[{"data":1,"prerenderedAt":1287},["ShallowReactive",2],{"\u002Fzh\u002Fglossary\u002Fwhat-is-an-equity-curve":3,"\u002Fzh\u002Fglossary\u002Fwhat-is-an-equity-curve-related":291,"\u002Fzh\u002Fglossary\u002Fwhat-is-an-equity-curve-langs":1284},{"id":4,"title":5,"body":6,"category":273,"date":274,"description":275,"draft":276,"extension":277,"meta":278,"navigation":279,"path":280,"related":281,"seo":286,"stem":287,"term":288,"updated":289,"__hash__":290},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-an-equity-curve.md","什么是净值曲线？如何解读它的形状",{"type":7,"value":8,"toc":265},"minimark",[9,13,17,28,31,38,41,50,53,87,90,98,101,104,122,138,148,152,176,193,218,221,258],[10,11,12],"p",{},"净值曲线是账户价值随时间变化的图。像样的账户页面会画两条线，而不是一条：余额，只算已平仓交易；净值，再加上所有未平仓仓位的浮动盈亏。两条线之间的距离，就是账户还没有认下的那部分故事。",[14,15,16],"h2",{"id":16},"工作原理",[18,19,24],"pre",{"className":20,"code":22,"language":23},[21],"language-text","净值 = 余额 + 持仓的浮动盈亏\n","text",[25,26,22],"code",{"__ignoreMap":27},"",[10,29,30],{},"没有持仓时，两条线重合。有持仓时，净值在动，余额不动。一笔亏损仓位只要一直不平，余额线就保持平直，净值线却被往下拉；一旦平仓，余额线就掉下来和净值会合。所以余额图上一笔“突然”的亏损，往往几周前就已经发生了。",[10,32,33],{},[34,35],"img",{"alt":36,"src":37},"一条平滑的余额线，净值线被仍处于亏损中的持仓拉到它的下方","\u002Fimages\u002Farticles\u002Fequity-vs-balance.svg",[10,39,40],{},"亏损单不平，余额线就能一直保持整齐。",[10,42,43,44,49],{},"入金和出金会让两条线同时上下移动，期间没有任何交易，所以原始曲线不能当收益来看。",[45,46,48],"a",{"href":47},"\u002Fglossary\u002Fwhat-is-time-weighted-return","时间加权收益率","就是为了做这个修正。",[10,51,52],{},"曲线的形状和终点一样有信息量：",[54,55,56,64,70,81],"ul",{},[57,58,59,63],"li",{},[60,61,62],"strong",{},"锯齿状上升，回撤清晰可见","。正常。每个策略都有连亏的时候，没有反而反常。",[57,65,66,69],{},[60,67,68],{},"余额线几乎是一条笔直的斜线","。这是警示，不是夸奖。通常意味着亏损单一直扛着、盈利单及时平掉（网格、逆势加仓摊平或马丁格尔的做法），风险已经转到净值线上，只看余额的图表根本反映不出来。",[57,71,72,75,76,80],{},[60,73,74],{},"长期走平，中间夹着几级垂直台阶","。要么仓位规模变了，要么账户交易很少、每次下得很重。",[45,77,79],{"href":78},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","先看交易笔数，再看斜率","。",[57,82,83,86],{},[60,84,85],{},"一路平稳上升，然后戛然而止","。典型的一次性爆仓形态：许多小额盈利，养着一笔大到足以终结账户的亏损。",[14,88,89],{"id":89},"为什么重要",[10,91,92,93,97],{},"持续时间要靠曲线才看得见。一个摘要数字告诉您最大",[45,94,96],{"href":95},"\u002Fglossary\u002Fwhat-is-drawdown","回撤","是 18%；只有曲线会告诉您它持续了九个月，而真正让人放弃的，正是这一点。",[10,99,100],{},"它也是检验业绩记录最快的测谎仪。人们宣传的是收益，很少提形状，而形状要难伪造得多：一条从来没有过糟糕一周的余额线，要么根本没经历过那样的行情，要么就是没把亏损单平掉。",[14,102,103],{"id":103},"数据显示了什么",[10,105,106,107,80,110,113,114,117,118,121],{},"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，按净值计算的",[60,108,109],{},"最深回撤中位数为 9.7%",[60,111,112],{},"38.5%"," 的账户从未比自身峰值低过 5% 以上，",[60,115,116],{},"38.2%"," 曾低于峰值 20% 以上，",[60,119,120],{},"17.6%"," 曾低于峰值 50% 以上。",[10,123,124,125,128,129,133,134,137],{},"再对照 ",[60,126,127],{},"+3.2% 的时间加权收益率中位数","，真实的形状就出来了：斜率平缓，凹陷真实存在，而且",[45,130,132],{"href":131},"\u002Fglossary\u002Fwhat-is-recovery-factor","最深的那次凹陷是最终收益的好几倍","。中位数账户走到这一步用了 ",[60,135,136],{},"171 笔已平仓交易","，任何一条看起来平滑的曲线都要放在这个背景下看：曲线背后的交易越少，平滑就越说明不了问题。",[10,139,140,141,143,144,147],{},"净值和余额之间的差距也能量化。每个账户都同时有基于净值的",[60,142,96],{},"和只基于已平仓结果的",[60,145,146],{},"余额回撤","。