USTC 4061 实盘 vs 严格回测 — 新策略上线对照
窗口 2026-06-08 → 07-13 · 仅统计 6/8–7/10 开仓（6/8 前遗留仓位、7/13 在途 4 仓均剔除；7/10 周五仓位按周一开盘平仓规则 7/13 已全部闭合 → 两边完全同构可比）· MU 单列 · 生成于 2026-07-14（上期 asof=07-02 版存档于 asof0702_archive/）
策略 bigopen_v9_10factor (V9.1 8f + rv3d + dvol gating)
同资金 $223,791 (6/5 收盘 NAV)
同信号源 asof=07-13 全量重建
min_score 6 · 1x · SPY MA20 guard
实盘 (剔MU)
+1.34%
77 笔全平（剔MU后 70）
严格回测 (剔MU)
+1.19%
93 笔全平（剔MU后 86）
差 (剔MU)
+0.15pp
漏单净效应 + 仓位规模差
差 (含MU)
-0.46pp
实盘 +0.08% vs 回测 +0.54%
SPY 同期
+1.58%
基线 6/5 收盘
一句话结论：全部 77 笔实盘与 93 笔回测仓位在 7/13 开盘前全部平仓，无任何在途失真：
含 MU 口径实盘 +0.08% vs 回测 +0.54%，差 -0.46pp；剔 MU 口径 +1.34% vs +1.19%，差 +0.15pp。
执行环节（64 笔匹配）入场价差中位数 +0.0bp、单笔收益差 +0.04pp，滑点近乎为零；实盘胜率 55% vs 回测 52%。SPY 同期 +1.58%。
上期遗留问题复核 — 7/1 在途 5 笔已闭合，缺口如期收敛 ✓
上期报告（asof=07-02）期末剔MU差 -2.97pp，我们当时的判断是：缺口几乎全部来自
7/1 开的 5 笔在途仓 7/2 浮亏（曲线口径 −$6,084），"7/6 平仓后可复核"。本期把这 5 笔闭合后重算：
实盘最终实现 -3,153（较 7/2 浮亏回收 +2,931），回测同批 7/1 笔 -4,983，
全窗口剔MU差收敛到 +0.15pp —— 上期判断兑现：缺口是窗口截断的暂时失真，不是策略执行问题。
（上期已平仓口径差 -0.25pp，与本期全闭合口径一致。）
| Ticker | 入场 (7/1) | 实盘最终PnL | 实盘% | 回测PnL (asof0713) | 回测% |
|---|---|---|---|---|---|
| ON | 07/01 09:49 | -605 | -1.75 | -554 | -2.04 |
| AMD | 07/01 09:53 | -1,643 | -4.80 | -1,401 | -4.70 |
| RIOT | 07/01 11:43 | -1,148 | -7.65 | -1,560 | -8.12 |
| GEV | 07/01 14:00 | -10 | -0.03 | -33 | -0.11 |
| CAG | 07/01 15:46 | +253 | +0.74 | +91 | +0.50 |
净值曲线（仅 6/8–7/10 仓位损益）
周度分解（剔MU）
7/2 时点（含 7/1 笔的新口径）剔MU差为 +0.50pp；期末 +0.15pp。
| 周 (周一) | 交易日 | 实盘剔MU pp | 回测剔MU pp | 差 pp | SPY pp |
|---|---|---|---|---|---|
| 06/08周 | 5 | +1.43 | +2.17 | -0.74 | +0.57 |
| 06/15周 | 4 | -0.41 | -0.11 | -0.31 | +0.68 |
| 06/22周 | 5 | +1.62 | -0.47 | +2.09 | -2.41 |
| 06/29周 | 4 | -3.97 | -3.42 | -0.55 | +2.14 |
| 07/06周 | 5 | +3.93 | +3.66 | +0.27 | +1.38 |
| 07/13周 | 1 | -1.26 | -0.64 | -0.62 | -0.78 |
期末差距归因（剔MU，合计 +0.15pp = +336）
| 分项 | $ | pp | 说明 |
|---|---|---|---|
| 匹配笔 PnL 差（59 笔剔MU, 实盘−回测） | -38 | -0.02 | 实盘 +998 vs 回测 +1,035（含仓位规模差） |
| 仅实盘 11 笔（剔MU） | +1,992 | +0.89 | 回测未成交、实盘做了的 |
| 仅回测 27 笔（剔MU） | -1,618 | -0.72 | 回测赚/亏而实盘漏掉的反号计入 |
实盘信号覆盖率（漏单趋势）
6 月覆盖率 71% → 7 月 62%。覆盖率 = 回测每周开仓中实盘同日同票捕获的比例。
