策略研究产出详情
GET
/research/experiments/{id}/strategies/{code}在线调试GET https://api.shengkezhi.com/open/v1/research/experiments/a79dfc93b7e64a6cbbe26f2a787a6bad/strategies/FTS_1D_0UCFSYXF等效 curl
curl "https://api.shengkezhi.com/open/v1/research/experiments/a79dfc93b7e64a6cbbe26f2a787a6bad/strategies/FTS_1D_0UCFSYXF" \ -H "Authorization: Bearer sk_xxx"
GET /research/experiments/{id}/strategies/{code} — 策略研究产出详情。
需在请求头携带 Authorization: Bearer sk_xxx。
请求参数
| 参数 | 位置 | 类型 | 必填 | 默认值 | 说明 |
|---|---|---|---|---|---|
id | path | string | 是 | - | 策略探索实验编号 |
code | path | string | 是 | - | 候选策略编号 |
响应 data
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
code | string | 是 | 策略编号（前缀_频率_内容哈希）。 |
factors | object | 是 | 策略内嵌的因子清单，含各因子源码定义。 |
metrics | object | 是 | 全量回测指标 map，键为中文指标名。 |
model | object | 是 | 建模配置对象，取自策略 toml 的 model_config。 |
nav | object | 是 | 累计净值曲线，含日期序列、净值序列、回撤序列与样本外分界点。 |
oos_start | string | 是 | 样本外起点日期，取自 problem 的「后置验证/样本外」段起始，归一为 YYYY-MM-DD。 |
report | object | 是 | 回测报告数据块，供前端逐块绘图（净值、回撤、月度、年度、收益分布、分时段对比等）。 |
segments | object | 是 | 分时段绩效对比（训练集各段与后置验证/样本外段）。 |
verdict | object | 是 | 回测结论。 |
调用示例
curl -X GET "https://api.shengkezhi.com/open/v1/research/experiments/a79dfc93b7e64a6cbbe26f2a787a6bad/strategies/FTS_1D_0UCFSYXF" \
-H "Authorization: Bearer sk_xxx"
{
"code": 0,
"msg": "ok",
"data": {
"code": "FTS_1D_0UCFSYXF",
"metrics": {
"下行波动率": 0.0214,
"交易次数": 333536,
"交易胜率": 0.565,
"单笔收益": 22.27,
"单笔盈亏比": 0.991,
"卡玛比率": 1.5642,
"周胜率": 0.5795,
"品种数量": 20,
"夏普比率": 1.5999,
"多头占比": 0.4887,
"季胜率": 0.7188,
"年化交易次数": 43302.97,
"年化收益": 0.0512,
"年化波动率": 0.032,
"年胜率": 0.75,
"开始日期": "2017-01-04",
"持仓K线数": 4.32,
"新高占比": 0.1283,
"新高间隔": 497.0,
"日胜率": 0.5513,
"最大回撤": 0.0327,
"月胜率": 0.6667,
"空头占比": 0.4957,
"结束日期": "2024-12-31",
"绝对收益": 0.3942
},
"verdict": {
"alpha_degenerate": false,
"complete_year_count": 8,
"cond_history_dd_passed": true,
"cond_history_sharpe_passed": true,
"cond_yearly_passed": true,
"history_alpha_max_drawdown": 0.24808602243789313,
"history_alpha_sharpe": 1.1962296317575214,
"is_good": true,
"mode": "history",
"reason": "",
"yearly_metrics": [
{
"abs_return": 0.04927480026285662,
"alpha_max_drawdown": 0.10495726818799696,
"alpha_return": 0.19436459813906945,
"days": 243,
"is_complete_year": true,
"year": 2017,
"year_passed": true
},
{
"abs_return": 0.04064282549552944,
"alpha_max_drawdown": 0.04911152318362276,
"alpha_return": 0.24717638960922092,
"days": 243,
"is_complete_year": true,
"year": 2018,
"year_passed": true
}
]
},
"report": {
"curves": {
"基准": {
"cum": [
0.008241854832648884,
0.005744522946436886
