QTRADE · 回测报告

calm_momentum_tilt_u · 生成 2026-07-07 00:02 · 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

安静动量（低波为体、动量为用）：在 80 亿流通市值、5000 万日成交以上的大票池里， 按 0.3×动量分位(ret_120) − 0.7×波动分位(vol_20) 打分，月频取前 25 只、 波动率倒数加权；过滤只做温和护栏（半年跌幅不超 10%、近月涨幅 <20%、 年化波动 8%~35%），刻意不设均线/新高类趋势闸门、不设逐日趋势退出。 原理：A股 2022-2026 震荡熊里纯动量/趋势因反复止损与追高接盘全灭、低波动是唯一存活风格； 本策略以低波作为主锚（分位权重 0.7 + inverse_vol 加权双重压低波动暴露）， 动量只作 0.3 权重的温和倾斜——在"最安静"的股票里优先买"还在涨"的， 避免纯低波持有阴跌僵尸股，又不承担趋势策略的换手与断头风险。 风险与失效场景：单边疯牛会显著跑输高贝塔与基准（低波风格的结构性代价）； 风格拥挤后的红利/低波集中回撤（类 2026H1）只能靠分散与止损缓冲，无法预测； vol_20 窗口仅 20 日，对跳空黑天鹅无预测力；已知全区间最大回撤约 -19%（2021 高点后）。

绩效概览

区间2016-01-04 → 2026-07-03 (2549 交易日)
期末净值0.8793
总收益-12.07%
年化收益-1.26%
年化波动+6.61%
夏普(rf=0)-0.19
最大回撤-37.35%
回撤区间2018-01-26 → 2024-02-05
卡玛比-0.03
平仓笔数584
胜率+51.54%
盈亏比(PF)1.03
总成交额44,101,522
总费用34,211
年化换手(单边)2.3
基准年化+3.35%
超额年化-4.62%
信息比率-0.38