| 周 (周一) | 回测笔数 | 实盘捕获 | 覆盖率% |
|---|---|---|---|
| 06/08周 | 17 | 13 | 76 |
| 06/15周 | 16 | 11 | 69 |
| 06/22周 | 21 | 13 | 62 |
| 06/29周 | 15 | 12 | 80 |
| 07/06周 | 24 | 15 | 62 |
分数带表现（live vs bt，全窗口）
实盘按 signal_snapshot 评分、回测按 signal_table 评分分带（8 及以上合并为 8+），两侧口径独立。
| 评分 | 实盘笔数 | 实盘胜率% | 实盘PnL | 回测笔数 | 回测胜率% | 回测PnL |
|---|---|---|---|---|---|---|
| 6 | 50 | 48 | -3,407 | 57 | 40 | -13,665 |
| 7 | 24 | 67 | +1,652 | 26 | 65 | +9,815 |
| 8+ | 2 | 100 | +2,327 | 10 | 80 | +5,053 |
MU 明细（主口径双边剔除）
| 侧 | 入场 | 股数 | 入场价 | 出场 | PnL | 备注 |
|---|---|---|---|---|---|---|
| 实盘 | 06/10 15:36 | 18 | 899.46 | 06/12 max_hold | +1,555 (+9.61%) | 与回测同日 → 算法单特征 |
| 实盘 | 06/17 10:47 | 11 | 1,031.33 | 06/22 max_hold | +1,817 (+16.02%) | 回测当日无 MU 入选（6月手动episode） |
| 实盘 | 06/23 09:50 | 26 | 1,183.37 | 06/24 stop_loss | -4,618 (-15.01%) | 回测当日无 MU 入选（6月手动episode） |
| 实盘 | 07/06 09:59 | 34 | 994.64 | 07/08 max_hold | -1,265 (-3.74%) | 与回测同日 → 算法单特征 |
| 实盘 | 07/07 10:25 | 12 | 901.89 | 07/09 max_hold | +1,324 (+12.24%) | 与回测同日 → 算法单特征 |
| 实盘 | 07/08 09:55 | 1 | 946.45 | 07/10 max_hold | +24 (+2.52%) | 与回测同日 → 算法单特征 |
| 实盘 | 07/10 10:09 | 34 | 978.45 | 07/13 max_hold | -1,647 (-4.95%) | 与回测同日 → 算法单特征 |
| 回测 | 06/10 15:35 | 13 | 899.55 | 06/12 max_holding | +1,090 (+9.34%) | |
| 回测 | 06/22 09:50 | 16 | 1,181.99 | 06/24 max_holding | -1,998 (-10.55%) | 实盘同日未成交 |
| 回测 | 06/25 09:35 | 7 | 1,251.79 | 06/29 max_holding | -872 (-9.93%) | 实盘同日未成交 |
| 回测 | 07/06 09:59 | 29 | 994.06 | 07/08 max_holding | -1,164 (-4.03%) | |
| 回测 | 07/07 10:25 | 16 | 902.84 | 07/09 max_holding | +1,726 (+11.96%) | |
| 回测 | 07/08 09:55 | 1 | 946.27 | 07/10 max_holding | +22 (+2.48%) | |
| 回测 | 07/10 10:08 | 5 | 978.47 | 07/13 max_holding | -254 (-5.15%) |
MU 合计: 实盘 -2,809 vs 回测 -1,451。6 月中旬 MU 有手动操作（上期结论），故整票双边剔除的主口径沿用；7 月起 MU 各笔与回测同日出现、按 max_hold 正常平仓，已回归算法单特征。
匹配 64 笔逐笔对照（按入场日）
入场价差 mean +0.2bp / median +0.0bp（|max| 179bp 为 GDS 2026-06-08）；单笔收益率差 mean +0.04pp；出场理由一致。
| Ticker | 入场日 | 实盘时间 | 回测时间 | 入场价差bp | 实盘仓位$ | 回测仓位$ | 实盘PnL | 回测PnL | 实盘% | 回测% | 差pp |
|---|---|---|---|---|---|---|---|---|---|---|---|
