[{"data":1,"prerenderedAt":1322},["ShallowReactive",2],{"\u002Fzh\u002Fglossary\u002Fwhat-is-risk-of-ruin":3,"\u002Fzh\u002Fglossary\u002Fwhat-is-risk-of-ruin-related":354,"\u002Fzh\u002Fglossary\u002Fwhat-is-risk-of-ruin-langs":1318},{"id":4,"title":5,"body":6,"category":336,"date":337,"description":338,"draft":339,"extension":340,"meta":341,"navigation":342,"path":343,"related":344,"seo":349,"stem":350,"term":351,"updated":352,"__hash__":353},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-risk-of-ruin.md","什么是破产风险？公式与仓位对照表",{"type":7,"value":8,"toc":328},"minimark",[9,13,17,20,31,38,116,119,128,131,139,142,150,153,165,177,193,197,200,286,289,321],[10,11,12],"p",{},"破产风险（risk of ruin）是账户在优势还没来得及兑现之前，就亏掉一定比例资金的概率。它衡量的是能不能活下来，而不是预测收益，由胜率、盈亏比和单笔风险算出。一个确有正向优势的系统，破产风险照样可能很高，起决定作用的几乎总是仓位大小。",[14,15,16],"h2",{"id":16},"工作原理",[10,18,19],{},"经典的闭式公式假设每次按固定比例下注、盈亏比 1:1，并把资金归零定义为破产。",[21,22,27],"pre",{"className":23,"code":25,"language":26},[24],"language-text","RoR = (q \u002F p) ^ N\n\np = 一笔交易盈利的概率\nq = 1 − p\nN = 资金 ÷ 单笔风险   (可用的风险单位数)\n","text",[28,29,25],"code",{"__ignoreMap":30},"",[10,32,33,34,37],{},"关键在指数：单笔风险减半，",[28,35,36],{},"N"," 就翻倍，而指数翻倍，概率就变成原来的平方。以一个胜率 52%、盈亏比 1:1 的系统为例，表中从上到下只有手数在变。",[39,40,41,57],"table",{},[42,43,44],"thead",{},[45,46,47,51,54],"tr",{},[48,49,50],"th",{},"单笔风险",[48,52,53],{},"风险单位数",[48,55,56],{},"破产风险",[58,59,60,72,83,94,105],"tbody",{},[45,61,62,66,69],{},[63,64,65],"td",{},"1%",[63,67,68],{},"100",[63,70,71],{},"0.03%",[45,73,74,77,80],{},[63,75,76],{},"2%",[63,78,79],{},"50",[63,81,82],{},"1.8%",[45,84,85,88,91],{},[63,86,87],{},"4%",[63,89,90],{},"25",[63,92,93],{},"13.5%",[45,95,96,99,102],{},[63,97,98],{},"5%",[63,100,101],{},"20",[63,103,104],{},"20.2%",[45,106,107,110,113],{},[63,108,109],{},"10%",[63,111,112],{},"10",[63,114,115],{},"44.9%",[10,117,118],{},"从 1% 提到 2%，破产概率放大了五十多倍。从 1% 提到 10%，一个小到可以忽略的数字就变成了抛硬币。而优势始终没变。",[10,120,121,122,127],{},"真实的系统不会刚好按 1:1 盈亏，交易之间也并不独立，所以闭式公式只是教学工具，给不出答案。实际估算时，会模拟成千上万条交易序列，数一数有多少条路径触及亏损水平。",[123,124,126],"a",{"href":125},"\u002Ftools\u002Frisk-of-ruin-calculator","破产风险计算器","就是这样算的；它还会给出回撤风险，即资金不归零、但跌到某个幅度的概率，这才是大多数交易者真正需要的数字。",[14,129,130],{"id":130},"为什么重要",[10,132,133,134,138],{},"破产风险连接着",[123,135,137],{"href":136},"\u002Fglossary\u002Fwhat-is-expectancy","期望值","和生存：期望值告诉您平均每笔交易值多少，破产风险告诉您，等到平均值兑现的那天，您是否还在场上。",[10,140,141],{},"这也是为什么两个交易者用同样的信号，结局却截然相反。入场出场一模一样，手数不同：胜率相同，盈利因子相同，一个账户在复利增长，另一个已经销户。策略本身解释不了这种差别。",[10,143,144,145,149],{},"实际用法是倒过来算：先定下您能接受的概率，再反推出对应的",[123,146,148],{"href":147},"\u002Fglossary\u002Fwhat-is-position-sizing","仓位大小","。",[14,151,152],{"id":152},"数据显示了什么",[10,154,155,156,160,161,164],{},"在 ShowMyTrades 上有交易历史的公开账户中（2026 年 8 月），",[157,158,159],"strong",{},"17.6% 的账户最深回撤超过 50%","，",[157,162,163],{},"38.2% 超过 20%","。统计对象是在本站公开的账户，并不代表所有交易者。",[10,166,167,168,171,172,176],{},"这 17.6% 就是上表在真实数据里的对照：亏掉一半以上资金的账户约占六分之一，算不上罕见的尾部事件。最深回撤的中位数是 ",[157,169,170],{},"9.7%","，所以这批账户分成了两类：一类仍然救得回来，另一类为数不少，已经跌到",[123,173,175],{"href":174},"\u002Fguides\u002Fmaximum-drawdown-explained","需要 100% 的收益才能回本","的地步。",[10,178,179,180,184,185,188,189,192],{},"输入数据也指向同一个方向。",[123,181,183],{"href":182},"\u002Fglossary\u002Fwhat-is-a-profit-factor","盈利因子","中位数为 ",[157,186,187],{},"1.28","，胜率中位数为 ",[157,190,191],{},"68.8%","，两者合起来意味着平均盈亏比接近 0.6：亏的比赚的多，账户全靠交易频率撑着。