净值与回撤

月度收益（%）

执行事件（涨跌停拒单/停牌/退市）

交易明细

共 1193 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-03-02 600741.SH buy 1200 26.1892 31427.070000 8.49 rebalance
2018-03-02 600518.SH buy 900 21.0315 18928.350000 5.38 rebalance
2018-03-02 002028.SZ buy 2000 16.9153 33830.670000 9.14 rebalance
2018-03-02 300176.SZ buy 200 132.2280 26445.610000 7.14 rebalance
2018-03-02 600816.SH buy 4600 12.8092 58922.250000 15.91 rebalance
2018-03-02 600066.SH buy 1600 23.2448 37191.700000 10.04 rebalance
2018-03-02 600612.SH buy 900 43.9959 39596.310000 10.69 rebalance
2018-03-02 002617.SZ buy 2200 15.9239 35032.470000 9.46 rebalance
2018-03-02 600085.SH buy 1400 32.1982 45077.510000 12.17 rebalance
2018-03-02 600023.SH buy 8200 5.5283 45331.900000 12.24 rebalance
2018-03-02 000848.SZ buy 5000 9.2939 46469.600000 12.55 rebalance
2018-03-02 600482.SH buy 500 25.5383 12769.120000 5.26 rebalance
2018-03-02 600018.SH buy 200 7.5113 1502.250000 5.03 rebalance
2018-03-12 002512.SZ sell 3300 11.0933 36608.010000 46.49 rebalance -28875.050000
2018-03-27 600179.SH sell 1500 15.3270 22990.460000 29.20 rebalance -14575.070000
2018-03-27 002509.SZ sell 5500 5.8912 32401.330000 41.15 rebalance -16951.970000
2018-03-27 601985.SH sell 7700 6.6999 51589.500000 65.52 rebalance -7408.170000
2018-03-29 600741.SH sell 1200 23.5247 28229.590000 35.85 rebalance -3241.820000
2018-04-03 600771.SH sell 100 49.9550 4995.500000 10.10 rebalance 1511.260000
2018-04-03 600377.SH sell 5100 9.5457 48682.870000 61.82 rebalance -1728.940000
2018-04-03 600900.SH sell 300 15.8961 4768.840000 9.87 rebalance -113.520000
2018-04-03 600572.SH sell 6100 6.9496 42392.320000 53.84 rebalance -1373.600000
2018-04-03 000963.SZ sell 600 64.3334 38600.010000 49.02 rebalance 4999.700000
2018-04-03 600518.SH sell 1900 21.9470 41699.360000 52.95 rebalance 1675.610000
2018-04-03 600104.SH sell 1200 33.4997 40199.610000 51.05 rebalance -603.460000
2018-04-03 000989.SZ sell 2100 21.9770 46151.670000 58.61 rebalance 3177.210000
2018-04-03 002028.SZ sell 2000 16.5551 33110.260000 42.05 rebalance -771.600000
2018-04-03 300176.SZ sell 200 137.2139 27442.770000 34.85 rebalance 955.170000
2018-04-03 600816.SH sell 4600 11.5826 53279.960000 67.67 rebalance -5725.870000
2018-04-03 600066.SH sell 1500 20.8786 31317.950000 39.78 rebalance -3598.460000
2018-04-03 600612.SH sell 800 40.9085 32726.840000 41.56 rebalance -2520.940000
2018-04-03 002617.SZ sell 2200 14.2786 31412.810000 39.89 rebalance -3669.010000
2018-04-03 600085.SH sell 500 33.8492 16924.580000 22.26 rebalance 798.860000
2018-04-03 600023.SH sell 1600 5.4918 8786.800000 13.97 rebalance -74.810000
2018-04-03 000848.SZ sell 5000 9.0364 45182.130000 57.38 rebalance -1357.400000
2018-04-03 600482.SH sell 500 25.3619 12680.950000 17.93 rebalance -111.370000
2018-04-03 000576.SZ buy 2700 20.3305 54892.220000 14.82 rebalance
2018-04-03 000688.SZ buy 3300 10.1151 33380.000000 9.01 rebalance
2018-04-03 002359.SZ buy 1400 26.7000 37379.990000 10.09 rebalance
2018-04-03 600009.SH buy 500 49.0735 24536.750000 6.62 rebalance
2018-04-03 000656.SZ buy 5300 5.5583 29459.120000 7.95 rebalance
2018-04-03 600406.SH buy 2700 16.7250 45157.640000 12.19 rebalance
2018-04-03 601818.SH buy 13800 4.0461 55835.630000 15.08 rebalance
2018-04-03 002081.SZ buy 2100 12.8793 27046.510000 7.30 rebalance
2018-04-03 600018.SH buy 5100 6.9104 35242.790000 9.51 rebalance
2018-04-03 601328.SH buy 10500 6.1492 64566.710000 17.43 rebalance
2018-04-03 601766.SH buy 3900 9.9249 38706.970000 10.45 rebalance
2018-04-03 600739.SH buy 2400 17.9268 43024.440000 11.62 rebalance
2018-04-03 000876.SZ buy 6200 7.2909 45203.700000 12.20 rebalance
2018-04-03 600016.SH buy 6000 7.9219 47531.190000 12.83 rebalance
