实盘策略归因分析
GET
/research/strategies/{code}/live/analysis在线调试GET https://api.shengkezhi.com/open/v1/research/strategies/STS_60M_1I7G6TS4/live/analysis等效 curl
curl "https://api.shengkezhi.com/open/v1/research/strategies/STS_60M_1I7G6TS4/live/analysis" \ -H "Authorization: Bearer sk_xxx"
GET /research/strategies/{code}/live/analysis — 实盘策略归因分析。
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 |
|---|---|---|---|---|---|
code | path | string | 是 | - | 策略编号 |
响应 data
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
as_of | string | 是 | — |
live_cutoff | string | 是 | — |
persisted | LivePersistedAnalysis | 是 | — |
rebuilt | LiveRebuiltAnalysis | 是 | — |
source | string | 是 | — |
LivePersistedAnalysis 字段
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
dates | string[] | 是 | — |
total_returns | number[] | 是 | — |
nav | number[] | 是 | — |
drawdowns | object[] | 是 | — |
symbol_return_contributions | SymbolReturnContribution[] | 是 | — |
LiveRebuiltAnalysis 字段
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
status | string | 是 | — |
source | string | 是 | 数据来源：persisted = 直读 skz 落盘的 backtest_result.msgpack（零计算）； rebuilt = 后端用 weights + 行情重跑 WeightBacktest。两者区间口径不同， 且 persisted 下交易明细没有开仓/平仓价格，前端须据此决定展示。 |
error_code | integer | null | 否 | — |
sample_start | string | 是 | 本次分析实际覆盖的样本起止。persisted 取落盘自带的 start_date/end_date （由 skz 跑批窗口决定，与 live_cutoff 不是同一段）；rebuilt 取重建曲线首尾。 |
sample_end | string | 是 | — |
dates | string[] | 是 | — |
curves | object | 是 | — |
normalized_20 | object | 是 | — |
compare_metrics | object | 是 | — |
verdict | object | 是 | — |
trades | LiveTradeItem[] | 是 | — |
SymbolReturnContribution 字段
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
symbol | string | 是 | — |
return | number | 是 | — |
LiveTradeItem 字段
| 字段 | 类型 | 必填 | 说明 |
|---|---|---|---|
kline_key | string | 是 | — |
symbol | string | 是 | — |
交易方向 | string | 是 | — |
盈亏 | number | 是 | — |
开仓时间 | string | 是 | — |
平仓时间 | string | 是 | — |
开仓价格 | number | null | 否 | 开仓/平仓价格。仅 source="rebuilt" 时有值；直读落盘时为 null—— 落盘的 key_trades 不含价格列（那两列只在 wbt Rust 侧 key_trades_df 里）。 用 null 而非 0.0，避免前端把 0 当成真实成交价渲染。 |
平仓价格 | number | null | 否 | — |
持仓K线数 | integer | 是 | — |
持仓数量 | integer | 是 | — |
year | string | 是 | — |
kind | string | 是 | — |
inherited | boolean | 是 | — |
调用示例
curl -X GET "https://api.shengkezhi.com/open/v1/research/strategies/STS_60M_1I7G6TS4/live/analysis" \
-H "Authorization: Bearer sk_xxx"
{
"code": 0,
"msg": "ok",
"data": {
"source": "live",
"live_cutoff": "2023-01-01",
"as_of": "2026-08-21 00:00:00",
"persisted": {
"dates": [
"2025-01-17 00:00:00",
"2025-01-20 00:00:00"
],
"total_returns": [
0.0,
0.0
],
"nav": [
1.0,
1.0
],
"drawdowns": [
{
"净值回撤": -0.053701766650158564,
"回撤修复": "2026-01-29",
"回撤天数": 240,
"回撤开始": "2025-02-25",
"回撤结束": "2025-10-23",
"恢复天数": 98.0,
"新高间隔": 338.0
},
{
"净值回撤": -0.04480308005386943,
"回撤修复": null,
"回撤天数": 45,
"回撤开始": "2026-05-26",
"回撤结束": "2026-07-10",
"恢复天数": null,
"新高间隔": null
}
],
"symbol_return_contributions": [
{
"symbol": "000858.SZ",
"return": 0.008137571592867508
},
{
"symbol": "600519.SH",
"return": 0.12288198170679789
}
]
},
"rebuilt": {
"status": "ready",
"source": "persisted",
"error_code": null,
"sample_start": "2025-01-17",
"sample_end": "2026-08-21",
"dates": [
"2025-01-17 00:00:00",
"2025-01-20 00:00:00"
],
"curves": {
"基准": {
"cum": [
-0.0004946855654873739,
0.013467480661830011
],
"daily": [
-0.0004946855654873739,
0.013962166227317385
],
"drawdown": [
0.0,
0.0
]
},
"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": [
0.0004946855654873739,
