[{"data":1,"prerenderedAt":1273},["ShallowReactive",2],{"\u002Fzh\u002Fglossary\u002Fwhat-is-recovery-factor":3,"\u002Fzh\u002Fglossary\u002Fwhat-is-recovery-factor-related":279,"\u002Fzh\u002Fglossary\u002Fwhat-is-recovery-factor-langs":1269},{"id":4,"title":5,"body":6,"category":261,"date":262,"description":263,"draft":264,"extension":265,"meta":266,"navigation":267,"path":268,"related":269,"seo":274,"stem":275,"term":276,"updated":277,"__hash__":278},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-recovery-factor.md","什么是恢复因子？公式、数值区间与真实数据",{"type":7,"value":8,"toc":253},"minimark",[9,13,17,28,31,37,40,92,101,104,112,125,128,144,151,162,166,172,193,200,210,213,245],[10,11,12],"p",{},"恢复因子就是净利润除以最大回撤：账户让主人每承受一单位跌幅，换回了多少收益。数值为 2.0，说明账户赚到的是最差时亏掉的两倍；低于 1.0，说明它挖下的坑还没填平。",[14,15,16],"h2",{"id":16},"工作原理",[18,19,24],"pre",{"className":20,"code":22,"language":23},[21],"language-text","恢复因子 = 净利润 \u002F 最大回撤\n","text",[25,26,22],"code",{"__ignoreMap":27},"",[10,29,30],{},"公式本身很简单，难的是单位。流行的写法有两种，结果并不一致：",[18,32,35],{"className":33,"code":34,"language":23},[21],"货币形式   = 净利润 ($) \u002F 最大回撤 ($)\n百分比形式 = 总收益 (%) \u002F 最大回撤 (%)\n",[25,36,34],{"__ignoreMap":27},[10,38,39],{},"分子和分母必须用同一种口径。货币分子配百分比分母，算出来的数字看着像比值，其实毫无意义。",[41,42,43,56],"table",{},[44,45,46],"thead",{},[47,48,49,53],"tr",{},[50,51,52],"th",{},"恢复因子",[50,54,55],{},"解读",[57,58,59,68,76,84],"tbody",{},[47,60,61,65],{},[62,63,64],"td",{},"低于 1.0",[62,66,67],{},"账户赚到的还不及最深那次跌幅",[47,69,70,73],{},[62,71,72],{},"1.0 – 2.0",[62,74,75],{},"有效，但回报和承受的风险差不多",[47,77,78,81],{},[62,79,80],{},"2.0 – 3.0",[62,82,83],{},"稳健，前提是历史够长，真正的最大回撤已经出现过",[47,85,86,89],{},[62,87,88],{},"高于 3.0",[62,90,91],{},"很强：相信之前，先看交易笔数和账户年龄",[10,93,94,95,100],{},"有一点比整张表都重要：恢复因子会随着时间自己变大。只要账户还在赚钱，分子就不断累积；分母却是历史最大值，只有情况变得更糟时才会变。",[96,97,99],"a",{"href":98},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","五年的账户和六个月的账户在这一点上没法比","：老账户只是有更长的时间，让分子在一个固定的分母上不断累积。",[14,102,103],{"id":103},"为什么重要",[10,105,106,107,111],{},"利润和回撤通常分开报，分开来看，两者都很容易包装得好看。恢复因子偏要把它们放在一起。每一份",[96,108,110],{"href":109},"\u002Fglossary\u002Fwhat-is-a-track-record","业绩记录","都得回答一个问题：吃的这些苦，值不值？恢复因子就是这个问题的浓缩版。",[10,113,114,115,119,120,124],{},"它还补上了相邻指标的空白。",[96,116,118],{"href":117},"\u002Fglossary\u002Fwhat-is-a-profit-factor","盈利因子","比较总盈利和总亏损，不管先后顺序，所以一个月赚完全部利润的账户，和每周稳步上涨的账户，得分一样。",[96,121,123],{"href":122},"\u002Fglossary\u002Fwhat-is-the-sharpe-ratio","夏普比率","衡量离散程度，却不管跌得多深。在常用指标里，只有恢复因子把最差的那一刻明明白白放进了分母。",[14,126,127],{"id":127},"数据显示了什么",[10,129,130,131,139,140,143],{},"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），",[132,133,134,138],"strong",{},[96,135,137],{"href":136},"\u002Fglossary\u002Fwhat-is-time-weighted-return","时间加权收益率","的中位数为 +3.2%","，",[132,141,142],{},"最深回撤的中位数为 9.7%","。",[10,145,146,147,150],{},"这两个中位数出自不同的账户，所以算不出恢复因子在总体中的中位数。但如果一个账户恰好两项都在中位数上，按百分比形式算，恢复因子约为 ",[132,148,149],{},"0.33","：大约要承受三单位的跌幅，才换来一单位的收益。按惯例，低于 3.0 就算平平无奇，两者不妨对照着看。",[10,152,153,154,157,158,161],{},"尾部也不能忽视。这些账户中有 ",[132,155,156],{},"38.2%"," 曾下跌超过 20%，长期为正的占 ",[132,159,160],{},"63.0%","，也就是说三分之一以上的账户分子是负数。