趋势均线交叉策略

{"date": "2026-06-14", "summary": "原始公式有5个bug导致0信号。V5修复了所有bug，采用布林上轨突破+1.2倍量能+短均线多头+5日动量的四条件组合。胜率47.6%/收益12.3%/夏普0.32，在141只股票上产生2119次交易。", "original": {"error": "公式含5个bug：LOW覆盖原生变量/CROSS(LOW,LOW)/DRAWTEXT双引号/BUY引用Output变量/BAND_WIDTH引用被覆盖的LOW，全部147只股票0信号", "status": "failed"}, "optimized_v5": {"sharpe": 0.32, "pl_ratio": 1.81, "win_rate": 47.6, "avg_return": 12.3, "formula_code": "N:=20;K:=2;MID:=MA(CLOSE,N);UP:=MID+K*STD(CLOSE,N);DN:=MID-K*STD(CLOSE,N);BREAK_UP:=CROSS(CLOSE,UP);VOL_MA20:=MA(VOL,20);VOL_OK:=VOL>VOL_MA20*1.2;MA5:=MA(CLOSE,5);MA20:=MA(CLOSE,20);TREND_UP:=MA5>MA20;MOM_OK:=CLOSE>REF(CLOSE,5);ENTRY_VAR:=BREAK_UP AND VOL_OK AND TREND_UP AND MOM_OK;BUY_VAR:=ENTRY_VAR AND REF(ENTRY_VAR,1)=0;BUY:BUY_VAR;", "max_drawdown": 21.4, "total_stocks": 147, "total_trades": 2119, "median_return": 8.5, "positive_ratio": 58.9, "effective_stocks": 141}}