两者差得多，就是“笔直斜线”警示的数字版：余额线之所以整齐，是靠那些还没平仓的仓位撑着。",[14,149,151],{"id":150},"在-showmytrades-上的位置","在 ShowMyTrades 上的位置",[10,153,154,155,158,159,162,163,162,166,162,169,172,173,175],{},"每个已发布账户页面上的",[60,156,157],{},"图表模块","是一个面板，可以在五个视图之间切换：",[60,160,161],{},"增长","、",[60,164,165],{},"余额",[60,167,168],{},"盈利",[60,170,171],{},"逐笔交易增长","和",[60,174,96],{},"，而不是一堆分开的图表。",[10,177,178,180,181,172,183,186,187,189,190,192],{},[60,179,165],{},"视图才是真正意义上的净值曲线。它画出",[60,182,165],{},[60,184,185],{},"净值","两条带名称的序列，并附有图例，浮动差距直接就能看到，不用推断；入金和出金在线上有标记，所以一次跳升会被看作注资，而不是交易所得。",[60,188,161],{},"视图把同一账户重新画成复利计算的时间加权收益率，去掉了资金进出。",[60,191,96],{},"视图用柱状图画出每天低于历史高点的距离，下跌持续了多久，在这里一看便知。",[10,194,195,196,199,200,162,202,204,205,208,209,172,211,213,214,217],{},"对应的数字在",[60,197,198],{},"账户统计","面板里：",[60,201,165],{},[60,203,185],{},"（金额旁还显示它占余额的百分比，大额浮亏一眼就能看出）和",[60,206,207],{},"最高余额","，即账户曾经达到的最高点。",[60,210,96],{},[60,212,146],{},"在同一面板",[60,215,216],{},"月均 %"," 下面的两行。",[14,219,220],{"id":220},"常见误解",[54,222,223,235,241,252],{},[57,224,225,226,229,230,234],{},"“",[60,227,228],{},"净值曲线平滑，说明风险低。","”往往正好相反。余额线平滑，恰恰是从不兑现亏损的标志，风险藏在净值线和",[45,231,233],{"href":232},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","最大回撤","里。",[57,236,225,237,240],{},[60,238,239],{},"净值曲线就是余额图。","”余额只算已平仓交易。净值还包括未平仓交易，两者之差正是还没入账的那部分金额。",[57,242,225,243,246,247,251],{},[60,244,245],{},"曲线涨了，说明交易有效。","”先把入金剔除再说。所以我们页面上的增长是时间加权的，",[45,248,250],{"href":249},"\u002Fglossary\u002Fwhat-is-absolute-gain","绝对增长","则单独显示。",[57,253,225,254,257],{},[60,255,256],{},"创了新高，说明账户恢复了。","”这只说明余额恢复了。如果新高是靠亏损后加大仓位换来的，账户并没有恢复，只是加倍下注，侥幸过关。",[10,259,260,261,80],{},"曲线的形状怎样暴露人为做出来的业绩，请参阅",[45,262,264],{"href":263},"\u002Fguides\u002Fspotting-fake-ea-results","识破虚假 EA 业绩",{"title":27,"searchDepth":266,"depth":266,"links":267},2,[268,269,270,271,272],{"id":16,"depth":266,"text":16},{"id":89,"depth":266,"text":89},{"id":103,"depth":266,"text":103},{"id":150,"depth":266,"text":151},{"id":220,"depth":266,"text":220},"指标","2026-08-19T00:00:00.000Z","净值曲线描绘账户价值随时间的变化，隐藏的亏损就藏在余额线和净值线之间的差距里。看看公开账户的数据怎么说。",false,"md",{},true,"\u002Fzh\u002Fglossary\u002Fwhat-is-an-equity-curve",[282,283,284,285],"what-is-time-weighted-return","what-is-drawdown","what-is-maximum-drawdown","what-is-a-profit-factor",{"title":5,"description":275},"zh\u002F5.glossary\u002Fwhat-is-an-equity-curve","净值曲线 (Equity Curve)","2026-09-17T00:00:00.000Z","xYlV0ekS-m-8z5Bq01z87DT2GCAWWtPeFgyUwQoH3X4",[292,573,770,1073],{"id":293,"title":294,"body":295,"category":273,"date":274,"description":563,"draft":276,"extension":277,"meta":564,"navigation":279,"path":565,"related":566,"seo":569,"stem":570,"term":571,"updated":274,"__hash__":572},"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":296,"toc":556},[297,300,302,308,311,314,320,323,391,393,396,402,409,411,426,432,435,442,452,454,483,511,513,549],[10,298,299],{},"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。",[14,301,16],{"id":16},[18,303,306],{"className":304,"code":305,"language":23},[21],"盈利因子 = 总盈利 \u002F |总亏损|\n",[25,307,305],{"__ignoreMap":27},[10,309,310],{},"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。",[10,312,313],{},"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：",[18,315,318],{"className":316,"code":317,"language":23},[21],"盈利因子 = (胜率 × 平均盈利) \u002F ((1 − 胜率) × 平均亏损)\n",[25,319,317],{"__ignoreMap":27},[10,321,322],{},"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。",[324,325,326,339],"table",{},[327,328,329],"thead",{},[330,331,332,336],"tr",{},[333,334,335],"th",{},"盈利因子",[333,337,338],{},"解读",[340,341,342,351,359,367,375,383],"tbody",{},[330,343,344,348],{},[345,346,347],"td",{},"低于 1.00",[345,349,350],{},"亏钱，而且是结构性的，不是差一点",[330,352,353,356],{},[345,354,355],{},"1.00 – 1.10",[345,357,358],{},"还在噪声范围内，一周行情不好就没了",[330,360,361,364],{},[345,362,363],{},"1.10 – 1.30",[345,365,366],{},"优势很薄但真实存在，前提是样本够大",[330,368,369,372],{},[345,370,371],{},"1.30 – 2.00",[345,373,374],{},"策略有效",[330,376,377,380],{},[345,378,379],{},"2.00 – 3.00",[345,381,382],{},"很强。请核对交易笔数，以及成本是否算全",[330,384,385,388],{},[345,386,387],{},"高于 3.00",[345,389,390],{},"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",[14,392,89],{"id":89},[10,394,395],{},"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。",[10,397,398,399,401],{},"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",[45,400,233],{"href":232},"一起看，否则只看到了终点，没看到过程。",[10,403,404,408],{},[45,405,407],{"href":406},"\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。",[14,410,103],{"id":103},[10,412,413,414,417,418,425],{},"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，",[60,415,416],{},"盈利因子中位数为 1.28","，",[60,419,420,424],{},[45,421,423],{"href":422},"\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。",[10,427,428],{},[34,429],{"alt":430,"src":431},"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",[10,433,434],{},"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。",[10,436,437,438,441],{},"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 ",[60,439,440],{},"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。",[10,443,444,445,448,449,451],{},"同一组账户的夏普比率中位数是 ",[60,446,447],{},"0.05","，中位数账户有 ",[60,450,136],{},"。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。",[14,453,151],{"id":150},[10,455,456,457,460,461,463,464,162,467,162,470,162,473,162,476,172,479,482],{},"每个已发布账户页面的",[60,458,459],{},"高级统计","模块里都有",[60,462,335],{},"，旁边是能解释它的几个数字：",[60,465,466],{},"胜率",[60,468,469],{},"平均盈利",[60,471,472],{},"平均亏损",[60,474,475],{},"期望值",[60,477,478],{},"总交易数",[60,480,481],{},"夏普比率","。这六个数字合起来，能说清单一比值说不清的事。",[10,484,485,486,496,497,172,500,503,504,510],{},"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",[60,487,488,489,495],{},"盈利（毛额）",[60,490,491,492,172],{},"列，",[60,493,494],{},"库存费","佣金","各占一列；高级统计还汇总了",[60,498,499],{},"佣金合计",[60,501,502],{},"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，",[45,505,507],{"href":506},"\u002Fguides\u002Fcustom-analysis-and-filter-presets",[60,508,509],{},"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。",[14,512,220],{"id":220},[54,514,515,526,537,543],{},[57,516,225,517,520,521,525],{},[60,518,519],{},"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