],
"daily": [
0.008241854832648884,
-0.002497331886211998
],
"drawdown": [
0.0,
-0.002497331886211998
]
},
"多头": {
"cum": [
0.0,
0.0
],
"daily": [
0.0,
0.0
],
"drawdown": [
0.0,
0.0
]
},
"多空": {
"cum": [
0.0,
0.0
],
"daily": [
0.0,
0.0
],
"drawdown": [
0.0,
0.0
]
},
"空头": {
"cum": [
0.0,
0.0
],
"daily": [
0.0,
0.0
],
"drawdown": [
0.0,
0.0
]
},
"超额": {
"cum": [
-0.008241854832648884,
-0.005744522946436886
],
"daily": [
-0.008241854832648884,
0.002497331886211998
],
"drawdown": [
0.0,
0.0
]
}
},
"dates": [
"2017-01-04T00:00:00",
"2017-01-05T00:00:00"
],
"drawdowns": [
{
"净值回撤": -0.03273194384421596,
"回撤修复": null,
"回撤天数": 542,
"回撤开始": "2022-12-13",
"回撤结束": "2024-06-07",
"恢复天数": null,
"新高间隔": null
},
{
"净值回撤": -0.032539381606973006,
"回撤修复": "2022-07-15",
"回撤天数": 40,
"回撤开始": "2022-02-10",
"回撤结束": "2022-03-22",
"恢复天数": 115.0,
"新高间隔": 155.0
}
],
"monthly": {
"month_win_rate": 0.6666666666666666,
"months": [
1,
2
],
"text": [
[
"-0.05%",
"0.73%"
],
[
"0.72%",
"0.45%"
]
],
"year_win_rate": 0.75,
"years": [
2017,
2018
],
"z": [
[
-0.0004799569296840354,
0.007269426128076879
],
[
0.007246017129414484,
0.00448950340670899
]
]
},
"return_dist": {
"mean_pct": 0.02030843853501718,
"std_pct": 0.20155838813747348,
"values_pct": [
0.0,
0.0
]
},
"rolling": {
"annual_return": [
0.0553,
0.0558
],
"annual_vol": [
0.0293,
0.0291
],
"edt": [
"2017-06-07T00:00:00",
"2017-06-08T00:00:00"
],
"sharpe": [
1.887,
1.9147
],
"window": 252
},
"segment_comparison": {
"全样本": {
"下行波动率": 0.0214,
"交易次数": 333536,
"交易胜率": 0.565,
"单笔收益": 22.27,
"单笔盈亏比": 0.991,
"卡玛比率": 1.5642,
"周胜率": 0.5795,
"品种数量": 20,
"夏普比率": 1.5999,
"多头占比": 0.4887,
"季胜率": 0.7188,
"年化交易次数": 43302.97,
"年化收益": 0.0512,
"年化波动率": 0.032,
"年胜率": 0.75,
"开始日期": "2017-01-04",
"持仓K线数": 4.32,
"新高占比": 0.1283,
"新高间隔": 497.0,
"日胜率": 0.5513,
"最大回撤": 0.0327,
"月胜率": 0.6667,
"空头占比": 0.4957,
"结束日期": "2024-12-31",
"绝对收益": 0.3942
},
"近1年": {
"下行波动率": 0.0167,
"交易次数": 43824,
"交易胜率": 0.5196,
"单笔收益": -5.25,
"单笔盈亏比": 0.8638,
"卡玛比率": -0.6185,
"周胜率": 0.463,
"品种数量": 20,
"夏普比率": -0.6779,
"多头占比": 0.503,
"季胜率": 0.2,
"年化交易次数": 43824.0,
"年化收益": -0.017,
"年化波动率": 0.025,
"年胜率": 0.0,
"开始日期": "2023-12-18",
"持仓K线数": 4.41,
"新高占比": 0.0079,
"新高间隔": 250.0,
"日胜率": 0.4841,
"最大回撤": 0.0275,
"月胜率": 0.4615,
"空头占比": 0.4875,
"结束日期": "2024-12-31",
"绝对收益": -0.017
}
},
"stats": {
"下行波动率": 0.0214,
"交易次数": 333536,
"交易胜率": 0.565,
"单笔收益": 22.27,
"单笔盈亏比": 0.991,
"卡玛比率": 1.5642,
"周胜率": 0.5795,
"品种数量": 20,
"夏普比率": 1.5999,
"多头占比": 0.4887,
"季胜率": 0.7188,
"年化交易次数": 43302.97,
"年化收益": 0.0512,
"年化波动率": 0.032,
"年胜率": 0.75,
"开始日期": "2017-01-04",
