[{"data":1,"prerenderedAt":1263},["ShallowReactive",2],{"\u002Fzh\u002Fglossary\u002Fwhat-is-a-profit-factor":3,"\u002Fzh\u002Fglossary\u002Fwhat-is-a-profit-factor-related":318,"\u002Fzh\u002Fglossary\u002Fwhat-is-a-profit-factor-langs":1260},{"id":4,"title":5,"body":6,"category":301,"date":302,"description":303,"draft":304,"extension":305,"meta":306,"navigation":307,"path":308,"related":309,"seo":314,"stem":315,"term":316,"updated":302,"__hash__":317},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-a-profit-factor.md","什么是盈利因子？公式、合理数值与真实数据",{"type":7,"value":8,"toc":293},"minimark",[9,13,17,28,31,34,40,43,111,114,117,126,133,136,152,159,162,169,180,184,215,243,246,285],[10,11,12],"p",{},"盈利因子就是总盈利除以总亏损：所有盈利交易赚的钱加起来，除以所有亏损交易亏的钱。盈利因子 1.50，意思是账户每亏 $1.00，就赚回 $1.50。低于 1.00，不管胜率多高，账户从结构上就注定亏钱。",[14,15,16],"h2",{"id":16},"工作原理",[18,19,24],"pre",{"className":20,"code":22,"language":23},[21],"language-text","盈利因子 = 总盈利 \u002F |总亏损|\n","text",[25,26,22],"code",{"__ignoreMap":27},"",[10,29,30],{},"注意这个公式没有考虑什么：账户交易了多久、用了多少资金、中途跌得有多深。",[10,32,33],{},"它也可以用胜率、平均盈利和平均亏损来写，这样写就能拿来诊断问题：",[18,35,38],{"className":36,"code":37,"language":23},[21],"盈利因子 = (胜率 × 平均盈利) \u002F ((1 − 胜率) × 平均亏损)\n",[25,39,37],{"__ignoreMap":27},[10,41,42],{},"两个截然不同的系统，可能算出同一个数值。胜率 30%、盈利单平均是亏损单的四倍，结果是 1.71。胜率 80%、盈利单只有亏损单的一半，结果是 2.00。两者都能赚钱，但出问题的方式不同，做起来的感受也完全两样。",[44,45,46,59],"table",{},[47,48,49],"thead",{},[50,51,52,56],"tr",{},[53,54,55],"th",{},"盈利因子",[53,57,58],{},"解读",[60,61,62,71,79,87,95,103],"tbody",{},[50,63,64,68],{},[65,66,67],"td",{},"低于 1.00",[65,69,70],{},"亏钱，而且是结构性的，不是差一点",[50,72,73,76],{},[65,74,75],{},"1.00 – 1.10",[65,77,78],{},"还在噪声范围内，一周行情不好就没了",[50,80,81,84],{},[65,82,83],{},"1.10 – 1.30",[65,85,86],{},"优势很薄但真实存在，前提是样本够大",[50,88,89,92],{},[65,90,91],{},"1.30 – 2.00",[65,93,94],{},"策略有效",[50,96,97,100],{},[65,98,99],{},"2.00 – 3.00",[65,101,102],{},"很强。请核对交易笔数，以及成本是否算全",[50,104,105,108],{},[65,106,107],{},"高于 3.00",[65,109,110],{},"在长期历史里很少见：通常是样本太短、靠几笔超大盈利撑着，或者还有亏损单没平仓",[14,112,113],{"id":113},"为什么重要",[10,115,116],{},"要回答“这个系统到底赚不赚钱”，盈利因子是最干净的单一指标。它也比胜率难包装得多，因为每一笔亏损都按全额计入分母。",[10,118,119,120,125],{},"但它不是风险指标。盈利因子不管顺序：一个账户一个月赚够全部利润、另外十一个月一直失血，和一个每周稳步上涨的账户，数值可以一模一样。所以要和",[121,122,124],"a",{"href":123},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","最大回撤","一起看，否则只看到了终点，没看到过程。",[10,127,128,132],{},[121,129,131],{"href":130},"\u002Fglossary\u002Fwhat-is-backtesting","回测","给出的盈利因子同样要小心：优化器追求的就是把这个比值做到最大，所以回测里的高数值，往往反映的是拟合做得多好，而不是策略本身多好。",[14,134,135],{"id":135},"数据显示了什么",[10,137,138,139,143,144,151],{},"以下数字只描述在 ShowMyTrades 上发布的账户，不代表全体交易者。截至 2026 年 8 月，有交易历史的已发布账户中，",[140,141,142],"strong",{},"盈利因子中位数为 1.28","，",[140,145,146,150],{},[121,147,149],{"href":148},"\u002Fguides\u002Fwin-rate-is-not-an-edge","胜率中位数","为 68.8%","。两个数字都是扣除成本后的：每笔交易先计入库存费和佣金，再判定是盈利单还是亏损单，所以 1.28 是净值，不是毛值。",[10,153,154],{},[155,156],"img",{"alt":157,"src":158},"ShowMyTrades 公开账户的中位数：68.8% 的胜率与 1.28 的盈利因子并列","\u002Fimages\u002Farticles\u002Fwin-rate-vs-payoff.svg",[10,160,161],{},"同一组数据的两个中位数：胜率看着很高，背后的优势却很薄。",[10,163,164,165,168],{},"要看的正是这两个数放在一起。中位数账户里，将近七成的交易以盈利平仓，可整体优势也只是每亏 $1.00 赚 $1.28。拿一个两项都正好处在中位数的账户，把公式倒推回去：它的平均盈利只有平均亏损的约 ",[140,166,167],{},"0.58 倍","。