，",[45,522,524],{"href":523},"\u002Fglossary\u002Fwhat-is-cost-percentage","计入佣金和库存费之后","可能持平甚至亏损。",[57,527,225,528,531,532,536],{},[60,529,530],{},"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",[45,533,535],{"href":534},"\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。",[57,538,225,539,542],{},[60,540,541],{},"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。",[57,544,225,545,548],{},[60,546,547],{},"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。",[10,550,551,552,80],{},"该长期追踪哪些指标、按什么顺序看，请参阅",[45,553,555],{"href":554},"\u002Fguides\u002Ftracking-trading-performance","交易表现追踪完全指南",{"title":27,"searchDepth":266,"depth":266,"links":557},[558,559,560,561,562],{"id":16,"depth":266,"text":16},{"id":89,"depth":266,"text":89},{"id":103,"depth":266,"text":103},{"id":150,"depth":266,"text":151},{"id":220,"depth":266,"text":220},"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。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-a-profit-factor",[283,284,567,568],"what-is-position-sizing","what-is-backtesting",{"title":294,"description":563},"zh\u002F5.glossary\u002Fwhat-is-a-profit-factor","盈利因子 (Profit Factor)","OLz2UdKZBQ-s3NM0RQISYNe6Jrhtmy0tM84z39S0Thk",{"id":574,"title":575,"body":576,"category":273,"date":274,"description":761,"draft":276,"extension":277,"meta":762,"navigation":279,"path":763,"related":764,"seo":766,"stem":767,"term":768,"updated":274,"__hash__":769},"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":577,"toc":754},[578,581,583,586,592,595,598,630,632,635,641,644,647,657,659,665,678,681,683,701,716,718,747],[10,579,580],{},"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。",[14,582,16],{"id":16},[10,584,585],{},"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。",[18,587,590],{"className":588,"code":589,"language":23},[21],"回撤 % = (峰值 − 当前值) \u002F 峰值 × 100\n",[25,591,589],{"__ignoreMap":27},[10,593,594],{},"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。",[10,596,597],{},"这个数字到底是什么意思，要看三组区分：",[54,599,600,610,616],{},[57,601,602,605,606,609],{},[60,603,604],{},"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",[60,607,608],{},"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%。",[57,611,612,615],{},[60,613,614],{},"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。",[57,617,618,621,622,624,625,629],{},[60,619,620],{},"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",[45,623,233],{"href":232},"，大多数",[45,626,628],{"href":627},"\u002Fglossary\u002Fwhat-is-a-track-record","业绩记录","引用的就是它。",[14,631,89],{"id":89},[10,633,634],{},"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%。",[10,636,637],{},[34,638],{"alt":639,"src":640},"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",[10,642,643],{},"跌幅一旦超过 50%，回本所需的涨幅就比亏损本身还大。",[10,645,646],{},"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。",[10,648,649,650,172,652,656],{},"另外，回撤主要取决于",[45,651,535],{"href":534},[45,653,655],{"href":654},"\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。",[14,658,103],{"id":103},[10,660,661,662,80],{},"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 ",[60,663,664],{},"9.7%",[10,666,667,668,670,671,417,674,677],{},"再看同一批账户赚了多少。",[45,669,48],{"href":47},"中位数为 ",[60,672,673],{},"+3.2%",[60,675,676],{},"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。",[10,679,680],{},"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。",[14,682,151],{"id":150},[10,684,685,686,688,689,691,692,694,695,700],{},"在每个已发布账户页面上，",[60,687,198],{},"面板在",[60,690,216],{}," 下方连续两行显示两个数字：",[60,693,96],{},"，基于净值计算，包含持仓的浮动亏损；以及",[45,696,698],{"href":697},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance",[60,699,146],{},"，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。",[10,702,703,704,706,707,710,711,715],{},"图表模块有一个",[60,705,96],{},"视图，用柱状图画出账户整个生命周期的每日回撤。下跌",[60,708,709],{},"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。",[45,712,714],{"href":713},"\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。",[14,717,220],{"id":220},[54,719,720,726,732,741],{},[57,721,225,722,725],{},[60,723,724],{},"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。",[57,727,225,728,731],{},[60,729,730],{},"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。",[57,733,225,734,737,738,80],{},[60,735,736],{},"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，",[45,739,740],{"href":78},"回撤小反映的是样本量，而不是风险特征",[57,742,225,743,746],{},[60,744,745],{},"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。",[10,748,749,750,80],{},"回撤如何和账户页面上的其他数字对照着看，请参阅",[45,751,753],{"href":752},"\u002Fguides\u002Freading-a-trading-account-dashboard","如何读懂交易账户控制台",{"title":27,"searchDepth":266,"depth":266,"links":755},[756,757,758,759,760],{"id":16,"depth":266,"text":16},{"id":89,"depth":266,"text":89},{"id":103,"depth":266,"text":103},{"id":150,"depth":266,"text":151},{"id":220,"depth":266,"text":220},"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",[284,567,765,285],"what-is-a-stop-loss",{"title":575,"description":761},"zh\u002F5.glossary\u002Fwhat-is-drawdown","回撤 (Drawdown)","tI3oDk8FJPfBVP8sboa1RV13uVvVqDQQ3BpyQp8BpuI",{"id":771,"title":772,"body":773,"category":273,"date":274,"description":1064,"draft":276,"extension":277,"meta":1065,"navigation":279,"path":1066,"related":1067,"seo":1069,"stem":1070,"term":1071,"updated":274,"__hash__":1072},"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":774,"toc":1057},[775,782,784,787,793,796,845,850,867,869,872,933,936,943,945,951,957,960,970,996,998,1011,1024,1026,1052],[10,776,777,778,781],{},"最大回撤是账户整个历史上出现过的最大一次",[45,779,780],{"href":95},"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%。",[14,783,16],{"id":16},[10,785,786],{},"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。",[18,788,791],{"className":789,"code":790,"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",[25,792,790],{"__ignoreMap":27},[10,794,795],{},"结果完全取决于用的是哪条曲线，ShowMyTrades 两条都公布。",[324,797,798,813],{},[327,799,800],{},[330,801,802,804,807,810],{},[333,803,273],{},[333,805,806],{},"计算基础",[333,808,809],{},"是否计入持仓？",[333,811,812],{},"说明了什么",[340,814,815,830],{},[330,816,817,821,824,827],{},[345,818,819],{},[60,820,96],{},[345,822,823],{},"净值（余额 + 浮动盈亏）",[345,825,826],{},"是",[345,828,829],{},"账户在那一刻实际价值的真实跌幅",[330,831,832,836,839,842],{},[345,833,834],{},[60,835,146],{},[345,837,838],{},"仅已平仓余额",[345,840,841],{},"否",[345,843,844],{},"已实现结果的跌幅",[10,846,847,849],{},[45,848,146],{"href":697},"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。",[10,851,852,853,162,856,859,860,863,864,866],{},"所以，一个账户显示",[60,854,855],{},"回撤 41%",[60,857,858],{},"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",[60,861,862],{},"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",[45,865,655],{"href":654},"的用处。",[14,868,89],{"id":89},[10,870,871],{},"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。",[324,873,874,883],{},[327,875,876],{},[330,877,878,880],{},[333,879,233],{},[333,881,882],{},"回到原峰值所需涨幅",[340,884,885,893,901,909,917,925],{},[330,886,887,890],{},[345,888,889],{},"10%",[345,891,892],{},"11.1%",[330,894,895,898],{},[345,896,897],{},"20%",[345,899,900],{},"25.0%",[330,902,903,906],{},[345,904,905],{},"30%",[345,907,908],{},"42.9%",[330,910,911,914],{},[345,912,913],{},"50%",[345,915,916],{},"100.0%",[330,918,919,922],{},[345,920,921],{},"70%",[345,923,924],{},"233.3%",[330,926,927,930],{},[345,928,929],{},"90%",[345,931,932],{},"900.0%",[10,934,935],{},"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。",[10,937,938,939,942],{},"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",[45,940,941],{"href":534},"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。",[14,944,103],{"id":103},[10,946,947,948,950],{},"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 ",[60,949,664],{},"，但无论往高还是往低，分布都很散。",[10,952,953],{},[34,954],{"alt":955,"src":956},"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",[10,958,959],{},"中位数 9.7%，尾部却比多数公开宣传估计的更长。",[10,961,962,963,417,966,969],{},"在最差的一端，",[60,964,965],{},"17.6% 的账户曾比峰值低 50% 以上",[60,967,968],{},"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。",[10,971,972,973,975,976,417,978,982,983,986,987,990,991,995],{},"最好的一端同样值得怀疑：",[60,974,112],{}," 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 ",[60,977,136],{},[45,979,981],{"href":980},"\u002Fglossary\u002Fwhat-is-average-trade-length","持仓时间","中位数 ",[60,984,985],{},"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",[45,988,989],{"href":78},"尾部需要足够长的历史来支撑","，所以这个数字只有在",[45,992,994],{"href":993},"\u002Fglossary\u002Fwhat-is-a-verified-track-record","经验证的业绩记录","上才真正有分量。",[14,997,151],{"id":150},[10,999,456,1000,1002,1003,172,1005,1007,1008,1010],{},[60,1001,198],{},"面板里，",[60,1004,96],{},[60,1006,146],{},"紧挨着排在",[60,1009,216],{}," 