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# StrategyMarsi 对比 (origin vs 港股通)
## 组合净值指标
| 指标 | origin | 港股通 |
| --- | --- | --- |
| 起始资产 | 24950099.80 | 24950099.81 |
| 期末资产 | 63786957.54 | 54703108.90 |
| 总收益 | 1.5566 | 1.1925 |
| CAGR | 0.2806 | 0.2298 |
| 年化收益(按日均收益) | 0.2014 | 0.1686 |
| 年化波动 | 0.1822 | 0.1669 |
| Sharpe(年化收益/波动) | 1.1055 | 1.0102 |
| 最大回撤 | -0.1723 | -0.1547 |

## 交易层面指标
| 指标 | origin | 港股通 |
| --- | --- | --- |
| 交易次数 | 292 | 285 |
| 胜率 | 0.4829 | 0.4702 |
| 平均单笔收益 | 0.0561 | 0.0472 |
| 中位数单笔收益 | -0.0040 | -0.0092 |
| 平均盈利单 | 0.1929 | 0.1791 |
| 平均亏损单 | -0.0717 | -0.0699 |
| 平均持仓天数 | 46.63 | 47.75 |

## 交易明细对比（哪些“高收益交易”在港股通池中缺失）
- origin 共 292 笔交易，港股通共 285 笔交易。
- origin 独有交易 34 笔：其中 20 笔股票 **不在港股通股票池**；14 笔股票在港股通名单内但未触发交易。
- origin 独有交易的累计收益（简单相加）为 2.5521，其中 **不在港股通股票池** 的交易贡献 2.6967，而“在港股通名单内但未触发”的交易累计收益为 -0.1445。

### origin 独有交易中收益最高的 10 笔（含是否在港股通名单内）
| 股票 | 进场日期 | 出场日期 | 收益率 | 在港股通名单内 |
| --- | --- | --- | --- | --- |
| 00884 | 2022-11-02 | 2022-11-17 | 2.0627 | 否 |
| 00708 | 2023-07-28 | 2023-08-02 | 0.8540 | 否 |
| 03333 | 2023-08-28 | 2023-08-30 | 0.2676 | 否 |
| 09901 | 2024-09-03 | 2024-10-09 | 0.1828 | 否 |
| 01929 | 2025-08-04 | 2025-10-06 | 0.1424 | 是 |
| 00883 | 2025-10-10 | 2025-11-27 | 0.1220 | 是 |
| 09999 | 2024-08-28 | 2024-10-09 | 0.1205 | 否 |
| 00460 | 2025-09-30 | 2025-10-10 | 0.0877 | 是 |
| 06878 | 2023-06-05 | 2023-06-20 | 0.0553 | 否 |
| 03690 | 2025-11-25 | 2026-01-01 | 0.0372 | 是 |

### 在港股通名单内但未出现在港股通回测的交易（收益最高的 10 笔）
| 股票 | 进场日期 | 出场日期 | 收益率 |
| --- | --- | --- | --- |
| 01929 | 2025-08-04 | 2025-10-06 | 0.1424 |
| 00883 | 2025-10-10 | 2025-11-27 | 0.1220 |
| 00460 | 2025-09-30 | 2025-10-10 | 0.0877 |
| 03690 | 2025-11-25 | 2026-01-01 | 0.0372 |
| 01860 | 2025-12-01 | 2025-12-17 | 0.0308 |
| 01810 | 2025-08-05 | 2025-09-29 | 0.0115 |
| 00941 | 2023-05-16 | 2023-10-26 | 0.0017 |
| 00267 | 2024-06-14 | 2024-08-08 | -0.0275 |
| 00941 | 2025-12-18 | 2026-01-01 | -0.0324 |
| 00836 | 2024-07-19 | 2024-08-06 | -0.0584 |

## 初步结论与原因分析
- 港股通池中缺失的 **高收益交易** 主要来自“股票本身不在港股通名单”的标的（见上表中收益最高的交易多数标记为“否”）。这说明 **股票池本身的覆盖差异** 是导致“错过大赚交易”的核心原因之一。
- “在港股通名单内但未触发交易”的交易累计收益为负（上述统计为 -0.1445），意味着这些缺失交易并未显著贡献正收益，**对最终收益的负面影响有限**。这部分缺失更可能来自港股通池在同一日期下的信号/持仓约束或数据可用性差异，而非策略失效。
- 综合来看，港股通池表现弱于大股票池，主要是 **股票池过滤导致高弹性标的减少**；策略在共用标的上的信号质量并未出现显著“错过高收益”的证据。