赢得多和赚得多是两回事，前者要容易制造得多：亏损单扛着不平，盈利单早早落袋，胜率就往上走，盈利因子却往下掉。",[10,170,171,172,175,176,179],{},"同一组账户的夏普比率中位数是 ",[140,173,174],{},"0.05","，中位数账户有 ",[140,177,178],{},"171 笔已平仓交易","。样本这么小，盈利因子高于 3.00 并不能证明系统更强，只能说明样本还太少，最差的那笔交易还没出现。",[14,181,183],{"id":182},"在-showmytrades-上的位置","在 ShowMyTrades 上的位置",[10,185,186,187,190,191,193,194,197,198,197,201,197,204,197,207,210,211,214],{},"每个已发布账户页面的",[140,188,189],{},"高级统计","模块里都有",[140,192,55],{},"，旁边是能解释它的几个数字：",[140,195,196],{},"胜率","、",[140,199,200],{},"平均盈利",[140,202,203],{},"平均亏损",[140,205,206],{},"期望值",[140,208,209],{},"总交易数","和",[140,212,213],{},"夏普比率","。这六个数字合起来，能说清单一比值说不清的事。",[10,216,217,218,228,229,210,232,235,236,242],{},"有两个产品细节值得注意。第一，已经算进比值的成本会另外逐项列出：交易表格有",[140,219,220,221,227],{},"盈利（毛额）",[140,222,223,224,210],{},"列，",[140,225,226],{},"库存费","佣金","各占一列；高级统计还汇总了",[140,230,231],{},"佣金合计",[140,233,234],{},"已付库存费合计","，可以看出净值数字里扣掉了多少成本。在所有已发布账户中，这两项合计分别是佣金 $4,782,670、库存费 $862,547。第二，",[121,237,239],{"href":238},"\u002Fguides\u002Fcustom-analysis-and-filter-presets",[140,240,241],{},"自定义分析","可以先筛选（按日期范围、品种、魔术号、方向或手数），再对子集重算整个统计区块。用它可以检验：去掉表现最好的那个季度，或者去掉最赚钱的那个品种，盈利因子是否依然站得住。",[14,244,245],{"id":245},"常见误解",[247,248,249,262,273,279],"ul",{},[250,251,252,253,256,257,261],"li",{},"“",[140,254,255],{},"盈利因子高于 1，就说明我在赚钱。","”前提是成本已经算进比值。如果没有，一个毛值 1.05 的高频系统，",[121,258,260],{"href":259},"\u002Fglossary\u002Fwhat-is-cost-percentage","计入佣金和库存费之后","可能持平甚至亏损。",[250,263,252,264,267,268,272],{},[140,265,266],{},"盈利因子高，风险就低。","”它反映不了回撤、仓位大小和盈亏顺序。马丁格尔式逐级加仓的",[121,269,271],{"href":270},"\u002Fglossary\u002Fwhat-is-position-sizing","仓位管理","方案，可以一直显示 4.00，直到哪天突然失灵。",[250,274,252,275,278],{},[140,276,277],{},"不同时间周期之间可以直接比。","”不能，它没有年化。剥头皮交易者 20,000 笔交易得出的 1.20，和波段交易者 60 笔交易得出的 1.20，说的不是一回事。",[250,280,252,281,284],{},[140,282,283],{},"未平仓的交易不影响它。","”会影响，恰恰因为它们不在里面。一直不平的浮动亏损完全不计入总亏损，在平仓之前会一直把比值抬高。",[10,286,287,288,292],{},"该长期追踪哪些指标、按什么顺序看，请参阅",[121,289,291],{"href":290},"\u002Fguides\u002Ftracking-trading-performance","交易表现追踪完全指南","。",{"title":27,"searchDepth":294,"depth":294,"links":295},2,[296,297,298,299,300],{"id":16,"depth":294,"text":16},{"id":113,"depth":294,"text":113},{"id":135,"depth":294,"text":135},{"id":182,"depth":294,"text":183},{"id":245,"depth":294,"text":245},"指标","2026-08-19T00:00:00.000Z","盈利因子是总盈利除以总亏损，低于 1.0 的账户注定亏损。本文给出各数值区间的解读，以及数千个账户的中位数 1.28。",false,"md",{},true,"\u002Fzh\u002Fglossary\u002Fwhat-is-a-profit-factor",[310,311,312,313],"what-is-drawdown","what-is-maximum-drawdown","what-is-position-sizing","what-is-backtesting",{"title":5,"description":303},"zh\u002F5.glossary\u002Fwhat-is-a-profit-factor","盈利因子 (Profit Factor)","OLz2UdKZBQ-s3NM0RQISYNe6Jrhtmy0tM84z39S0Thk",[319,548,749,1053],{"id":320,"title":321,"body":322,"category":536,"date":302,"description":537,"draft":304,"extension":305,"meta":538,"navigation":307,"path":539,"related":540,"seo":544,"stem":545,"term":546,"updated":302,"__hash__":547},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-backtesting.md","什么是回测？定义、局限与实盘数据",{"type":7,"value":323,"toc":529},[324,327,329,332,338,341,371,379,381,384,387,389,400,420,431,437,440,442,450,478,488,490,521],[10,325,326],{},"回测是用历史价格数据模拟交易策略，估算它在过去会有怎样的表现。一张订单都不用发到经纪商，就能得出净值曲线、盈利因子和回撤。这些结果只是对策略的一种假设，并不是策略的真实记录。",[14,328,16],{"id":16},[10,330,331],{},"测试器逐根回放历史 K 线或 tick，在每一步套用策略的入场和离场规则，记下一次模拟成交。