QTRADE · 回测报告

calm_near_high_u · 生成 2026-07-07 00:01 · 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

防御增强：低波动异象打底，叠加 52 周高点锚定的「安静强势」正交加分。硬门槛只做防御—— 波动率截面最低 40% + 站上 ma_120 慢趋势 + 换手率 ≤70% 分位防拥挤爆炒；「贴近年高」不做 硬过滤只作 25% 权重的温和加分（设计迭代发现硬过滤会在 2021-2022 核心资产坍塌里反复接刀， 降为加分项后回撤显著收敛）。低波票能安静爬到年高附近，说明靠持续小步买盘而非炒作，锚定 效应下信息扩散慢、强势更易延续；inverse_vol 加权 + 月频轮动进一步压波动降换手。失效场景： 单边急牛中弹性不足显著跑输；风格急切换时 ma_120 破位退出有滞后，靠个股止损与组合熔断兜底； 20 日波动窗口短有噪声，靠月频 + 20 只分散平滑。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0.9643
总收益-3.57%
年化收益-0.36%
年化波动+7.21%
夏普(rf=0)-0.05
最大回撤-35.26%
回撤区间2018-01-26 → 2024-02-05
卡玛比-0.01
平仓笔数468
胜率+52.99%
盈亏比(PF)1.07
总成交额44,619,067
总费用34,521
年化换手(单边)2.2
基准年化+3.35%
超额年化-3.71%
信息比率-0.31

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 930 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-02-02 600350.SH buy 11900 6.1893 73652.31 19.88 rebalance
2018-02-02 000963.SZ buy 900 55.9037 50313.36 13.59 rebalance
2018-02-02 000818.SZ buy 3600 12.1482 43733.50 11.80 rebalance
2018-02-02 601328.SH buy 100 6.8402 684.02 5.01 rebalance
2018-02-08 000818.SZ sell 3600 11.1133 40007.90 50.81 rebalance -3788.21
2018-02-12 601985.SH sell 11400 7.1193 81160.08 103.07 rebalance -6193.19
2018-02-12 600377.SH sell 7500 9.3959 70469.14 89.50 rebalance -3701.29
2018-02-13 002178.SZ sell 5900 7.5187 44360.36 56.34 rebalance -40099.13
2018-02-27 300110.SZ sell 4015 6.2706 25176.38 31.97 rebalance -23755.13
2018-03-02 601857.SH sell 6164 7.9381 48930.29 62.14 rebalance -1287.91
2018-03-02 601288.SH sell 10700 4.0839 43697.36 55.49 rebalance 3651.26
2018-03-02 600771.SH sell 1100 40.3793 44417.27 56.41 rebalance -818.99
2018-03-02 600016.SH sell 6100 8.4273 51406.77 65.29 rebalance -661.42
2018-03-02 600900.SH sell 400 16.4153 6566.14 11.70 rebalance 91.01
2018-03-02 601169.SH sell 9400 7.3090 68704.79 87.25 rebalance -2478.11
2018-03-02 600015.SH sell 6000 9.2561 55536.57 70.53 rebalance -4039.12
2018-03-02 600350.SH sell 11900 5.9411 70698.79 89.78 rebalance -3063.18
2018-03-02 002210.SZ buy 900 12.7291 11456.16 5.23 rebalance
2018-03-02 600104.SH buy 1700 33.9509 57716.45 15.58 rebalance
2018-03-02 600023.SH buy 11300 5.5283 62469.56 16.87 rebalance
2018-03-02 000989.SZ buy 2900 20.4306 59248.74 15.99 rebalance
2018-03-02 603889.SH buy 4000 15.5533 62213.18 16.79 rebalance
2018-03-02 600612.SH buy 1300 43.9959 57194.66 15.44 rebalance
2018-03-02 601166.SH buy 2800 17.9068 50139.10 13.53 rebalance
2018-03-02 002630.SZ buy 4400 11.8277 52041.95 14.05 rebalance
2018-03-02 601633.SH buy 4800 12.8092 61484.09 16.60 rebalance
2018-03-02 600439.SH buy 11400 5.9189 67475.06 18.22 rebalance
2018-03-02 000576.SZ buy 2200 20.4006 44881.22 12.12 rebalance
2018-03-02 002614.SZ buy 2100 20.9814 44060.99 11.90 rebalance
2018-03-02 002061.SZ buy 1200 15.4632 18555.79 5.37 rebalance
2018-03-02 601006.SH buy 100 9.1437 914.37 5.02 rebalance