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。",[10,1012,1013,1014,1016,1017,1020,1021,1023],{},"图表模块里有一个专门的",[60,1015,96],{},"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",[60,1018,1019],{},"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。",[45,1022,714],{"href":713},"可以拿您自己的余额套用上面的回本表。",[14,1025,220],{"id":220},[54,1027,1028,1034,1040,1046],{},[57,1029,225,1030,1033],{},[60,1031,1032],{},"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。",[57,1035,225,1036,1039],{},[60,1037,1038],{},"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。",[57,1041,225,1042,1045],{},[60,1043,1044],{},"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。",[57,1047,225,1048,1051],{},[60,1049,1050],{},"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。",[10,1053,1054,1055,80],{},"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",[45,1056,753],{"href":752},{"title":27,"searchDepth":266,"depth":266,"links":1058},[1059,1060,1061,1062,1063],{"id":16,"depth":266,"text":16},{"id":89,"depth":266,"text":89},{"id":103,"depth":266,"text":103},{"id":150,"depth":266,"text":151},{"id":220,"depth":266,"text":220},"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",[283,567,1068,285],"what-is-a-verified-track-record",{"title":772,"description":1064},"zh\u002F5.glossary\u002Fwhat-is-maximum-drawdown","最大回撤 (Maximum Drawdown)","H1pMHY5DcM__vxubkgaLVDhrp8FNU0EbYexdvdzrV1o",{"id":1074,"title":1075,"body":1076,"category":273,"date":274,"description":1274,"draft":276,"extension":277,"meta":1275,"navigation":279,"path":1276,"related":1277,"seo":1280,"stem":1281,"term":1282,"updated":289,"__hash__":1283},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-time-weighted-return.md","什么是时间加权收益率（TWR）？",{"type":7,"value":1077,"toc":1267},[1078,1084,1086,1089,1095,1098,1105,1111,1114,1122,1128,1131,1133,1136,1147,1149,1158,1177,1190,1192,1210,1229,1231,1260],[10,1079,1080,1081,1083],{},"时间加权收益率（TWR）只衡量交易决策本身带来的收益，入金和出金都不算在内。做法是在每一笔资金进出的地方把账户历史切开，每一段单独计算，再把各段复利相乘。ShowMyTrades 账户页面上的",[60,1082,161],{},"，就是这个数字。",[14,1085,16],{"id":16},[10,1087,1088],{},"钱转进转出，余额就会变，跟交易毫无关系。TWR 的办法是：资金进出一律不进入收益计算。",[18,1090,1093],{"className":1091,"code":1092,"language":23},[21],"TWR = [(1 + r₁) × (1 + r₂) × … × (1 + rₙ)] − 1\n\nrᵢ = 第 i 期的盈利 \u002F 第 i 期开始时的余额\n",[25,1094,1092],{"__ignoreMap":27},[10,1096,1097],{},"每一期都夹在两次资金进出之间。一笔入金结束上一期，下一期从入金后更大的余额开始；入金本身永远不会出现在分子里。在 ShowMyTrades 上，子期间按天划分：每天的收益以当天开始时的余额为基准，扣除当天产生的成本，再把每天的收益复利相乘。",[10,1099,1100,1101,1104],{},"举个直白的例子。用 $10,000 开户，赚了 $2,000：第一期收益 20%。再入金 $10,000，余额变成 $22,000，又赚了 $2,000：第二期收益是 9.1%，因为基数变大了。看余额，是投入 $20,000 赚了 +$4,000；看 TWR，则是 (1 + 0.20) × (1 + 0.091) − 1 = ",[60,1102,1103],{},"+30.9%","。入金本身一分钱也没赚到。",[10,1106,1107],{},[34,1108],{"alt":1109,"src":1110},"一笔 $10,000 入金让余额线跳上一个台阶，时间加权收益率线却纹丝不动","\u002Fimages\u002Farticles\u002Fdeposit-vs-twr.svg",[10,1112,1113],{},"钱到账那天，余额跳了上去，增长却没动。",[10,1115,1116,1117,1121],{},"这就是它和同一面板上另一个百分比",[45,1118,1119],{"href":249},[60,1120,250],{},"的区别：",[18,1123,1126],{"className":1124,"code":1125,"language":23},[21],"绝对增长 = 已平仓净盈亏 \u002F 入金总额 × 100\n",[25,1127,1125],{"__ignoreMap":27},[10,1129,1130],{},"绝对增长回答的是：投进去的钱，账户赚回了多少；TWR 回答的是：这些钱交易得好不好。两者都很诚实，但只有 TWR 能在规模不同、资金进出方式不同的账户之间比较。",[14,1132,89],{"id":89},[10,1134,1135],{},"业绩记录之所以能拿来比较，靠的就是 TWR。没有它，百分比可以靠在回撤中入金来美化：$10,000 的账户亏掉 $5,000，是 −50%；第二天补进 $10,000，同一个还没填上的窟窿，按新余额算就只剩 −33%。",[10,1137,1138,1139,1143,1144,1146],{},"反过来也一样，所以它是公平的数字，而不是讨好人的数字。