ATR波动突破 (XRP)
Officialv1CoinQuant: close上破EMA20+1.5×ATR(14)通道做多,跌破EMA20出场. 源(BTC 1d):+3400%,173笔,胜率28.3% | 我方: 2024-07-01→2026-06-02, 现实成本(6bp费+5bp滑) CAGR 262.8% 总收益/702根K线, 10笔, 胜率40.0%, 最大回撤24.5%
Published 2026-08-30 00:22:47#breakout#xrpusdt
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10Quant 官方官方甄选策略 · 经过 1:1 文献复现与真实成本回测验证
Backtest snapshot
Strategy performance
| Net PnL | $26,283.32 |
|---|---|
| Return | 262.83% |
| CAGR | 95.63% |
| Max drawdown | 24.5% |
| Sharpe | 1.61 |
| Profit factor | 5.65 |
| Trade freq (/day) | 0.01 |
| Win rate | 40% |
|---|---|
| Avg hold | 14.6d |
| Avg margin/trade | $10,005.00 |
| Initial equity | $10,000.00 |
| Total fees | $135.91 |
| Final equity | $36,283.32 |
Backtest parameters
| Symbol / timeframe | XRPUSDT · 1d |
|---|---|
| Bars | 722 |
| Window | 2024-07-01 ~ 2026-06-02 |
| Leverage | 1× |
| Cost model | Fee 6bp · Slippage 5bp |
Spec summary
| Universe | binanceXRPUSDT1dLong |
|---|---|
| Entry | current close crosses above Keltner Channel(14,1.5,20)·Upper |
| Exit | current close crosses below Keltner Channel(14,1.5,20)·Middle |
| Position | Order margin 10000 USDT · leverage 1× Stop-loss Not set |
The strategy logic is fully open — anyone can read the complete rules and clone them.