2018-03-12 002512.SZ sell 4700 11.0933 52138.67 66.21 rebalance -42982.53
2018-03-19 600634.SH sell 3500 11.8322 41412.79 52.59 rebalance -24451.12
2018-03-23 002061.SZ sell 1200 13.2900 15948.04 21.27 rebalance -2634.39
2018-03-26 603889.SH sell 4000 13.9490 55796.18 70.87 rebalance -6504.66
2018-03-26 601633.SH sell 4800 11.0933 53248.01 67.62 rebalance -8320.30
2018-03-27 600179.SH sell 2100 15.3270 32186.65 40.88 rebalance -20405.10
2018-04-02 601166.SH sell 2800 16.7049 46773.73 59.40 rebalance -3438.29
2018-04-03 600900.SH sell 5400 15.8961 85839.05 109.02 rebalance -1526.17
2018-04-03 000963.SZ sell 900 64.3334 57900.02 73.54 rebalance 7499.53
2018-04-03 600104.SH sell 1700 33.4997 56949.45 72.33 rebalance -854.91
2018-04-03 000989.SZ sell 2900 21.9770 63733.26 80.93 rebalance 4387.60
2018-04-03 600612.SH sell 1300 40.9085 53181.11 67.54 rebalance -4096.53
2018-04-03 002630.SZ sell 1400 13.7593 19263.06 24.65 rebalance 2675.14
2018-04-03 600439.SH sell 11400 6.0509 68980.37 87.61 rebalance 1399.48
2018-04-03 002614.SZ sell 2100 21.7074 45585.52 57.90 rebalance 1454.73
2018-04-03 000576.SZ buy 2400 20.3305 48793.08 13.18 rebalance
2018-04-03 002359.SZ buy 2300 26.7000 61409.98 16.58 rebalance
2018-04-03 600739.SH buy 4100 17.9268 73500.08 19.85 rebalance
2018-04-03 000587.SZ buy 10100 7.2308 73031.38 19.72 rebalance
2018-04-03 600085.SH buy 1500 33.9509 50926.28 13.75 rebalance
2018-04-03 000975.SZ buy 3700 14.7220 54471.58 14.71 rebalance
2018-04-03 600009.SH buy 900 49.0735 44166.15 11.92 rebalance
2018-04-03 002506.SZ buy 10600 4.5068 47771.55 12.90 rebalance
2018-04-03 600518.SH buy 2100 22.0130 46227.24 12.48 rebalance
2018-04-03 603515.SH buy 900 46.1191 41507.17 11.21 rebalance
2018-04-03 000688.SZ buy 5600 10.1151 56644.84 15.29 rebalance
2018-04-03 000656.SZ buy 9000 5.5583 50024.93 13.51 rebalance
2018-04-03 603816.SH buy 600 61.7024 37021.45 10.00 rebalance
2018-04-03 002408.SZ buy 3300 13.4201 44286.33 11.96 rebalance
2018-04-03 002840.SZ buy 400 42.5637 17025.50 5.34 rebalance
2018-04-19 600023.SH sell 11300 5.2022 58784.69 74.66 rebalance -3776.40
2018-05-03 002630.SZ sell 3000 14.5581 43674.39 55.46 rebalance 8126.21
2018-05-03 002359.SZ sell 900 26.9595 24263.55 30.82 rebalance 196.25
2018-05-03 600739.SH sell 4100 17.2341 70659.85 89.73 rebalance -2949.81
2018-05-03 000587.SZ sell 10100 6.8198 68879.53 87.48 rebalance -4259.06
2018-05-03 600085.SH sell 1500 35.2271 52840.62 67.11 rebalance 1833.49
2018-05-03 000975.SZ sell 3700 15.5766 57633.42 73.19 rebalance 3073.94
2018-05-03 600009.SH sell 900 49.8751 44887.57 57.01 rebalance 652.49
2018-05-03 603515.SH sell 900 47.2490 42524.12 54.00 rebalance 951.74
2018-05-03 000688.SZ sell 5600 10.1647 56922.49 72.29 rebalance 190.07
2018-05-03 000656.SZ sell 9000 5.2521 47268.99 60.04 rebalance -2829.49
2018-05-03 603816.SH sell 600 64.2036 38522.13 48.92 rebalance 1441.76