出金抬不高 TWR，赶在好月份之前恰到好处地入金也抬不高。剩下的，就是交易决策本身的",[45,1140,1142],{"href":1141},"\u002Fglossary\u002Fwhat-is-an-equity-curve","净值曲线","，这也是",[45,1145,994],{"href":993},"的读者唯一能让交易者负责的部分。",[14,1148,103],{"id":103},[10,1150,1151,1152,1155,1156,80],{},"以下数字描述的是 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），",[60,1153,1154],{},"时间加权收益率中位数为 +3.2%","，按时间加权计算为正的账户占 ",[60,1157,676],{},[10,1159,1160,1161,1167,1168,1170,1171,417,1174,1176],{},"由此能读出两点。第一，按这个标准，多数已发布账户确实在赚钱，并不像网上说的那样一片狼藉。第二，分布的中间值很小：+3.2%，而",[60,1162,1163,1164,1166],{},"最深",[45,1165,96],{"href":95},"的中位数为 9.7%","，也就是说，典型账户一路上回吐的幅度，大约是最终收益的三倍。同一批账户中，",[60,1169,116],{}," 曾",[45,1172,1173],{"href":232},"回撤超过 20%",[60,1175,120],{}," 曾回撤超过 50%。",[10,1178,1179,1180,1182,1183,1186,1187,80],{},"这里的中位数账户有 ",[60,1181,136],{},"，样本总共 ",[60,1184,1185],{},"15,436,464 笔已同步交易","。历史很短的账户 TWR 再高，",[45,1188,1189],{"href":78},"说明的也只是几周的表现，而不是一套方法",[14,1191,151],{"id":150},[10,1193,456,1194,1196,1197,1199,1200,1202,1203,1206,1207,1209],{},[60,1195,198],{},"面板中，第一行、也是最醒目的一行就是",[60,1198,161],{},"，它就是 TWR。",[60,1201,250],{},"紧挨在它下面，受资金进出影响的数字和不受影响的数字，始终放在一起。再往下两行的",[60,1204,1205],{},"日均 %"," 和",[60,1208,216],{},"，也都出自同一条时间加权序列。",[10,1211,1212,1213,1215,1216,1218,1219,1221,1222,1228],{},"图表模块是一个可以切换视图的面板，而不是一摞图表，它用两种方式画出 TWR。",[60,1214,161],{},"视图显示账户整个历史上按日复利的 TWR；",[60,1217,171],{},"把同一条序列按交易序号而不是日期来画，交易频率就一目了然：两个都是 +40% 的账户，按日历看一模一样，可如果一个只做了 90 笔、另一个做了 9,000 笔，按交易序号看就完全不同。",[60,1220,165],{},"视图显示原始金额，入金出金都在里面，这正是 TWR 要纠正的那幅画面。",[45,1223,1225],{"href":1224},"\u002Fguides\u002Fmonthly-returns-table-explained",[60,1226,1227],{},"月度收益表","则把同一条时间加权序列按月、按年拆开。",[14,1230,220],{"id":220},[54,1232,1233,1239,1248,1254],{},[57,1234,225,1235,1238],{},[60,1236,1237],{},"TWR 就是我赚了多少钱。","”它不是金额。一个账户如果大部分时间都用很小的仓位交易，TWR 可以是 +80%，利润却很少。",[57,1240,225,1241,1244,1245,80],{},[60,1242,1243],{},"我的入金拉低了增长。","”不可能。一笔入金只是结束一个计算期、开始下一个，对收益没有任何正面或负面的贡献。人们通常注意到的，其实是入金没能像余额图那样把百分比",[60,1246,1247],{},"抬高",[57,1249,225,1250,1253],{},[60,1251,1252],{},"TWR 和绝对增长应该一致。","”只有只入金一次、从未出金的账户，两者才会一致。出现差异，说明的是资金进出的情况，不是数据出错。",[57,1255,225,1256,1259],{},[60,1257,1258],{},"它是年度数字。","”它是从账户第一笔交易起的累计值，没有年化。三年 +3.2% 和三个月 +3.2%，是完全不同的结果。",[10,1261,1262,1263,80],{},"想看具体算例，包括入金如何掩盖回撤，请参阅",[45,1264,1266],{"href":1265},"\u002Fguides\u002Ftime-weighted-return-explained","时间加权收益率详解",{"title":27,"searchDepth":266,"depth":266,"links":1268},[1269,1270,1271,1272,1273],{"id":16,"depth":266,"text":16},{"id":89,"depth":266,"text":89},{"id":103,"depth":266,"text":103},{"id":150,"depth":266,"text":151},{"id":220,"depth":266,"text":220},"时间加权收益率把各子期间的收益复利相乘，入金和出金因此不影响结果。本文介绍公式、它与绝对增长率的区别，以及公开账户的数据。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-time-weighted-return",[1278,283,1068,1279],"what-is-an-equity-curve","what-is-expectancy",{"title":1075,"description":1274},"zh\u002F5.glossary\u002Fwhat-is-time-weighted-return","时间加权收益率 (Time-Weighted Return)","F3XPVDAsdwIkxdhz7jxOdVqNAqaclnEAOAx0877XIQI",[1285,1286],{"path":1141},{"path":280},1793898057429]