这种形态的期望值不高，左尾很厚，两者都会进入公式里的指数。",[14,194,196],{"id":195},"在-showmytrades-上的位置","在 ShowMyTrades 上的位置",[10,198,199],{},"账户页面上没有实时的破产概率，但计算它所需的每一项数据都已公开。",[201,202,203,226,235,256,277],"ul",{},[204,205,206,209,210,213,214,213,216,219,220,223,224,149],"li",{},[157,207,208],{},"高级统计","模块里的",[157,211,212],{},"胜率","、",[157,215,183],{},[157,217,218],{},"平均盈利","和",[157,221,222],{},"平均亏损","。平均盈利除以平均亏损，就是公式需要的盈亏比；胜率就是 ",[28,225,10],{},[204,227,228,230,231,234],{},[157,229,137],{},"（以点数和货币计）是模拟时抽样所依据的优势；旁边的 ",[157,232,233],{},"Z 值（概率）"," 显示盈亏是不是成串出现，而这种扎堆现象正是独立性假设所忽略的。",[204,236,237,238,219,241,247,248,251,252,255],{},"同一模块里的",[157,239,240],{},"总交易数",[123,242,244],{"href":243},"\u002Fglossary\u002Fwhat-is-average-trade-length",[157,245,246],{},"平均持仓时间","：中位数水平的已发布账户有 ",[157,249,250],{},"171"," 笔已平仓交易，持仓时间中位数 ",[157,253,254],{},"2.4 小时","，估算胜率够用，用来估计尾部还嫌太少。",[204,257,258,219,261,264,265,268,269,272,273,276],{},[157,259,260],{},"回撤",[157,262,263],{},"余额回撤","，位于",[157,266,267],{},"账户统计","面板",[157,270,271],{},"月均 %"," 和",[157,274,275],{},"余额","之间的两行：这就是那个概率所描述的、已经发生的结果。",[204,278,279,282,283,285],{},[157,280,281],{},"图表模块","里的",[157,284,260],{},"视图，每一次逼近亏损水平都以随时间排列的柱状图呈现，而不是只有一个醒目的数字。",[14,287,288],{"id":288},"常见误解",[201,290,291,298,304,315],{},[204,292,293,294,297],{},"“",[157,295,296],{},"期望值为正，我就不会爆仓。","”只有每次下注无穷小、下注无穷多次才成立。每笔冒 10% 的风险，正向优势和 45% 的破产概率完全可以同时存在。",[204,299,293,300,303],{},[157,301,302],{},"高胜率能保护我。","”胜率只是两个输入之一。胜率 68.8%、盈亏比接近 0.6，算下来离盈亏平衡比表面数字显示的近得多。",[204,305,293,306,309,310,314],{},[157,307,308],{},"破产就是余额归零。","”破产指的是任何让账户终结的水平：自营交易公司的",[123,311,313],{"href":312},"\u002Fglossary\u002Fwhat-is-a-daily-drawdown-limit","每日回撤限制","、投资者赎回，或者您不再信任这个系统的那一刻。",[204,316,293,317,320],{},[157,318,319],{},"破产风险是策略固有的属性。","”它既取决于策略，也取决于仓位管理。前者改起来很慢，后者下一笔订单之前就能改。",[10,322,323,324,149],{},"高胜率对生存的意义为什么比看上去小，请阅读",[123,325,327],{"href":326},"\u002Fguides\u002Fwin-rate-is-not-an-edge","胜率并不是优势",{"title":30,"searchDepth":329,"depth":329,"links":330},2,[331,332,333,334,335],{"id":16,"depth":329,"text":16},{"id":130,"depth":329,"text":130},{"id":152,"depth":329,"text":152},{"id":195,"depth":329,"text":196},{"id":288,"depth":329,"text":288},"风险","2026-08-19T00:00:00.000Z","破产风险，是在优势兑现之前就亏掉一定比例资金的概率。本文给出公式、仓位对照表，以及数千个账户的数据。",false,"md",{},true,"\u002Fzh\u002Fglossary\u002Fwhat-is-risk-of-ruin",[345,346,347,348],"what-is-position-sizing","what-is-maximum-drawdown","what-is-expectancy","what-is-a-daily-drawdown-limit",{"title":5,"description":338},"zh\u002F5.glossary\u002Fwhat-is-risk-of-ruin","破产风险 (Risk of Ruin)","2026-09-24T00:00:00.000Z","v2i-o8v5HE9I6UGvert22zPlkpKhl-3-gbd0Xt16eQA",[355,566,804,1113],{"id":356,"title":357,"body":358,"category":336,"date":337,"description":555,"draft":339,"extension":340,"meta":556,"navigation":342,"path":557,"related":558,"seo":562,"stem":563,"term":564,"updated":352,"__hash__":565},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-a-daily-drawdown-limit.md","什么是每日回撤限制？