2018-05-03 002408.SZ sell 3300 13.8991 45867.10 58.26 rebalance 1510.55
2018-05-03 002840.SZ sell 400 50.3743 20149.73 25.59 rebalance 3093.30
2018-05-03 000576.SZ buy 900 20.3104 18279.38 5.37 rebalance
2018-05-03 002540.SZ buy 7300 7.5713 55270.78 14.93 rebalance
2018-05-03 002411.SZ buy 2000 27.3009 54601.78 14.74 rebalance
2018-05-03 000673.SZ buy 2700 16.5248 44616.83 12.04 rebalance
2018-05-03 600270.SH buy 2600 18.8983 49135.59 13.26 rebalance
2018-05-03 600203.SH buy 4100 10.1051 41431.05 11.19 rebalance
2018-05-03 002547.SZ buy 9500 8.5728 81441.98 21.99 rebalance
2018-05-03 002028.SZ buy 2200 17.9869 39571.27 10.68 rebalance
2018-05-03 002317.SZ buy 3400 12.0180 40861.20 11.04 rebalance
2018-05-03 300039.SZ buy 6700 6.5598 43950.83 11.87 rebalance
2018-05-03 600280.SH buy 4300 9.0135 38758.05 10.47 rebalance
2018-05-03 002094.SZ buy 1900 21.5122 40873.22 11.04 rebalance
2018-05-03 603288.SH buy 500 63.5953 31797.63 8.59 rebalance
2018-05-03 300144.SZ buy 1800 20.4606 36829.16 9.95 rebalance
2018-05-03 300094.SZ buy 4800 7.6515 36727.01 9.91 rebalance
2018-05-03 600090.SH buy 2200 8.3926 18463.65 5.37 rebalance
2018-05-03 000078.SZ buy 100 5.8488 584.88 5.01 rebalance
2018-05-04 600290.SH sell 7100 9.5357 67703.29 85.98 rebalance -26055.23
2018-05-18 002359.SZ sell 1400 19.5506 27370.88 34.76 rebalance -10053.96
2018-05-24 600090.SH sell 2200 7.5387 16585.09 21.92 rebalance -1905.86
2018-06-01 002094.SZ sell 3247 13.1403 42666.42 54.19 rebalance 1740.22
2018-06-04 000576.SZ sell 5500 20.3295 111812.03 142.00 rebalance -314.32
2018-06-04 002506.SZ sell 10600 5.0025 53026.34 67.35 rebalance 5174.54
2018-06-04 600518.SH sell 2100 25.8212 54224.54 68.86 rebalance 7915.96
2018-06-04 002540.SZ sell 7300 7.2291 52772.72 67.02 rebalance -2580.01
2018-06-04 002411.SZ sell 2000 33.8092 67618.42 85.87 rebalance 12916.03
2018-06-04 600270.SH sell 2600 20.8686 54258.49 68.91 rebalance 5040.73
2018-06-04 600203.SH sell 4100 9.9850 40938.50 51.99 rebalance -555.73
2018-06-04 002547.SZ sell 9500 8.8367 83948.89 106.62 rebalance 2378.30
2018-06-04 002028.SZ sell 2211 18.1827 40201.92 51.05 rebalance 579.50
2018-06-04 002317.SZ sell 3449 11.5327 39776.20 50.52 rebalance -1138.56
2018-06-04 300039.SZ sell 6795 6.7598 45933.15 58.33 rebalance 1914.10
2018-06-04 600280.SH sell 4300 9.1762 39457.72 50.11 rebalance 639.09
2018-06-04 603288.SH sell 500 74.8875 37443.75 47.55 rebalance 5589.98
2018-06-04 300144.SZ sell 1810 22.9655 41567.56 52.79 rebalance 4684.09
2018-06-04 300094.SZ sell 4800 8.2876 39780.24 50.53 rebalance 2992.79
2018-06-04 600900.SH buy 4000 16.9253 67701.40 18.28 rebalance
2018-06-04 002602.SZ buy 1900 34.9323 66371.41 17.92 rebalance
2018-06-04 002408.SZ buy 5500 13.5703 74636.79 20.15 rebalance
2018-06-04 002840.SZ buy 900 58.0469 52242.25 14.10 rebalance
2018-06-04 000813.SZ buy 5900 9.7646 57611.29 15.55 rebalance