"持仓K线数": 4.32,
"新高占比": 0.1283,
"新高间隔": 497.0,
"日胜率": 0.5513,
"最大回撤": 0.0327,
"月胜率": 0.6667,
"空头占比": 0.4957,
"结束日期": "2024-12-31",
"绝对收益": 0.3942
},
"stats_by_side": {
"基准": {
"下行波动率": 0.0849,
"卡玛": 0.2697,
"回归年度回报率": 0.0818,
"回撤风险": 1.7307,
"夏普": 0.4669,
"年化": 0.0577,
"年化波动率": 0.1236,
"开始日期": "2017-01-04",
"新高占比": 0.0417,
"新高间隔": 631.0,
"日盈亏比": 0.986,
"日胜率": 0.5234,
"日赢面": 0.0395,
"最大回撤": 0.2139,
"盈亏平衡点": 0.9918,
"结束日期": "2024-12-31",
"绝对收益": 0.4444,
"长度调整平均最大回撤": 0.604,
"非零覆盖": 1.0
},
"多头": {
"下行波动率": 0.0188,
"交易次数": 168761,
"交易胜率": 0.5753,
"单笔收益": 28.55,
"单笔盈亏比": 1.0347,
"卡玛比率": 0.8986,
"周胜率": 0.5941,
"品种数量": 20,
"夏普比率": 1.3105,
"多头占比": 0.4887,
"季胜率": 0.6563,
"年化交易次数": 21910.24,
"年化收益": 0.0332,
"年化波动率": 0.0253,
"年胜率": 0.875,
"持仓K线数": 4.23,
"新高占比": 0.1082,
"新高间隔": 625.0,
"日胜率": 0.5492,
"最大回撤": 0.0369,
"月胜率": 0.6563,
"空头占比": 0.0,
"绝对收益": 0.2554
},
"空头": {
"下行波动率": 0.0188,
"交易次数": 164775,
"交易胜率": 0.5545,
"单笔收益": 15.84,
"单笔盈亏比": 0.9547,
"卡玛比率": 0.4408,
"周胜率": 0.511,
"品种数量": 20,
"夏普比率": 0.6471,
"多头占比": 0.0,
"季胜率": 0.5938,
"年化交易次数": 21392.74,
"年化收益": 0.018,
"年化波动率": 0.0278,
"年胜率": 0.875,
"持仓K线数": 4.41,
"新高占比": 0.035,
"新高间隔": 660.0,
"日胜率": 0.5173,
"最大回撤": 0.0408,
"月胜率": 0.5417,
"空头占比": 0.4957,
"绝对收益": 0.1388
},
"超额": {
"下行波动率": 0.0831,
"卡玛": -0.0133,
"回归年度回报率": -0.0179,
"回撤风险": 3.7897,
"夏普": -0.0506,
"年化": -0.0065,
"年化波动率": 0.129,
"开始日期": "2017-01-04",
"新高占比": 0.0118,
"新高间隔": 1153.0,
"日盈亏比": 1.0686,
"日胜率": 0.4812,
"日赢面": -0.0046,
"最大回撤": 0.4889,
"盈亏平衡点": 1.0,
"结束日期": "2024-12-31",
"绝对收益": -0.0502,
"长度调整平均最大回撤": 0.5627,
"非零覆盖": 1.0
}
},
"symbol_returns": {
"symbols": [
"B999.DCE",
"SA999.ZCE"
],
"values": [
-0.1728486636869385,
-0.04250406993417352
]
},
"verdict": {
"alpha_degenerate": false,
"complete_year_count": 8,
"cond_history_dd_passed": true,
"cond_history_sharpe_passed": true,
"cond_yearly_passed": true,
"history_alpha_max_drawdown": 0.24808602243789313,
"history_alpha_sharpe": 1.1962296317575214,
"is_good": true,
"mode": "history",
"reason": "",
"yearly_metrics": [
{
"abs_return": 0.04927480026285662,
"alpha_max_drawdown": 0.10495726818799696,
"alpha_return": 0.19436459813906945,
"days": 243,
"is_complete_year": true,
"year": 2017,
"year_passed": true
},
{
"abs_return": 0.04064282549552944,
"alpha_max_drawdown": 0.04911152318362276,
"alpha_return": 0.24717638960922092,
"days": 243,
"is_complete_year": true,
"year": 2018,
"year_passed": true
}
]
},
"yearly_returns": {
"abs_returns": [
0.04927480026285662,
0.04064282549552944
],
"alpha_returns": [
0.19436459813906945,
0.24717638960922092
],
"years": [
2017,
2018
]