| COIN | 2026-06-08 | 10:29 | 10:29 | +9.6 | 17,107 | 26,834 | -116 | -203 | -0.68 | -0.75 | +0.07 |
| CPNG | 2026-06-08 | 14:35 | 14:35 | +19.7 | 18,925 | 29,527 | +472 | +756 | +2.49 | +2.63 | -0.13 |
| GDS | 2026-06-08 | 11:16 | 10:33 | +179.1 | 17,509 | 32,218 | -390 | +302 | -2.23 | +0.97 | -3.20 |
| PSKY | 2026-06-08 | 13:01 | 13:01 | +0.0 | 18,846 | 29,537 | +326 | +438 | +1.73 | +1.58 | +0.15 |
| RUN | 2026-06-08 | 13:51 | 13:51 | -3.6 | 17,152 | 26,848 | -2,253 | -3,590 | -13.13 | -13.30 | +0.17 |
| SYNA | 2026-06-08 | 15:12 | 15:11 | -6.7 | 17,156 | 25,885 | -771 | -1,096 | -4.49 | -4.22 | -0.27 |
| DKNG | 2026-06-10 | 15:26 | 15:26 | -22.4 | 16,883 | 13,213 | +251 | +146 | +1.49 | +1.14 | +0.35 |
| HL | 2026-06-10 | 14:48 | 14:47 | +11.6 | 18,633 | 14,488 | +1,559 | +1,205 | +8.37 | +8.39 | -0.02 |
| MU | 2026-06-10 | 15:36 | 15:35 | -1.1 | 16,190 | 11,694 | +1,555 | +1,090 | +9.61 | +9.34 | +0.27 |
| TGB | 2026-06-10 | 14:55 | 14:55 | -43.3 | 16,949 | 13,283 | +2,374 | +1,756 | +14.01 | +13.37 | +0.63 |
| UMC | 2026-06-11 | 09:39 | 09:39 | +3.6 | 18,846 | 13,213 | +2,280 | +1,649 | +12.10 | +12.53 | -0.43 |
| GT | 2026-06-12 | 15:10 | 15:09 | +133.2 | 17,531 | 9,572 | +29 | +175 | +0.17 | +1.98 | -1.82 |
| WULF | 2026-06-12 | 15:20 | 15:20 | +1.9 | 19,293 | 10,505 | +886 | +452 | +4.59 | +4.34 | +0.25 |
| ASML | 2026-06-15 | 09:58 | 09:57 | +1.1 | 34,082 | 18,932 | -154 | -107 | -0.45 | -0.56 | +0.10 |
| POET | 2026-06-15 | 11:28 | 11:27 | +86.2 | 35,429 | 19,957 | -3,772 | -1,987 | -10.65 | -9.89 | -0.76 |
| TGB | 2026-06-15 | 11:16 | 11:16 | -28.8 | 35,371 | 21,962 | +652 | +315 | +1.84 | +1.56 | +0.28 |
| SMCI | 2026-06-16 | 09:49 | 09:49 | +0.0 | 35,416 | 23,651 | -967 | -677 | -2.73 | -2.83 | +0.10 |
| BHVN | 2026-06-17 | 10:09 | 10:09 | +21.6 | 34,665 | 25,605 | +1,791 | +1,335 | +5.17 | +5.29 | -0.12 |
| CPNG | 2026-06-17 | 10:24 | 10:24 | +7.8 | 34,890 | 27,933 | -2,367 | -1,899 | -6.79 | -6.75 | -0.04 |
| MPWR | 2026-06-17 | 10:33 | 10:33 | +13.4 | 33,372 | 22,724 | +1,667 | +1,142 | +4.99 | +5.03 | -0.04 |