2018-04-03 600170.SH buy 14200 3.7256 52903.240000 14.29 rebalance
2018-04-03 601997.SH buy 3000 14.5218 43565.250000 11.76 rebalance
2018-04-03 600036.SH buy 900 28.9033 26012.960000 7.02 rebalance
2018-04-03 601166.SH buy 1600 16.5248 26439.600000 7.14 rebalance
2018-04-03 000157.SZ buy 100 4.1863 418.630000 5.01 rebalance
2018-05-03 600085.SH sell 900 35.2271 31704.370000 40.26 rebalance 2677.890000
2018-05-03 600018.SH sell 5300 6.8297 36197.620000 45.97 rebalance -607.920000
2018-05-03 000576.SZ sell 2700 20.2496 54673.870000 69.43 rebalance -302.600000
2018-05-03 000688.SZ sell 3300 10.1647 33543.610000 42.60 rebalance 112.000000
2018-05-03 002359.SZ sell 300 26.9595 8087.850000 13.25 rebalance 62.440000
2018-05-03 600009.SH sell 500 49.8751 24937.540000 31.67 rebalance 362.500000
2018-05-03 000656.SZ sell 5300 5.2521 27836.180000 35.36 rebalance -1666.250000
2018-05-03 600406.SH sell 700 17.5636 12294.530000 17.54 rebalance 566.300000
2018-05-03 601818.SH sell 2500 4.0040 10009.960000 15.21 rebalance -123.130000
2018-05-03 002081.SZ sell 2100 12.2117 25644.480000 32.56 rebalance -1441.890000
2018-05-03 601328.SH sell 2300 6.1408 14123.780000 19.40 rebalance -42.620000
2018-05-03 601766.SH sell 3900 9.5856 37383.840000 47.48 rebalance -1381.060000
2018-05-03 601997.SH sell 3000 13.6395 40918.530000 51.97 rebalance -2710.450000
2018-05-03 600036.SH sell 900 29.2960 26366.390000 33.49 rebalance 312.920000
2018-05-03 600518.SH buy 300 23.2348 6970.440000 5.14 rebalance
2018-05-03 002493.SZ buy 1800 14.9224 26860.230000 7.26 rebalance
2018-05-03 600664.SH buy 6900 5.5984 38628.860000 10.43 rebalance
2018-05-03 002102.SZ buy 7000 4.3465 30425.570000 8.22 rebalance
2018-05-03 000425.SZ buy 7600 4.0661 30902.280000 8.35 rebalance
2018-05-03 000876.SZ buy 1800 7.0806 12745.090000 5.25 rebalance
2018-05-03 600170.SH buy 2300 3.6154 8315.450000 5.17 rebalance
2018-05-03 601988.SH buy 10200 3.8057 38818.140000 10.48 rebalance
2018-05-03 600270.SH buy 1900 18.8983 35906.780000 9.70 rebalance
2018-05-03 000587.SZ buy 6900 6.8402 47197.690000 12.74 rebalance
2018-05-03 000157.SZ buy 17600 4.1963 73854.620000 19.94 rebalance
2018-05-03 601169.SH buy 4700 6.8102 32007.940000 8.64 rebalance
2018-05-03 600252.SH buy 100 3.7757 377.570000 5.01 rebalance
2018-05-09 002493.SZ sell 2721 10.1847 27712.570000 35.19 rebalance 811.220000
2018-05-16 002622.SZ sell 2900 7.9880 23165.200000 29.42 rebalance -22184.320000
2018-05-18 002359.SZ sell 1100 19.5506 21505.690000 27.32 rebalance -7899.540000
2018-05-29 600664.SH sell 7588 4.8327 36670.830000 46.57 rebalance -2011.850000
2018-05-31 600739.SH sell 2400 16.3255 39181.140000 49.76 rebalance -3904.680000
2018-06-04 600900.SH sell 1100 16.8746 18562.110000 23.93 rebalance 672.390000
2018-06-04 600518.SH sell 1600 25.8212 41313.940000 52.47 rebalance 6937.440000
2018-06-04 600023.SH sell 6600 5.2721 34795.730000 44.20 rebalance -1744.970000
2018-06-04 600406.SH sell 2000 16.5252 33050.350000 41.97 rebalance -450.750000
2018-06-04 000876.SZ sell 8000 7.1293 57034.320000 72.43 rebalance -1004.350000
2018-06-04 600016.SH sell 6000 7.7284 46370.340000 58.89 rebalance -1232.570000
2018-06-04 600170.SH sell 16500 3.4149 56345.360000 71.57 rebalance -4964.370000
2018-06-04 000157.SZ sell 7500 4.1937 31452.750000 39.94 rebalance -69.480000
2018-06-04 000425.SZ sell 7672 4.2137 32327.280000 41.06 rebalance 1378.510000
2018-06-04 600270.SH sell 1800 20.8686 37563.570000 47.70 rebalance 3489.730000
2018-06-04 000587.SZ sell 6900 7.5287 51947.960000 65.98 rebalance 4671.550000
2018-06-04 601169.SH sell 4700 6.6400 31208.120000 39.63 rebalance -848.090000
