QTRADE · 回测报告

composite_calm_momentum · 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

三个弱信号横截面 zscore 加权合成：低波动（权重1.0，博彩偏好+杠杆约束异象）、 低换手（权重1.0，筹码稳定/低拥挤度代理）、6个月剔除近1个月动量（权重0.5， (1+ret_120)/(1+ret_20)-1，规避追最近一个月最热的票）。单因子信噪比低且各有 失效期，合成互为对冲：动量崩溃期靠低波低换手兜底，普涨期靠动量腿捡回弹性。 月频 25 只等权 + 中大市值与流动性护栏，把小而稳的优势靠分散和低换手费率累积。 失效场景：流动性驱动的垃圾股普涨行情中三条腿同时跑输；波动与换手窗口均为 20 日，对急速风格切换有滞后；熔断触发后可能踏空修复段。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0.8873
总收益-11.27%
年化收益-1.18%
年化波动+6.13%
夏普(rf=0)-0.19
最大回撤-33.34%
回撤区间2018-01-26 → 2024-02-05
卡玛比-0.04
平仓笔数502
胜率+50.20%
盈亏比(PF)0.96
总成交额39,711,235
总费用30,522
年化换手(单边)2.1
基准年化+2.25%
超额年化-3.42%
信息比率-0.29

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 1002 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-02-02 600642.SH buy 8000 5.8988 47190.680000 12.74 rebalance
2018-02-02 600886.SH buy 6600 7.0305 46401.500000 12.53 rebalance
2018-02-02 600998.SH buy 2700 17.0255 45968.850000 12.41 rebalance
2018-02-02 601880.SH buy 17600 2.6740 47062.490000 12.71 rebalance
2018-02-02 002390.SZ buy 5800 8.0420 46643.860000 12.59 rebalance
2018-02-02 600572.SH buy 6900 6.7101 46299.350000 12.50 rebalance
2018-02-02 000598.SZ buy 9100 5.1577 46935.300000 12.67 rebalance
2018-02-02 600795.SH buy 15400 3.0646 47194.690000 12.74 rebalance
2018-02-02 000963.SZ buy 300 55.9037 16771.120000 5.34 rebalance
2018-02-08 601888.SH sell 900 46.9894 42290.470000 53.71 rebalance -3221.580000
2018-02-13 601390.SH sell 5200 7.5886 39460.720000 50.12 rebalance -4971.840000
2018-02-13 002178.SZ sell 3100 7.5187 23307.990000 29.61 rebalance -23490.280000
2018-02-27 300110.SZ sell 3671 6.2706 23019.300000 29.23 rebalance -21719.820000
2018-03-02 600170.SH sell 11900 3.7843 45033.350000 57.19 rebalance -443.110000
2018-03-02 000008.SZ sell 5700 7.5087 42799.700000 54.36 rebalance -3963.190000
2018-03-02 002268.SZ sell 2000 24.3634 48726.800000 61.88 rebalance 3384.890000
2018-03-02 000883.SZ sell 10100 4.5432 45886.070000 58.28 rebalance -1119.180000
2018-03-02 600674.SH sell 4900 9.2261 45208.090000 57.41 rebalance -1825.340000
2018-03-02 600998.SH sell 2700 16.8547 45507.640000 57.80 rebalance -531.420000
2018-03-02 601880.SH sell 17600 2.5562 44988.420000 57.14 rebalance -2143.920000
2018-03-02 002390.SZ sell 5800 7.9181 45925.010000 58.33 rebalance -789.770000
2018-03-02 000598.SZ sell 9100 4.9426 44977.430000 57.12 rebalance -2027.660000
2018-03-02 000963.SZ sell 300 56.5151 16954.530000 22.29 rebalance 155.780000
2018-03-02 600104.SH buy 1300 33.9509 44136.110000 11.91 rebalance
2018-03-02 300176.SZ buy 300 132.2280 39668.410000 10.71 rebalance
2018-03-02 600023.SH buy 7900 5.5283 43673.410000 11.79 rebalance
2018-03-02 002602.SZ buy 1300 33.0395 42951.330000 11.60 rebalance
2018-03-02 600816.SH buy 3400 12.8092 43551.230000 11.76 rebalance
2018-03-02 600085.SH buy 1300 32.1982 41857.690000 11.30 rebalance
2018-03-02 601018.SH buy 8200 5.3280 43689.440000 11.79 rebalance
2018-03-02 601669.SH buy 6100 7.1707 43741.510000 11.81 rebalance
2018-03-02 600741.SH buy 1600 26.1892 41902.760000 11.32 rebalance
2018-03-02 600000.SH buy 3500 12.4186 43465.100000 11.74 rebalance