| VG | 2026-06-17 | 11:33 | 11:33 | +13.6 | 34,884 | 25,428 | +47 | +20 | +0.14 | +0.17 | -0.04 |
| WDC | 2026-06-17 | 11:49 | 11:49 | -25.2 | 34,782 | 22,520 | +2,222 | +1,410 | +6.39 | +6.27 | +0.12 |
| MARA | 2026-06-18 | 10:06 | 10:06 | -8.9 | 35,025 | 23,394 | +1,413 | +865 | +4.04 | +3.77 | +0.27 |
| TNGX | 2026-06-18 | 10:20 | 10:20 | +0.0 | 13,398 | 21,280 | -473 | -513 | -3.53 | -2.38 | -1.15 |
| ALKS | 2026-06-22 | 15:36 | 15:36 | -17.8 | 31,847 | 19,934 | +2,864 | +1,787 | +8.99 | +8.99 | +0.00 |
| AMAT | 2026-06-22 | 15:07 | 15:07 | +6.0 | 31,686 | 19,869 | -2,558 | -1,620 | -8.07 | -8.14 | +0.07 |
| GDS | 2026-06-22 | 09:50 | 09:50 | -83.5 | 34,748 | 19,920 | +632 | +104 | +1.82 | +0.55 | +1.27 |
| RBLX | 2026-06-22 | 14:22 | 14:21 | +1.4 | 31,833 | 19,928 | +1,448 | +883 | +4.55 | +4.45 | +0.10 |
| UMC | 2026-06-22 | 09:37 | 09:37 | +17.2 | 15,825 | 19,935 | -479 | -619 | -3.03 | -3.07 | +0.04 |
| WDC | 2026-06-24 | 15:32 | 15:32 | -35.6 | 15,496 | 10,575 | -827 | -606 | -5.34 | -5.71 | +0.37 |
| ASML | 2026-06-25 | 09:36 | 09:36 | -2.2 | 12,862 | 9,189 | -266 | -206 | -2.07 | -2.22 | +0.15 |
| RARE | 2026-06-25 | 15:05 | 15:04 | +3.4 | 14,147 | 9,750 | +715 | +483 | +5.05 | +4.99 | +0.07 |
| SMCI | 2026-06-25 | 12:24 | 12:23 | -3.1 | 14,225 | 517 | -603 | -24 | -4.24 | -4.24 | +0.00 |
| WDC | 2026-06-25 | 10:10 | 10:10 | +11.6 | 14,116 | 7,386 | -1,504 | -788 | -10.66 | -10.65 | -0.01 |
| CLF | 2026-06-26 | 15:46 | 15:46 | +7.3 | 16,656 | 11,646 | +47 | +88 | +0.28 | +0.86 | -0.58 |
| ERAS | 2026-06-26 | 09:40 | 09:40 | +11.4 | 15,371 | 10,744 | +476 | +327 | +3.09 | +3.11 | -0.02 |
| STX | 2026-06-26 | 15:54 | 15:54 | -64.2 | 13,377 | 8,975 | +363 | +173 | +2.71 | +1.95 | +0.76 |
| RUN | 2026-06-29 | 14:59 | 14:59 | +0.0 | 15,550 | 11,285 | +34 | -3 | +0.22 | +0.05 | +0.17 |
| STX | 2026-06-29 | 15:57 | 15:57 | +15.5 | 16,485 | 10,651 | -958 | -605 | -5.81 | -5.66 | -0.15 |
| UUUU | 2026-06-29 | 15:23 | 15:23 | -6.9 | 15,565 | 11,275 | -224 | -186 | -1.44 | -1.58 | +0.14 |
| WULF | 2026-06-29 | 15:27 | 15:27 | -9.8 | 15,558 | 11,284 | -1,269 | -943 | -8.16 | -8.32 | +0.17 |