对它们来说，这个比值谈不上低，而是根本没有意义：拿亏损除以回撤，得出的数字哪个区间都解释不了。",[14,163,165],{"id":164},"在-showmytrades-上的位置","在 ShowMyTrades 上的位置",[10,167,168,171],{},[132,169,170],{},"恢复因子不是 ShowMyTrades 上的指标","。任何面板、图表或小组件都不显示它，无论用这个名字还是别的名字，我们的统计引擎也不计算它。不过，用账户页面公布的数字一步就能算出来，这些数字全部来自平台数据，而不是账户主人手动填写的。",[10,173,174,175,178,179,182,183,186,187,189,190,192],{},"百分比形式：取",[132,176,177],{},"账户统计","面板里的",[132,180,181],{},"增长","，除以同一面板中往下第四行的",[132,184,185],{},"回撤","。两者都是百分比，所以可以直接相除。注意它们各自的含义：",[132,188,181],{},"是时间加权收益率，已剔除入金和出金的影响，往亏损账户里追加资金也抬不高它；",[132,191,185],{},"是记录到的最差净值跌幅。",[10,194,195,196,199],{},"货币形式：同一面板里的",[132,197,198],{},"盈利","是扣除佣金和库存费后的已平仓净盈亏，但我们不以货币金额公布最大回撤，所以缺了做除数的那个数字。可以改用百分比形式，或者用已平仓交易列表重建净值走势，交易表格支持下载 CSV。",[10,201,202,203,205,206,209],{},"不管用哪种形式，都先打开面板旁边的",[132,204,185],{},"图表视图。它以柱状图逐日画出回撤，能看出最大回撤是",[132,207,208],{},"什么时候","出现的、账户在峰值下方待了多久，而这段持续时间正是比值表达不了的。",[14,211,212],{"id":212},"常见误解",[214,215,216,224,230,239],"ul",{},[217,218,219,220,223],"li",{},"“",[132,221,222],{},"总是越高越好。","”历史长短不同时就不成立。风险不变，这个比值也会随时间变大，所以只能在业绩记录长度相当的账户之间比较。",[217,225,219,226,229],{},[132,227,228],{},"它和盈利因子是一回事。","”盈利因子是总盈利除以总亏损；恢复因子是最终结果除以最差那一次从峰值到谷底的跌幅。",[217,231,219,232,235,236,143],{},[132,233,234],{},"它说明我恢复得有多快。","”它说明的是幅度，不是时间。为什么让交易者离场的往往是回撤的持续时间而不是深度，请参阅",[96,237,185],{"href":238},"\u002Fglossary\u002Fwhat-is-drawdown",[217,240,219,241,244],{},[132,242,243],{},"用余额回撤做分母更干净。","”那是更好看的分母：亏损单永远不平的策略，余额回撤天生就小。请优先用净值数字，并注明用的是哪一个。",[10,246,247,248,252],{},"分母怎么计量、最大值为什么永远不会下降，请参阅",[96,249,251],{"href":250},"\u002Fguides\u002Fmaximum-drawdown-explained","最大回撤","指南。",{"title":27,"searchDepth":254,"depth":254,"links":255},2,[256,257,258,259,260],{"id":16,"depth":254,"text":16},{"id":103,"depth":254,"text":103},{"id":127,"depth":254,"text":127},{"id":164,"depth":254,"text":165},{"id":212,"depth":254,"text":212},"指标","2026-08-19T00:00:00.000Z","恢复因子是净利润除以最大回撤，即每承受一单位跌幅换来的收益。本文介绍公式、数值区间，以及计算所需的数字在哪里找。",false,"md",{},true,"\u002Fzh\u002Fglossary\u002Fwhat-is-recovery-factor",[270,271,272,273],"what-is-maximum-drawdown","what-is-drawdown","what-is-a-profit-factor","what-is-the-sharpe-ratio",{"title":5,"description":263},"zh\u002F5.glossary\u002Fwhat-is-recovery-factor","恢复因子 (Recovery Factor)","2026-09-17T00:00:00.000Z","T2aXIYYtEer-h9VriHvWPBlH-AZl3zT5JTJbKQEC33Y",[280,556,752,1056],{"id":281,"title":282,"body":283,"category":261,"date":262,"description":546,"draft":264,"extension":265,"meta":547,"navigation":267,"path":548,"related":549,"seo":552,"stem":553,"term":554,"updated":262,"__hash__":555},"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":284,"toc":539},[285,288,290,296,299,302,308,311,371,373,376,383,390,392,406,413,416,423,434,436,466,494,496,532],[10,286,287],{},"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。",[14,289,16],{"id":16},[18,291,294],{"className":292,"code":293,"language":23},[21],"盈利因子 = 总盈利 \u002F |总亏损|\n",[25,295,293],{"__ignoreMap":27},[10,297,298],{},"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。",[10,300,301],{},"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：",[18,303,306],{"className":304,"code":305,"language":23},[21],"盈利因子 = (胜率 × 平均盈利) \u002F ((1 − 胜率) × 平均亏损)\n",[25,307,305],{"__ignoreMap":27},[10,309,310],{},"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。",[41,312,313,321],{},[44,314,315],{},[47,316,317,319],{},[50,318,118],{},[50,320,55],{},[57,322,323,331,339,347,355,363],{},[47,324,325,328],{},[62,326,327],{},"低于 1.00",[62,329,330],{},"亏钱，而且是结构性的，不是差一点",[47,332,333,336],{},[62,334,335],{},"1.00 – 1.10",[62,337,338],{},"还在噪声范围内，一周行情不好就没了",[47,340,341,344],{},[62,342,343],{},"1.10 – 1.30",[62,345,346],{},"优势很薄但真实存在，前提是样本够大",[47,348,349,352],{},[62,350,351],{},"1.30 – 2.00",[62,353,354],{},"策略有效",[47,356,357,360],{},[62,358,359],{},"2.00 – 3.00",[62,361,362],{},"很强。请核对交易笔数，以及成本是否算全",[47,364,365,368],{},[62,366,367],{},"高于 3.00",[62,369,370],{},"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",[14,372,103],{"id":103},[10,374,375],{},"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。",[10,377,378,379,382],{},"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",[96,380,251],{"href":381},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","一起看，否则只看到了终点，没看到过程。",[10,384,385,389],{},[96,386,388],{"href":387},"\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。",[14,391,127],{"id":127},[10,393,394,395,139,398,405],{},"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，",[132,396,397],{},"盈利因子中位数为 1.28",[132,399,400,404],{},[96,401,403],{"href":402},"\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。",[10,407,408],{},[409,410],"img",{"alt":411,"src":412},"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",[10,414,415],{},"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。",[10,417,418,419,422],{},"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 ",[132,420,421],{},"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。",[10,424,425,426,429,430,433],{},"同一组账户的夏普比率中位数是 ",[132,427,428],{},"0.05","，中位数账户有 ",[132,431,432],{},"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。",[14,435,165],{"id":164},[10,437,438,439,442,443,445,446,449,450,449,453,449,456,449,459,462,463,465],{},"每个已发布账户页面的",[132,440,441],{},"高级统计","模块里都有",[132,444,118],{},"，旁边是能解释它的几个数字：",[132,447,448],{},"胜率","、",[132,451,452],{},"平均盈利",[132,454,455],{},"平均亏损",[132,457,458],{},"期望值",[132,460,461],{},"总交易数","和",[132,464,123],{},"。这六个数字合起来，能说清单一比值说不清的事。",[10,467,468,469,479,480,462,483,486,487,493],{},"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",[132,470,471,472,478],{},"盈利（毛额）",[132,473,474,475,462],{},"列，",[132,476,477],{},"库存费","佣金","各占一列；高级统计还汇总了",[132,481,482],{},"佣金合计",[132,484,485],{},"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，",[96,488,490],{"href":489},"\u002Fguides\u002Fcustom-analysis-and-filter-presets",[132,491,492],{},"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。",[14,495,212],{"id":212},[214,497,498,509,520,526],{},[217,499,219,500,503,504,508],{},[132,501,502],{},"