模拟和现实之间的所有差距，都藏在成本模型和成交模型里：",[18,333,336],{"className":334,"code":335,"language":23},[21],"每笔交易净结果 = 毛盈亏 − 点差 − 佣金 − 库存费 − 滑点\n\n点差成本 = 点差（价格单位）× 合约规模 × 手数\n库存费   = 库存费率 × 手数 × 持仓过夜数\n",[25,337,335],{"__ignoreMap":27},[10,339,340],{},"输出靠不靠得住，取决于三项设置：",[247,342,343,349,360],{},[250,344,345,348],{},[140,346,347],{},"建模质量","。MT4 和 MT5 用百分比表示。如果不提供真实 tick 数据，“每个 tick”（Every tick）模式其实是用 1 分钟 K 线插值出来的；“控制点”（control points）和“仅开盘价”（open prices only）都是近似算法，对依赖 K 线内部走势的策略美化得很厉害。",[250,350,351,354,355,359],{},[140,352,353],{},"点差假设","。多数测试器默认用固定点差。实盘点差会在每日展期（rollover）、新闻公布和时段开盘时扩大，而很多系统恰恰在这些时候交易。按 0.8 点建模、实际却要付 4.0 点的",[121,356,358],{"href":357},"\u002Fglossary\u002Fwhat-is-a-spread","点差","，已经是另一个策略了。",[250,361,362,365,366,370],{},[140,363,364],{},"滑点与成交逻辑","。测试器默认订单都按请求价成交。",[121,367,369],{"href":368},"\u002Fglossary\u002Fwhat-is-slippage","滑点","、拒单、重新报价和部分成交，在测试器里统统不存在。",[10,372,373,374,378],{},"还有第四个问题，软件不会告诉您：这组参数本身就是从一轮搜索里筛出来的。如果您跑了 400 个变体，只留下最好的那个，眼前的结果就是事后挑出来的。这就是",[121,375,377],{"href":376},"\u002Fglossary\u002Fwhat-is-curve-fitting","曲线拟合","，也是测试表现和实盘表现之间最大的一道鸿沟。",[14,380,113],{"id":113},[10,382,383],{},"要否决一个坏主意，回测是最便宜的办法；要确认一个好主意，它却是最昂贵的办法。它能说明一套规则在机制上前后一致，扛得住粗略的成本假设，回撤幅度也在您忍受得了的范围内。但它证明不了优势真的存在，因为它用到的每一项输入都是重建出来的，每一个参数都是看过数据之后才定下来的。",[10,385,386],{},"决定资金投向的人，应该把回测当成一个有一票否决权的筛选工具，而永远不要把它当作证据。",[14,388,135],{"id":135},[10,390,391,392,395,396,399],{},"ShowMyTrades 以公开页面发布了 ",[140,393,394],{},"1 万+ 个账户","，背后是 ",[140,397,398],{},"15,436,464 笔已同步的交易","（2026 年 8 月）。没有一笔是模拟的：每一笔都由经纪商成交，再从经纪商那里读取回来。",[10,401,402,403,406,407,410,411,143,414,410,417,419],{},"这些已发布账户绝大多数是自动交易：自动交易占比的中位数为 ",[140,404,405],{},"99%","，53.9% 的账户自动化程度超过 90%，42.2% 低于 10%。自动交易的那部分，主要是投入资金之前做过回测的策略。在全部已发布账户中，",[121,408,55],{"href":409},"\u002Fglossary\u002Fwhat-is-a-profit-factor","中位数为 ",[140,412,413],{},"1.28",[121,415,213],{"href":416},"\u002Fglossary\u002Fwhat-is-the-sharpe-ratio",[140,418,174],{},"。测试报告里的数字，真正要比的就是这些。",[10,421,422,423,426,427,430],{},"模拟最容易低估的是成本，而这里的成本是实际扣掉的，不是假设出来的：佣金 ",[140,424,425],{},"$4,782,670","，库存费 ",[140,428,429],{},"$862,547","；在产生过库存费的账户中，86.3% 的净库存费为负。策略要隔夜持仓，回测却把库存费设为零，这不是稍微乐观了一点，而是漏掉了一笔反复发生的费用。",[10,432,433],{},[155,434],{"alt":435,"src":436},"点差、佣金和库存费是三项独立的成本：ShowMyTrades 公开账户共被收取 $4,782,670 的佣金和 $862,547 的库存费","\u002Fimages\u002Farticles\u002Fwhere-costs-hide.svg",[10,438,439],{},"测试器用固定点差、又不算库存费，三项成本就漏掉了两项。",[14,441,183],{"id":182},[10,443,444,445,449],{},"回测有自己单独的区域，从不和账户混在一起。您可以上传 MetaTrader 4、MetaTrader 5 或 cTrader 的策略测试器报告，发布成标有 BACKTEST 的页面。页面会检查有没有篡改迹象，并单独列在您交易者主页的一个标签页里。回测页面从不带验证徽章，也不会出现在小组件、探索、投资组合和 Developer API 中，因为模拟结果不是",[121,446,448],{"href":447},"\u002Fglossary\u002Fwhat-is-a-track-record","业绩记录","。账户页面则不同，每一个都是从经纪商只读同步来的，所以上面的数字描述的是真实执行的交易，而不是模拟出来的交易。",[10,451,452,453,210,455,457,458,461,462,465,466,469,470,473,474,477],{},"回测藏起来的东西，这几个模块能揭出来：高级统计模块里的",[140,454,231],{},[140,456,234],{},"，以账户货币显示策略的真实成本；",[140,459,460],{},"终端","面板，报告与交易服务器之间的 ",[140,463,464],{},"Ping"," 和",[140,467,468],{},"重传","，也就是您实际成交时所处的条件；还有",[140,471,472],{},"交易历史与余额变化","，它的",[140,475,476],{},"已平仓交易","标签页按真实成交价列出每一笔已执行的订单，而不是测试器会给的价格。",[10,479,480,483,484,487],{},[140,481,482],{},"业绩记录已验证","徽章（65 个账户持有）和",[140,485,486],{},"交易权限已验证","徽章（264 个账户持有）标出的，是从经纪商到页面这条链路确实经过核查、而不只是自己声称的记录。",[14,489,245],{"id":245},[247,491,492,498,509,515],{},[250,493,252,494,497],{},[140,495,496],{},"它用了每个 tick，所以很准确。","”tick 建模改善的是价格路径，不是成交。