2018-06-04 002602.SZ buy 1100 34.9323 38425.550000 10.38 rebalance
2018-06-04 002408.SZ buy 3300 13.5703 44782.070000 12.10 rebalance
2018-06-04 601288.SH buy 12600 3.6154 45554.230000 12.30 rebalance
2018-06-04 000656.SZ buy 7700 4.9875 38403.520000 10.37 rebalance
2018-06-04 002174.SZ buy 2300 20.9113 48096.040000 12.98 rebalance
2018-06-04 002311.SZ buy 1300 24.2363 31507.190000 8.51 rebalance
2018-06-04 601988.SH buy 4700 3.7757 17745.580000 5.35 rebalance
2018-06-04 601229.SH buy 2500 15.5733 38933.310000 10.51 rebalance
2018-06-04 601328.SH buy 1700 6.0491 10283.400000 5.21 rebalance
2018-06-04 000975.SZ buy 2600 11.0165 28642.900000 7.73 rebalance
2018-06-04 601818.SH buy 3500 3.9760 13915.840000 5.28 rebalance
2018-06-04 601398.SH buy 7900 5.6685 44781.070000 12.10 rebalance
2018-06-04 600642.SH buy 9300 5.4181 50388.470000 13.61 rebalance
2018-06-04 000813.SZ buy 3500 9.7646 34176.190000 9.22 rebalance
2018-06-04 601997.SH buy 3800 13.3400 50691.920000 13.68 rebalance
2018-06-04 002094.SZ buy 2000 13.9008 27801.640000 7.51 rebalance
2018-06-04 600926.SH buy 3100 11.8077 36603.820000 9.88 rebalance
2018-06-04 002025.SZ buy 800 22.9343 18347.480000 5.37 rebalance
2018-06-12 002094.SZ sell 2000 11.9820 23964.000000 30.43 rebalance -3875.580000
2018-06-22 000975.SZ sell 2600 9.5956 24948.520000 31.69 rebalance -3733.800000
2018-06-25 000813.SZ sell 3500 7.8083 27328.940000 34.71 rebalance -6891.170000
2018-06-28 601166.SH sell 1668 14.1787 23650.070000 30.03 rebalance -2824.290000
2018-06-29 002311.SZ sell 1315 20.5791 27061.500000 34.37 rebalance -4482.040000
2018-07-03 601818.SH sell 14800 3.5147 52017.860000 66.06 rebalance -7702.150000
2018-07-03 601988.SH sell 14900 3.4548 51476.670000 65.38 rebalance -5168.260000
2018-07-03 000656.SZ sell 7700 4.7628 36673.910000 46.57 rebalance -1786.550000
2018-07-03 002174.SZ sell 2300 19.9201 45816.170000 58.19 rebalance -2351.030000
2018-07-03 601398.SH sell 7900 5.0824 40150.680000 50.99 rebalance -4693.480000
2018-07-03 600642.SH sell 9300 4.9625 46151.670000 58.61 rebalance -4309.020000
2018-07-03 601997.SH sell 3800 11.9421 45379.830000 57.63 rebalance -5383.410000
2018-07-03 002025.SZ sell 808 22.9555 18548.060000 23.92 rebalance 187.250000
2018-07-03 601229.SH buy 800 15.3730 12298.420000 5.25 rebalance
2018-07-03 600900.SH buy 800 15.9739 12779.140000 5.26 rebalance
2018-07-03 601998.SH buy 10600 5.8888 62421.490000 16.86 rebalance
2018-07-03 600518.SH buy 2200 22.9444 50477.600000 13.63 rebalance
2018-07-03 600028.SH buy 5700 6.3295 36078.040000 9.74 rebalance
2018-07-03 000538.SZ buy 300 106.0488 31814.650000 8.59 rebalance
2018-07-03 600011.SH buy 4900 6.5198 31946.850000 8.63 rebalance
2018-07-03 300408.SZ buy 1200 23.5353 28242.300000 7.62 rebalance
2018-07-03 601328.SH buy 1400 5.6084 7851.760000 5.16 rebalance
2018-07-03 600104.SH buy 900 32.9994 29699.480000 8.01 rebalance
2018-07-03 600085.SH buy 800 35.0024 28001.940000 7.56 rebalance
2018-07-03 600270.SH buy 1300 20.6509 26846.210000 7.25 rebalance
2018-07-03 600572.SH buy 4500 7.2108 32448.600000 8.76 rebalance
2018-07-03 600926.SH buy 700 10.9464 7662.480000 5.15 rebalance
2018-07-03 601799.SH buy 400 59.3890 23755.580000 6.42 rebalance
2018-07-03 002179.SZ buy 800 39.1486 31318.910000 8.46 rebalance
2018-07-03 601009.SH buy 1200 7.4512 8941.390000 5.18 rebalance
2018-07-05 600926.SH sell 5467 7.4888 40941.000000 52.00 rebalance -3388.710000
2018-07-18 601229.SH sell 4772 10.5841 50507.330000 64.15 rebalance -798.970000
2018-07-20 000584.SZ sell 4206 9.3859 39477.100000 50.14 rebalance -22845.800000
2018-08-02 600900.SH sell 600 16.6749 10004.970000 15.20 rebalance 568.760000
2018-08-02 601328.SH sell 11872 5.6016 66502.020000 84.46 rebalance -2159.900000
