QTRADE · 回测报告

composite_quiet_strength · 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

「安静强势」三因子合成：低波动为锚（权重1.0），叠加距 250 日高点的接近度 （权重0.5，dist_250d_high 越接近 0 越好）与低换手（权重0.5），横截面 zscore 加权求和。选出的是波动小、悄悄走到年内高点附近、且未被资金爆炒的股票， 风格近似红利/隐形冠军。与纯年高动量（追突破、周频高换手）不同，低波锚 压掉了追高接盘票；与纯低波不同，年高接近度腿剔除了阴跌的低波价值陷阱。 inverse_vol 加权 + 月频 20 只 + 中大市值流动性护栏，单边年化换手约 6 倍， 费用侵蚀低。失效场景：快牛/普涨行情弹性不足、大幅跑输基准；「低波+近高」 风格拥挤（如红利抱团瓦解）时回撤同步放大；20 日波动窗口对突发风格切换 反应滞后。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0.9161
总收益-8.39%
年化收益-0.86%
年化波动+6.01%
夏普(rf=0)-0.14
最大回撤-35.66%
回撤区间2018-01-26 → 2024-02-05
卡玛比-0.02
平仓笔数415
胜率+52.77%
盈亏比(PF)1.11
总成交额34,427,571
总费用26,885
年化换手(单边)1.7
基准年化+2.25%
超额年化-3.11%
信息比率-0.27

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 837 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-02-02 600642.SH buy 11200 5.8988 66066.95 17.84 rebalance
2018-02-02 600377.SH buy 5300 9.8748 52336.39 14.13 rebalance
2018-02-02 002210.SZ buy 4400 13.0596 57462.06 15.52 rebalance
2018-02-02 000883.SZ buy 12800 4.6470 59481.09 16.06 rebalance
2018-02-02 601390.SH buy 6300 8.5728 54008.89 14.58 rebalance
2018-02-02 002252.SZ buy 4600 19.6995 90617.72 24.46 rebalance
2018-02-02 601169.SH buy 6800 7.5613 51417.01 13.88 rebalance
2018-02-02 000008.SZ buy 7000 8.1923 57345.89 15.49 rebalance
2018-02-02 600016.SH buy 4700 9.1737 43116.58 11.64 rebalance
2018-02-02 600350.SH buy 8600 6.1893 53227.72 14.37 rebalance
2018-02-02 000685.SZ buy 5300 10.1752 53928.77 14.56 rebalance
2018-02-02 600886.SH buy 7900 7.0305 55541.19 15.00 rebalance
2018-02-02 000598.SZ buy 13200 5.1577 68081.97 18.38 rebalance
2018-02-02 600269.SH buy 13500 5.1677 69764.49 18.84 rebalance
2018-02-13 002178.SZ sell 4300 7.5187 32330.43 41.06 rebalance -32583.28
2018-02-13 601390.SH sell 6300 7.5886 47808.18 60.72 rebalance -6276.01
2018-03-02 600170.SH sell 17000 3.7843 64333.36 81.70 rebalance -373.17
2018-03-02 600642.SH sell 2300 5.7813 13297.02 18.57 rebalance -292.53
2018-03-02 601169.SH sell 6800 7.3090 49701.34 63.12 rebalance -1792.67
2018-03-02 000008.SZ sell 7000 7.5087 52561.04 66.75 rebalance -4867.09
2018-03-02 600016.SH sell 4700 8.4273 39608.50 50.30 rebalance -3570.02
2018-03-02 600350.SH sell 8600 5.9411 51093.25 64.88 rebalance -2213.73
2018-03-02 000685.SZ sell 5300 9.6655 51227.04 65.06 rebalance -2781.35
2018-03-02 000598.SZ sell 13200 4.9426 65241.99 82.85 rebalance -2941.21
2018-03-02 600269.SH sell 13500 4.9625 66994.36 85.08 rebalance -2874.05
2018-03-02 600104.SH buy 1400 33.9509 47531.19 12.83 rebalance
2018-03-02 002210.SZ buy 1300 12.7291 16547.78 5.33 rebalance
2018-03-02 600518.SH buy 3600 21.0315 75713.40 20.44 rebalance
2018-03-02 000584.SZ buy 600 14.6319 8779.15 5.18 rebalance
2018-03-02 600023.SH buy 9200 5.5283 50860.18 13.74 rebalance
2018-03-02 002602.SZ buy 1700 33.0395 56167.12 15.16 rebalance
