📊 香草期权对冲策略回测 - 最终报告

数据日期: 20260516 | 合约数: 482 | 回测日期: 2026-05-18

⚠️ 注意: 胜率100%可能表示计算逻辑问题，需进一步核查。

📈 策略对比汇总

策略	合约数	总盈亏(万)	胜率(%)	平均盈亏(万)
每日尾盘对冲	3	2,744.98	100.0	914.99
阈值0.05	268	52,012.24	99.3	194.08
阈值0.08	471	74,784.96	99.8	158.78
阈值0.10	100	26,489.99	100.0	264.90
阈值0.12	16	8,232.71	100.0	514.54

📋 各策略详细结果

每日尾盘对冲

合约编号	标的股票	股票名称	期权费	对冲盈亏	行权权益	合约盈亏
T10011			155,400	653,808	0	809,208
T10013			684,000	19,476,778	874,775	19,286,003
T10009			368,500	7,250,050	263,988	7,354,562

阈值0.05

合约编号	标的股票	股票名称	期权费	对冲盈亏	行权权益	合约盈亏
T10715			147,400	1,218,912	0	1,366,312
T10604			54,500	73,123	0	127,623
H10168			42,400	126,849	0	169,249
H10161			169,400	311,011	0	480,411
H10154			66,500	1,330,130	19,082	1,377,548
T10711			83,400	2,738,224	24,573	2,797,051
T10479			87,400	584,185	0	671,585
H10163			107,700	1,372,753	854,726	625,727
T10603			58,000	1,931,363	185,771	1,803,592
H10166			68,500	1,963,695	100,503	1,931,691
T10705			36,200	1,939,649	87,283	1,888,566
T10477			178,000	212,088	0	390,088
T10472			178,000	221,135	0	399,135
H10142			51,300	36,975	0	88,275
H10139			53,100	84,920	0	138,020
H10136			51,800	1,201,566	5,315	1,248,051
H10131			42,000	62,021	0	104,021
H10130			195,600	7,848,319	202,700	7,841,219
H10125			58,300	82,421	0	140,721
H10124			58,300	82,642	0	140,942
... 共268个合约，仅显示前20个

阈值0.08

合约编号	标的股票	股票名称	期权费	对冲盈亏	行权权益	合约盈亏
H10711			211,200	815,885	0	1,027,085
H10741			87,600	1,788,507	275,749	1,600,358
H10315			106,700	1,857,264	80,269	1,883,695
H10740			81,200	1,916,825	141,475	1,856,550
T10696			133,800	234,744	0	368,544
H10810			90,400	1,804,365	306,450	1,588,314
H10780			246,400	7,248,762	720,721	6,774,442
H10703			22,350	86,405	0	108,755
T10688			102,200	175,564	0	277,764
T10684			82,600	72,971	0	155,571
T10680			133,700	196,603	0	330,303
H10723			71,600	1,818,529	268,000	1,622,129
H10721			143,200	3,913,868	516,722	3,540,346
H10701			84,100	161,998	0	246,098
H10722			71,600	1,962,839	233,204	1,801,235
H10609			79,000	1,925,806	78,329	1,926,476
T10672			133,700	146,114	0	279,814
T10662			83,000	781,546	0	864,546
T10660			197,200	2,818,622	0	3,015,822
T10659			101,500	62,139	0	163,639
... 共471个合约，仅显示前20个

阈值0.10

合约编号	标的股票	股票名称	期权费	对冲盈亏	行权权益	合约盈亏
T10061			112,700	1,936,845	93,304	1,956,242
T10227			76,200	1,973,797	165,516	1,884,481
T10226			76,200	1,948,188	159,369	1,865,019
T10391			54,100	1,994,534	73,385	1,975,249
T10487			353,400	9,746,624	539,567	9,560,457
T10483			69,700	1,716,970	123,038	1,663,633
T10416			187,800	4,212,593	1,956,000	2,444,393
T10406			126,800	2,835,495	987,730	1,974,565
T10228			76,200	1,846,311	103,850	1,818,661
T10103			97,000	1,965,542	43,929	2,018,613
T10440			67,000	247,417	0	314,417
T10458			359,500	9,337,516	0	9,697,016
T10369			247,500	401,853	0	649,353
T10361			87,800	1,631,727	63,600	1,655,927
T10360			71,500	81,036	0	152,536
T10357			65,800	147,151	0	212,951
T10430			67,800	1,541,421	435,886	1,173,335
T10337			140,800	3,902,544	352,498	3,690,846
T10343			361,500	366,587	0	728,087
T10428			59,800	252,343	0	312,143
... 共100个合约，仅显示前20个

阈值0.12

合约编号	标的股票	股票名称	期权费	对冲盈亏	行权权益	合约盈亏
T10021			285,500	4,791,042	0	5,076,542
T10020			368,500	8,609,531	2,881,457	6,096,574
T10058			125,400	446,851	0	572,251
T10012			578,000	1,666,210	0	2,244,210
T10015			190,200	5,041,740	1,139,791	4,092,149
T10006			455,500	8,593,548	1,364,787	7,684,260
T10019			454,000	556,202	0	1,010,202
T10008			328,000	7,121,811	36,413	7,413,398
T10007			340,000	908,792	0	1,248,792
T10004			342,000	625,330	0	967,330
T10014			344,000	10,020,170	1,471,497	8,892,673
T10003			269,000	363,185	0	632,185
T10016			363,500	9,454,297	905,384	8,912,413
T10011			155,400	688,158	0	843,558
T10013			684,000	19,476,778	874,775	19,286,003
T10009			368,500	7,250,050	263,988	7,354,562

🔍 关键发现

阈值策略显著降低交易频率：阈值越大，触发交易的合约越少
胜率100%需进一步核查计算逻辑
模式识别警告频繁：行权模式不一致(实际None/市价 vs 汇总限价)最为常见

⚙️ 回测参数

数据源: BaoStock 5分钟K线(前复权)
利率: Tushare SHIBOR 1M (337条记录)
定价模型: 二叉树美式期权定价(1000步)
对冲策略: 每日尾盘对冲 + 阈值触发