QTRADE · 回测报告

bluechip_momentum · 生成 2026-07-07 00:05 · 数据水位 bars≤2026-07-03 · 研究工具输出，不构成投资建议

策略原理

大盘蓝筹动量：把动量应用在流通市值 ≥50 亿的大票池（避开妖股/微盘接盘陷阱）， 按 60 日动量取前 15 只、按波动率倒数加权（inverse_vol，波动越低仓位越重）， 月频轮动降换手。相对小票动量，蓝筹动量拥挤度低、容量大、执行摩擦小，代价是 弹性小；基准对应换成沪深300。用于验证引擎与 DSL（含 inverse_vol 加权路径）， 非投资建议。

绩效概览

区间2016-01-04 → 2026-07-03 (2549 交易日)
期末净值0.7802
总收益-21.98%
年化收益-2.42%
年化波动+6.38%
夏普(rf=0)-0.38
最大回撤-27.39%
回撤区间2016-01-06 → 2026-06-29
卡玛比-0.09
平仓笔数57
胜率+19.30%
盈亏比(PF)0.2
总成交额5,531,412
总费用4,156
年化换手(单边)0.3
基准年化+3.35%
超额年化-5.78%
信息比率-0.4

净值与回撤

月度收益（%）

交易明细

dt symbol side shares price amount fees reason realized_pnl
2016-01-05 002667.SZ buy 700 62.1932 43535.21 11.75 rebalance
2016-01-05 600734.SH buy 2200 20.9914 46181.17 12.47 rebalance
2016-01-05 600576.SH buy 3000 22.0530 66159.09 17.86 rebalance
2016-01-05 002137.SZ buy 3000 20.1001 60300.32 16.29 rebalance
2016-01-05 600226.SH buy 8200 9.5643 78427.47 21.18 rebalance
2016-01-05 000606.SZ buy 2600 15.5233 40360.45 10.90 rebalance
2016-01-05 000838.SZ buy 1300 42.5637 55332.88 14.94 rebalance
2016-01-05 002590.SZ buy 2800 21.2418 59477.08 16.06 rebalance
2016-01-05 600207.SH buy 5300 12.0681 63960.80 17.27 rebalance
2016-01-05 600165.SH buy 2900 19.0285 55182.65 14.90 rebalance
2016-01-05 600303.SH buy 5200 12.5188 65097.50 17.57 rebalance
2016-01-05 002355.SZ buy 3800 16.8352 63973.82 17.27 rebalance
2016-01-05 300093.SZ buy 1600 29.4441 47110.56 12.72 rebalance
2016-01-05 002717.SZ buy 1600 36.5648 58503.62 15.80 rebalance
2016-01-08 600734.SH sell 2200 20.9985 46196.60 58.67 rebalance -55.71
2016-01-11 002137.SZ sell 3000 17.1642 51492.65 65.39 rebalance -8889.35
2016-01-11 002590.SZ sell 2800 19.9800 55943.96 71.05 rebalance -3620.23
2016-01-11 600303.SH sell 5200 10.6141 55193.09 70.09 rebalance -9992.07
2016-01-11 300093.SZ sell 1600 26.2805 42048.83 53.40 rebalance -5127.85
2016-01-11 002717.SZ sell 1600 32.8806 52608.97 66.81 rebalance -5977.27
2016-01-12 002667.SZ sell 700 51.9220 36345.40 46.17 rebalance -7247.72
2016-01-12 600576.SH sell 3000 17.9231 53769.23 68.29 rebalance -12476.01
2016-01-12 000606.SZ sell 2600 12.6410 32866.63 41.75 rebalance -7546.47
2016-01-12 600207.SH sell 5300 10.1947 54031.83 68.62 rebalance -10014.86
2016-01-12 600165.SH sell 2900 16.7548 48589.01 61.71 rebalance -6670.25
2016-01-14 600226.SH sell 8200 7.4888 61407.75 77.99 rebalance -17118.88
2016-02-02 000838.SZ sell 200 47.4787 9495.74 14.69 rebalance 966.00
2016-02-02 002355.SZ sell 1200 17.9730 21567.60 27.39 rebalance 1332.50
2016-02-02 002624.SZ buy 1300 36.1642 47013.41 12.69 rebalance
2016-02-02 300310.SZ buy 1000 51.2768 51276.80 13.85 rebalance
2016-02-02 000048.SZ buy 1200 37.8567 45428.04 12.27 rebalance
2016-02-02 600693.SH buy 4200 13.6204 57205.68 15.44 rebalance
2016-02-02 002655.SZ buy 2900 18.1973 52772.04 14.25 rebalance