规则与重置时间",{"type":7,"value":359,"toc":548},[360,372,374,380,383,389,395,401,404,412,414,417,425,427,439,442,453,467,469,472,505,508,510,541],[10,361,362,363,367,368,371],{},"每日回撤限制规定账户在一个交易日内最多能亏多少，起算点是当天开始时定下的参考值。这是",[123,364,366],{"href":365},"\u002Fglossary\u002Fwhat-is-a-prop-firm","自营交易公司","协议里的标准风控条款，由系统自动执行：哪怕只超出一美分，不管整体盈亏如何，账户都判定失败。它和普通的",[123,369,260],{"href":370},"\u002Fglossary\u002Fwhat-is-drawdown","不同：每天重置，日内随时判定。",[14,373,16],{"id":16},[21,375,378],{"className":376,"code":377,"language":26},[24],"参考值     = 每日重置时记录的余额或净值\n当日亏损   = 参考值 − 当前净值\n触发条件     当日亏损 ≥ 限制 % × 参考值\n",[28,379,377],{"__ignoreMap":30},[10,381,382],{},"这条规则到底怎么算，取决于三个参数，而且各家公司并不一样。",[10,384,385,388],{},[157,386,387],{},"基于余额还是基于净值","。基于余额的限制只算已平仓交易；基于净值的限制连浮动亏损也算在内，所以一笔亏损还没兑现，或者还没等到回升，就可能已经触发规则。大多数协议按净值计算，因此每个 tick 都在检查。",[10,390,391,394],{},[157,392,393],{},"以哪个值为参考","。有的公司取重置时的余额，有的取净值，有的取两者中较高的那个。第三种最严：浮盈会把参考值抬高，带着浮盈开始新一天的账户并不会多出亏损空间，只是起跌的位置更高了。",[10,396,397,400],{},[157,398,399],{},"一天从何时开始","。重置发生在公司服务器上的固定时刻，通常是平台时间 00:00 或纽约时间 17:00，而不是您当地的午夜。仓位一旦跨过这个时刻，算进哪一天的额度就跟着变了；平台时间 23:55 亏掉的钱，用的是五分钟后就会补满的额度。",[10,402,403],{},"举个例子：$100,000 的账户，5% 的每日限制，按净值计算，以余额为参考。净值底线是 $95,000。已平仓亏损 $3,000，再加上 $2,100 的浮亏，净值跌到 $94,900：已突破。尽管真正兑现的只有 $3,000，哪怕那笔持仓一小时后保本平仓，结果也一样。",[10,405,406,407,411],{},"与它同时生效的还有",[123,408,410],{"href":409},"\u002Fglossary\u002Fwhat-is-maximum-drawdown","整体限制","，以初始余额或追踪的高水位线为基准，永不重置。每日限制更紧，被突破的次数也多得多。",[14,413,130],{"id":130},[10,415,416],{},"每日限制管的不只是策略能做多大，更是策略能长成什么样。凡是靠当天回本的系统（摊平加仓、网格、逆势死扛），无论一个月下来表现多好，都和基于净值的每日规则合不来。",[10,418,419,420,424],{},"它还能挡住交易中最要命的本能：亏损当天加倍下注，想把钱扳回来。不管是公司强制的规则，还是交易者给自己定的，它的价值主要就在这里：在",[123,421,423],{"href":422},"\u002Fglossary\u002Fwhat-is-margin-level","保证金比例","之外再加一道底线，而在杠杆账户上，往往先碰到的就是这一道。",[14,426,152],{"id":152},[10,428,155,429,435,436,164],{},[157,430,431,434],{},[123,432,433],{"href":243},"持仓时间","的中位数为 2.4 小时","，中位账户有 ",[157,437,438],{},"171 笔已平仓交易",[10,440,441],{},"中位数 2.4 小时，说明典型的仓位在同一个交易日内就开平了。对这样交易的账户来说，真正卡住手脚的是每日限制，而不是整体限制：几乎所有风险都在一个重置周期内出现，也在其中了结。",[10,443,444,445,160,447,160,450,452],{},"再看回撤深度：最深回撤的中位数为 ",[157,446,170],{},[157,448,449],{},"38.5% 低于 5%",[157,451,163],{},"。5% 的每日规则本来就定在让人难受的位置，谈不上宽松。",[10,454,455,456,160,459,149,462,466],{},"自动化也不能忽略：自动交易占比的中位数为 ",[157,457,458],{},"99%",[157,460,461],{},"53.9% 的账户自动化程度超过 90%",[123,463,465],{"href":464},"\u002Fglossary\u002Fwhat-is-an-expert-advisor","EA（智能交易系统）","除非编写时就写进了公司的重置时间，否则根本不知道一天何时重置。所以参考值和重置时间这些细节，并不是可有可无的冷知识。",[14,468,196],{"id":195},[10,470,471],{},"ShowMyTrades 不制定也不执行自营交易公司的规则，只提供逐日的记录，供您核对某条规则有没有被遵守。",[201,473,474,484,493,499],{},[204,475,476,479,480,483],{},[157,477,478],{},"月度收益","模块除了表格、图表和汇总，还有",[157,481,482],{},"日历","视图。每天的结果都列在上面，旁边附每周汇总，单独一个糟糕的交易日不会被摊进当月，始终一目了然。",[204,485,486,489,490,492],{},[157,487,488],{},"日均 %"," 位于",[157,491,267],{},"面板第三行，在增长和绝对增长下面。它代表一个典型交易日，判断某天是否异常就拿它来比。",[204,494,495,496,498],{},"图表模块的",[157,497,260],{},"视图用柱状图画出账户整个生命周期的日回撤；逼近限制的日子会显示成尖峰。",[204,500,501,504],{},[157,502,503],{},"交易表格","列出每笔交易的持续时间、盈利（毛额）、库存费和佣金，靠它可以还原某一天的亏损是怎么来的。",[10,506,507],{},"注意这里有个测量上的差距：日历按已平仓结果统计，而基于净值的规则逐个 tick 盯着浮动净值。在这里看只是小亏的一天，日内可能早已突破了规则。",[14,509,288],{"id":288},[201,511,512,518,524,530],{},[204,513,293,514,517],{},[157,515,516],{},"我平仓时只亏了 4%，5% 的规则没破。","”在基于净值的限制下，浮亏一出现就算数。