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，",[96,505,507],{"href":506},"\u002Fglossary\u002Fwhat-is-cost-percentage","计入佣金和库存费之后","可能持平甚至亏损。",[217,510,219,511,514,515,519],{},[132,512,513],{},"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",[96,516,518],{"href":517},"\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。",[217,521,219,522,525],{},[132,523,524],{},"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。",[217,527,219,528,531],{},[132,529,530],{},"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。",[10,533,534,535,143],{},"该长期追踪哪些指标、按什么顺序看，请参阅",[96,536,538],{"href":537},"\u002Fguides\u002Ftracking-trading-performance","交易表现追踪完全指南",{"title":27,"searchDepth":254,"depth":254,"links":540},[541,542,543,544,545],{"id":16,"depth":254,"text":16},{"id":103,"depth":254,"text":103},{"id":127,"depth":254,"text":127},{"id":164,"depth":254,"text":165},{"id":212,"depth":254,"text":212},"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",[271,270,550,551],"what-is-position-sizing","what-is-backtesting",{"title":282,"description":546},"zh\u002F5.glossary\u002Fwhat-is-a-profit-factor","盈利因子 (Profit Factor)","OLz2UdKZBQ-s3NM0RQISYNe6Jrhtmy0tM84z39S0Thk",{"id":557,"title":558,"body":559,"category":261,"date":262,"description":743,"draft":264,"extension":265,"meta":744,"navigation":267,"path":745,"related":746,"seo":748,"stem":749,"term":750,"updated":262,"__hash__":751},"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":560,"toc":736},[561,564,566,569,575,578,581,611,613,616,622,625,628,638,640,646,658,661,663,683,698,700,729],[10,562,563],{},"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。",[14,565,16],{"id":16},[10,567,568],{},"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。",[18,570,573],{"className":571,"code":572,"language":23},[21],"回撤 % = (峰值 − 当前值) \u002F 峰值 × 100\n",[25,574,572],{"__ignoreMap":27},[10,576,577],{},"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。",[10,579,580],{},"这个数字到底是什么意思，要看三组区分：",[214,582,583,593,599],{},[217,584,585,588,589,592],{},[132,586,587],{},"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",[132,590,591],{},"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%。",[217,594,595,598],{},[132,596,597],{},"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。",[217,600,601,604,605,607,608,610],{},[132,602,603],{},"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",[96,606,251],{"href":381},"，大多数",[96,609,110],{"href":109},"引用的就是它。",[14,612,103],{"id":103},[10,614,615],{},"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%。",[10,617,618],{},[409,619],{"alt":620,"src":621},"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",[10,623,624],{},"跌幅一旦超过 50%，回本所需的涨幅就比亏损本身还大。",[10,626,627],{},"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。",[10,629,630,631,462,633,637],{},"另外，回撤主要取决于",[96,632,518],{"href":517},[96,634,636],{"href":635},"\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。",[14,639,127],{"id":127},[10,641,642,643,143],{},"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 ",[132,644,645],{},"9.7%",[10,647,648,649,651,652,139,655,657],{},"再看同一批账户赚了多少。",[96,650,137],{"href":136},"中位数为 ",[132,653,654],{},"+3.2%",[132,656,160],{}," 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。",[10,659,660],{},"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。",[14,662,165],{"id":164},[10,664,665,666,668,669,672,673,675,676,682],{},"在每个已发布账户页面上，",[132,667,177],{},"面板在",[132,670,671],{},"月均 %"," 下方连续两行显示两个数字：",[132,674,185],{},"，基于净值计算，包含持仓的浮动亏损；以及",[96,677,679],{"href":678},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance",[132,680,681],{},"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。",[10,684,685,686,688,689,692,693,697],{},"图表模块有一个",[132,687,185],{},"视图，用柱状图画出账户整个生命周期的每日回撤。下跌",[132,690,691],{},"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。",[96,694,696],{"href":695},"\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。",[14,699,212],{"id":212},[214,701,702,708,714,723],{},[217,703,219,704,707],{},[132,705,706],{},"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。",[217,709,219,710,713],{},[132,711,712],{},"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。",[217,715,219,716,719,720,143],{},[132,717,718],{},"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，",[96,721,722],{"href":98},"回撤小反映的是样本量，而不是风险特征",[217,724,219,725,728],{},[132,726,727],{},"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。",[10,730,731,732,143],{},"回撤如何和账户页面上的其他数字对照着看，请参阅",[96,733,735],{"href":734},"\u002Fguides\u002Freading-a-trading-account-dashboard","如何读懂交易账户控制台",{"title":27,"searchDepth":254,"depth":254,"links":737},[738,739,740,741,742],{"id":16,"depth":254,"text":16},{"id":103,"depth":254,"text":103},{"id":127,"depth":254,"text":127},{"id":164,"depth":254,"text":165},{"id":212,"depth":254,"text":212},"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",[270,550,747,272],"what-is-a-stop-loss",{"title":558,"description":743},"zh\u002F5.glossary\u002Fwhat-is-drawdown","回撤 (Drawdown)","tI3oDk8FJPfBVP8sboa1RV13uVvVqDQQ3BpyQp8BpuI",{"id":753,"title":754,"body":755,"category":261,"date":262,"description":1047,"draft":264,"extension":265,"meta":1048,"navigation":267,"path":1049,"related":1050,"seo":1052,"stem":1053,"term":1054,"updated":262,"__hash__":1055},"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":756,"toc":1040},[757,764,766,769,775,778,827,832,849,851,854,915,918,925,927,933,939,942,952,979,981,994,1007,1009,1035],[10,758,759,760,763],{},"最大回撤是账户整个历史上出现过的最大一次",[96,761,762],{"href":238},"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%。",[14,765,16],{"id":16},[10,767,768],{},"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。",[18,770,773],{"className":771,"code":772,"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",[25,774,772],{"__ignoreMap":27},[10,776,777],{},"结果完全取决于用的是哪条曲线，ShowMyTrades 两条都公布。",[41,779,780,795],{},[44,781,782],{},[47,783,784,786,789,792],{},[50,785,261],{},[50,787,788],{},"计算基础",[50,790,791],{},"是否计入持仓？",[50,793,794],{},"说明了什么",[57,796,797,812],{},[47,798,799,803,806,809],{},[62,800,801],{},[132,802,185],{},[62,804,805],{},"净值（余额 + 浮动盈亏）",[62,807,808],{},"是",[62,810,811],{},"账户在那一刻实际价值的真实跌幅",[47,813,814,818,821,824],{},[62,815,816],{},[132,817,681],{},[62,819,820],{},"仅已平仓余额",[62,822,823],{},"否",[62,825,826],{},"已实现结果的跌幅",[10,828,829,831],{},[96,830,681],{"href":678},"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。",[10,833,834,835,449,838,841,842,845,846,848],{},"所以，一个账户显示",[132,836,837],{},"回撤 41%",[132,839,840],{},"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",[132,843,844],{},"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",[96,847,636],{"href":635},"的用处。",[14,850,103],{"id":103},[10,852,853],{},"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。",[41,855,856,865],{},[44,857,858],{},[47,859,860,862],{},[50,861,251],{},[50,863,864],{},"回到原峰值所需涨幅",[57,866,867,875,883,891,899,907],{},[47,868,869,872],{},[62,870,871],{},"10%",[62,873,874],{},"11.1%",[47,876,877,880],{},[62,878,879],{},"20%",[62,881,882],{},"25.0%",[47,884,885,888],{},[62,886,887],{},"30%",[62,889,890],{},"42.9%",[47,892,893,896],{},[62,894,895],{},"50%",[62,897,898],{},"100.0%",[47,900,901,904],{},[62,902,903],{},"70%",[62,905,906],{},"233.3%",[47,908,909,912],{},[62,910,911],{},"90%",[62,913,914],{},"900.0%",[10,916,917],{},"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。",[10,919,920,921,924],{},"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",[96,922,923],{"href":517},"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。",[14,926,127],{"id":127},[10,928,929,930,932],{},"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 ",[132,931,645],{},"，但无论往高还是往低，分布都很散。",[10,934,935],{},[409,936],{"alt":937,"src":938},"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",[10,940,941],{},"中位数 9.7%，尾部却比多数公开宣传估计的更长。",[10,943,944,945,139,948,951],{},"在最差的一端，",[132,946,947],{},"17.6% 的账户曾比峰值低 50% 以上",[132,949,950],{},"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。",[10,953,954,955,958,959,139,961,965,966,969,970,973,974,978],{},"最好的一端同样值得怀疑：",[132,956,957],{},"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 ",[132,960,432],{},[96,962,964],{"href":963},"\u002Fglossary\u002Fwhat-is-average-trade-length","持仓时间","中位数 ",[132,967,968],{},"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",[96,971,972],{"href":98},"尾部需要足够长的历史来支撑","，所以这个数字只有在",[96,975,977],{"href":976},"\u002Fglossary\u002Fwhat-is-a-verified-track-record","经验证的业绩记录","上才真正有分量。",[14,980,165],{"id":164},[10,982,438,983,985,986,462,988,990,991,993],{},[132,984,177],{},"面板里，",[132,987,185],{},[132,989,681],{},"紧挨着排在",[132,992,671],{}," 