经纪商的点差、执行和拒单，仍然没有算进去。",[250,499,252,500,503,504,508],{},[140,501,502],{},"它测试了十年。","”",[121,505,507],{"href":506},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","时长不等于独立性","。如果这十年里只有一种占主导的市场状态，那它只是一次观察，而不是 2,500 次。",[250,510,252,511,514],{},[140,512,513],{},"只优化了三个参数。","”三个参数各取二十个值，就是 8,000 次实验。8,000 次实验里的赢家，从构造上就注定有一部分靠的是运气。",[250,516,252,517,520],{},[140,518,519],{},"模拟账户的前向测试已经证实了它。","”模拟服务器的成交偏乐观，也从不拒单。模拟账户的结果只是第二次模拟，算不上第一次实盘测试。",[10,522,523,524,528],{},"无论是测试结果还是实盘数字，在相信它之前，先按",[121,525,527],{"href":526},"\u002Fguides\u002Fverifying-trading-performance-claims","如何验证交易业绩宣传","逐项核对一遍。",{"title":27,"searchDepth":294,"depth":294,"links":530},[531,532,533,534,535],{"id":16,"depth":294,"text":16},{"id":113,"depth":294,"text":113},{"id":135,"depth":294,"text":135},{"id":182,"depth":294,"text":183},{"id":245,"depth":294,"text":245},"策略","回测就是拿历史价格数据模拟交易策略。它能证明什么、证明不了什么，以及为什么与经纪商同步的实盘结果几乎总会和它不一样。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-backtesting",[541,542,543],"what-is-curve-fitting","what-is-a-verified-track-record","what-is-slippage",{"title":321,"description":537},"zh\u002F5.glossary\u002Fwhat-is-backtesting","回测 (Backtesting)","JFA3C0OuDmaFAnqzJS-I02fA4QcPMlLuq0a6Gjsakv8",{"id":549,"title":550,"body":551,"category":301,"date":302,"description":739,"draft":304,"extension":305,"meta":740,"navigation":307,"path":741,"related":742,"seo":745,"stem":746,"term":747,"updated":302,"__hash__":748},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-drawdown.md","什么是回撤？定义、公式与真实数据",{"type":7,"value":552,"toc":732},[553,556,558,561,567,570,573,603,605,608,614,617,620,630,632,638,652,655,657,679,694,696,725],[10,554,555],{},"回撤是账户价值从此前的峰值跌到之后低点的幅度，用峰值的百分比表示。它衡量的是账户离自己最好的时候跌了多少，而不是某一笔交易亏了多少。回撤是累积的，所以 20% 的回撤，可能来自四十笔小亏损，也可能来自一次巨亏。",[14,557,16],{"id":16},[10,559,560],{},"每个账户都有一条随时更新的高水位线，也就是它曾经达到的最高价值。回撤就是任意时刻账户低于这条线的距离。",[18,562,565],{"className":563,"code":564,"language":23},[21],"回撤 % = (峰值 − 当前值) \u002F 峰值 × 100\n",[25,566,564],{"__ignoreMap":27},[10,568,569],{},"这条线只升不降。账户一创新高，高水位线就移到新高，回撤归零。在那之前，只要低于峰值，每一天都算在回撤中，不管账户是在下跌还是在横盘磨蹭。",[10,571,572],{},"这个数字到底是什么意思，要看三组区分：",[247,574,575,585,591],{},[250,576,577,580,581,584],{},[140,578,579],{},"相对回撤与绝对回撤","。相对回撤就是上面的百分比。MetaTrader 报告的绝对回撤，是账户低于",[140,582,583],{},"初始入金","的金额，这是完全不同的数字：一个当前比峰值低 40% 的账户，绝对回撤可能显示为 0%。",[250,586,587,590],{},[140,588,589],{},"净值回撤与余额回撤","。净值回撤包含持仓的浮动亏损。余额回撤只看已平仓交易，所以一笔亏损只要不兑现，就永远不会出现在里面。",[250,592,593,596,597,599,600,602],{},[140,594,595],{},"当前回撤与最大回撤","。当前回撤是账户今天的位置。历史上最差的那一次是",[121,598,124],{"href":123},"，大多数",[121,601,448],{"href":447},"引用的就是它。",[14,604,113],{"id":113},[10,606,607],{},"一个策略值不值得投资，回撤是硬约束，因为亏损和盈利的复利效果并不对称。跌 20%，要涨 25% 才能回本；跌 50%，要涨 100%。",[10,609,610],{},[155,611],{"alt":612,"src":613},"亏损 10% 需要 11.1% 的盈利才能弥补，25% 需要 33.3%，50% 需要 100%，70% 需要 233%","\u002Fimages\u002Farticles\u002Frecovery-asymmetry.svg",[10,615,616],{},"跌幅一旦超过 50%，回本所需的涨幅就比亏损本身还大。",[10,618,619],{},"让人离开市场的，也是这个数字。几乎没有人会在急速暴跌中放弃，那时心里还抱着希望。人们是在不温不火的回升熬到第九个月时放弃的。