规则衡量的不是您平仓时的结果。",[204,519,293,520,523],{},[157,521,522],{},"一天在午夜重置。","”实际按公司的服务器时间重置。身处其他时区的交易者，常常把亏损记到了自以为的第二天。",[204,525,293,526,529],{},[157,527,528],{},"整体限制才是真正的风险。","”每日限制更小，每个交易日都在接受考验。大多数账户都倒在它手里。",[204,531,293,532,535,536,540],{},[157,533,534],{},"对冲能让亏损暂停。","”两边仓位照样浮动，照样要付",[123,537,539],{"href":538},"\u002Fglossary\u002Fwhat-is-a-spread","点差","和库存费，而规则看的是合并后的净值。",[10,542,543,544,149],{},"想结合当月整体情况看懂某一天，请参阅",[123,545,547],{"href":546},"\u002Fguides\u002Fmonthly-returns-table-explained","月度收益表解读",{"title":30,"searchDepth":329,"depth":329,"links":549},[550,551,552,553,554],{"id":16,"depth":329,"text":16},{"id":130,"depth":329,"text":130},{"id":152,"depth":329,"text":152},{"id":195,"depth":329,"text":196},{"id":288,"depth":329,"text":288},"每日回撤限制规定账户一个交易日内最多能亏多少，从每天的参考值算起。本文讲清基于余额与基于净值的区别、重置时间，并附真实数据。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-a-daily-drawdown-limit",[559,346,560,561],"what-is-drawdown","what-is-margin-level","what-is-risk-of-ruin",{"title":357,"description":555},"zh\u002F5.glossary\u002Fwhat-is-a-daily-drawdown-limit","每日回撤限制 (Daily Drawdown Limit)","ZbIAsMGZr9BxWjPrKzYSLEK5eAtWpHJll7IJntpjpfs",{"id":567,"title":568,"body":569,"category":792,"date":337,"description":793,"draft":339,"extension":340,"meta":794,"navigation":342,"path":795,"related":796,"seo":799,"stem":800,"term":801,"updated":802,"__hash__":803},"glossary\u002Fzh\u002F5.glossary\u002Fwhat-is-expectancy.md","什么是期望值？公式、示例与真实数据",{"type":7,"value":570,"toc":785},[571,574,576,582,589,592,598,601,603,609,617,623,625,637,655,673,675,688,726,746,748,778],[10,572,573],{},"期望值就是一笔交易的平均结果，可以用货币或点数表示：账户每开一笔仓位，平均能赚多少。它由胜率、平均盈利、亏损率、平均亏损四个数字算出，回答的是“这套系统每做一笔到底赚不赚钱”，而且结果可以直接乘以交易笔数。正期望值重复得足够多，就是一门生意；负期望值则是在倒数计时。",[14,575,16],{"id":16},[21,577,580],{"className":578,"code":579,"language":26},[24],"期望值 = (胜率 × 平均盈利) − (亏损率 × 平均亏损)\n\n亏损率 = 1 − 胜率\n",[28,581,579],{"__ignoreMap":30},[10,583,584,585,588],{},"假设一个系统胜率 40%，每笔盈利单赚 $300，每笔亏损单亏 $100：(0.40 × $300) − (0.60 × $100) = $120 − $60 = ",[157,586,587],{},"每笔交易 +$60","。一年做四百笔，预期结果就是 $24,000，这还没考虑仓位大小的变化，也没算上任何意外。",[10,590,591],{},"把同一个公式改用 R 倍数来写（R 即一笔平均亏损），账户货币的影响就去掉了，不同系统也能放在一起比较：",[21,593,596],{"className":594,"code":595,"language":26},[24],"期望值 (R) = (胜率 × 盈亏比) − (1 − 胜率)\n\n盈亏比 = 平均盈利 \u002F 平均亏损\n",[28,597,595],{"__ignoreMap":30},[10,599,600],{},"算出来的数字有没有意义，取决于两点。第一，输入里必须已经扣除成本：点差、佣金和库存费每笔都要付，盈利单因此变小，亏损单因此变大。第二，平均值背后要有足够多的交易，不能让某一笔特别大的结果单独左右它。",[14,602,130],{"id":130},[10,604,605,606,608],{},"统计数字要变成交易计划，靠的就是期望值。",[123,607,183],{"href":182},"告诉您赚的钱和亏的钱之比；期望值告诉您再多做一笔交易值多少钱，把它乘以交易频率，就能得出一个月的预期结果。",[10,610,611,612,616],{},"胜率掩盖的取舍，也会在期望值里暴露出来。胜率只是优势的一半，另一半是",[123,613,615],{"href":614},"\u002Fglossary\u002Fwhat-is-risk-reward-ratio","风险回报比","，期望值正是两者的交汇点。动其中任何一个，结果都会跟着变；两个都不动，故事讲得再好，结果也不会变。",[10,618,619,620,622],{},"期望值还划出了成本的底线。如果一个策略每笔的期望是 +$8，而一个来回的",[123,621,539],{"href":538},"加佣金就要 $7，剩下的那点东西已经算不上策略了。",[14,624,152],{"id":152},[10,626,627,628,160,631,160,634,149],{},"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）取中间水平：",[157,629,630],{},"胜率中位数 68.8%",[157,632,633],{},"盈利因子中位数 1.28",[157,635,636],{},"已平仓交易数中位数 171 笔",[10,638,639,640,643,644,647,648,149],{},"有了这几个数字，这个“中间账户”的期望值就能算出来。