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。",[10,995,996,997,999,1000,1003,1004,1006],{},"图表模块里有一个专门的",[132,998,185],{},"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",[132,1001,1002],{},"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。",[96,1005,696],{"href":695},"可以拿您自己的余额套用上面的回本表。",[14,1008,212],{"id":212},[214,1010,1011,1017,1023,1029],{},[217,1012,219,1013,1016],{},[132,1014,1015],{},"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。",[217,1018,219,1019,1022],{},[132,1020,1021],{},"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。",[217,1024,219,1025,1028],{},[132,1026,1027],{},"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。",[217,1030,219,1031,1034],{},[132,1032,1033],{},"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。",[10,1036,1037,1038,143],{},"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",[96,1039,735],{"href":734},{"title":27,"searchDepth":254,"depth":254,"links":1041},[1042,1043,1044,1045,1046],{"id":16,"depth":254,"text":16},{"id":103,"depth":254,"text":103},{"id":127,"depth":254,"text":127},{"id":164,"depth":254,"text":165},{"id":212,"depth":254,"text":212},"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",[271,550,1051,272],"what-is-a-verified-track-record",{"title":754,"description":1047},"zh\u002F5.glossary\u002Fwhat-is-maximum-drawdown","最大回撤 (Maximum Drawdown)","H1pMHY5DcM__vxubkgaLVDhrp8FNU0EbYexdvdzrV1o",{"id":1057,"title":1058,"body":1059,"category":261,"date":262,"description":1258,"draft":264,"extension":265,"meta":1259,"navigation":267,"path":1260,"related":1261,"seo":1265,"stem":1266,"term":1267,"updated":277,"__hash__":1268},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-the-sharpe-ratio.md","什么是夏普比率？公式、局限与真实数据",{"type":7,"value":1060,"toc":1251},[1061,1064,1066,1069,1075,1078,1084,1092,1095,1097,1100,1106,1114,1116,1129,1140,1143,1145,1185,1188,1209,1211,1246],[10,1062,1063],{},"夏普比率是平均收益除以这些收益的标准差，也就是账户每承受一单位波动，换来多少收益。两个账户一年下来增长一样，夏普比率却可能差很多：比率高的那个，一路走得更平稳。",[14,1065,16],{"id":16},[10,1067,1068],{},"教科书上的定义用的是周期收益，并减去无风险利率：",[18,1070,1073],{"className":1071,"code":1072,"language":23},[21],"夏普比率 = (平均收益 − 无风险利率) \u002F 收益的标准差\n",[25,1074,1072],{"__ignoreMap":27},[10,1076,1077],{},"ShowMyTrades 按已平仓交易计算，而不是按日历周期，也不减去无风险利率：",[18,1079,1082],{"className":1080,"code":1081,"language":23},[21],"夏普比率 = 每笔交易结果的均值 \u002F 每笔交易结果的标准差\n",[25,1083,1081],{"__ignoreMap":27},[10,1085,1086,1087,1091],{},"每笔交易按“盈利 + 佣金 + 库存费”计入序列，所以输入已经扣除了成本。只统计已平仓的买入和卖出交易：入金、出金和余额操作在生成序列之前就已剔除。分母是同一序列的总体标准差（距离平方和除以交易笔数，而不是笔数减一）。所以在我们的统计表里，",[96,1088,1090],{"href":1089},"\u002Fglossary\u002Fwhat-is-standard-deviation-in-trading","标准差","就排在这个比率正上方：它就是那个除数。已平仓交易不足两笔的账户显示 0.00。",[10,1093,1094],{},"按笔而不是按月计算，意味着这个数字没有年化，常见的经验标准也就用不上。“高于 1.0 算好，高于 2.0 算优秀”，说的是基于周期收益的年化夏普比率。在逐笔序列上，1.00 意味着平均每笔交易值整整一个交易结果标准差：交易笔数足以说明问题的账户，几乎没有能达到的。",[14,1096,103],{"id":103},[10,1098,1099],{},"只看增长，只知道账户最后停在哪里；夏普比率还能说明它是怎么走过来的。优势小但可靠、反复执行的策略，比率不高，但为正；靠两笔运气交易撑起来的策略，均值很大，离散程度却更大，比率随之一落千丈。",[10,1101,1102,1103,1105],{},"有些图表只是看起来平滑，夏普比率能诚实地戳穿它，而它用的正是计算",[96,1104,118],{"href":117},"的同一批已平仓交易。",[10,1107,1108,1109,1113],{},"它做不到的，是区分好的波动和坏的波动。一笔向上大幅偏离的交易，和一笔向下大幅偏离的交易，把分母抬高的幅度完全一样。",[96,1110,1112],{"href":1111},"\u002Fglossary\u002Fwhat-is-the-sortino-ratio","索提诺比率","正是为了回应这一质疑而诞生的。",[14,1115,127],{"id":127},[10,1117,130,1118,139,1121,139,1124,143],{},[132,1119,1120],{},"夏普比率中位数为 0.05",[132,1122,1123],{},"已平仓交易数中位数为 171 笔",[132,1125,1126,1128],{},[96,1127,964],{"href":963},"中位数为 2.4 小时",[10,1130,1131,1132,651,1134,1136,1137,1139],{},"用我们自己的公式来读，0.05 的含义很具体：在中位数账户上，平均每笔交易约值交易结果标准差的二十分之一，差不多是二十份噪音对一份信号。