深度只占一半，另一半是持续时间，而它在收益图上根本看不出来。",[10,621,622,623,210,625,629],{},"另外，回撤主要取决于",[121,624,271],{"href":270},[121,626,628],{"href":627},"\u002Fglossary\u002Fwhat-is-a-stop-loss","止损","纪律，远远超过入场质量。两位交易者信号完全一样、手数不同，胜率会一模一样，生存能力却天差地别。",[14,631,135],{"id":135},[10,633,634,635,292],{},"以下数字只描述在 ShowMyTrades 上发布的账户，并不是对全体交易者的调查。截至 2026 年 8 月，根据 15,436,464 笔已同步交易，有交易历史的已发布账户，历史最深回撤中位数为 ",[140,636,637],{},"9.7%",[10,639,640,641,410,645,143,648,651],{},"再看同一批账户赚了多少。",[121,642,644],{"href":643},"\u002Fglossary\u002Fwhat-is-time-weighted-return","时间加权收益率",[140,646,647],{},"+3.2%",[140,649,650],{},"63.0%"," 的账户长期为正。也就是说，处在中位数的账户，一路上回吐的幅度，大约是最终收益的三倍：承受的风险比得到的结果大，而且大出的是倍数，不是一星半点。",[10,653,654],{},"让回撤数字有意义的，是这个比值，而不是回撤本身有多深。宣称收益很高、回撤却只有百分之二三的账户并非不可能，但它处在这个分布的最边缘，这种极端情况要靠账户页面上的其余内容来证明。",[14,656,183],{"id":182},[10,658,659,660,663,664,667,668,671,672,678],{},"在每个已发布账户页面上，",[140,661,662],{},"账户统计","面板在",[140,665,666],{},"月均 %"," 下方连续两行显示两个数字：",[140,669,670],{},"回撤","，基于净值计算，包含持仓的浮动亏损；以及",[121,673,675],{"href":674},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance",[140,676,677],{},"余额回撤","，只基于已平仓结果。两者都是历史最大值，不是今天的读数，而且都来自经纪商的数据，不是账户所有者自己填的。",[10,680,681,682,684,685,688,689,693],{},"图表模块有一个",[140,683,670],{},"视图，用柱状图画出账户整个生命周期的每日回撤。下跌",[140,686,687],{},"持续了多久","，在这里直接就能看出来，不用靠推测，这是任何一个醒目的百分比都表达不了的。",[121,690,692],{"href":691},"\u002Ftools\u002Fdrawdown-calculator","回撤计算器","可以用您自己的余额算出回本需要多少涨幅。",[14,695,245],{"id":245},[247,697,698,704,710,719],{},[250,699,252,700,703],{},[140,701,702],{},"回撤就是我亏得最多的那一笔。","”不是。它是一条从峰值到谷底的累积路径，中间可能有几百笔交易，盈利单也包括在内。",[250,705,252,706,709],{},[140,707,708],{},"回本之后，我的回撤又回到零了。","”当前回撤是这样。最大回撤按设计永远不会降：这样，一个好季度就抹不掉一个坏季度。",[250,711,252,712,715,716,292],{},[140,713,714],{},"回撤低，说明风险低。","”新账户回撤低，通常只说明还没经受考验。这里已发布账户的已平仓交易数中位数是 171 笔；不到几百笔时，",[121,717,718],{"href":506},"回撤小反映的是样本量，而不是风险特征",[250,720,252,721,724],{},[140,722,723],{},"余额回撤才是真正的回撤。","”它只是更好看的那个。网格和摊平加仓类系统正是靠死扛亏损单不平，才让余额回撤一直很小。",[10,726,727,728,292],{},"回撤如何和账户页面上的其他数字对照着看，请参阅",[121,729,731],{"href":730},"\u002Fguides\u002Freading-a-trading-account-dashboard","如何读懂交易账户控制台",{"title":27,"searchDepth":294,"depth":294,"links":733},[734,735,736,737,738],{"id":16,"depth":294,"text":16},{"id":113,"depth":294,"text":113},{"id":135,"depth":294,"text":135},{"id":182,"depth":294,"text":183},{"id":245,"depth":294,"text":245},"回撤是账户价值从峰值到谷底的跌幅，用百分比表示。本文介绍公式、它为什么是累积的，以及数千个真实交易账户的数据。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-drawdown",[311,312,743,744],"what-is-a-stop-loss","what-is-a-profit-factor",{"title":550,"description":739},"zh\u002F5.glossary\u002Fwhat-is-drawdown","回撤 (Drawdown)","tI3oDk8FJPfBVP8sboa1RV13uVvVqDQQ3BpyQp8BpuI",{"id":750,"title":751,"body":752,"category":301,"date":302,"description":1045,"draft":304,"extension":305,"meta":1046,"navigation":307,"path":1047,"related":1048,"seo":1049,"stem":1050,"term":1051,"updated":302,"__hash__":1052},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-maximum-drawdown.md","什么是最大回撤？公式与回本计算",{"type":7,"value":753,"toc":1038},[754,762,764,767,773,776,825,830,847,849,852,913,916,923,925,931,937,940,950,977,979,992,1005,1007,1033],[10,755,756,757,761],{},"最大回撤是账户整个历史上出现过的最大一次",[121,758,760],{"href":759},"\u002Fglossary\u002Fwhat-is-drawdown","从峰值到谷底的跌幅","，以峰值的百分比表示。它是策略实际造成过的最大亏损，而不是账户主人心里预期的最大亏损。