2018-08-02 601288.SH sell 12600 3.5846 45166.150000 57.36 rebalance -457.740000
2018-08-02 601998.SH sell 10600 5.9111 62657.870000 79.57 rebalance 139.950000
2018-08-02 600518.SH sell 600 20.7988 12479.250000 17.73 rebalance -1169.900000
2018-08-02 000538.SZ sell 304 98.6119 29978.010000 38.07 rebalance -1829.210000
2018-08-02 600011.SH sell 4900 7.6086 37281.990000 47.35 rebalance 5279.160000
2018-08-02 300408.SZ sell 1200 24.3135 29176.170000 37.05 rebalance 889.200000
2018-08-02 600104.SH sell 949 31.3329 29734.950000 37.75 rebalance 7.810000
2018-08-02 600572.SH sell 4596 7.0294 32307.310000 41.04 rebalance -188.070000
2018-08-02 601799.SH sell 400 52.7907 21116.280000 26.82 rebalance -2672.540000
2018-08-02 002179.SZ sell 800 41.5176 33214.100000 42.17 rebalance 1844.570000
2018-08-02 601009.SH sell 1200 7.6785 9214.160000 14.39 rebalance 253.200000
2018-08-02 002030.SZ buy 2900 16.2243 47050.470000 12.70 rebalance
2018-08-02 002028.SZ buy 3000 15.8537 47561.240000 12.84 rebalance
2018-08-02 600270.SH buy 200 21.0916 4218.320000 5.08 rebalance
2018-08-02 600779.SH buy 600 54.2312 32538.740000 8.78 rebalance
2018-08-02 002434.SZ buy 3900 9.5944 37418.040000 10.10 rebalance
2018-08-02 600236.SH buy 6100 5.7887 35310.890000 9.54 rebalance
2018-08-02 000656.SZ buy 7200 5.0576 36414.540000 9.83 rebalance
2018-08-02 000869.SZ buy 800 41.8627 33490.160000 9.04 rebalance
2018-08-02 002664.SZ buy 2100 24.1061 50622.820000 13.67 rebalance
2018-08-02 600660.SH buy 1700 24.8672 42274.320000 11.42 rebalance
2018-08-02 000157.SZ buy 2400 4.1061 9854.760000 5.20 rebalance
2018-08-02 600737.SH buy 4700 7.6615 36008.930000 9.72 rebalance
2018-08-02 002358.SZ buy 3400 14.0410 47739.500000 12.88 rebalance
2018-08-02 600388.SH buy 3800 12.6389 48027.930000 12.97 rebalance
2018-08-02 002242.SZ buy 1900 17.1357 32557.760000 8.79 rebalance
2018-08-02 601006.SH buy 900 8.7932 7913.850000 5.16 rebalance
2018-08-16 600900.SH sell 2800 16.0259 44872.590000 56.99 rebalance 850.900000
2018-08-16 000157.SZ sell 12600 4.0739 51330.890000 65.19 rebalance -1410.170000
2018-08-16 600270.SH sell 1642 19.7403 32413.650000 41.16 rebalance -589.620000
2018-08-16 600518.SH sell 1622 20.5092 33265.910000 42.26 rebalance -3626.640000
2018-08-16 600028.SH sell 5700 6.3704 36311.450000 46.12 rebalance 177.560000
2018-08-16 600085.SH sell 806 30.7039 24747.320000 31.43 rebalance -3284.380000
2018-08-16 002030.SZ sell 2900 16.3055 47285.960000 60.06 rebalance 162.730000
2018-08-16 002028.SZ sell 3000 14.8078 44423.260000 56.42 rebalance -3207.230000
2018-08-16 600779.SH sell 600 50.2745 30164.690000 38.30 rebalance -2421.130000
2018-08-16 002434.SZ sell 3900 9.7054 37851.140000 48.07 rebalance 374.930000
2018-08-16 600236.SH sell 6100 6.2506 38128.720000 48.42 rebalance 2759.870000
2018-08-16 000656.SZ sell 7200 4.9326 35514.650000 45.10 rebalance -954.820000
2018-08-16 000869.SZ sell 800 37.1442 29715.360000 37.74 rebalance -3821.580000
2018-08-16 002664.SZ sell 2100 22.8656 48017.860000 60.98 rebalance -2679.610000
2018-08-16 600660.SH sell 1700 23.2551 39533.610000 50.20 rebalance -2802.330000
2018-08-16 600737.SH sell 4700 7.7484 36417.290000 46.25 rebalance 352.390000
2018-08-16 002358.SZ sell 3400 13.5996 46238.540000 58.72 rebalance -1572.560000
2018-08-16 600388.SH sell 3800 12.0419 45759.260000 58.12 rebalance -2339.770000
2018-08-16 002242.SZ sell 1900 16.2955 30961.490000 39.32 rebalance -1644.390000
2018-08-16 601006.SH sell 900 8.7369 7863.190000 13.02 rebalance -68.850000
2025-07-03 600804.SH sell 102 0.1400 7.166711 0.00 delist_forced -2204.742789

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）。