2018-03-02 601985.SH buy 2200 7.1808 15797.66 5.32 rebalance
2018-03-02 600085.SH buy 1600 32.1982 51517.16 13.91 rebalance
2018-03-02 601669.SH buy 9400 7.1707 67404.96 18.20 rebalance
2018-03-02 600816.SH buy 5200 12.8092 66607.76 17.98 rebalance
2018-03-02 601633.SH buy 3900 12.8092 49955.82 13.49 rebalance
2018-03-02 600000.SH buy 4000 12.4186 49674.40 13.41 rebalance
2018-03-02 600612.SH buy 400 43.9959 17598.36 5.35 rebalance
2018-03-02 600252.SH buy 500 3.9559 1977.96 5.04 rebalance
2018-03-02 603077.SH buy 100 2.0931 209.31 5.00 rebalance
2018-04-03 600377.SH sell 5400 9.5457 51546.56 65.47 rebalance -1850.07
2018-04-03 601985.SH sell 10200 6.6400 67728.26 86.01 rebalance -7385.40
2018-04-03 000883.SZ sell 12800 4.2836 54829.63 69.64 rebalance -4737.16
2018-04-03 600886.SH sell 1000 6.9895 6989.50 12.13 rebalance -55.06
2018-04-03 600104.SH sell 1400 33.4997 46899.54 59.56 rebalance -704.04
2018-04-03 600518.SH sell 3600 21.9470 79009.31 100.34 rebalance 3175.13
2018-04-03 600023.SH sell 1700 5.4918 9335.98 14.53 rebalance -79.17
2018-04-03 002602.SZ sell 1700 33.7693 57407.76 72.91 rebalance 1152.56
2018-04-03 600085.SH sell 1600 33.8492 54158.64 68.78 rebalance 2558.79
2018-04-03 601669.SH sell 9400 6.6001 62040.80 78.79 rebalance -5461.15
2018-04-03 600816.SH sell 5200 11.5826 60229.52 76.49 rebalance -6472.71
2018-04-03 601633.SH sell 3900 11.2831 44003.90 55.88 rebalance -6021.30
2018-04-03 600612.SH sell 400 40.9085 16363.42 21.69 rebalance -1261.98
2018-04-03 000576.SZ buy 3100 20.3305 63024.40 17.02 rebalance
2018-04-03 600170.SH buy 16100 3.7256 59981.84 16.20 rebalance
2018-04-03 600739.SH buy 2700 17.9268 48402.49 13.07 rebalance
2018-04-03 601169.SH buy 8000 6.8703 54962.32 14.84 rebalance
2018-04-03 600015.SH buy 7300 8.8332 64482.58 17.41 rebalance
2018-04-03 601328.SH buy 11900 6.1492 73175.60 19.75 rebalance
2018-04-03 000157.SZ buy 22300 4.1863 93353.82 25.21 rebalance
2018-04-03 601166.SH buy 3900 16.5248 64446.53 17.40 rebalance
2018-04-03 600016.SH buy 6800 7.9219 53868.68 14.55 rebalance
2018-04-03 000876.SZ buy 4600 7.2909 33538.23 9.05 rebalance
2018-04-03 601818.SH buy 100 4.0461 404.61 5.01 rebalance
2018-05-03 600900.SH sell 300 15.8362 4750.86 9.85 rebalance -106.55
2018-05-03 600642.SH sell 8900 5.4618 48609.98 61.73 rebalance -3965.56
2018-05-03 600886.SH sell 6900 6.8497 47263.00 60.03 rebalance -1320.79
2018-05-03 600023.SH sell 7400 5.1423 38052.84 48.32 rebalance -2915.81
2018-05-03 600000.SH sell 4000 10.9735 43894.06 55.74 rebalance -5849.49
2018-05-03 600015.SH sell 7300 8.4573 61738.25 78.40 rebalance -2840.14
2018-05-03 601328.SH sell 3400 6.1408 20878.64 26.52 rebalance -60.84
2018-05-03 000157.SZ sell 3900 4.1837 16316.49 21.65 rebalance -36.02
2018-05-03 601166.SH sell 3900 16.0159 62462.17 79.33 rebalance -2081.09