| MOS | 2026-06-30 | 09:37 | 09:37 | -22.3 | 19,214 | 16,545 | +193 | +143 | +1.00 | +0.91 | +0.09 |
| RIVN | 2026-06-30 | 12:40 | 12:40 | +4.2 | 17,492 | 18,054 | +1,441 | +1,529 | +8.24 | +8.53 | -0.29 |
| WULF | 2026-06-30 | 15:44 | 15:44 | -10.5 | 17,356 | 3,743 | -2,608 | -567 | -15.02 | -15.09 | +0.07 |
| AMD | 2026-07-01 | 09:53 | 09:53 | +5.1 | 34,250 | 29,743 | -1,643 | -1,401 | -4.80 | -4.70 | -0.09 |
| CAG | 2026-07-01 | 15:46 | 15:45 | +0.0 | 34,363 | 21,424 | +253 | +91 | +0.74 | +0.50 | +0.24 |
| GEV | 2026-07-01 | 14:00 | 14:00 | +2.7 | 31,945 | 29,655 | -10 | -33 | -0.03 | -0.11 | +0.07 |
| ON | 2026-07-01 | 09:49 | 09:49 | -19.7 | 34,650 | 27,035 | -605 | -554 | -1.75 | -2.04 | +0.29 |
| RIOT | 2026-07-01 | 11:43 | 11:43 | +2.9 | 15,008 | 19,121 | -1,148 | -1,560 | -7.65 | -8.12 | +0.47 |
| DVN | 2026-07-06 | 10:48 | 10:48 | +6.1 | 34,170 | 29,115 | +2,474 | +2,081 | +7.24 | +7.17 | +0.07 |
| MU | 2026-07-06 | 09:59 | 09:59 | +5.8 | 33,818 | 28,828 | -1,265 | -1,164 | -3.74 | -4.03 | +0.29 |
| FLR | 2026-07-07 | 10:49 | 10:49 | -34.1 | 33,703 | 16,375 | +1,245 | +570 | +3.69 | +3.50 | +0.19 |
| MU | 2026-07-07 | 10:25 | 10:25 | -10.4 | 10,823 | 14,445 | +1,324 | +1,726 | +12.24 | +11.96 | +0.28 |
| AMD | 2026-07-08 | 10:32 | 10:32 | +19.7 | 9,794 | 24,179 | +657 | +1,319 | +6.70 | +5.46 | +1.24 |
| FPS | 2026-07-08 | 10:02 | 10:02 | +3.4 | 34,747 | 29,045 | -656 | -617 | -1.89 | -2.10 | +0.22 |
| MU | 2026-07-08 | 09:55 | 09:55 | +1.8 | 946 | 946 | +24 | +22 | +2.52 | +2.48 | +0.03 |
| RUN | 2026-07-08 | 12:45 | 12:45 | -15.6 | 2,665 | 29,050 | +229 | +2,379 | +8.61 | +8.28 | +0.33 |
| TDAY | 2026-07-08 | 11:31 | 11:31 | -90.7 | 34,014 | 29,164 | -519 | -692 | -1.52 | -2.26 | +0.73 |
| FLG | 2026-07-09 | 15:27 | 15:27 | -1.9 | 35,373 | 7,262 | +942 | +180 | +2.66 | +2.54 | +0.12 |
| INTC | 2026-07-09 | 15:07 | 15:07 | -2.0 | 35,259 | 26,590 | -2,137 | -1,607 | -6.06 | -6.03 | -0.03 |
| MAT | 2026-07-09 | 14:00 | 14:00 | -34.3 | 35,485 | 26,640 | +1,100 | +684 | +3.10 | +2.64 | +0.46 |
