[{"data":1,"prerenderedAt":1241},["ShallowReactive",2],{"\u002Fzh\u002Fglossary\u002Fwhat-is-drawdown":3,"\u002Fzh\u002Fglossary\u002Fwhat-is-drawdown-related":243,"\u002Fzh\u002Fglossary\u002Fwhat-is-drawdown-langs":1238},{"id":4,"title":5,"body":6,"category":226,"date":227,"description":228,"draft":229,"extension":230,"meta":231,"navigation":232,"path":233,"related":234,"seo":239,"stem":240,"term":241,"updated":227,"__hash__":242},"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":8,"toc":218},"minimark",[9,13,17,20,31,34,37,75,78,81,88,91,94,107,110,117,133,136,140,162,177,180,211],[10,11,12],"p",{},"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。",[14,15,16],"h2",{"id":16},"工作原理",[10,18,19],{},"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。",[21,22,27],"pre",{"className":23,"code":25,"language":26},[24],"language-text","回撤 % = (峰值 − 当前值) \u002F 峰值 × 100\n","text",[28,29,25],"code",{"__ignoreMap":30},"",[10,32,33],{},"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。",[10,35,36],{},"这个数字到底是什么意思，要看三组区分：",[38,39,40,52,58],"ul",{},[41,42,43,47,48,51],"li",{},[44,45,46],"strong",{},"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",[44,49,50],{},"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%。",[41,53,54,57],{},[44,55,56],{},"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。",[41,59,60,63,64,69,70,74],{},[44,61,62],{},"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",[65,66,68],"a",{"href":67},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","最大回撤","，大多数",[65,71,73],{"href":72},"\u002Fglossary\u002Fwhat-is-a-track-record","业绩记录","引用的就是它。",[14,76,77],{"id":77},"为什么重要",[10,79,80],{},"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%。",[10,82,83],{},[84,85],"img",{"alt":86,"src":87},"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",[10,89,90],{},"跌幅一旦超过 50%，回本所需的涨幅就比亏损本身还大。",[10,92,93],{},"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。",[10,95,96,97,101,102,106],{},"另外，回撤主要取决于",[65,98,100],{"href":99},"\u002Fglossary\u002Fwhat-is-position-sizing","仓位管理","和",[65,103,105],{"href":104},"\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。",[14,108,109],{"id":109},"数据显示了什么",[10,111,112,113,116],{},"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 ",[44,114,115],{},"9.7%","。",[10,118,119,120,124,125,128,129,132],{},"再看同一批账户赚了多少。",[65,121,123],{"href":122},"\u002Fglossary\u002Fwhat-is-time-weighted-return","时间加权收益率","中位数为 ",[44,126,127],{},"+3.2%","，",[44,130,131],{},"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。",[10,134,135],{},"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。",[14,137,139],{"id":138},"在-showmytrades-上的位置","在 ShowMyTrades 上的位置",[10,141,142,143,146,147,150,151,154,155,161],{},"在每个已发布账户页面上，",[44,144,145],{},"账户统计","面板在",[44,148,149],{},"月均 %"," 下方连续两行显示两个数字：",[44,152,153],{},"回撤","，基于净值计算，包含持仓的浮动亏损；以及",[65,156,158],{"href":157},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance",[44,159,160],{},"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。",[10,163,164,165,167,168,171,172,176],{},"图表模块有一个",[44,166,153],{},"视图，用柱状图画出账户整个生命周期的每日回撤。