}
},
"nav": {
"dates": [
"2017-01-04",
"2017-01-05"
],
"drawdown": [
0.0,
0.0
],
"nav": [
1.0,
1.0
],
"oos_start": "2023-01-01"
},
"segments": {
"items": [
{
"is_live": false,
"segment_name": "全样本",
"下行波动率": 0.0214,
"交易次数": 333536,
"交易胜率": 0.565,
"单笔收益": 22.27,
"单笔盈亏比": 0.991,
"卡玛比率": 1.5642,
"周胜率": 0.5795,
"品种数量": 20,
"夏普比率": 1.5999,
"多头占比": 0.4887,
"季胜率": 0.7188,
"年化交易次数": 43302.97,
"年化收益": 0.0512,
"年化波动率": 0.032,
"年胜率": 0.75,
"开始日期": "2017-01-04",
"持仓K线数": 4.32,
"新高占比": 0.1283,
"新高间隔": 497.0,
"日胜率": 0.5513,
"最大回撤": 0.0327,
"月胜率": 0.6667,
"空头占比": 0.4957,
"结束日期": "2024-12-31",
"绝对收益": 0.3942
},
{
"is_live": false,
"segment_name": "近1年",
"下行波动率": 0.0167,
"交易次数": 43824,
"交易胜率": 0.5196,
"单笔收益": -5.25,
"单笔盈亏比": 0.8638,
"卡玛比率": -0.6185,
"周胜率": 0.463,
"品种数量": 20,
"夏普比率": -0.6779,
"多头占比": 0.503,
"季胜率": 0.2,
"年化交易次数": 43824.0,
"年化收益": -0.017,
"年化波动率": 0.025,
"年胜率": 0.0,
"开始日期": "2023-12-18",
"持仓K线数": 4.41,
"新高占比": 0.0079,
"新高间隔": 250.0,
"日胜率": 0.4841,
"最大回撤": 0.0275,
"月胜率": 0.4615,
"空头占比": 0.4875,
"结束日期": "2024-12-31",
"绝对收益": -0.017
}
]
},
"oos_start": "2023-01-01",
"factors": [
{
"compute_engine": "TSA",
"create_time": {
"$__toml_private_datetime": "2026-08-09T22:18:24.101125"
},
"creator": "SKZ_ExampleModel",
"description": "ATR百分比偏离方向乘以价格5日符号，得到带方向regime分数；仅涨不跌事件对称性失效",
"factor_code": "\natr = TSAtr($high, $low, $close, 14)\natr_pct = Mul(Div(atr, Add($close, 1e-6)), 100.0)\natr_ma = Mean(atr_pct, 20)\nDir = Sign(Sub($close, Ref($close, 5)))\nMul(Div(Sub(atr_pct, atr_ma), Add(atr_ma, 1e-6)), Dir)\n",
"factor_name": "TSA_260809_LJV0H6OH",
"is_deleted": false,
"route": "08c61c074b15"
},
{
"compute_engine": "TSA",
"create_time": {
"$__toml_private_datetime": "2026-08-10T00:44:58.66989"
},
"creator": "SKZ_ExampleModel",
"description": "ATR百分比regime×价格对成交Beta方向，regime×量价弹性方向；低成交beta失真失效",
"factor_code": "\natr = TSAtr($high, $low, $close, 14)\natrp = Mul(Div(atr, Add($close, 1e-6)), 100.0)\nb = TSBeta($close, $vol, 14)\nMul(Div(Sub(atrp, Mean(atrp, 20)), 2.0), Sign(b))\n",
"factor_name": "TSA_260810_BKXTS9GN",
"is_deleted": false,
"route": "08c61c074b15"
},
{
"compute_engine": "TSA",
"create_time": {
"$__toml_private_datetime": "2026-08-10T03:40:59.329037"
},
"creator": "SKZ_ExampleModel",
"description": "价格Z与ATR百分比Z比，标准化偏离比例；分母保护失效",
"factor_code": "\natrp = Div(TSAtr($high,$low,$close,14), Add($close, 1e-6))\nDiv(TSZScore($close, 20), Add(TSZScore(atrp, 20), 1e-6))\n",
"factor_name": "TSA_260810_CGPQA8K5",
"is_deleted": false,
"route": "08c61c074b15"
}
],
"model": {
"kwargs": {},
"model": "MA001",
"name": "MA001"
}
}
}```