2018-03-02 600252.SH buy 11200 3.9559 44306.360000 11.97 rebalance
2018-03-02 600612.SH buy 1000 43.9959 43995.900000 11.88 rebalance
2018-03-02 000848.SZ buy 3900 9.2939 36246.290000 9.78 rebalance
2018-03-12 002512.SZ sell 2200 11.0933 24405.340000 31.00 rebalance -20496.960000
2018-03-27 002509.SZ sell 4800 5.8912 28277.520000 35.92 rebalance -16717.860000
2018-03-27 600179.SH sell 1800 15.3270 27588.560000 35.04 rebalance -16804.890000
2018-03-29 600741.SH sell 1600 23.5247 37639.460000 47.80 rebalance -4322.420000
2018-04-03 600377.SH sell 4700 9.5457 44864.600000 56.98 rebalance -1616.420000
2018-04-03 600518.SH sell 2200 21.9470 48283.470000 61.32 rebalance 1940.350000
2018-04-03 600642.SH sell 8000 5.7314 45851.120000 58.23 rebalance -1410.530000
2018-04-03 600886.SH sell 6600 6.9895 46130.700000 58.58 rebalance -341.910000
2018-04-03 600572.SH sell 6900 6.9496 47951.960000 60.90 rebalance 1579.220000
2018-04-03 600795.SH sell 15300 2.9256 44761.760000 56.85 rebalance -2195.980000
2018-04-03 600104.SH sell 1300 33.4997 43549.580000 55.31 rebalance -653.750000
2018-04-03 300176.SZ sell 300 137.2139 41164.160000 52.27 rebalance 1432.770000
2018-04-03 002602.SZ sell 1300 33.7693 43900.050000 55.76 rebalance 881.360000
2018-04-03 600816.SH sell 3400 11.5826 39380.840000 50.02 rebalance -4232.170000
2018-04-03 600085.SH sell 1300 33.8492 44003.900000 55.88 rebalance 2079.020000
2018-04-03 601669.SH sell 6100 6.6001 40260.520000 51.14 rebalance -3543.950000
2018-04-03 600000.SH sell 3400 11.6425 39584.530000 50.27 rebalance -2700.380000
2018-04-03 600252.SH sell 11200 3.9541 44285.470000 56.25 rebalance -89.110000
2018-04-03 600612.SH sell 900 40.9085 36817.690000 46.76 rebalance -2836.070000
2018-04-03 000848.SZ sell 3900 9.0364 35242.060000 44.75 rebalance -1058.760000
2018-04-03 000576.SZ buy 2000 20.3305 40660.900000 10.98 rebalance
2018-04-03 002493.SZ buy 2900 14.4216 41822.640000 11.30 rebalance
2018-04-03 601818.SH buy 10400 4.0461 42079.020000 11.36 rebalance
2018-04-03 600015.SH buy 4700 8.8332 41516.180000 11.21 rebalance
2018-04-03 600016.SH buy 5300 7.9219 41985.880000 11.34 rebalance
2018-04-03 601328.SH buy 6800 6.1492 41814.630000 11.29 rebalance
2018-04-03 601006.SH buy 5100 8.1722 41678.420000 11.25 rebalance
2018-04-03 600018.SH buy 6000 6.9104 41462.100000 11.20 rebalance
2018-04-03 601166.SH buy 2500 16.5248 41311.880000 11.16 rebalance
2018-04-03 600170.SH buy 11300 3.7256 42099.050000 11.36 rebalance
2018-04-03 000688.SZ buy 4100 10.1151 41472.110000 11.20 rebalance
2018-04-03 601169.SH buy 6100 6.8703 41908.770000 11.32 rebalance
2018-04-03 601988.SH buy 10800 3.8558 41642.370000 11.24 rebalance
2018-04-03 600009.SH buy 800 49.0735 39258.800000 10.60 rebalance
2018-04-03 600695.SH buy 4400 9.3841 41289.840000 11.15 rebalance
2018-04-03 601668.SH buy 4800 8.6630 41582.280000 11.23 rebalance
2018-04-03 601766.SH buy 4200 9.9249 41684.430000 11.25 rebalance
2018-04-03 000157.SZ buy 9900 4.1863 41444.070000 11.19 rebalance
2018-04-03 000876.SZ buy 5700 7.2909 41558.240000 11.22 rebalance
2018-04-03 600674.SH buy 1600 9.0135 14421.600000 5.29 rebalance