下跌",[44,169,170],{},"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。",[65,173,175],{"href":174},"\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。",[14,178,179],{"id":179},"常见误解",[38,181,182,189,195,205],{},[41,183,184,185,188],{},"“",[44,186,187],{},"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。",[41,190,184,191,194],{},[44,192,193],{},"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。",[41,196,184,197,200,201,116],{},[44,198,199],{},"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，",[65,202,204],{"href":203},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","回撤小反映的是样本量，而不是风险特征",[41,206,184,207,210],{},[44,208,209],{},"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。",[10,212,213,214,116],{},"回撤如何和账户页面上的其他数字对照着看，请参阅",[65,215,217],{"href":216},"\u002Fguides\u002Freading-a-trading-account-dashboard","如何读懂交易账户控制台",{"title":30,"searchDepth":219,"depth":219,"links":220},2,[221,222,223,224,225],{"id":16,"depth":219,"text":16},{"id":77,"depth":219,"text":77},{"id":109,"depth":219,"text":109},{"id":138,"depth":219,"text":139},{"id":179,"depth":219,"text":179},"指标","2026-08-19T00:00:00.000Z","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。",false,"md",{},true,"\u002Fzh\u002Fglossary\u002Fwhat-is-drawdown",[235,236,237,238],"what-is-maximum-drawdown","what-is-position-sizing","what-is-a-stop-loss","what-is-a-profit-factor",{"title":5,"description":228},"zh\u002F5.glossary\u002Fwhat-is-drawdown","回撤 (Drawdown)","tI3oDk8FJPfBVP8sboa1RV13uVvVqDQQ3BpyQp8BpuI",[244,524,730,1034],{"id":245,"title":246,"body":247,"category":226,"date":227,"description":514,"draft":229,"extension":230,"meta":515,"navigation":232,"path":516,"related":517,"seo":520,"stem":521,"term":522,"updated":227,"__hash__":523},"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":248,"toc":507},[249,252,254,260,263,266,272,275,343,345,348,354,361,363,377,383,386,393,404,406,436,464,466,500],[10,250,251],{},"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。",[14,253,16],{"id":16},[21,255,258],{"className":256,"code":257,"language":26},[24],"盈利因子 = 总盈利 \u002F |总亏损|\n",[28,259,257],{"__ignoreMap":30},[10,261,262],{},"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。",[10,264,265],{},"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：",[21,267,270],{"className":268,"code":269,"language":26},[24],"盈利因子 = (胜率 × 平均盈利) \u002F ((1 − 胜率) × 平均亏损)\n",[28,271,269],{"__ignoreMap":30},[10,273,274],{},"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。",[276,277,278,291],"table",{},[279,280,281],"thead",{},[282,283,284,288],"tr",{},[285,286,287],"th",{},"盈利因子",[285,289,290],{},"解读",[292,293,294,303,311,319,327,335],"tbody",{},[282,295,296,300],{},[297,298,299],"td",{},"低于 1.00",[297,301,302],{},"亏钱，而且是结构性的，不是差一点",[282,304,305,308],{},[297,306,307],{},"1.00 – 1.10",[297,309,310],{},"还在噪声范围内，一周行情不好就没了",[282,312,313,316],{},[297,314,315],{},"1.10 – 1.30",[297,317,318],{},"优势很薄但真实存在，前提是样本够大",[282,320,321,324],{},[297,322,323],{},"1.30 – 2.00",[297,325,326],{},"策略有效",[282,328,329,332],{},[297,330,331],{},"2.00 – 3.00",[297,333,334],{},"很强。