来源: demo
| 窗口 | IS区间 | OOS区间 | IS笔 | IS净 | IS PF | IS胜率 | OOS笔 | OOS净 | OOS PF | OOS胜率 | OOS回撤 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| #0 | 2024-01-01~2024-03-01 | 2024-03-01~2024-03-31 | 480 | -171.12 | 0.72 | 43.3% | 240 | -63.73 | 0.79 | 45.0% | -103.50 |
| #1 | 2024-01-31~2024-03-31 | 2024-03-31~2024-04-30 | 480 | -122.89 | 0.80 | 45.0% | 240 | -55.43 | 0.82 | 45.0% | -99.96 |
| #2 | 2024-03-01~2024-04-30 | 2024-04-30~2024-05-30 | 480 | -119.16 | 0.80 | 45.0% | 240 | -91.91 | 0.72 | 41.7% | -120.94 |
IS 与 OOS 的 PF 相关性低 → IS 表现难以预测 OOS，参数不稳健，警惕过拟合单段行情。