| AMAT | 2026-07-10 | 12:40 | 12:40 | -2.7 | 10,249 | 18,694 | -350 | -672 | -3.42 | -3.58 | +0.17 |
| META | 2026-07-10 | 12:03 | 12:02 | -7.5 | 34,833 | 26,144 | -454 | -379 | -1.30 | -1.44 | +0.14 |
| MU | 2026-07-10 | 10:09 | 10:08 | -0.3 | 33,267 | 4,892 | -1,647 | -254 | -4.95 | -5.15 | +0.20 |
仅实盘 13 笔（回测未成交）
| Ticker | 入场 | 股数 | 入场价 | 评分 | 状态 | 平仓原因 | PnL | % |
|---|---|---|---|---|---|---|---|---|
| SRAD | 06/09 11:58 | 339 | 16.28 | 6 | closed | max_hold | +227 | +4.12 |
| FCX | 06/10 10:04 | 46 | 63.94 | 6 | closed | max_hold | +195 | +6.62 |
| HPP | 06/10 12:03 | 199 | 15.34 | 6 | closed | max_hold | -2 | -0.08 |
| ASML | 06/11 12:20 | 3 | 1,827.83 | 7 | closed | max_hold | +202 | +3.68 |
| CCJ | 06/12 10:05 | 5 | 101.60 | 6 | closed | max_hold | +17 | +3.36 |
| TGB | 06/12 13:17 | 2156 | 7.47 | 6 | closed | max_hold | +842 | +5.23 |
| MU | 06/17 10:47 | 11 | 1,031.33 | 6 | closed | max_hold | +1,817 | +16.02 |
| MU | 06/23 09:50 | 26 | 1,183.37 | 6 | closed | stop_loss | -4,618 | -15.01 |
| PURR | 07/07 10:42 | 4160 | 8.10 | 6 | closed | max_hold | -854 | -2.54 |
| SSTK | 07/07 14:46 | 379 | 8.77 | 7 | closed | max_hold | +9 | +0.27 |
| WULF | 07/07 13:47 | 1657 | 20.66 | 6 | closed | max_hold | +5,708 | +16.67 |
| BTDR | 07/09 15:24 | 2433 | 14.55 | 6 | closed | max_hold | -4,177 | -11.80 |
| VSH | 07/10 14:52 | 73 | 44.38 | 6 | closed | max_hold | -174 | -5.36 |
仅回测 29 笔（实盘漏单）
| Ticker | 入场 | 股数 | 入场价 | 评分 | 仓位$ | 平仓原因 | PnL | % |
|---|---|---|---|---|---|---|---|---|
| KLAC | 06/11 09:41 | 49 | 224.80 | 6 | 11,015 | max_holding | +1,886 | +17.14 |
| LITE | 06/11 09:54 | 15 | 876.02 | 8 | 13,140 | max_holding | +1,334 | +10.16 |
| MARA | 06/11 11:40 | 615 | 13.05 | 7 | 8,026 | max_holding | +1,132 | +14.18 |
| SW | 06/11 11:13 | 311 | 38.96 | 7 | 12,117 | max_holding | +1,763 | +14.57 |
| FISV | 06/16 13:50 | 434 | 49.46 | 6 | 21,466 | max_holding | -657 | -3.04 |
| STX | 06/17 10:17 | 21 | 1,074.50 | 6 | 22,564 | max_holding | +280 | +1.25 |
| VSAT | 06/17 15:52 | 41 | 64.74 | 6 | 2,654 | max_holding | -48 | -1.75 |
| MPWR | 06/18 11:31 | 9 | 1,543.72 | 8 | 13,894 | max_holding | +425 | +3.07 |