2018-04-23 600695.SH sell 4400 8.1877 36025.880000 45.76 rebalance -5320.870000
2018-05-03 601018.SH sell 8200 5.1023 41839.150000 53.14 rebalance -1915.220000
2018-05-03 601006.SH sell 5100 8.4573 43132.200000 54.77 rebalance 1387.760000
2018-05-03 600018.SH sell 6000 6.8297 40978.440000 52.04 rebalance -546.900000
2018-05-03 000688.SZ sell 4100 10.1647 41675.390000 52.93 rebalance 139.150000
2018-05-03 600009.SH sell 800 49.8751 39900.060000 50.68 rebalance 579.980000
2018-05-03 601668.SH sell 4800 8.3674 40163.660000 51.00 rebalance -1480.850000
2018-05-03 601766.SH sell 4200 9.5856 40259.520000 51.13 rebalance -1487.290000
2018-05-03 300176.SZ buy 300 135.7032 40710.970000 10.99 rebalance
2018-05-03 600518.SH buy 1700 23.2348 39499.160000 10.66 rebalance
2018-05-03 600252.SH buy 10900 3.7757 41154.640000 11.11 rebalance
2018-05-03 600346.SH buy 2700 15.0926 40750.030000 11.01 rebalance
2018-05-03 600688.SH buy 7100 5.7787 41028.450000 11.08 rebalance
2018-05-03 600795.SH buy 14300 2.8543 40816.130000 11.02 rebalance
2018-05-03 000673.SZ buy 2500 16.5248 41311.880000 11.16 rebalance
2018-05-03 002547.SZ buy 4400 8.5728 37720.500000 10.18 rebalance
2018-05-09 002493.SZ sell 4384 10.1847 44649.720000 56.70 rebalance 2759.570000
2018-05-29 002072.SZ sell 1500 13.7993 20698.910000 26.28 rebalance -24392.010000
2018-05-30 300176.SZ sell 574 73.6494 42274.730000 53.69 rebalance 1533.300000
2018-06-04 600023.SH sell 8000 5.2721 42176.640000 53.56 rebalance -2107.090000
2018-06-04 600900.SH sell 300 16.8746 5062.390000 10.16 rebalance 327.890000
2018-06-04 000576.SZ sell 2000 20.3295 40658.920000 51.63 rebalance -64.590000
2018-06-04 000876.SZ sell 5700 7.1293 40636.950000 51.61 rebalance -984.120000
2018-06-04 600674.SH sell 1600 9.2861 14857.680000 20.16 rebalance 410.630000
2018-06-04 600518.SH sell 1700 25.8212 43896.060000 55.75 rebalance 4330.490000
2018-06-04 600252.SH sell 11074 3.5646 39474.880000 50.13 rebalance -1739.510000
2018-06-04 600346.SH sell 2700 15.5267 41922.020000 53.24 rebalance 1107.740000
2018-06-04 600688.SH sell 7100 5.6715 40267.510000 51.15 rebalance -823.170000
2018-06-04 002547.SZ sell 4400 8.8367 38881.590000 49.38 rebalance 1101.530000
2018-06-04 000656.SZ buy 8100 4.9875 40398.510000 10.91 rebalance
2018-06-04 002840.SZ buy 700 58.0469 40632.860000 10.97 rebalance
2018-06-04 601288.SH buy 11300 3.6154 40854.190000 11.03 rebalance
2018-06-04 002602.SZ buy 1100 34.9323 38425.550000 10.38 rebalance
2018-06-04 601398.SH buy 7200 5.6685 40813.130000 11.02 rebalance
2018-06-04 600642.SH buy 7500 5.4181 40635.860000 10.97 rebalance
2018-06-04 002311.SZ buy 1600 24.2363 38778.080000 10.47 rebalance
2018-06-04 002174.SZ buy 1900 20.9113 39731.510000 10.72 rebalance
2018-06-04 000975.SZ buy 3600 11.0165 39659.400000 10.70 rebalance
2018-06-04 002408.SZ buy 3000 13.5703 40710.980000 10.99 rebalance
2018-06-04 601998.SH buy 6400 6.3595 40700.960000 10.99 rebalance
2018-06-04 601006.SH buy 1600 8.5027 13604.380000 5.27 rebalance
2018-06-14 600170.SH sell 11745 3.2651 38348.540000 48.71 rebalance -3810.040000