把盈利因子公式反推回去，平均盈利约为平均亏损的 ",[157,641,642],{},"0.58 倍","；剩下的用 R 形式一算便知：(0.688 × 0.58) − 0.312 = ",[157,645,646],{},"+0.087R","。也就是说，每做一笔交易，只赚到一笔平均亏损的百分之九。171 笔交易下来，全部利润加起来大约只相当于十五笔平均亏损，所以尽管近七成交易以盈利平仓，",[157,649,650,654],{},[123,651,653],{"href":652},"\u002Fglossary\u002Fwhat-is-time-weighted-return","时间加权收益率","的中位数也只有 +3.2%",[10,656,657,658,661,662,665,666,669,670,672],{},"优势薄到这个程度，成本就不是可以忽略的零头了。已发布账户累计支付了 ",[157,659,660],{},"$4,782,670 佣金","和 ",[157,663,664],{},"$862,547 库存费","；在产生过库存费的账户中，",[157,667,668],{},"86.3%"," 的净库存费为负。持仓时间中位数只有 ",[157,671,254],{},"，在这种节奏下，0.087R 的优势要想保住，一个来回的成本相对平均亏损就必须足够小。",[14,674,196],{"id":195},[10,676,677,678,680,681,683,684,687],{},"每个已发布账户页面的",[157,679,208],{},"模块里都有",[157,682,137],{},"这一行，位于",[157,685,686],{},"表现指标","分组。它在同一行里给出两种单位（先点数，后账户货币）：点数便于在不同品种之间比较，货币金额便于在不同仓位大小之间比较，单看哪一个都不完整。",[10,689,690,691,694,695,213,697,213,699,219,701,703,704,708,709,219,712,715,716,213,719,219,722,725],{},"它的四个输入在同一模块的",[157,692,693],{},"交易","分组里：",[157,696,212],{},[157,698,218],{},[157,700,222],{},[157,702,240],{},"，旁边还有",[123,705,706],{"href":243},[157,707,246],{},"，能看出这点薄薄的单笔优势是几小时赚到的，还是几周才赚到的。已经扣除的成本显示在",[157,710,711],{},"佣金合计",[157,713,714],{},"已付库存费合计","两行，每笔交易的明细则在交易表格的",[157,717,718],{},"盈利（毛额）",[157,720,721],{},"库存费",[157,723,724],{},"佣金","列。",[10,727,728,729,735,736,213,739,219,742,745],{},"想检验一个期望值到底是一种优势，还是几种优势平均出来的，可以打开",[123,730,732],{"href":731},"\u002Fguides\u002Fcustom-analysis-and-filter-presets",[157,733,734],{},"自定义分析","侧边面板：按品种、魔术号、方向、日期范围、星期或小时筛选出子集，整个区块就会重新计算。高级统计还提供",[157,737,738],{},"星期",[157,740,741],{},"小时",[157,743,744],{},"持续时间","视图，不用筛选就能把同一结果拆开来看。",[14,747,288],{"id":288},[201,749,750,760,766,772],{},[204,751,293,752,755,756,759],{},[157,753,754],{},"正期望值就意味着我会赚钱。","”它只说明平均每笔交易是盈利的。仓位定错了，正期望值的系统照样会亏光：能不能活下来，是",[123,757,758],{"href":147},"仓位管理","的问题，不是期望值的问题。",[204,761,293,762,765],{},[157,763,764],{},"期望值就是我的平均每笔交易。","”前提是平均值按净额计算。按毛利润算就漏掉了佣金和库存费，而薄优势恰恰是在这里消失的。",[204,767,293,768,771],{},[157,769,770],{},"高胜率就意味着正期望值。","”单看胜率说明不了任何问题。盈亏比为 0.58 时，60% 的胜率是个亏钱的系统。",[204,773,293,774,777],{},[157,775,776],{},"这个数字很稳定。","”只有几百笔交易时并不稳定。一笔特别大的盈利单就能把整个记录的期望值抬上去，把它去掉再算一遍，是个公平的检验。",[10,779,780,781,149],{},"哪些指标值得长期追踪、该按什么顺序看，请参阅",[123,782,784],{"href":783},"\u002Fguides\u002Ftracking-trading-performance","交易表现追踪完全指南",{"title":30,"searchDepth":329,"depth":329,"links":786},[787,788,789,790,791],{"id":16,"depth":329,"text":16},{"id":130,"depth":329,"text":130},{"id":152,"depth":329,"text":152},{"id":195,"depth":329,"text":196},{"id":288,"depth":329,"text":288},"指标","期望值是单笔交易的平均盈亏：(胜率 × 平均盈利) − (亏损率 × 平均亏损)。本文给出公式、完整算例和公开账户的真实数据。",{},"\u002Fzh\u002Fglossary\u002Fwhat-is-expectancy",[797,798,345,559],"what-is-a-profit-factor","what-is-risk-reward-ratio",{"title":568,"description":793},"zh\u002F5.glossary\u002Fwhat-is-expectancy","期望值 (Expectancy)","2026-09-17T00:00:00.000Z","4gLLgYBgHrrvWKTKFixk2tUfM9kXODaMx4LcyeirnhQ",{"id":805,"title":806,"body":807,"category":792,"date":337,"description":1104,"draft":339,"extension":340,"meta":1105,"navigation":342,"path":1106,"related":1107,"seo":1109,"stem":1110,"term":1111,"updated":337,"__hash__":1112},"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":808,"toc":1097},[809,816,818,821,827,830,879,885,904,906,909,970,973,979,981,987,994,997,1007,1032,1034,1047,1062,1064,1090],[10,810,811,812,815],{},"最大回撤是账户整个历史上出现过的最大一次",[123,813,814],{"href":370},"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%。",[14,817,16],{"id":16},[10,819,820],{},"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。",[21,822,825],{"className":823,"code":824,"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",[28,826,824],{"__ignoreMap":30},[10,828,829],{},"结果完全取决于用的是哪条曲线，ShowMyTrades 两条都公布。",[39,831,832,847],{},[42,833,834],{},[45,835,836,838,841,844],{},[48,837,792],{},[48,839,840],{},"计算基础",[48,842,843],{},"是否计入持仓？",[48,845,846],{},"说明了什么",[58,848,849,864],{},[45,850,851,855,858,861],{},[63,852,853],{},[157,854,260],{},[63,856,857],{},"净值（余额 + 浮动盈亏）",[63,859,860],{},"是",[63,862,863],{},"账户在那一刻实际价值的真实跌幅",[45,865,866,870,873,876],{},[63,867,868],{},[157,869,263],{},[63,871,872],{},"仅已平仓余额",[63,874,875],{},"否",[63,877,878],{},"已实现结果的跌幅",[10,880,881,884],{},[123,882,263],{"href":883},"\u002Fglossary\u002Fwhat-is-drawdown-on-balance","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。",[10,886,887,888,213,891,894,895,898,899,903],{},"所以，一个账户显示",[157,889,890],{},"回撤 41%",[157,892,893],{},"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",[157,896,897],{},"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",[123,900,902],{"href":901},"\u002Fglossary\u002Fwhat-is-a-stop-loss","止损","的用处。",[14,905,130],{"id":130},[10,907,908],{},"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。",[39,910,911,921],{},[42,912,913],{},[45,914,915,918],{},[48,916,917],{},"最大回撤",[48,919,920],{},"回到原峰值所需涨幅",[58,922,923,930,938,946,954,962],{},[45,924,925,927],{},[63,926,109],{},[63,928,929],{},"11.1%",[45,931,932,935],{},[63,933,934],{},"20%",[63,936,937],{},"25.0%",[45,939,940,943],{},[63,941,942],{},"30%",[63,944,945],{},"42.9%",[45,947,948,951],{},[63,949,950],{},"50%",[63,952,953],{},"100.0%",[45,955,956,959],{},[63,957,958],{},"70%",[63,960,961],{},"233.3%",[45,963,964,967],{},[63,965,966],{},"90%",[63,968,969],{},"900.0%",[10,971,972],{},"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。",[10,974,975,976,978],{},"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",[123,977,148],{"href":147},"去跑，就意味着 60% 的回撤，而没有任何证据表明您扛得住。",[14,980,152],{"id":152},[10,982,983,984,986],{},"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 ",[157,985,170],{},"，但无论往高还是往低，分布都很散。",[10,988,989],{},[990,991],"img",{"alt":992,"src":993},"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",[10,995,996],{},"中位数 9.7%，尾部却比多数公开宣传估计的更长。",[10,998,999,1000,160,1003,1006],{},"在最差的一端，",[157,1001,1002],{},"17.6% 的账户曾比峰值低 50% 以上",[157,1004,1005],{},"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。",[10,1008,1009,1010,1013,1014,160,1016,1018,1019,1021,1022,1026,1027,1031],{},"最好的一端同样值得怀疑：",[157,1011,1012],{},"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 ",[157,1015,438],{},[123,1017,433],{"href":243},"中位数 ",[157,1020,254],{},"；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",[123,1023,1025],{"href":1024},"\u002Fguides\u002Fhow-much-history-a-track-record-needs","尾部需要足够长的历史来支撑","，所以这个数字只有在",[123,1028,1030],{"href":1029},"\u002Fglossary\u002Fwhat-is-a-verified-track-record","经验证的业绩记录","上才真正有分量。",[14,1033,196],{"id":195},[10,1035,677,1036,1038,1039,219,1041,1043,1044,1046],{},[157,1037,267],{},"面板里，",[157,1040,260],{},[157,1042,263],{},"紧挨着排在",[157,1045,271],{}," 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。",[10,1048,1049,1050,1052,1053,1056,1057,1061],{},"图表模块里有一个专门的",[157,1051,260],{},"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",[157,1054,1055],{},"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。",[123,1058,1060],{"href":1059},"\u002Ftools\u002Fdrawdown-calculator","回撤计算器","可以拿您自己的余额套用上面的回本表。",[14,1063,288],{"id":288},[201,1065,1066,1072,1078,1084],{},[204,1067,293,1068,1071],{},[157,1069,1070],{},"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。",[204,1073,293,1074,1077],{},[157,1075,1076],{},"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。",[204,1079,293,1080,1083],{},[157,1081,1082],{},"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。",[204,1085,293,1086,1089],{},[157,1087,1088],{},"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。",[10,1091,1092,1093,149],{},"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",[123,1094,1096],{"href":1095},"\u002Fguides\u002Freading-a-trading-account-dashboard","如何读懂交易账户控制台",{"title":30,"searchDepth":329,"depth":329,"links":1098},[1099,1100,1101,1102,1103],{"id":16,"depth":329,"text":16},{"id":130,"depth":329,"text":130},{"id":152,"depth":329,"text":152},{"id":195,"depth":329,"text":196},{"id":288,"depth":329,"text":288},"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",[559,345,1108,797],"what-is-a-verified-track-record",{"title":806,"description":1104},"zh\u002F5.glossary\u002Fwhat-is-maximum-drawdown","最大回撤 (Maximum Drawdown)","H1pMHY5DcM__vxubkgaLVDhrp8FNU0EbYexdvdzrV1o",{"id":1114,"title":1115,"body":1116,"category":336,"date":337,"description":1308,"draft":339,"extension":340,"meta":1309,"navigation":342,"path":1310,"related":1311,"seo":1314,"stem":1315,"term":1316,"updated":337,"__hash__":1317},"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":1117,"toc":1301},[1118,1124,1126,1129,1135,1138,1144,1150,1153,1173,1179,1182,1184,1187,1194,1196,1210,1213,1226,1228,1235,1261,1263,1294],[10,1119,1120,1121,1123],{},"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",[123,1122,260],{"href":370},"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。",[14,1125,16],{"id":16},[10,1127,1128],{},"分三步，按顺序来。",[21,1130,1133],{"className":1131,"code":1132,"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",[28,1134,1132],{"__ignoreMap":30},[10,1136,1137],{},"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：",[21,1139,1142],{"className":1140,"code":1141,"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",[28,1143,1141],{"__ignoreMap":30},[10,1145,1146,1147,1149],{},"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",[123,1148,902],{"href":901},"位置不能分开决定。",[10,1151,1152],{},"实践中最常用的有三种方法：",[201,1154,1155,1161,1167],{},[204,1156,1157,1160],{},[157,1158,1159