这并不说明这些账户都很失败：",[96,1133,137],{"href":136},[132,1135,654],{},"，长期为正的占 ",[132,1138,160],{},"。真实的优势落到单笔交易上，就是这个样子。",[10,1141,1142],{},"这也说明了短样本为什么什么都证明不了。在这样的信噪比下，一个毫无优势的账户连赢二十笔也很平常，而一个确有优势的账户亏上一周，也说明不了任何问题。",[14,1144,165],{"id":164},[10,1146,1147,1148,1150,1151,1154,1155,1157,1158,1160,1161,1164,1165,449,1167,449,1170,449,1172,1175,1176,1179,1180,1184],{},"账户页面的",[132,1149,441],{},"模块里，",[132,1152,1153],{},"表现指标","一栏中有一行，标签正是",[132,1156,123],{},"，并附有提示说明。它的正上方是它自己的分母",[132,1159,1090],{},"，正下方是",[132,1162,1163],{},"夏普比率（年化）","（以净值的日收益率计算，再乘以 √252 年化；账户历史不足 30 个工作日时显示为 n\u002Fa），旁边是",[132,1166,118],{},[132,1168,1169],{},"Z 值（概率）",[132,1171,458],{},[132,1173,1174],{},"AHPR"," 和 ",[132,1177,1178],{},"GHPR","。它由我们的服务器根据存储的已平仓交易计算，保留两位小数，1.00 及以上显示绿色，0 到 1 显示黄色，低于零显示红色。在已发布的账户页面上，这个模块默认显示，不过账户主人可以隐藏它；",[96,1181,1183],{"href":1182},"\u002Fguides\u002Ftrading-widgets-and-embeds","可嵌入的小组件","里没有这个模块。",[10,1186,1187],{},"关于我们自己的页面，要提醒一点：逐笔那一行标签的提示说明里，引用的仍是常规区间，即高于 1.0 算好、高于 2.0 算优秀。这些区间适用于下面的年化那一行，而不是旁边显示的逐笔数值。",[10,1189,1190,1191,449,1194,449,1197,462,1200,1203,1204,1208],{},"同一模块提供",[132,1192,1193],{},"表格",[132,1195,1196],{},"星期",[132,1198,1199],{},"小时",[132,1201,1202],{},"持续时间","视图；",[96,1205,1206],{"href":489},[132,1207,492],{},"会在筛选出的子集上重新计算整个模块，可按日期范围、品种、魔术号、交易类型、交易时段、手数等筛选。把账户表现最好的品种去掉再算一次夏普比率，就能看出这个比率描述的是一套系统，还是一段插曲。",[14,1210,212],{"id":212},[214,1212,1213,1225,1234,1240],{},[217,1214,219,1215,1218,1219,1221,1222,1224],{},[132,1216,1217],{},"高于 1.0 就是好。","”这话适用于基于周期收益的年化夏普比率，也就是",[132,1220,1163],{}," 那一行。普通的",[132,1223,123],{},"是逐笔计算的，这个门槛对它不适用。",[217,1226,219,1227,1230,1231,1233],{},[132,1228,1229],{},"夏普比率衡量的是风险。","”它衡量的是已平仓交易结果的离散程度，至于账户曾经跌得多深，它一无所知：那是",[96,1232,185],{"href":238},"，另有单独的数字。",[217,1235,219,1236,1239],{},[132,1237,1238],{},"夏普比率高，账户就安全。","”网格和摊平系统的已平仓结果之所以紧凑均匀，恰恰是因为它们不肯把亏损单平掉。浮动亏损永远进不了这个序列。",[217,1241,219,1242,1245],{},[132,1243,1244],{},"我的夏普比率可以和任何账户比较。","”只有交易频率和持仓周期相当时才行：每月平仓 200 笔的剥头皮交易者和每月平仓 8 笔的波段交易者，用的根本不是同一把尺子。",[10,1247,1248,1249,252],{},"夏普比率和账户页面上其他数字怎么对照着看，请参阅",[96,1250,735],{"href":734},{"title":27,"searchDepth":254,"depth":254,"links":1252},[1253,1254,1255,1256,1257],{"id":16,"depth":254,"text":16},{"id":103,"depth":254,"text":103},{"id":127,"depth":254,"text":127},{"id":164,"depth":254,"text":165},{"id":212,"depth":254,"text":212},"夏普比率是平均收益除以这些收益的波动率。本文介绍公式、我们如何逐笔计算，以及为什么我们的中位数是 0.05。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-the-sharpe-ratio",[1262,1263,1264,272],"what-is-standard-deviation-in-trading","what-is-the-sortino-ratio","what-is-recovery-factor",{"title":1058,"description":1258},"zh\u002F5.glossary\u002Fwhat-is-the-sharpe-ratio","夏普比率 (Sharpe Ratio)","rF1ahLb2_s2YlvPIZt9lNpcU3FX-JK93QxZ6RXkVz7s",[1270,1272],{"path":1271},"\u002Fglossary\u002Fwhat-is-recovery-factor",{"path":268},1793898064334]