它只增不减：一旦出现 34% 的最大回撤，此后无论再创多少次新高，它都停在 34%。",[14,763,16],{"id":16},[10,765,766],{},"沿着净值曲线逐点往前看，同时记下到目前为止的最高值。每到一个点，就量一量它比这个最高值低了多少。全程找到的最深跌幅，就是最大回撤。",[18,768,771],{"className":769,"code":770,"language":23},[21],"最大回撤 % = 对所有 t 取最大值 [ (峰值(0..t) − 数值(t)) \u002F 峰值(0..t) ] × 100\n",[25,772,770],{"__ignoreMap":27},[10,774,775],{},"结果完全取决于用的是哪条曲线，ShowMyTrades 两条都公布。",[44,777,778,793],{},[47,779,780],{},[50,781,782,784,787,790],{},[53,783,301],{},[53,785,786],{},"计算基础",[53,788,789],{},"是否计入持仓？",[53,791,792],{},"说明了什么",[60,794,795,810],{},[50,796,797,801,804,807],{},[65,798,799],{},[140,800,670],{},[65,802,803],{},"净值（余额 + 浮动盈亏）",[65,805,806],{},"是",[65,808,809],{},"账户在那一刻实际价值的真实跌幅",[50,811,812,816,819,822],{},[65,813,814],{},[140,815,677],{},[65,817,818],{},"仅已平仓余额",[65,820,821],{},"否",[65,823,824],{},"已实现结果的跌幅",[10,826,827,829],{},[121,828,677],{"href":674},"的数字更好看，而且这是计算方式决定的：未实现的亏损它根本看不到。网格、马丁格尔和摊平加仓类系统正是利用了这一点：亏损单永远不平，余额曲线自然一直平滑。",[10,831,832,833,197,836,839,840,843,844,846],{},"所以，一个账户显示",[140,834,835],{},"回撤 41%",[140,837,838],{},"余额回撤 6%","，并不是数据出了问题。它曾经比峰值低 41%，已平仓的结果却只承认有过一段 6% 的低谷。净值那个数字才是诚实的，而",[140,841,842],{},"两者之间的差距","本身就说明了策略是怎么做的。如果两个数字很接近，说明仓位基本是在亏损出现的地方附近就平掉了，这正是",[121,845,628],{"href":627},"的用处。",[14,848,113],{"id":113},[10,850,851],{},"回本是不对称的：亏损是在较大的基数上亏掉的，盈利却得在变小了的基数上靠复利赚回来。",[44,853,854,863],{},[47,855,856],{},[50,857,858,860],{},[53,859,124],{},[53,861,862],{},"回到原峰值所需涨幅",[60,864,865,873,881,889,897,905],{},[50,866,867,870],{},[65,868,869],{},"10%",[65,871,872],{},"11.1%",[50,874,875,878],{},[65,876,877],{},"20%",[65,879,880],{},"25.0%",[50,882,883,886],{},[65,884,885],{},"30%",[65,887,888],{},"42.9%",[50,890,891,894],{},[65,892,893],{},"50%",[65,895,896],{},"100.0%",[50,898,899,902],{},[65,900,901],{},"70%",[65,903,904],{},"233.3%",[50,906,907,910],{},[65,908,909],{},"90%",[65,911,912],{},"900.0%",[10,914,915],{},"回撤在 20% 以内，这种不对称只是有点麻烦。超过 50%，它就成了这个账户压倒一切的事实：您得靠刚刚让资金腰斩的同一套策略，把资金翻倍。",[10,917,918,919,922],{},"最大回撤还决定了您实际能用的杠杆上限。一个系统历史上回撤过 30%，用两倍的",[121,920,921],{"href":270},"仓位大小","去跑，就意味着 60% 的回撤，而没有任何证据表明您扛得住。",[14,924,135],{"id":135},[10,926,927,928,930],{},"这里的数字来自 ShowMyTrades 上已发布的账户，不代表全体交易者。在有交易历史的已发布账户中（2026 年 8 月），最深回撤的中位数是 ",[140,929,637],{},"，但无论往高还是往低，分布都很散。",[10,932,933],{},[155,934],{"alt":935,"src":936},"ShowMyTrades 公开账户的最深回撤：38.5% 低于 5%，23.3% 在 5% 到 20% 之间，20.6% 在 20% 到 50% 之间，17.6% 超过 50%","\u002Fimages\u002Farticles\u002Fdrawdown-distribution.svg",[10,938,939],{},"中位数 9.7%，尾部却比多数公开宣传估计的更长。",[10,941,942,943,143,946,949],{},"在最差的一端，",[140,944,945],{},"17.6% 的账户曾比峰值低 50% 以上",[140,947,948],{},"38.2% 的账户曾回撤超过 20%","。换句话说，大约每六个账户就有一个碰上过上面回本表里 50% 那一行：光是回到原来的水平，就需要 100% 的涨幅。",[10,951,952,953,956,957,143,959,963,964,967,968,971,972,976],{},"最好的一端同样值得怀疑：",[140,954,955],{},"38.5%"," 的账户最大回撤不到 5%。其中有些确实稳健保守，但很多只是资历太浅。中位数水平的已发布账户有 ",[140,958,178],{},[121,960,962],{"href":961},"\u002Fglossary\u002Fwhat-is-average-trade-length","持仓时间","中位数 ",[140,965,966],{},"2.4 小时","；样本就这么大，最大回撤小，记录的只是“还没发生”，而不是“不会发生”。最大回撤说的是分布的尾部，而",[121,969,970],{"href":506},"尾部需要足够长的历史来支撑","，所以这个数字只有在",[121,973,975],{"href":974},"\u002Fglossary\u002Fwhat-is-a-verified-track-record","经验证的业绩记录","上才真正有分量。",[14,978,183],{"id":182},[10,980,186,981,983,984,210,986,988,989,991],{},[140,982,662],{},"面板里，",[140,985,670],{},[140,987,677],{},"紧挨着排在",[140,990,666],{}," 下方，两者都来自经纪商的数据，而非自行填报。