2016-02-02 002468.SZ buy 1600 32.1381 51421.02 13.89 rebalance
2016-02-02 300160.SZ buy 1400 35.8737 50223.22 13.56 rebalance
2016-02-02 600258.SH buy 4000 21.6124 86449.48 23.34 rebalance
2016-02-02 300342.SZ buy 1600 37.6364 60218.19 16.25 rebalance
2016-02-02 300100.SZ buy 1900 27.9318 53070.49 14.33 rebalance
2016-02-02 600383.SH buy 4700 15.9038 74747.95 20.18 rebalance
2016-02-02 600202.SH buy 5200 13.8407 71971.80 19.43 rebalance
2016-02-02 002019.SZ buy 1400 37.5062 52508.65 14.18 rebalance
2016-02-15 300310.SZ sell 1000 43.6844 43684.38 55.47 rebalance -7661.75
2016-02-26 002468.SZ sell 1600 30.2046 48327.40 61.38 rebalance -3168.89
2016-02-26 600258.SH sell 4000 20.1098 80439.16 102.16 rebalance -6135.82
2016-02-26 600202.SH sell 5200 11.3330 58931.47 74.84 rebalance -13134.60
2016-03-01 002624.SZ sell 1300 31.5426 41005.40 52.08 rebalance -6072.79
2016-03-01 000048.SZ sell 1200 32.9805 39576.55 50.26 rebalance -5914.02
2016-03-01 600693.SH sell 4200 11.4628 48143.68 61.14 rebalance -9138.58
2016-03-01 002655.SZ sell 2900 15.0474 43637.45 55.42 rebalance -9204.26
2016-03-01 300160.SZ sell 1400 32.0519 44872.59 56.99 rebalance -5421.18
2016-03-02 000838.SZ sell 300 54.9175 16475.25 21.81 rebalance 3680.87
2016-03-02 002355.SZ sell 2600 17.4238 45301.94 57.54 rebalance 1461.03
2016-03-02 300100.SZ sell 400 30.5541 12221.64 17.46 rebalance 1028.43
2016-03-02 600383.SH sell 4700 13.7793 64762.71 82.25 rebalance -10087.67
2016-03-02 002624.SZ buy 1500 33.0495 49574.25 13.38 rebalance
2016-03-02 300088.SZ buy 4500 10.2453 46104.05 12.45 rebalance
2016-03-02 600531.SH buy 2200 18.8382 41444.07 11.19 rebalance
2016-03-02 600547.SH buy 2200 26.0090 57219.70 15.44 rebalance
2016-03-02 000933.SZ buy 8100 6.2594 50700.94 13.69 rebalance
2016-03-02 000959.SZ buy 12500 4.9074 61341.88 16.57 rebalance
2016-03-02 000983.SZ buy 7600 8.0420 61119.54 16.50 rebalance
2016-03-02 000932.SZ buy 13300 3.9059 51947.81 14.03 rebalance
2016-03-02 600216.SH buy 6300 13.4902 84988.29 22.95 rebalance
2016-03-02 600395.SH buy 6200 9.1237 56566.72 15.27 rebalance
2016-03-02 600651.SH buy 3200 13.5102 43232.75 11.67 rebalance
2016-03-02 002001.SZ buy 2200 20.0300 44066.00 11.90 rebalance
2016-03-07 300100.SZ sell 1500 24.7628 37144.20 47.17 rebalance -4812.04
2016-03-07 002624.SZ sell 1500 30.9435 46415.27 58.95 rebalance -3231.31
2016-03-09 000838.SZ sell 2803 14.6780 41142.29 52.25 rebalance 7033.16
2016-03-09 002001.SZ sell 2200 17.7933 39145.19 49.72 rebalance -4982.43
2016-03-10 000933.SZ sell 8100 5.8113 47071.29 59.78 rebalance -3703.12
2016-03-10 000983.SZ sell 7600 7.6685 58280.45 74.02 rebalance -2929.61
2016-03-10 600216.SH sell 6300 12.2316 77059.24 97.86 rebalance -8049.86
2016-03-11 300342.SZ sell 1600 31.9520 51123.20 64.92 rebalance -9176.16