2018-06-04 002311.SZ buy 2200 24.2363 53319.86 14.40 rebalance
2018-06-04 600886.SH buy 7000 7.4512 52158.12 14.08 rebalance
2018-06-04 000975.SZ buy 4300 11.0165 47370.95 12.79 rebalance
2018-06-04 000338.SZ buy 5700 8.7231 49721.47 13.42 rebalance
2018-06-04 600299.SH buy 3900 12.9694 50580.76 13.66 rebalance
2018-06-04 002094.SZ buy 3300 13.9008 45872.71 12.39 rebalance
2018-06-04 002179.SZ buy 1300 39.0585 50776.05 13.71 rebalance
2018-06-04 600104.SH buy 1300 35.9038 46674.91 12.60 rebalance
2018-06-04 601229.SH buy 4100 15.5733 63850.63 17.24 rebalance
2018-06-04 300068.SZ buy 3300 15.9839 52747.00 14.24 rebalance
2018-06-04 002042.SZ buy 3100 13.6404 42285.33 11.42 rebalance
2018-06-04 000543.SZ buy 10000 5.0075 50075.00 13.52 rebalance
2018-06-04 002029.SZ buy 3300 9.4642 31231.78 8.43 rebalance
2018-06-07 002042.SZ sell 4825 8.7369 42155.42 53.54 rebalance -188.72
2018-06-08 600682.SH sell 1500 32.9505 49425.75 62.78 rebalance -7662.81
2018-06-11 300068.SZ sell 3300 14.2486 47020.36 59.72 rebalance -5800.60
2018-06-12 002094.SZ sell 3300 11.9820 39540.60 50.22 rebalance -6394.72
2018-06-19 002840.SZ sell 900 50.5241 45471.69 57.75 rebalance -6842.41
2018-06-20 000975.SZ sell 4300 10.0150 43064.31 54.69 rebalance -4374.12
2018-06-20 000543.SZ sell 10020 4.4833 44922.32 57.05 rebalance -5218.43
2018-06-20 002029.SZ sell 3337 8.1378 27155.76 34.49 rebalance -4117.82
2018-06-22 002311.SZ sell 2200 22.0868 48591.00 61.71 rebalance -4804.97
2018-06-25 000813.SZ sell 5900 7.8083 46068.79 58.51 rebalance -11616.55
2018-06-26 600299.SH sell 3953 11.5826 45786.02 58.16 rebalance -4862.23
2018-07-03 000338.SZ sell 5700 8.5871 48946.47 62.17 rebalance -850.59
2018-07-03 600104.SH sell 1300 32.9006 42770.75 54.32 rebalance -3971.08
2018-07-03 601229.SH sell 4100 15.3270 62840.60 79.81 rebalance -1107.08
2018-07-03 600900.SH buy 1300 15.9739 20766.10 5.61 rebalance
2018-07-03 000538.SZ buy 500 106.0488 53024.42 14.32 rebalance
2018-07-03 600572.SH buy 7200 7.2108 51917.76 14.02 rebalance
2018-07-03 600518.SH buy 3600 22.9444 82599.71 22.30 rebalance
2018-07-03 600011.SH buy 7900 6.5198 51506.14 13.91 rebalance
2018-07-03 600270.SH buy 2200 20.6509 45432.05 12.27 rebalance
2018-07-03 300408.SZ buy 2000 23.5353 47070.50 12.71 rebalance
2018-07-03 601799.SH buy 700 59.3890 41572.26 11.22 rebalance
2018-07-03 002242.SZ buy 2600 17.2358 44813.12 12.10 rebalance
2018-07-03 002493.SZ buy 4200 10.4056 43703.46 11.80 rebalance
2018-07-03 600027.SH buy 11800 3.8958 45970.85 12.41 rebalance
2018-07-03 603899.SH buy 1300 31.6975 41206.72 11.12 rebalance
2018-07-03 002007.SZ buy 1300 32.0280 41636.36 11.24 rebalance
2018-07-03 600280.SH buy 2500 8.7932 21982.92 5.94 rebalance
2018-07-06 603899.SH sell 1300 27.5087 35761.28 45.42 rebalance -5501.98
2018-07-24 600518.SH sell 3636 21.2481 77258.02 98.12 rebalance -5446.53