请核对交易笔数，以及成本是否算全",[282,336,337,340],{},[297,338,339],{},"高于 3.00",[297,341,342],{},"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",[14,344,77],{"id":77},[10,346,347],{},"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。",[10,349,350,351,353],{},"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",[65,352,68],{"href":67},"一起看，否则只看到了终点，没看到过程。",[10,355,356,360],{},[65,357,359],{"href":358},"\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。",[14,362,109],{"id":109},[10,364,365,366,128,369,376],{},"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，",[44,367,368],{},"盈利因子中位数为 1.28",[44,370,371,375],{},[65,372,374],{"href":373},"\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。",[10,378,379],{},[84,380],{"alt":381,"src":382},"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",[10,384,385],{},"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。",[10,387,388,389,392],{},"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 ",[44,390,391],{},"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。",[10,394,395,396,399,400,403],{},"同一组账户的夏普比率中位数是 ",[44,397,398],{},"0.05","，中位数账户有 ",[44,401,402],{},"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。",[14,405,139],{"id":138},[10,407,408,409,412,413,415,416,419,420,419,423,419,426,419,429,101,432,435],{},"每个已发布账户页面的",[44,410,411],{},"高级统计","模块里都有",[44,414,287],{},"，旁边是能解释它的几个数字：",[44,417,418],{},"胜率","、",[44,421,422],{},"平均盈利",[44,424,425],{},"平均亏损",[44,427,428],{},"期望值",[44,430,431],{},"总交易数",[44,433,434],{},"夏普比率","。这六个数字合起来，能说清单一比值说不清的事。",[10,437,438,439,449,450,101,453,456,457,463],{},"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",[44,440,441,442,448],{},"盈利（毛额）",[44,443,444,445,101],{},"列，",[44,446,447],{},"库存费","佣金","各占一列；高级统计还汇总了",[44,451,452],{},"佣金合计",[44,454,455],{},"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，",[65,458,460],{"href":459},"\u002Fguides\u002Fcustom-analysis-and-filter-presets",[44,461,462],{},"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。",[14,465,179],{"id":179},[38,467,468,479,488,494],{},[41,469,184,470,473,474,478],{},[44,471,472],{},"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，",[65,475,477],{"href":476},"\u002Fglossary\u002Fwhat-is-cost-percentage","计入佣金和库存费之后","可能持平甚至亏损。",[41,480,184,481,484,485,487],{},[44,482,483],{},"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",[65,486,100],{"href":99},"方案，可以一直显示 4.00，直到哪天突然失灵。",[41,489,184,490,493],{},[44,491,492],{},"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。",[41,495,184,496,499],{},[44,497,498],{},"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。",[10,501,502,503,116],{},"该长期追踪哪些指标、按什么顺序看，请参阅",[65,504,506],{"href":505},"\u002Fguides\u002Ftracking-trading-performance","交易表现追踪完全指南",{"title":30,"searchDepth":219,"depth":219,"links":508},[509,510,511,512,513],{"id":16,"depth":219,"text":16},{"id":77,"depth":219,"text":77},{"id":109,"depth":219,"text":109},{"id":138,"depth":219,"text":139},{"id":179,"depth":219,"text":179},"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",[518,235,236,519],"what-is-drawdown","what-is-backtesting",{"title":246,"description":514},"zh\u002F5.glossary\u002Fwhat-is-a-profit-factor","盈利因子 (Profit Factor)","OLz2UdKZBQ-s3NM0RQISYNe6Jrhtmy0tM84z39S0Thk",{"id":525,"title":526,"body":527,"category":719,"date":227,"description":720,"draft":229,"extension":230,"meta":721,"navigation":232,"path":722,"related":723,"seo":725,"stem":726,"term":727,"updated":728,"__hash__":729},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-a-stop-loss.md","什么是止损？类型、局限与真实数字",{"type":7,"value":528,"toc":712},[529,532,534,537,563,566,572,580,582,590,602,604,610,615,618,621,628,631,633,676,678,706],[10,530,531],{},"止损（stop loss）是事先挂好的订单，价格到了指定位置就平仓，给这笔交易的亏损封顶。这个决定在开仓之前就已做出，交给经纪商的服务器执行，意义全在于此：离场不必留到您最不愿意离场的那一刻再决定。