先把这两个数字对比一下：它们之间的差距，是整个页面上最快的判断依据。",[10,993,994,995,997,998,1001,1002,1004],{},"图表模块里有一个专门的",[140,996,670],{},"视图，用柱状图画出每日回撤，回答了醒目百分比回答不了的问题：账户在高水位线下方待了",[140,999,1000],{},"多久","。七周内就收复的 25% 回撤，和十四个月后仍未收复的 25% 回撤，显示的是同一个数字，却完全不是同一种账户。",[121,1003,692],{"href":691},"可以拿您自己的余额套用上面的回本表。",[14,1006,245],{"id":245},[247,1008,1009,1015,1021,1027],{},[250,1010,252,1011,1014],{},[140,1012,1013],{},"我的最大回撤今年改善了。","”它不可能改善。它是历史最大值，一年业绩再好也抹不掉。",[250,1016,252,1017,1020],{},[140,1018,1019],{},"两个回撤数字应该一致。","”只有仓位在亏损附近就平掉时，两者才会一致。差距大是死扛亏损单的标志，不是数据出错。",[250,1022,252,1023,1026],{},[140,1024,1025],{},"最大回撤小，风险就低。","”历史短的话就不一定。把它当风险指标之前，先问问它是多少笔交易、多少个月得出来的。",[250,1028,252,1029,1032],{},[140,1030,1031],{},"百分比回撤和金额回撤可以互相替代。","”$2,000 的账户和 $200,000 的账户各跌 30%，风险特征相同，感受却天差地别；但能在账户之间比较的，只有百分比。",[10,1034,1035,1036,292],{},"想在实时账户页面上把最大回撤和其他指标放在一起看，请阅读",[121,1037,731],{"href":730},{"title":27,"searchDepth":294,"depth":294,"links":1039},[1040,1041,1042,1043,1044],{"id":16,"depth":294,"text":16},{"id":113,"depth":294,"text":113},{"id":135,"depth":294,"text":135},{"id":182,"depth":294,"text":183},{"id":245,"depth":294,"text":245},"最大回撤是账户有史以来从峰值到谷底的最深跌幅。本文介绍计算公式、回本对照表，以及数千个账户的真实分布。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-maximum-drawdown",[310,312,542,744],{"title":751,"description":1045},"zh\u002F5.glossary\u002Fwhat-is-maximum-drawdown","最大回撤 (Maximum Drawdown)","H1pMHY5DcM__vxubkgaLVDhrp8FNU0EbYexdvdzrV1o",{"id":1054,"title":1055,"body":1056,"category":1250,"date":302,"description":1251,"draft":304,"extension":305,"meta":1252,"navigation":307,"path":1253,"related":1254,"seo":1256,"stem":1257,"term":1258,"updated":302,"__hash__":1259},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-position-sizing.md","什么是仓位管理？公式与手数计算",{"type":7,"value":1057,"toc":1243},[1058,1064,1066,1069,1075,1078,1084,1090,1093,1113,1119,1122,1124,1127,1134,1136,1150,1153,1166,1168,1175,1203,1205,1236],[10,1059,1060,1061,1063],{},"仓位管理（position sizing）决定一笔交易开多大，依据是这笔交易失败时您愿意亏掉账户的多少。它用两个数把风险百分比换算成手数：到止损的距离，以及这个手数下一个点值多少钱。账户的",[121,1062,670],{"href":759},"特征就由这一个变量决定，而且它是在交易前选定的，不是交易后才发现的。",[14,1065,16],{"id":16},[10,1067,1068],{},"分三步，按顺序来。",[18,1070,1073],{"className":1071,"code":1072,"language":23},[21],"1. 风险金额   = 账户余额 × 风险 %\n2. 点值　　   = 合约规模 × 以报价货币计的一个点 × 换算为账户货币的汇率\n3. 仓位大小   = 风险金额 \u002F (止损距离点数 × 每手点值)\n",[25,1074,1072],{"__ignoreMap":27},[10,1076,1077],{},"举个例子：$10,000 的账户，每笔交易风险 1%，EUR\u002FUSD 止损 50 点，一标准手每点 $10：",[18,1079,1082],{"className":1080,"code":1081,"language":23},[21],"风险金额   = 10,000 × 0.01      = $100\n仓位大小   = 100 \u002F (50 × 10)    = 0.20 手\n",[25,1083,1081],{"__ignoreMap":27},[10,1085,1086,1087,1089],{},"止损放宽到 100 点，同样 $100 的风险就只能开 0.10 手。风险不变，手数跟着调整。整个思路就在这种反向关系里，也正因为如此，仓位管理和",[121,1088,628],{"href":627},"位置不能分开决定。",[10,1091,1092],{},"实践中最常用的有三种方法：",[247,1094,1095,1101,1107],{},[250,1096,1097,1100],{},[140,1098,1099],{},"固定手数","。不管止损多远、余额多少，永远 0.10 手。简单，但止损和余额一变，单笔风险就跟着漂移。",[250,1102,1103,1106],{},[140,1104,1105],{},"百分比风险（固定比例）","。也就是上面的公式。风险始终与账户成比例，账户缩水时，按金额计的亏损也随之变小，回本在算术上才有可能。",[250,1108,1109,1112],{},[140,1110,1111],{},"马丁格尔递增","。亏损后加大手数，想把亏损扳回来。