2018-08-02 600900.SH sell 1500 16.6749 25012.42 31.76 rebalance 671.10
2018-08-02 600886.SH sell 1300 7.8083 10150.75 15.35 rebalance 446.28
2018-08-02 002179.SZ sell 1303 41.5176 54097.47 68.70 rebalance 3271.64
2018-08-02 000538.SZ sell 507 98.6119 49996.21 63.50 rebalance -3050.70
2018-08-02 600572.SH sell 7354 7.0294 51694.50 65.64 rebalance -300.90
2018-08-02 600011.SH sell 7900 7.6086 60107.70 76.34 rebalance 8511.31
2018-08-02 300408.SZ sell 2000 24.3135 48626.95 61.76 rebalance 1481.98
2018-08-02 601799.SH sell 700 52.7907 36953.49 46.93 rebalance -4676.93
2018-08-02 002493.SZ sell 4200 11.5726 48604.98 61.72 rebalance 4828.01
2018-08-02 600027.SH sell 11853 4.4034 52193.32 66.28 rebalance 6146.25
2018-08-02 002007.SZ sell 1300 32.8407 42692.86 54.21 rebalance 991.05
2018-08-02 600280.SH sell 2500 9.3859 23464.75 29.80 rebalance 1446.09
2018-08-02 600028.SH buy 8100 6.6500 53864.68 14.55 rebalance
2018-08-02 600236.SH buy 8900 5.7887 51519.16 13.91 rebalance
2018-08-02 000656.SZ buy 10300 5.0576 52093.02 14.06 rebalance
2018-08-02 600779.SH buy 900 54.2312 48808.10 13.18 rebalance
2018-08-02 600660.SH buy 2400 24.8672 59681.39 16.11 rebalance
2018-08-02 601006.SH buy 5700 8.7932 50121.07 13.53 rebalance
2018-08-02 000869.SZ buy 1200 41.8627 50235.24 13.56 rebalance
2018-08-02 002030.SZ buy 4300 16.2243 69764.49 18.84 rebalance
2018-08-02 600826.SH buy 3500 14.6519 51281.81 13.85 rebalance
2018-08-02 600674.SH buy 5800 8.7731 50884.21 13.74 rebalance
2018-08-02 000338.SZ buy 5500 8.4727 46599.80 12.58 rebalance
2018-08-02 000089.SZ buy 3800 8.1422 30940.34 8.36 rebalance
2018-08-06 000338.SZ sell 5500 7.7484 42615.98 54.12 rebalance -4050.52
2018-08-07 600660.SH sell 2400 23.1452 55548.55 70.55 rebalance -4219.50
2018-08-15 601006.SH sell 5805 8.9066 51702.93 65.66 rebalance 588.57
2018-08-15 000673.SZ sell 2700 6.4004 17281.04 22.63 rebalance -27370.46
2018-08-15 600900.SH sell 3960 16.2256 64253.48 81.60 rebalance -5.37
2018-08-15 600886.SH sell 5829 7.3390 42778.89 54.33 rebalance 242.94
2018-08-15 600270.SH sell 2266 19.8801 45048.39 57.21 rebalance -445.15
2018-08-15 002242.SZ sell 2600 16.5052 42913.53 54.50 rebalance -1966.19
2018-08-15 600028.SH sell 8100 6.5801 53298.93 67.69 rebalance -647.98
2018-08-15 600236.SH sell 8900 6.3305 56341.36 71.56 rebalance 4736.73
2018-08-15 000656.SZ sell 10300 5.0824 52348.36 66.49 rebalance 174.79
2018-08-15 600779.SH sell 900 51.8421 46657.91 59.25 rebalance -2222.62
2018-08-15 000869.SZ sell 1200 38.4423 46130.70 58.58 rebalance -4176.68
2018-08-15 002030.SZ sell 4300 16.3754 70414.22 89.42 rebalance 541.47
2018-08-15 600826.SH sell 3500 15.4768 54168.62 68.79 rebalance 2804.18
2018-08-15 600674.SH sell 5800 8.6171 49978.92 63.47 rebalance -982.50
2018-08-15 000089.SZ sell 3800 8.2376 31302.98 39.76 rebalance 314.51

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）。