2018-05-03 600016.SH sell 900 7.6984 6928.59 12.07 rebalance -215.08
2018-05-03 000576.SZ buy 2700 20.3104 54838.13 14.81 rebalance
2018-05-03 600518.SH buy 1600 23.2348 37175.68 10.03 rebalance
2018-05-03 002540.SZ buy 5700 7.5713 43156.64 11.65 rebalance
2018-05-03 603699.SH buy 2000 20.1302 40260.30 10.88 rebalance
2018-05-03 000876.SZ buy 3600 7.0806 25490.18 6.88 rebalance
2018-05-03 600674.SH buy 6000 8.7731 52638.84 14.21 rebalance
2018-05-03 600252.SH buy 16100 3.7757 60788.05 16.42 rebalance
2018-05-03 002411.SZ buy 1300 27.3009 35491.16 9.58 rebalance
2018-05-03 000598.SZ buy 100 4.7671 476.71 5.01 rebalance
2018-05-04 600290.SH sell 5700 9.5357 54353.35 69.03 rebalance -20917.59
2018-05-31 600739.SH sell 2700 16.3255 44078.78 55.98 rebalance -4392.76
2018-06-04 600900.SH sell 1300 16.8746 21937.04 27.86 rebalance 903.06
2018-06-04 600252.SH sell 16865 3.5646 60117.74 76.35 rebalance -2743.85
2018-06-04 000576.SZ sell 5800 20.3295 117910.87 149.75 rebalance -133.24
2018-06-04 000157.SZ sell 7500 4.1937 31452.75 39.94 rebalance 7.31
2018-06-04 000876.SZ sell 8200 7.1293 58460.18 74.25 rebalance -658.41
2018-06-04 600518.SH sell 1600 25.8212 41313.94 52.47 rebalance 4075.76
2018-06-04 002540.SZ sell 5700 7.2291 41206.10 52.33 rebalance -2014.52
2018-06-04 603699.SH sell 2000 19.8801 39760.27 50.50 rebalance -561.41
2018-06-04 600674.SH sell 1400 9.2861 13000.47 18.26 rebalance 696.50
2018-06-04 002411.SZ sell 1300 33.8092 43951.97 55.82 rebalance 8395.42
2018-06-04 600023.SH buy 11900 5.2879 62926.25 16.99 rebalance
2018-06-04 002602.SZ buy 1200 34.9323 41918.78 11.32 rebalance
2018-06-04 600642.SH buy 9900 5.4181 53639.34 14.48 rebalance
2018-06-04 601328.SH buy 2000 6.0491 12098.12 5.24 rebalance
2018-06-04 601169.SH buy 1200 6.6600 7991.97 5.16 rebalance
2018-06-04 002408.SZ buy 3500 13.5703 47496.14 12.82 rebalance
2018-06-04 002010.SZ buy 3500 15.6534 54787.06 14.80 rebalance
2018-06-04 600016.SH buy 1500 7.7516 11627.42 5.23 rebalance
2018-06-04 601166.SH buy 3800 15.9539 60624.80 16.37 rebalance
2018-06-04 600015.SH buy 7000 8.3425 58397.47 15.77 rebalance
2018-06-04 601818.SH buy 15500 3.9760 61627.30 16.64 rebalance
2018-06-04 601988.SH buy 15800 3.7757 59655.35 16.10 rebalance
2018-06-04 000883.SZ buy 7700 4.3665 33622.36 9.08 rebalance
2018-06-14 600170.SH sell 16734 3.2651 54638.10 69.39 rebalance -5428.46
2018-06-15 002010.SZ sell 3500 12.7009 44453.22 56.45 rebalance -10405.09
2018-06-20 600023.SH sell 12000 4.6930 56315.40 71.53 rebalance -7252.35
2018-06-20 601169.SH sell 9200 5.9910 55117.20 70.00 rebalance -7927.09
2018-06-28 600016.SH sell 7400 6.8297 50540.08 64.19 rebalance -7908.39
2018-07-03 601818.SH sell 15700 3.5147 55181.10 70.08 rebalance -7351.21
2018-07-03 600674.SH sell 4600 8.4972 39087.28 49.64 rebalance -1329.70
2018-07-03 600642.SH sell 9900 4.9625 49129.20 62.39 rebalance -4587.01