2018-06-19 002840.SZ sell 700 50.5241 35366.870000 44.92 rebalance -5321.880000
2018-06-20 600795.SH sell 14400 2.5761 37096.270000 47.11 rebalance -4084.530000
2018-06-20 600015.SH sell 4700 7.7084 36229.570000 46.01 rebalance -5343.830000
2018-06-20 601169.SH sell 6100 5.9910 36545.100000 46.42 rebalance -5421.410000
2018-06-22 000975.SZ sell 3500 9.5956 33584.550000 42.65 rebalance -5026.260000
2018-06-28 600016.SH sell 5300 6.8297 36197.620000 45.97 rebalance -5845.570000
2018-06-28 601166.SH sell 2606 14.1787 36949.690000 46.93 rebalance -4412.540000
2018-06-29 002311.SZ sell 1618 20.5791 33296.960000 42.29 rebalance -5514.780000
2018-07-03 601818.SH sell 10400 3.5147 36553.090000 46.42 rebalance -5583.720000
2018-07-03 000656.SZ sell 8100 4.7628 38579.040000 48.99 rebalance -1879.360000
2018-07-03 601398.SH sell 7200 5.0824 36593.030000 46.47 rebalance -4277.590000
2018-07-03 600642.SH sell 7400 4.9625 36722.830000 46.63 rebalance -3428.670000
2018-07-03 002174.SZ sell 1900 19.9201 37848.140000 48.07 rebalance -1942.160000
2018-07-03 601006.SH sell 1689 7.9481 13424.270000 18.69 rebalance -198.980000
2018-07-03 600518.SH buy 1600 22.9444 36710.980000 9.91 rebalance
2018-07-03 601229.SH buy 2400 15.3730 36895.260000 9.96 rebalance
2018-07-03 600028.SH buy 6000 6.3295 37976.880000 10.25 rebalance
2018-07-03 600015.SH buy 5200 7.3110 38016.940000 10.26 rebalance
2018-07-03 600016.SH buy 5500 6.8402 37621.350000 10.16 rebalance
2018-07-03 600688.SH buy 6800 5.5583 37796.610000 10.21 rebalance
2018-07-03 002563.SZ buy 2600 14.2213 36975.380000 9.98 rebalance
2018-07-03 601169.SH buy 6400 5.9289 37944.830000 10.25 rebalance
2018-07-03 002352.SZ buy 800 44.2663 35413.040000 9.56 rebalance
2018-07-03 600398.SH buy 3000 12.5889 37766.570000 10.20 rebalance
2018-07-03 600011.SH buy 5800 6.5198 37814.640000 10.21 rebalance
2018-07-03 002142.SZ buy 2300 16.0941 37016.440000 9.99 rebalance
2018-07-03 600528.SH buy 3700 10.0150 37055.500000 10.00 rebalance
2018-07-03 600018.SH buy 6400 5.9089 37816.640000 10.21 rebalance
2018-07-06 600016.SH sell 6690 5.6116 37541.400000 47.68 rebalance -134.870000
2018-07-18 601229.SH sell 3470 10.5841 36726.830000 46.64 rebalance -215.380000
2018-07-24 600221.SH sell 6137 2.4963 15319.490000 20.63 rebalance -4131.190000
2018-08-02 600900.SH sell 300 16.6749 5002.480000 10.10 rebalance 450.050000
2018-08-02 601328.SH sell 7144 5.6016 40017.720000 50.82 rebalance -1854.590000
2018-08-02 601988.SH sell 11338 3.5447 40189.530000 51.04 rebalance -1513.270000
2018-08-02 601288.SH sell 11300 3.5846 40506.150000 51.45 rebalance -410.520000
2018-08-02 601998.SH sell 6681 5.9111 39492.190000 50.15 rebalance -1269.410000
2018-08-02 600015.SH sell 5200 7.4388 38681.890000 49.12 rebalance 605.570000
2018-08-02 600688.SH sell 7184 5.3220 38233.280000 48.55 rebalance 378.870000
2018-08-02 002563.SZ sell 2600 12.7508 33152.200000 42.10 rebalance -3875.260000
2018-08-02 601169.SH sell 6698 5.8512 39191.400000 49.77 rebalance 1189.080000
2018-08-02 600398.SH sell 3000 11.2930 33879.110000 43.03 rebalance -3940.690000
2018-08-02 600011.SH sell 5800 7.6086 44129.710000 56.04 rebalance 6248.820000