| QXO | 06/18 14:14 | 1232 | 17.75 | 8 | 21,874 | max_holding | -250 | -1.09 |
| BKV | 06/22 15:35 | 773 | 25.78 | 6 | 19,928 | max_holding | -375 | -1.84 |
| BMNR | 06/22 09:59 | 1166 | 17.09 | 6 | 19,927 | max_holding | -2,671 | -13.35 |
| MU | 06/22 09:50 | 16 | 1,181.99 | 6 | 18,912 | max_holding | -1,998 | -10.55 |
| AAL | 06/24 10:05 | 696 | 16.79 | 9 | 11,682 | max_holding | +670 | +5.80 |
| BBWI | 06/24 11:41 | 83 | 21.54 | 6 | 1,788 | max_holding | +104 | +5.93 |
| ONDS | 06/24 11:08 | 1220 | 7.99 | 6 | 9,748 | max_holding | -302 | -2.98 |
| POET | 06/24 09:57 | 967 | 11.21 | 7 | 10,844 | max_holding | -1,382 | -12.66 |
| MU | 06/25 09:35 | 7 | 1,251.79 | 6 | 8,762 | max_holding | -872 | -9.93 |
| COCO | 06/30 15:13 | 222 | 67.55 | 6 | 14,996 | max_holding | -168 | -1.11 |
| SHLS | 06/30 10:41 | 1525 | 9.87 | 6 | 15,052 | max_holding | +686 | +4.66 |
| MARA | 07/01 15:09 | 1357 | 13.73 | 6 | 18,632 | max_holding | -1,527 | -8.12 |
| AMPL | 07/06 12:19 | 2900 | 9.13 | 6 | 26,477 | max_holding | -853 | -3.11 |
| GTX | 07/06 15:29 | 798 | 33.19 | 6 | 26,482 | max_holding | -1,231 | -4.62 |
| META | 07/06 09:36 | 44 | 591.68 | 6 | 26,034 | max_holding | +620 | +2.39 |
| STX | 07/06 10:36 | 30 | 882.10 | 6 | 26,463 | max_holding | -1,267 | -4.78 |
| SOLS | 07/07 10:27 | 432 | 61.20 | 6 | 26,441 | max_holding | +848 | +3.22 |
| ALK | 07/08 12:58 | 504 | 47.59 | 6 | 23,985 | max_holding | +1,125 | +4.71 |
| AMAT | 07/08 15:54 | 44 | 571.76 | 6 | 25,157 | max_holding | +1,328 | +5.29 |
| CC | 07/10 14:22 | 1515 | 17.86 | 6 | 27,065 | max_holding | -110 | -0.35 |
| SOFI | 07/10 15:48 | 1440 | 18.78 | 6 | 27,050 | max_holding | +261 | +1.02 |
日度净值表
| 日期 | 实盘剔MU% | 回测剔MU% | 差pp | 实盘含MU% | 回测含MU% | 差pp |
|---|---|---|---|---|---|---|
| 2026-06-08 | +0.15 | +0.47 | -0.32 | +0.15 | +0.47 | -0.32 |
| 2026-06-09 | -0.33 | -0.20 | -0.13 | -0.33 | -0.20 | -0.13 |
| 2026-06-10 | -1.44 | -1.72 | +0.28 | -1.50 | -1.77 | +0.27 |
| 2026-06-11 | +0.42 | +0.65 | -0.23 | +1.20 | +1.21 | -0.01 |
| 2026-06-12 | +1.43 | +2.17 | -0.74 | +2.13 | +2.65 | -0.53 |