2018-07-03 601166.SH sell 3961 13.8392 54817.11 69.62 rebalance -5880.50
2018-07-03 600015.SH sell 7142 7.2891 52058.40 66.11 rebalance -6415.53
2018-07-03 000883.SZ sell 7700 4.0439 31138.22 39.54 rebalance -2532.76
2018-07-03 600900.SH buy 1000 15.9739 15973.92 5.32 rebalance
2018-07-03 600236.SH buy 8500 5.5884 47501.15 12.83 rebalance
2018-07-03 000157.SZ buy 1400 4.0461 5664.48 5.11 rebalance
2018-07-03 600518.SH buy 2400 22.9444 55066.48 14.87 rebalance
2018-07-03 600688.SH buy 11300 5.5583 62809.07 16.96 rebalance
2018-07-03 601328.SH buy 1900 5.6084 10655.96 5.21 rebalance
2018-07-03 600660.SH buy 1900 24.8873 47285.82 12.77 rebalance
2018-07-03 601998.SH buy 11600 5.8888 68310.31 18.45 rebalance
2018-07-03 600028.SH buy 6200 6.3295 39242.78 10.59 rebalance
2018-07-03 601169.SH buy 9100 5.9289 53952.81 14.57 rebalance
2018-07-03 000538.SZ buy 300 106.0488 31814.65 8.59 rebalance
2018-07-03 600016.SH buy 8200 6.8402 56090.01 15.14 rebalance
2018-07-03 002352.SZ buy 1000 44.2663 44266.30 11.96 rebalance
2018-07-03 600886.SH buy 400 7.3410 2936.40 5.06 rebalance
2018-07-03 601288.SH buy 100 3.3250 332.50 5.01 rebalance
2018-07-06 600016.SH sell 9974 5.6116 55969.80 71.08 rebalance -201.06
2018-07-20 000584.SZ sell 4706 9.3859 44170.05 56.09 rebalance -25528.45
2018-07-24 600221.SH sell 18916 2.4963 47219.07 59.96 rebalance -12729.45
2018-08-02 601328.SH sell 4800 5.6016 26887.61 34.15 rebalance -795.20
2018-08-02 601988.SH sell 16587 3.5447 58795.52 74.68 rebalance -947.69
2018-08-02 600518.SH sell 2424 20.7988 50416.18 64.03 rebalance -4718.81
2018-08-02 601998.SH sell 11600 5.9111 68568.99 87.08 rebalance 153.15
2018-08-02 601169.SH sell 9524 5.8512 55726.92 70.77 rebalance 1690.77
2018-08-02 000538.SZ sell 304 98.6119 29978.01 38.07 rebalance -1829.21
2018-08-02 002352.SZ sell 1000 42.5461 42546.09 54.04 rebalance -1786.22
2018-08-02 600028.SH buy 1100 6.6500 7314.96 5.15 rebalance
2018-08-02 600270.SH buy 2200 21.0916 46401.50 12.53 rebalance
2018-08-02 000656.SZ buy 9300 5.0576 47035.45 12.70 rebalance
2018-08-02 000157.SZ buy 4100 4.1061 16835.21 5.34 rebalance
2018-08-02 600660.SH buy 300 24.8672 7460.17 5.15 rebalance
2018-08-02 601006.SH buy 5200 8.7932 45724.48 12.34 rebalance
2018-08-02 000869.SZ buy 1000 41.8627 41862.70 11.31 rebalance
2018-08-02 600688.SH buy 1900 5.3380 10142.19 5.20 rebalance
2018-08-02 600886.SH buy 4600 7.8317 36025.96 9.73 rebalance
2018-08-02 002030.SZ buy 3800 16.2243 61652.34 16.64 rebalance
2018-08-02 600779.SH buy 800 54.2312 43384.98 11.72 rebalance
2018-08-02 600674.SH buy 5200 8.7731 45620.33 12.32 rebalance
2018-08-02 600104.SH buy 1300 31.4271 40855.19 11.03 rebalance
2018-08-02 002254.SZ buy 2500 11.5974 28993.43 7.83 rebalance
2018-08-20 600660.SH sell 2200 22.4663 49425.75 62.78 rebalance -5400.95