2018-08-02 002142.SZ sell 2356 17.0144 40086.020000 50.91 rebalance 3021.090000
2018-08-02 600528.SH sell 3700 10.1148 37424.780000 47.53 rebalance 311.750000
2018-08-02 002030.SZ buy 2300 16.2243 37315.890000 10.08 rebalance
2018-08-02 002028.SZ buy 2400 15.8537 38048.990000 10.27 rebalance
2018-08-02 600270.SH buy 1800 21.0916 37964.860000 10.25 rebalance
2018-08-02 600660.SH buy 1500 24.8672 37300.870000 10.08 rebalance
2018-08-02 600236.SH buy 6600 5.7887 38205.220000 10.31 rebalance
2018-08-02 002358.SZ buy 2700 14.0410 37910.780000 10.24 rebalance
2018-08-02 601198.SH buy 3100 12.4186 38497.660000 10.39 rebalance
2018-08-02 000869.SZ buy 900 41.8627 37676.430000 10.17 rebalance
2018-08-02 600388.SH buy 3000 12.6389 37916.790000 10.24 rebalance
2018-08-02 601333.SH buy 8800 4.3064 37896.760000 10.23 rebalance
2018-08-02 000656.SZ buy 7500 5.0576 37931.810000 10.24 rebalance
2018-08-02 000166.SZ buy 8700 4.3866 38163.160000 10.30 rebalance
2018-08-02 600104.SH buy 1200 31.4271 37712.480000 10.18 rebalance
2018-08-02 600674.SH buy 4300 8.7731 37724.500000 10.18 rebalance
2018-08-02 601006.SH buy 3200 8.7932 28138.140000 7.59 rebalance
2018-08-09 601198.SH sell 3146 9.9650 31349.980000 39.82 rebalance -7187.760000
2018-08-15 600900.SH sell 2300 16.2256 37318.940000 47.40 rebalance 2446.970000
2018-08-15 000157.SZ sell 9900 4.1637 41221.080000 52.35 rebalance -286.540000
2018-08-15 000673.SZ sell 2500 6.4004 16000.960000 21.32 rebalance -25343.390000
2018-08-15 600518.SH sell 1616 20.9485 33852.820000 42.99 rebalance -2904.130000
2018-08-15 600028.SH sell 6000 6.5801 39480.690000 50.14 rebalance 1443.420000
2018-08-15 002352.SZ sell 800 43.2750 34619.990000 43.96 rebalance -846.570000
2018-08-15 600018.SH sell 6400 5.8712 37575.550000 47.72 rebalance -299.020000
2018-08-15 002030.SZ sell 2300 16.3754 37663.420000 47.83 rebalance 289.620000
2018-08-15 002028.SZ sell 2400 14.7878 35490.680000 45.07 rebalance -2613.640000
2018-08-15 600270.SH sell 1800 19.8801 35784.240000 45.45 rebalance -2236.320000
2018-08-15 600660.SH sell 1500 24.1138 36170.660000 45.93 rebalance -1186.220000
2018-08-15 600236.SH sell 6600 6.3305 41781.230000 53.07 rebalance 3512.630000
2018-08-15 002358.SZ sell 2700 13.7394 37096.270000 47.11 rebalance -871.860000
2018-08-15 000869.SZ sell 900 38.4423 34598.030000 43.94 rebalance -3132.510000
2018-08-15 600388.SH sell 3000 12.2616 36784.740000 46.72 rebalance -1189.010000
2018-08-15 601333.SH sell 8971 4.1837 37532.110000 47.66 rebalance -421.320000
2018-08-15 000656.SZ sell 7400 5.0824 37609.500000 47.76 rebalance 125.580000
2018-08-15 000166.SZ sell 8700 4.4034 38309.450000 48.66 rebalance 87.330000
2018-08-15 600104.SH sell 1200 29.6654 35598.520000 45.21 rebalance -2169.350000
2018-08-15 600674.SH sell 4300 8.6171 37053.340000 47.05 rebalance -728.400000
2018-08-15 601006.SH sell 3200 8.9066 28501.180000 36.20 rebalance 319.250000
2025-07-03 600804.SH sell 102 0.1400 7.166711 0.00 delist_forced -2204.742511

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
benchmark000905.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）。