release: v1.17.13 — 修复多策略组合回测最大回撤虚高(分母误用初始值而非峰值)

用户反馈:3 个策略各自最大回撤仅 45.53%/40.16%/16.89%,组合却显示 83.76%。
根因:_build_combined_equity 的 drawdown_pct 分母误用 initial(固定初始资金),
净值大涨后(总收益 545%,峰值≈6.45×初始)绝对回撤额除以小初始值被等比放大。
改为 drawdown / peak(相对当时峰值,0~1),与单标的 PortfolioTracker 一致。
连带修复卡玛比率(年化/最大回撤)。其余指标经核对均正确。加回归守卫。
This commit is contained in:
Justin Gu
2026-07-04 21:07:39 +08:00
parent ee628c1b34
commit 239ff46ac8
4 changed files with 65 additions and 5 deletions
+1 -1
View File
@@ -4,7 +4,7 @@ build-backend = "hatchling.build"
[project]
name = "easy-tdx"
version = "1.17.12"
version = "1.17.13"
description = "通达信 TCP 协议行情数据客户端,支持在线行情、离线数据读取与写入同步"
readme = "README.md"
requires-python = ">=3.10"