比特币CCI策略回测：用商品通道指标交易超卖反弹
CCI（商品通道指标）衡量价格偏离统计均值的程度。策略：CCI上穿-100（离开超卖区）时买入，下穿+100（离开超买区）时卖出。来看数据。
策略规则
- 买入：CCI(20)上穿-100
- 卖出：CCI(20)下穿+100
- CCI周期：20
- 仓位100%——全进或全出
- 每笔交易0.1%手续费
- 无杠杆、不做空
回测结果
期间: 2017-09-05 to 2026-03-23 (8.5 years)
策略年化收益率
9.4%
买入持有年化
38.7%
策略最大回撤
-69.4%
B&H最大回撤
-83.2%
总交易次数
54
胜率
61.1%
盈亏比
1.1x
在场时间
47.1%
关键发现
完整交易记录
#进场出场收益天数
12017-12-252018-01-07+17.7%13
22018-01-202018-02-21-18.7%32
32018-03-122018-04-26+1.3%45
42018-05-192018-07-29-0.5%71
52018-08-132018-09-05+7.1%23
62018-09-122018-09-29+3.9%17
72018-10-152018-10-17-0.4%2
82018-11-012018-12-25-41.8%54
92019-01-162019-02-12+0.9%27
102019-07-192019-08-10+7.5%22
…(34 more trades)
442025-01-102025-01-23+9.5%13
452025-02-102025-03-28-13.5%46
462025-04-102025-04-29+18.2%19
472025-06-072025-07-04+2.1%27
482025-08-062025-08-14+2.7%8
492025-08-222025-09-19-1.3%28
502025-09-282025-10-08+9.7%10
512025-10-192025-12-11-15.0%53
522025-12-192026-01-08+3.2%20
532026-01-222026-03-06-24.1%43
数据来源：Binance BTC/USDT日线。包含0.1%手续费。过去业绩不保证未来表现。
Disclaimer: This content is for educational and informational purposes only.
It does not constitute financial advice. Past performance does not guarantee future results.
Always do your own research. Some links are affiliate links.
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