-0.013467480661830011
],
"daily": [
0.0004946855654873739,
-0.013962166227317385
],
"drawdown": [
0.0,
-0.013962166227317385
]
}
},
"normalized_20": {
"基准": {
"cum": [
-0.0004922397477855171,
0.013400894925555969
],
"daily": [
-0.0004922397477855171,
0.013893134673341486
],
"drawdown": [
0.0,
0.0
]
},
"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
]
}
},
"compare_metrics": {
"基准": {
"下行波动率": 0.114,
"卡玛": -0.3928,
"回归年度回报率": -0.1868,
"回撤风险": 2.1348,
"夏普": -0.8383,
"年化": -0.1683,
"年化波动率": 0.2007,
"开始日期": "2025-01-17",
"新高占比": 0.0313,
"新高间隔": 348.0,
"日盈亏比": 1.063,
"日胜率": 0.4465,
"日赢面": -0.0789,
"最大回撤": 0.4285,
"盈亏平衡点": 1.0,
"结束日期": "2026-08-21",
"绝对收益": -0.2558,
"长度调整平均最大回撤": 0.2651,
"非零覆盖": 1.0
},
"多头": {
"下行波动率": 0.0504,
"交易次数": 6107,
"交易胜率": 0.3995,
"单笔收益": -0.37,
"单笔盈亏比": 1.494,
"卡玛比率": -0.0659,
"周胜率": 0.3253,
"品种数量": 2,
"夏普比率": -0.0807,
"多头占比": 0.452,
"季胜率": 0.5714,
"年化交易次数": 4018.18,
"年化收益": -0.0052,
"年化波动率": 0.0639,
"年胜率": 0.5,
"持仓K线数": 9.43,
"新高占比": 0.0339,
"新高间隔": 113.0,
"日胜率": 0.5718,
"最大回撤": 0.0789,
"月胜率": 0.5,
"空头占比": 0.0,
"绝对收益": -0.0078
},
"多空": {
"下行波动率": 0.0546,
"交易次数": 12772,
"交易胜率": 0.4452,
"单笔收益": 7.88,
"单笔盈亏比": 1.4146,
"卡玛比率": 0.6927,
"周胜率": 0.494,
"品种数量": 2,
"夏普比率": 0.4877,
"多头占比": 0.452,
"季胜率": 0.5714,
"年化交易次数": 8403.51,
"年化收益": 0.0372,
"年化波动率": 0.0762,
"年胜率": 0.5,
"开始日期": "2025-01-17",
"持仓K线数": 9.68,
"新高占比": 0.0601,
"新高间隔": 228.0,
"日胜率": 0.4909,
"最大回撤": 0.0537,
"月胜率": 0.45,
"空头占比": 0.537,
"结束日期": "2026-08-21",
"绝对收益": 0.0565
},
"空头": {
"下行波动率": 0.0444,
"交易次数": 6665,
"交易胜率": 0.487,
"单笔收益": 15.43,
"单笔盈亏比": 1.3528,
"卡玛比率": 0.9173,
"周胜率": 0.4578,
"品种数量": 2,
"夏普比率": 0.9125,
"多头占比": 0.0,
"季胜率": 0.7143,
"年化交易次数": 4385.33,
"年化收益": 0.0423,
"年化波动率": 0.0464,
"年胜率": 0.5,
"持仓K线数": 9.91,
"新高占比": 0.0653,
"新高间隔": 246.0,
"日胜率": 0.6736,
"最大回撤": 0.0461,
"月胜率": 0.55,
"空头占比": 0.537,
"绝对收益": 0.0643
},
"超额": {
"下行波动率": 0.1689,
"卡玛": 1.3007,
"回归年度回报率": 0.2424,
"回撤风险": 0.7845,
"夏普": 1.0208,
"年化": 0.2054,
"年化波动率": 0.2013,
"开始日期": "2025-01-17",
"新高占比": 0.094,
"新高间隔": 132.0,
"日盈亏比": 0.9517,
"日胜率": 0.5587,
"日赢面": 0.0904,
"最大回撤": 0.1579,
"盈亏平衡点": 0.9739,
"结束日期": "2026-08-21",
"绝对收益": 0.3123,
"长度调整平均最大回撤": 0.096,
"非零覆盖": 1.0
}
},
"verdict": {
"history": {
"alpha_degenerate": false,
"complete_year_count": 1,
"cond_history_dd_passed": true,
"cond_history_sharpe_passed": true,
"cond_yearly_passed": true,
"history_alpha_max_drawdown": 0.12768676093992037,
"history_alpha_sharpe": 0.9450535802775095,
"is_good": true,
"mode": "history",
"reason": "",
"yearly_metrics": [
{
"abs_return": -0.01830483381487667,
"alpha_max_drawdown": 0.12768676093992037,
"alpha_return": 0.0722260079749714,
"days": 232,
"is_complete_year": true,
"year": 2025,
"year_passed": true
},
{
"abs_return": 0.07480383457195736,
"alpha_max_drawdown": 0.0837726910725527,
"alpha_return": 0.1580795082598037,
"days": 151,
"is_complete_year": false,
"year": 2026,
"year_passed": false
}
]
},
"recent": null
},
"trades": [
{
"kline_key": "000858.SZ|2025-02-11 11:30:00|2025-02-13 10:30:00",
"symbol": "000858.SZ",
"交易方向": "空头",
"盈亏": -0.04165,
"开仓时间": "2025-02-11 11:30:00",
"平仓时间": "2025-02-13 10:30:00",
"开仓价格": null,
"平仓价格": null,
"持仓K线数": 8,
"持仓数量": 3,
"year": "2025",
"kind": "loss",
"inherited": false
},
{
"kline_key": "000858.SZ|2025-03-12 15:00:00|2025-03-14 11:30:00",
"symbol": "000858.SZ",
"交易方向": "空头",
"盈亏": -0.053922000000000005,
"开仓时间": "2025-03-12 15:00:00",
"平仓时间": "2025-03-14 11:30:00",
"开仓价格": null,
"平仓价格": null,
"持仓K线数": 7,
"持仓数量": 6,
"year": "2025",
"kind": "loss",
"inherited": false
}
]
}
}
}```