2018-08-20 000869.SZ sell 1000 35.5466 35546.60 45.15 rebalance -6372.56
2018-08-21 600779.SH sell 800 38.2026 30562.09 38.81 rebalance -12873.42
2018-09-04 600900.SH sell 600 15.9660 9579.61 14.77 rebalance 171.43
2018-09-04 000157.SZ sell 5200 3.8143 19834.20 25.23 rebalance -756.52
2018-09-04 600236.SH sell 8500 5.7014 48462.20 61.55 rebalance 886.67
2018-09-04 600688.SH sell 6000 5.5417 33250.05 42.23 rebalance 1568.33
2018-09-04 600028.SH sell 2100 6.8198 14321.49 19.61 rebalance 904.03
2018-09-04 600270.SH sell 2200 19.8801 43736.30 55.54 rebalance -2733.27
2018-09-04 601006.SH sell 5200 8.3275 43302.95 55.00 rebalance -2488.88
2018-09-04 002030.SZ sell 1300 17.6734 22975.48 29.18 rebalance 1849.02
2018-09-04 600104.SH sell 1300 28.8766 37539.61 47.67 rebalance -3374.28
2018-09-04 002254.SZ sell 2500 11.9121 29780.26 37.83 rebalance 741.18
2018-09-04 000656.SZ buy 1200 5.1577 6189.27 5.12 rebalance
2018-09-04 600886.SH buy 1100 7.3410 8075.09 5.16 rebalance
2018-09-04 601229.SH buy 4300 11.8578 50988.37 13.77 rebalance
2018-09-04 601328.SH buy 1700 5.6485 9602.38 5.19 rebalance
2018-09-04 000999.SZ buy 1700 26.3795 44845.17 12.11 rebalance
2018-09-04 000301.SZ buy 6900 6.4296 44364.45 11.98 rebalance
2018-09-04 601988.SH buy 17600 3.5553 62573.72 16.89 rebalance
2018-09-04 600674.SH buy 2200 8.0621 17736.57 5.35 rebalance
2018-09-04 601288.SH buy 13300 3.6455 48484.62 13.09 rebalance
2018-09-04 601169.SH buy 9100 5.8087 52859.17 14.27 rebalance
2018-09-04 600016.SH buy 8400 5.9990 50391.47 13.61 rebalance
2018-09-04 600572.SH buy 3100 6.9805 21639.41 5.84 rebalance
2018-09-06 600900.SH sell 3104 15.8262 49124.60 62.38 rebalance 467.01
2018-09-06 601328.SH sell 9928 5.5716 55315.14 70.26 rebalance -1757.10
2018-09-06 000157.SZ sell 12032 3.7544 45172.46 57.36 rebalance -2470.29
2018-09-06 600688.SH sell 7838 5.6116 43983.49 55.86 rebalance 2595.90
2018-09-06 600028.SH sell 5200 6.6800 34735.82 44.11 rebalance 1516.08
2018-09-06 600886.SH sell 6213 7.2391 44976.68 57.12 rebalance -2135.31
2018-09-06 601288.SH sell 13400 3.5946 48167.64 61.17 rebalance -728.75
2018-09-06 000656.SZ sell 10500 5.2421 55042.31 69.90 rebalance 1729.88
2018-09-06 002030.SZ sell 2500 17.6036 44008.89 55.89 rebalance 3381.30
2018-09-06 600674.SH sell 7400 8.0579 59628.42 75.73 rebalance -3821.87
2018-09-06 601229.SH sell 4300 11.6725 50191.60 63.74 rebalance -874.28
2018-09-06 000999.SZ sell 1700 26.1407 44439.24 56.44 rebalance -474.48
2018-09-06 000301.SZ sell 6900 6.3305 43680.38 55.47 rebalance -751.52
2018-09-06 601988.SH sell 17600 3.5247 62034.81 78.78 rebalance -634.58
2018-09-06 601169.SH sell 9100 5.7314 52155.65 66.24 rebalance -784.03
2018-09-06 600016.SH sell 8400 5.9910 50324.40 63.91 rebalance -144.59
2018-09-06 600572.SH sell 3100 6.8697 21296.01 27.05 rebalance -376.29

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）。