修改了选股策略后，最优的股票数量是双峰（4只和20只），对不同板块测试，周期性的板块结果明显优于非周期性板块，这也符合逻辑。本质上这个系统的获利来自对波动性的追逐。最重要的是，样本外数据的测试结果没有退化，可以进入实战检验看看了。
In-sample data period(Optimize): 2008.1.1-2011.12.31
Out of smaple data period(Check): 2004.1.1-2013.4.1
Out of smaple data period(Check): 2004.1.1-2013.4.1
| Statistics | ||
| All trades | Long trades | |
| Initial capital | 109994 | 109994 |
| Ending capital | 1230175.97 | 1230175.97 |
| Net Profit | 1120181.97 | 1120181.97 |
| Net Profit % | 1018.40% | 1018.40% |
| Exposure % | 9.49% | 9.49% |
| Net Risk Adjusted Return % | 10732.79% | 10732.79% |
| Annual Return % | 29.81% | 29.81% |
| Risk Adjusted Return % | 314.15% | 314.15% |
| All trades | 803 | 803 (100.00 %) |
| Avg. Profit/Loss | 1395 | 1395 |
| Avg. Profit/Loss % | 1.26% | 1.26% |
| Avg. Bars Held | 2.08 | 2.08 |
| Winners | 537 (66.87 %) | 537 (66.87 %) |
| Total Profit | 1702620.88 | 1702620.88 |
| Avg. Profit | 3170.62 | 3170.62 |
| Avg. Profit % | 2.85% | 2.85% |
| Avg. Bars Held | 2.09 | 2.09 |
| Max. Consecutive | 19 | 19 |
| Largest win | 26623.74 | 26623.74 |
| # bars in largest win | 4 | 4 |
| Losers | 266 (33.13 %) | 266 (33.13 %) |
| Total Loss | -582438.91 | -582438.91 |
| Avg. Loss | -2189.62 | -2189.62 |
| Avg. Loss % | -1.96% | -1.96% |
| Avg. Bars Held | 2.07 | 2.07 |
| Max. Consecutive | 8 | 8 |
| Largest loss | -15706.06 | -15706.06 |
| # bars in largest loss | 2 | 2 |
| Max. trade drawdown | -15706.06 | -15706.06 |
| Max. trade % drawdown | -10.09% | -10.09% |
| Max. system drawdown | -57512.68 | -57512.68 |
| Max. system % drawdown | -6.17% | -6.17% |
| Recovery Factor | 19.48 | 19.48 |
| CAR/MaxDD | 4.83 | 4.83 |
| RAR/MaxDD | 50.92 | 50.92 |
| Profit Factor | 2.92 | 2.92 |
| Payoff Ratio | 1.45 | 1.45 |
| Standard Error | 100127.66 | 100127.66 |
| Risk-Reward Ratio | 1.29 | 1.29 |
| Ulcer Index | 1.44 | 1.44 |
| Ulcer Performance Index | 16.91 | 16.91 |
| Sharpe Ratio of trades | 3.67 | 3.67 |
| K-Ratio | 0.0727 | 0.0727 |
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