它封顶的是意图，而不是结果：实际成交价可能比止损位更差。",[14,533,16],{"id":16},[10,535,536],{},"实际在用的止损，几乎都可以归入以下四种。",[38,538,539,545,551,557],{},[41,540,541,544],{},[44,542,543],{},"固定止损","。入场时设好的价位，保存在经纪商的服务器上。停电、终端崩溃、网络断线都不影响它，因为它根本不在您的电脑上。",[41,546,547,550],{},[44,548,549],{},"追踪止损（Trailing Stop）","。价格朝盈利方向走时跟着移动，绝不往回退。它能锁住收益，可在震荡行情中也会把盈利单变成保本单。MetaTrader 内置的追踪止损由终端管理，平台开着才有效，所以 EA 一般改为修改服务器端的止损来实现追踪。",[41,552,553,556],{},[44,554,555],{},"基于波动率的止损","。止损距离按当前的波动幅度来定，通常取 ATR 的倍数，而不是凑个整数。同样是 20 点止损，放在 EUR\u002FUSD 上和放在黄金上，风险完全不同。",[41,558,559,562],{},[44,560,561],{},"时间止损","。不管价格如何，持仓满 N 小时或 N 根 K 线就离场。用的人少，价值被低估了。",[10,564,565],{},"先有止损，再定仓位大小，顺序不能反过来：",[21,567,570],{"className":568,"code":569,"language":26},[24],"仓位大小 = (净值 × 风险 %) ÷ (止损距离点数 × 点值)\n",[28,571,569],{"__ignoreMap":30},[10,573,574,575,579],{},"先定手数，再去找一个保证金扛得住的止损，这是账户出现无底亏损最常见的原因。",[65,576,578],{"href":577},"\u002Ftools\u002Fposition-size-calculator","仓位计算器","会按正确的顺序帮您算。",[14,581,77],{"id":77},[10,583,584,585,589],{},"止损是触发条件，不是价格保证。价格一碰到止损位，订单就变成市价单，按下一个能成交的价格成交。遇到跳空（周一开盘、利率决议出人意料、2015 年 1 月的瑞士法郎），这个价格可能离止损位很远。两者的差额就是",[65,586,588],{"href":587},"\u002Fglossary\u002Fwhat-is-slippage","滑点","，而滑点没有上限。只有部分经纪商收费提供的保证止损，才会按设定价格成交。",[10,591,592,593,596,597,601],{},"更深一层的作用在于约束行为。没有事先定好的离场点，要不要平掉亏损单，就得在拿着它的时候决定，而这恰恰是最糟糕的时刻。后面的一切，包括",[65,594,287],{"href":595},"\u002Fglossary\u002Fwhat-is-a-profit-factor","、回撤，乃至会不会收到",[65,598,600],{"href":599},"\u002Fglossary\u002Fwhat-is-a-margin-call","追加保证金通知","，都在那一刻定下了。",[14,603,109],{"id":109},[10,605,606,607,609],{},"在 ShowMyTrades 上有交易历史的公开账户中（2026 年 8 月），",[65,608,374],{"href":373},"为 68.8%，盈利因子中位数为 1.28。统计对象是在本站公开的账户，并不代表全体交易者。",[10,611,612],{},[84,613],{"alt":614,"src":382},"ShowMyTrades 公开账户中，胜率中位数 68.8% 与盈利因子中位数 1.28 的对比",[10,616,617],{},"赢得多、赚得少，正是事先定好离场点所要打破的模式。",[10,619,620],{},"这两个数字要放在一起看，分开看都显得漂亮。将近七成的交易以盈利收场，可总盈利只有总亏损的 1.28 倍。两者同时成立，只能是亏损单明显比盈利单大：胜率 68.8%、盈利因子 1.28，意味着平均亏损约为平均盈利的 1.7 倍。（这是两个分布各自的中位数，只作示意，并非某个账户的实测值，但方向毫无疑问。）",[10,622,623,624,627],{},"这就是盈利早早落袋、亏损放任不管的典型特征，也正是止损要防止的。0.05 的",[65,625,434],{"href":626},"\u002Fglossary\u002Fwhat-is-the-sharpe-ratio","中位数再次印证了这一点：每承担一单位波动，收益只比零高一点。中位数账户平仓 171 笔交易，样本并不单薄。",[10,629,630],{},"这也不是手动操作造成的。自动交易占比的中位数为 99%，53.9% 的账户自动化程度超过 90%。对这些账户来说，没有止损就是少写了一行代码，而系统做的每一笔交易都一模一样地缺着它。",[14,632,139],{"id":138},[38,634,635,644,652,661,666],{},[41,636,637,640,641,643],{},[44,638,639],{},"交易表格","里有一列",[44,642,105],{},"（S\u002FL），显示每个仓位记录的止损价；如果交易确实是被止损平掉的，这个价格会标红。几百行的止损列都是空的，说明这个账户交易时从不预设离场点。",[41,645,646,647,101,649,651],{},"高级统计里的",[44,648,422],{},[44,650,425],{},"。平均亏损如果是平均盈利的好几倍，要么根本没设止损，要么止损被挪过。",[41,653,654,660],{},[44,655,656,657,659],{},"最差交易（盈亏）",[44,658,101],{},"最差交易（点）","。不管描述里怎么说，账户吃过的最大单笔亏损，才是它真正的止损。",[41,662,663,665],{},[44,664,428],{},"以点数和账户货币显示，是盈亏合在一起后每笔交易的平均结果：这个数字，高胜率美化不了。",[41,667,668,669,675],{},"同一区块里的",[65,670,672],{"href":671},"\u002Fglossary\u002Fwhat-is-average-trade-length",[44,673,674],{},"平均持仓时间","暴露出这种不对称：亏损单一拿就是几天，盈利单几分钟就走。",[14,677,179],{"id":179},[38,679,680,686,694,700],{},[41,681,184,682,685],{},[44,683,684],{},"止损保证了我的最大亏损。","”它管得住触发点，管不住成交价。遇到跳空或订单簿稀薄，成交会更差，有时差得多。",[41,687,184,688,691,692,116],{},[44,689,690],{},"止损越宽越安全。","”手数不变，止损越宽，亏损就越大。距离和规模是同一个决定，不是两个：参见",[65,693,100],{"href":99},[41,695,184,696,699],{},[44,697,698],{},"挪动止损是给交易留点空间。","”把止损往远离价格的方向挪，事先确定的亏损就变成了没有边界的亏损。上面平均亏损和平均盈利之间的差距，正是这一个习惯造成的。",[41,701,184,702,705],{},[44,703,704],{},"我的胜率够高，用不着止损。","”恰恰相反。