First-party data
回測報告 · T+10 Swing vs T+1 Day-trade
121 個 BUY 訊號嘅 6 個月回測，全部淨回報（扣交易成本）。 同一批訊號，T+10 持有平均 +3.05%，係 T+1 即日鮮（+0.38%）嘅 8 倍。
Headline（淨回報）
| Horizon | n | WR | Avg | Total |
|---|---|---|---|---|
| T+1 (day-trade) | 121 | 63.6% | +0.38% | +45.9% |
| T+3 (3-day swing) | 121 | 58.7% | +0.82% | +98.8% |
| T+5 (5-day swing) | 121 | 57.0% | +1.11% | +134.7% |
| T+10 (10-day swing) | 121 | 60.3% | +3.05% | +369.0% |
HSI 熊市日影響
| Horizon | Regime | n | WR | Avg |
|---|---|---|---|---|
| T+1 (day-trade) | Bear in hold | 38 | 68.4% | +0.64% |
| T+1 (day-trade) | No bear | 83 | 61.4% | +0.26% |
| T+3 (3-day swing) | Bear in hold | 38 | 63.2% | +1.06% |
| T+3 (3-day swing) | No bear | 83 | 56.6% | +0.70% |
| T+5 (5-day swing) | Bear in hold | 38 | 65.8% | +1.19% |
| T+5 (5-day swing) | No bear | 83 | 53.0% | +1.08% |
| T+10 (10-day swing) | Bear in hold | 38 | 68.4% | +4.21% |
| T+10 (10-day swing) | No bear | 83 | 56.6% | +2.52% |
Signal score 分桶
| Bucket | T+1 | T+3 | T+5 | T+10 |
|---|---|---|---|---|
| low | 35n 91% +1.41% | 35n 63% +1.43% | 35n 51% +1.29% | 35n 69% +4.66% |
| mid | 47n 57% +0.29% | 47n 51% +0.31% | 47n 49% +0.17% | 47n 53% +1.14% |
| high | 39n 46% -0.44% | 39n 64% +0.87% | 39n 72% +2.09% | 39n 62% +3.90% |
點樣解讀
- T+10 唔係「持貨 10 日咁簡單」 — 每筆都用 -10% 止損 / +15% 目標價模擬，先觸發止損當輸。
- T+1 即日鮮嘅優勢係頻率 — 單筆 +0.38% 但可以日日做；T+10 單筆大但要忍 10 日波動。兩者唔互斥，可以並行 paper-trade 驗證。
- 高 signal score 唔保證 T+10 更好 — 分桶顯示 high-score 組 T+1 反而 -0.44%（過熱回歸），low-score 組 T+10 最勁 +4.66%。分數係方向信心，唔係持貨期指引。
- 樣本限制 — 121 個訊號來自 yfinance 有數據嘅 regular stocks（ETP/warrant 缺數據）；6 個月窗口未涵蓋多日熊市。每月 1 號自動重跑滾動更新。
⚠ Disclaimer · 回測唔等於 live 表現。過往表現不代表將來回報。即日鮮交易高風險。
最後更新: 2026-08-29 02:41 HKT