盈利频繁而且每笔都小，净值曲线漂亮得无可挑剔，但结果的分布有一条很厚的左尾，而且会一下子全部兑现。",[10,1114,1115],{},[155,1116],{"alt":1117,"src":1118},"每次亏损后手数加倍，对比按净值固定比例下单：胜率相同，市场相同，结局相反","\u002Fimages\u002Farticles\u002Flot-progression.svg",[10,1120,1121],{},"一个账户用的是哪一种，光看手数就能看出来。",[14,1123,113],{"id":113},[10,1125,1126],{},"入场决定您能不能赢，仓位管理决定您还能不能留下来做下一笔。两个交易者用同样的信号、同样的止损，胜率一模一样，账户却天差地别，因为一个每笔只冒 0.5% 的风险，另一个冒 8%。",[10,1128,1129,1133],{},[121,1130,1132],{"href":1131},"\u002Fglossary\u002Fwhat-is-leverage","杠杆","真正造成伤害，也是通过仓位管理。高杠杆本身不是风险，只是允许您去冒险。风险来自用这份许可开出的仓位：按它的止损距离，一笔亏损大到账户连亏两次都扛不住。",[14,1135,135],{"id":135},[10,1137,1138,1139,1142,1143,143,1146,1149],{},"仓位管理会在回撤的尾部留下痕迹。在 ShowMyTrades 上有交易历史的已发布账户中（2026 年 8 月；统计对象是在本站公开的账户，并不代表所有交易者），",[140,1140,1141],{},"38.2%"," 曾",[121,1144,1145],{"href":123},"回撤超过 20%",[140,1147,1148],{},"17.6%"," 亏掉了峰值的一半以上。",[10,1151,1152],{},"规模定得合理的固定比例账户，很少会落到最后这一档。按每笔 1% 的风险亏掉 50%，大约要连亏 69 次。落在这条尾部里的账户，一般另有原因：亏损后不断加码，或者定手数时根本没考虑止损。",[10,1154,1155,1156,143,1158,1161,1162,1165],{},"再看看仓位大小是谁定的：这些账户自动交易占比的中位数为 ",[140,1157,405],{},[140,1159,1160],{},"53.9%"," 的账户自动化程度超过 90%，低于 10% 的则有 ",[140,1163,1164],{},"42.2%","。在一半以上的已发布账户上，仓位大小只是 EA 设置里的一行，设好一次，余额怎么变都不再调整。",[14,1167,183],{"id":182},[10,1169,1170,1174],{},[121,1171,1173],{"href":1172},"\u002Ftools\u002Fposition-size-calculator","仓位计算器","用实时价格、以您的账户货币套用上面的公式，风险可以按百分比或固定金额设定，止损可以用价格或点数表示。",[10,1176,1177,1178,1181,1182,1185,1186,1188,1189,1192,1193,1195,1196,1202],{},"在已发布账户的页面上，仓位管理可以实际核查，不必凭空猜测。",[140,1179,1180],{},"交易表格","有一列",[140,1183,1184],{},"交易量","，列出每笔交易的手数，每亏一次就加一级的手数一眼就能看出来。",[140,1187,241],{},"提供",[140,1190,1191],{},"手数","的最小\u002F最大筛选：把下限设在账户正常手数之上，看看剩下的交易是不是都紧跟在亏损之后出现，这就是马丁格尔的特征。",[140,1194,189],{},"模块里的",[121,1197,1199],{"href":1198},"\u002Fguides\u002Ftrading-volume-analysis",[140,1200,1201],{},"总手数","给出汇总值；所有已发布账户累计交易了 1,724,575 手。",[14,1204,245],{"id":245},[247,1206,1207,1213,1224,1230],{},[250,1208,252,1209,1212],{},[140,1210,1211],{},"风险 2%，就是动用账户的 2%。","”不是。2% 是止损被触发时的亏损。仓位占用的保证金是另一个完全不同的数字，由杠杆决定。",[250,1214,252,1215,1218,1219,1223],{},[140,1216,1217],{},"我每笔只冒 1% 的风险，所以最坏也就亏 1%。","”只有同时只开一个仓位时才成立。",[121,1220,1222],{"href":1221},"\u002Fglossary\u002Fwhat-is-correlation-risk","五个相关的仓位","各占 1%，其实是一笔换了装扮的 5% 交易，而相关的货币对偏偏在最伤人的时候同涨同跌。",[250,1225,252,1226,1229],{},[140,1227,1228],{},"不设止损，就没有风险要算。","”没有止损，仓位大小公式就没有分母：风险不是很小，而是根本无法定义，它的真实数值就是追加保证金通知。",[250,1231,252,1232,1235],{},[140,1233,1234],{},"复利就是不断加仓。","”固定比例的仓位管理是双向调整的。赢了加手数、亏了却不减，这不是复利，而是一个慢慢收紧的棘轮，把账户推向一场您定仓位时从未考虑过的回撤。",[10,1237,1238,1239,292],{},"全套风险与仓位管理工具，以及各自适用的场景，请参阅",[121,1240,1242],{"href":1241},"\u002Fguides\u002Fforex-calculators-guide","外汇计算器指南",{"title":27,"searchDepth":294,"depth":294,"links":1244},[1245,1246,1247,1248,1249],{"id":16,"depth":294,"text":16},{"id":113,"depth":294,"text":113},{"id":135,"depth":294,"text":135},{"id":182,"depth":294,"text":183},{"id":245,"depth":294,"text":245},"风险","仓位管理就是根据止损距离和点值，把风险百分比换算成手数。本文介绍公式、三种常见方法，以及仓位定错的代价。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-position-sizing",[310,311,743,1255],"what-is-leverage",{"title":1055,"description":1251},"zh\u002F5.glossary\u002Fwhat-is-position-sizing","仓位管理 (Position Sizing)","5hi2OmhGtFDhESyalituW-Nh51a9wIit5SKZxEMEQyk",[1261,1262],{"path":409},{"path":308},1793898059138]