这里的中位数账户胜率已经有 68.8%，盈利因子却还是只有 1.28。",[10,707,708,709,116],{},"想知道长期来看自己的记录该关注什么，请参阅",[65,710,711],{"href":505},"交易表现追踪指南",{"title":30,"searchDepth":219,"depth":219,"links":713},[714,715,716,717,718],{"id":16,"depth":219,"text":16},{"id":77,"depth":219,"text":77},{"id":109,"depth":219,"text":109},{"id":138,"depth":219,"text":139},{"id":179,"depth":219,"text":179},"风险","止损是事先设好的离场订单，价格到了就平掉亏损的交易。本文介绍止损的类型、它为什么不是保证，以及数千个真实账户的数据。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-a-stop-loss",[236,238,724],"what-is-slippage",{"title":526,"description":720},"zh\u002F5.glossary\u002Fwhat-is-a-stop-loss","止损 (Stop Loss)","2026-09-24T00:00:00.000Z","GiHGbuQNpH6gFIz2Lq9Y4dIcuHRelVaklEcbYUiG7so",{"id":731,"title":732,"body":733,"category":226,"date":227,"description":1025,"draft":229,"extension":230,"meta":1026,"navigation":232,"path":1027,"related":1028,"seo":1030,"stem":1031,"term":1032,"updated":227,"__hash__":1033},"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":734,"toc":1018},[735,743,745,748,754,757,806,811,828,830,833,894,897,904,906,912,918,921,931,957,959,972,985,987,1013],[10,736,737,738,742],{},"最大回撤是账户整个历史上出现过的最大一次",[65,739,741],{"href":740},"\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%。",[14,744,16],{"id":16},[10,746,747],{},"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。",[21,749,752],{"className":750,"code":751,"language":26},[24],"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",[28,753,751],{"__ignoreMap":30},[10,755,756],{},"结果完全取决于用的是哪条曲线，ShowMyTrades 两条都公布。",[276,758,759,774],{},[279,760,761],{},[282,762,763,765,768,771],{},[285,764,226],{},[285,766,767],{},"计算基础",[285,769,770],{},"是否计入持仓？",[285,772,773],{},"说明了什么",[292,775,776,791],{},[282,777,778,782,785,788],{},[297,779,780],{},[44,781,153],{},[297,783,784],{},"净值（余额 + 浮动盈亏）",[297,786,787],{},"是",[297,789,790],{},"账户在那一刻实际价值的真实跌幅",[282,792,793,797,800,803],{},[297,794,795],{},[44,796,160],{},[297,798,799],{},"仅已平仓余额",[297,801,802],{},"否",[297,804,805],{},"已实现结果的跌幅",[10,807,808,810],{},[65,809,160],{"href":157},"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。",[10,812,813,814,419,817,820,821,824,825,827],{},"所以，一个账户显示",[44,815,816],{},"回撤 41%",[44,818,819],{},"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",[44,822,823],{},"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",[65,826,105],{"href":104},"的用处。",[14,829,77],{"id":77},[10,831,832],{},"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。",[276,834,835,844],{},[279,836,837],{},[282,838,839,841],{},[285,840,68],{},[285,842,843],{},"回到原峰值所需涨幅",[292,845,846,854,862,870,878,886],{},[282,847,848,851],{},[297,849,850],{},"10%",[297,852,853],{},"11.1%",[282,855,856,859],{},[297,857,858],{},"20%",[297,860,861],{},"25.0%",[282,863,864,867],{},[297,865,866],{},"30%",[297,868,869],{},"42.9%",[282,871,872,875],{},[297,873,874],{},"50%",[297,876,877],{},"100.0%",[282,879,880,883],{},[297,881,882],{},"70%",[297,884,885],{},"233.3%",[282,887,888,891],{},[297,889,890],{},"90%",[297,892,893],{},"900.0%",[10,895,896],{},"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。",[10,898,899,900,903],{},"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",[65,901,902],{"href":99},"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。",[14,905,109],{"id":109},[10,907,908,909,911],{},"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 ",[44,910,115],{},"，但无论往高还是往低，分布都很散。",[10,913,914],{},[84,915],{"alt":916,"src":917},"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",[10,919,920],{},"中位数 9.7%，尾部却比多数公开宣传估计的更长。",[10,922,923,924,128,927,930],{},"在最差的一端，",[44,925,926],{},"17.6% 的账户曾比峰值低 50% 以上",[44,928,929],{},"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。",[10,932,933,934,937,938,128,940,943,944,947,948,951,952,956],{},"最好的一端同样值得怀疑：",[44,935,936],{},"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 ",[44,939,402],{},[65,941,942],{"href":671},"持仓时间","中位数 ",[44,945,946],{},"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",[65,949,950],{"href":203},"尾部需要足够长的历史来支撑","，所以这个数字只有在",[65,953,955],{"href":954},"\u002Fglossary\u002Fwhat-is-a-verified-track-record","经验证的业绩记录","上才真正有分量。",[14,958,139],{"id":138},[10,960,408,961,963,964,101,966,968,969,971],{},[44,962,145],{},"面板里，",[44,965,153],{},[44,967,160],{},"紧挨着排在",[44,970,149],{}," 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。",[10,973,974,975,977,978,981,982,984],{},"图表模块里有一个专门的",[44,976,153],{},"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",[44,979,980],{},"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。",[65,983,175],{"href":174},"可以拿您自己的余额套用上面的回本表。",[14,986,179],{"id":179},[38,988,989,995,1001,1007],{},[41,990,184,991,994],{},[44,992,993],{},"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。",[41,996,184,997,1000],{},[44,998,999],{},"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。",[41,1002,184,1003,1006],{},[44,1004,1005],{},"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。",[41,1008,184,1009,1012],{},[44,1010,1011],{},"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。",[10,1014,1015,1016,116],{},"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",[65,1017,217],{"href":216},{"title":30,"searchDepth":219,"depth":219,"links":1019},[1020,1021,1022,1023,1024],{"id":16,"depth":219,"text":16},{"id":77,"depth":219,"text":77},{"id":109,"depth":219,"text":109},{"id":138,"depth":219,"text":139},{"id":179,"depth":219,"text":179},"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",[518,236,1029,238],"what-is-a-verified-track-record",{"title":732,"description":1025},"zh\u002F5.glossary\u002Fwhat-is-maximum-drawdown","最大回撤 (Maximum Drawdown)","H1pMHY5DcM__vxubkgaLVDhrp8FNU0EbYexdvdzrV1o",{"id":1035,"title":1036,"body":1037,"category":719,"date":227,"description":1229,"draft":229,"extension":230,"meta":1230,"navigation":232,"path":1231,"related":1232,"seo":1234,"stem":1235,"term":1236,"updated":227,"__hash__":1237},"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":1038,"toc":1222},[1039,1045,1047,1050,1056,1059,1065,1071,1074,1094,1100,1103,1105,1108,1115,1117,1131,1134,1148,1150,1155,1182,1184,1215],[10,1040,1041,1042,1044],{},"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",[65,1043,153],{"href":740},"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。",[14,1046,16],{"id":16},[10,1048,1049],{},"分三步，按顺序来。",[21,1051,1054],{"className":1052,"code":1053,"language":26},[24],"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",[28,1055,1053],{"__ignoreMap":30},[10,1057,1058],{},"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：",[21,1060,1063],{"className":1061,"code":1062,"language":26},[24],"风险金额   = 10,000 × 0.01      = $100\n仓位大小   = 100 \u002F (50 × 10)    = 0.20 手\n",[28,1064,1062],{"__ignoreMap":30},[10,1066,1067,1068,1070],{},"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",[65,1069,105],{"href":104},"位置不能分开决定。",[10,1072,1073],{},"实践中最常用的有三种方法：",[38,1075,1076,1082,1088],{},[41,1077,1078,1081],{},[44,1079,1080],{},"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。",[41,1083,1084,1087],{},[44,1085,1086],{},"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。",[41,1089,1090,1093],{},[44,1091,1092],{},"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。",[10,1095,1096],{},[84,1097],{"alt":1098,"src":1099},"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",[10,1101,1102],{},"一个账户用的是哪一种，光看手数就能看出来。",[14,1104,77],{"id":77},[10,1106,1107],{},"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%。",[10,1109,1110,1114],{},[65,1111,1113],{"href":1112},"\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。",[14,1116,109],{"id":109},[10,1118,1119,1120,1123,1124,128,1127,1130],{},"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），",[44,1121,1122],{},"38.2%"," 曾",[65,1125,1126],{"href":67},"回撤超过 20%",[44,1128,1129],{},"17.6%"," 亏掉了峰值的一半以上。",[10,1132,1133],{},"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。",[10,1135,1136,1137,128,1140,1143,1144,1147],{},"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 ",[44,1138,1139],{},"99%",[44,1141,1142],{},"53.9%"," 的账户自动化程度超过 90%，低于 10% 的则有 ",[44,1145,1146],{},"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。",[14,1149,139],{"id":138},[10,1151,1152,1154],{},[65,1153,578],{"href":577},"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。",[10,1156,1157,1158,1160,1161,1164,1165,1167,1168,1171,1172,1174,1175,1181],{},"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。",[44,1159,639],{},"有一列",[44,1162,1163],{},"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。",[44,1166,462],{},"提供",[44,1169,1170],{},"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。",[44,1173,411],{},"模块里的",[65,1176,1178],{"href":1177},"\u002Fguides\u002Ftrading-volume-analysis",[44,1179,1180],{},"总手数","给出汇总值；所有已发布账户累计交易了 1,724,575 手。",[14,1183,179],{"id":179},[38,1185,1186,1192,1203,1209],{},[41,1187,184,1188,1191],{},[44,1189,1190],{},"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。",[41,1193,184,1194,1197,1198,1202],{},[44,1195,1196],{},"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。",[65,1199,1201],{"href":1200},"\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。",[41,1204,184,1205,1208],{},[44,1206,1207],{},"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。",[41,1210,184,1211,1214],{},[44,1212,1213],{},"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。",[10,1216,1217,1218,116],{},"全套风险与仓位管理工具，以及各自适用的场景，请参阅",[65,1219,1221],{"href":1220},"\u002Fguides\u002Fforex-calculators-guide","外汇计算器指南",{"title":30,"searchDepth":219,"depth":219,"links":1223},[1224,1225,1226,1227,1228],{"id":16,"depth":219,"text":16},{"id":77,"depth":219,"text":77},{"id":109,"depth":219,"text":109},{"id":138,"depth":219,"text":139},{"id":179,"depth":219,"text":179},"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",[518,235,237,1233],"what-is-leverage",{"title":1036,"description":1229},"zh\u002F5.glossary\u002Fwhat-is-position-sizing","仓位管理 (Position Sizing)","5hi2OmhGtFDhESyalituW-Nh51a9wIit5SKZxEMEQyk",[1239,1240],{"path":740},{"path":233},1793898064168]