%
8VOL-10 波动率风险溢价77.86.0%0.44-8.0%
9MR-14 去趋势价格震荡指标77.411.0%0.52-16.9%
10TREND-12 MACD 策略75.88.3%0.35-15.9%

近 5 年

#策略得分年化夏普最大回撤
1RISK-03 止损叠加83.720.8%0.60-52.9%
2RISK-01 回撤控制82.314.6%0.47-35.8%
3KC-01 肯特纳通道突破81.914.6%0.53-32.9%
4RP-01 目标波动率80.56.3%0.40-21.6%
5MOM-10 加速动量79.613.7%0.47-30.7%
6TREND-17 吊灯止损78.415.0%0.47-36.0%
7MR-15 终极震荡指标78.012.7%0.47-34.3%
8REG-14 波动率状态切换77.210.6%0.39-54.4%
9MOM-03 52 周新高动量76.312.6%0.43-47.0%
10TREND-12 MACD 策略72.910.6%0.38-48.0%

以太坊 (ETH-USD)

近 12 个月

#策略得分年化夏普最大回撤
1TREND-14 线性回归通道91.897.5%1.55-17.2%
2RISK-03 止损叠加89.034.1%0.82-21.3%
3COMBO-02 MACD + RSI 过滤86.029.1%0.77-18.9%
4TREND-18 估波曲线82.323.7%0.61-20.9%
5SAR-01 抛物线 SAR81.913.3%0.42-22.3%
6VOL-01 波动率突破80.913.3%0.51-15.0%
7MR-16 康纳斯 RSI79.88.1%0.34-18.5%
8TREND-10 一目均衡表79.14.0%0.25-12.0%
9TREND-12 MACD 策略77.13.1%0.23-22.8%
10TREND-17 吊灯止损76.04.9%0.26-23.3%

近 5 年

#策略得分年化夏普最大回撤
1MR-01 RSI 均值回归86.112.2%0.46-38.0%
2RISK-04 移动止损策略84.515.0%0.43-42.5%
3RISK-03 止损叠加83.418.1%0.49-49.5%
4COMBO-04 趋势 + 均值回归混合83.411.6%0.57-14.1%
5VOL-01 波动率突破81.17.1%0.34-36.6%
6REG-14 波动率状态切换80.88.9%0.33-56.7%
7MR-12 资金流量指标回归79.811.2%0.40-42.9%
8TREND-20 涡旋指标79.06.6%0.30-48.6%
9TREND-12 MACD 策略78.93.9%0.25-55.3%
10SUPER-01 超级趋势75.67.3%0.30-55.0%

基于日线数据和滚动前推优化的回测，未扣交易成本。历史表现不代表未来收益，不构成投资建议。

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