],{},"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。",[204,1162,1163,1166],{},[157,1164,1165],{},"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。",[204,1168,1169,1172],{},[157,1170,1171],{},"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。",[10,1174,1175],{},[990,1176],{"alt":1177,"src":1178},"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",[10,1180,1181],{},"一个账户用的是哪一种，光看手数就能看出来。",[14,1183,130],{"id":130},[10,1185,1186],{},"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%。",[10,1188,1189,1193],{},[123,1190,1192],{"href":1191},"\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。",[14,1195,152],{"id":152},[10,1197,1198,1199,1202,1203,160,1206,1209],{},"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），",[157,1200,1201],{},"38.2%"," 曾",[123,1204,1205],{"href":409},"回撤超过 20%",[157,1207,1208],{},"17.6%"," 亏掉了峰值的一半以上。",[10,1211,1212],{},"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。",[10,1214,1215,1216,160,1218,1221,1222,1225],{},"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 ",[157,1217,458],{},[157,1219,1220],{},"53.9%"," 的账户自动化程度超过 90%，低于 10% 的则有 ",[157,1223,1224],{},"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。",[14,1227,196],{"id":195},[10,1229,1230,1234],{},[123,1231,1233],{"href":1232},"\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。",[10,1236,1237,1238,1240,1241,1244,1245,1247,1248,1251,1252,209,1254,1260],{},"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。",[157,1239,503],{},"有一列",[157,1242,1243],{},"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。",[157,1246,734],{},"提供",[157,1249,1250],{},"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。",[157,1253,208],{},[123,1255,1257],{"href":1256},"\u002Fguides\u002Ftrading-volume-analysis",[157,1258,1259],{},"总手数","给出汇总值；所有已发布账户累计交易了 1,724,575 手。",[14,1262,288],{"id":288},[201,1264,1265,1271,1282,1288],{},[204,1266,293,1267,1270],{},[157,1268,1269],{},"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。",[204,1272,293,1273,1276,1277,1281],{},[157,1274,1275],{},"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。",[123,1278,1280],{"href":1279},"\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。",[204,1283,293,1284,1287],{},[157,1285,1286],{},"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。",[204,1289,293,1290,1293],{},[157,1291,1292],{},"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。",[10,1295,1296,1297,149],{},"全套风险与仓位管理工具，以及各自适用的场景，请参阅",[123,1298,1300],{"href":1299},"\u002Fguides\u002Fforex-calculators-guide","外汇计算器指南",{"title":30,"searchDepth":329,"depth":329,"links":1302},[1303,1304,1305,1306,1307],{"id":16,"depth":329,"text":16},{"id":130,"depth":329,"text":130},{"id":152,"depth":329,"text":152},{"id":195,"depth":329,"text":196},{"id":288,"depth":329,"text":288},"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",[559,346,1312,1313],"what-is-a-stop-loss","what-is-leverage",{"title":1115,"description":1308},"zh\u002F5.glossary\u002Fwhat-is-position-sizing","仓位管理 (Position Sizing)","5hi2OmhGtFDhESyalituW-Nh51a9wIit5SKZxEMEQyk",[1319,1321],{"path":1320},"\u002Fglossary\u002Fwhat-is-risk-of-ruin",{"path":343},1793898064311]