| 2026-06-15 | +2.64 | +3.61 | -0.97 | +3.34 | +4.10 | -0.76 |
| 2026-06-16 | -0.04 | +2.11 | -2.16 | +0.65 | +2.60 | -1.95 |
| 2026-06-17 | -1.07 | +1.06 | -2.13 | -0.32 | +1.55 | -1.86 |
| 2026-06-18 | +1.02 | +2.06 | -1.04 | +2.22 | +2.55 | -0.33 |
| 2026-06-22 | +3.40 | +3.03 | +0.37 | +4.91 | +3.73 | +1.18 |
| 2026-06-23 | +2.50 | +1.80 | +0.70 | +2.48 | +1.35 | +1.12 |
| 2026-06-24 | +3.88 | +2.32 | +1.57 | +3.33 | +1.91 | +1.42 |
| 2026-06-25 | +4.14 | +2.38 | +1.76 | +3.59 | +1.86 | +1.73 |
| 2026-06-26 | +2.64 | +1.59 | +1.05 | +2.08 | +0.81 | +1.28 |
| 2026-06-29 | +3.07 | +1.81 | +1.26 | +2.51 | +1.02 | +1.50 |
| 2026-06-30 | +2.75 | +1.47 | +1.28 | +2.19 | +0.68 | +1.52 |
| 2026-07-01 | +0.67 | +0.10 | +0.57 | +0.11 | -0.69 | +0.81 |
| 2026-07-02 | -1.33 | -1.83 | +0.50 | -1.89 | -2.63 | +0.74 |
| 2026-07-06 | +0.00 | -0.86 | +0.86 | -0.71 | -1.77 | +1.07 |
| 2026-07-07 | +0.67 | -0.27 | +0.94 | -0.55 | -1.54 | +0.99 |
| 2026-07-08 | +2.28 | -0.45 | +2.73 | +1.41 | -1.44 | +2.84 |
| 2026-07-09 | +4.07 | +2.40 | +1.67 | +3.56 | +1.88 | +1.68 |
| 2026-07-10 | +2.59 | +1.83 | +0.77 | +2.09 | +1.29 | +0.79 |
| 2026-07-13 | +1.34 | +1.19 | +0.15 | +0.08 | +0.54 | -0.46 |
口径与技术备注
- 回测管线：origin/main (6b3fa0e) 四段全量重建 asof=2026-07-13：CSV 316,336 行 → base_xy → 10f signal_table；引擎
run_backtest_v9.py（SPY MA20 guard，与实盘同口径），配置与上期完全一致（max_pos 15% / ticker 20% / sector 50% / guard_sector 25%, util 0.6/0.3, lookback 10d, min_score 6）。 - 闭合规则：持仓 2 个日历日到期、到期日落在周末则周一开盘平仓（monday-open bridge）。7/9(四)、7/10(五) 开仓均于 7/13(一) 开盘平仓 → entry≤7/10 全部闭合，本窗口无在途失真。7/13 新开 4 笔（AGI/UMC/MU/ESI）双边剔除（回测 strict asof 同样无）。
- 曲线构造：双方同构 = capital + 已平仓累计 + 在途日终 MTM（Massive 日线收盘）；基线 = 6/5 收盘 NAV $223,791.37，窗口内无出入金。
- strict asof 语义：exit 晚于 asof 的信号剔除 → 回测自动排除 7/13 开仓，与实盘剔除口径对称。
- pandas 3.0.1 坑（复现必读）：① stage1 µs/ns 错位致全信号 no_price_data（worktree 已 patch
.dt.as_unit("ns")）；②MASSIVE_API_KEY未 export 时 ret_5d 补拉静默禁用 → 信号被 warmup drop。 - 数据/脚本：
claude_explore/live_bt_0608_ustc_zlj/（pull → recon → trade_compare → strict_curve → attribution → charts → html）；上期版本存档asof0702_archive/。