2016-03-11 000959.SZ sell 12500 4.5132 56415.25 71.65 rebalance -5014.85
2016-03-11 000932.SZ sell 13300 3.5946 47808.18 60.72 rebalance -4214.38
2016-03-11 600395.SH sell 6200 8.6370 53549.56 68.01 rebalance -3100.45
2016-03-14 600651.SH sell 3200 12.7808 40898.56 51.94 rebalance -2397.80
2016-03-18 600531.SH sell 6605 7.8382 51771.48 65.75 rebalance 10255.42
2016-04-05 300088.SZ sell 4500 11.7324 52795.69 67.06 rebalance 6612.13
2016-04-05 600547.SH sell 2200 26.4303 58146.65 73.85 rebalance 837.66
2016-04-05 300324.SZ buy 900 23.0746 20767.10 5.61 rebalance
2016-04-05 002247.SZ buy 1500 32.7491 49123.58 13.26 rebalance
2016-04-05 600531.SH buy 4400 9.5443 41994.90 11.34 rebalance
2016-04-05 002707.SZ buy 1000 47.5612 47561.24 12.84 rebalance
2016-04-05 600116.SH buy 1800 34.9223 62860.15 16.98 rebalance
2016-04-05 002624.SZ buy 1300 38.0670 49487.12 13.36 rebalance
2016-04-05 002601.SZ buy 800 59.8897 47911.76 12.94 rebalance
2016-04-05 002234.SZ buy 1800 28.6429 51557.22 13.92 rebalance
2016-04-05 600988.SH buy 3500 16.7451 58607.78 15.82 rebalance
2016-04-05 300036.SZ buy 900 43.3349 39001.41 10.53 rebalance
2016-04-05 300336.SZ buy 1300 30.6659 39865.71 10.77 rebalance
2016-04-05 000534.SZ buy 3900 13.0696 50971.34 13.76 rebalance
2016-04-05 000981.SZ buy 6000 9.3140 55883.70 15.09 rebalance
2016-04-05 600699.SH buy 1500 35.2528 52879.20 14.28 rebalance
2016-04-12 002247.SZ sell 3019 15.2271 45970.69 58.38 rebalance -3210.19
2016-04-19 600116.SH sell 5427 10.2546 55651.69 70.67 rebalance -7286.23
2016-04-21 002019.SZ sell 1400 46.7098 65393.76 83.05 rebalance 12787.89
2016-04-21 300324.SZ sell 900 21.6674 19500.70 24.89 rebalance -1296.90
2016-04-21 600531.SH sell 4400 9.0863 39979.94 50.77 rebalance -2077.07
2016-04-21 002707.SZ sell 1000 41.9270 41927.02 53.25 rebalance -5700.31
2016-04-21 002624.SZ sell 1300 37.3139 48508.13 61.61 rebalance -1053.96
2016-04-21 002601.SZ sell 800 48.3274 38661.92 49.10 rebalance -9311.88
2016-04-21 002234.SZ sell 1800 25.9710 46747.77 59.37 rebalance -4882.74
2016-04-21 600988.SH sell 3500 19.0813 66784.67 84.82 rebalance 8076.25
2016-04-21 300036.SZ sell 800 36.8447 29475.72 37.44 rebalance -5239.00
2016-04-21 300336.SZ sell 1300 29.4558 38292.48 48.63 rebalance -1632.63
2016-04-21 000534.SZ sell 3900 11.9321 46535.09 59.10 rebalance -4509.11
2016-04-21 000981.SZ sell 6000 9.1063 54637.92 69.39 rebalance -1330.26
2016-04-21 600699.SH sell 1500 33.9690 50953.46 64.71 rebalance -2004.74

回测假设与参数

start2016-01-04
end2026-07-03
initial_cash1000000.0
slippage_bps15.0
volume_cap_pct2.0
commission_rate0.00025
commission_min5.0
min_trade_value5000.0
delist_haircut0.5
strict_one_word_limitFalse
benchmark000300.SH

执行假设：T 收盘出信号 → T+1 开盘成交（滑点 15.0bp， 单笔 ≤ 当日成交量 2.0%）；涨停不追买、跌停不杀卖、停牌顺延； T+1 由结构保证；费用按生效日期查表（佣金/印花税/过户费）； 除权以份额调整近似（现金分红视为按除权参考价再投资，未建红利税模型）。