QTRADE · 回测报告

dual_ma · 生成 2026-07-04 09:14 · 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

双均线趋势跟随（单标的链路验证）：ma_5 上穿 ma_20 次日开盘买入，下穿次日开盘清仓。标的默认贵州茅台，信号计算在后复权价上。

绩效概览

区间2023-01-03 → 2026-07-03 (846 交易日)
期末净值0.5562
总收益-44.38%
年化收益-16.03%
年化波动+11.57%
夏普(rf=0)-1.39
最大回撤-49.10%
回撤区间2023-01-16 → 2026-04-17
卡玛比-0.33
平仓笔数30
胜率+20.00%
盈亏比(PF)0.15
总成交额38,353,202
总费用22,004
年化换手(单边)7.5
基准年化+12.12%
超额年化-28.16%
信息比率-1.37

净值与回撤

月度收益（%）

交易明细

dt symbol side shares price amount fees reason realized_pnl
2023-01-04 600519.SH buy 500 1732.5950 866297.50 225.23 rebalance
2023-02-07 600519.SH sell 500 1805.3679 902683.94 1137.38 rebalance 35023.83
2023-02-21 600519.SH buy 500 1876.8110 938405.50 243.98 rebalance
2023-02-28 600519.SH sell 500 1816.2715 908135.75 1144.25 rebalance -31657.98
2023-03-30 600519.SH buy 500 1795.6895 897844.75 233.44 rebalance
2023-04-13 600519.SH sell 500 1687.4650 843732.50 1063.10 rebalance -55408.79
2023-05-08 600519.SH buy 500 1770.9725 885486.24 230.22 rebalance
2023-05-10 600519.SH sell 500 1712.6172 856308.61 1078.95 rebalance -30486.80
2023-06-15 600519.SH buy 500 1732.9355 866467.76 225.28 rebalance
2023-07-12 600519.SH sell 507 1710.4704 867208.51 1092.68 rebalance 576.29
2023-07-17 600519.SH buy 400 1753.6265 701450.60 182.37 rebalance
2023-08-17 600519.SH sell 400 1803.3709 721348.35 908.90 rebalance 18806.48
2023-09-01 600519.SH buy 400 1855.6092 742243.70 192.98 rebalance
2023-09-14 600519.SH sell 400 1819.7962 727918.48 553.22 rebalance -15071.42
2023-11-03 600519.SH buy 400 1782.6700 713068.00 185.40 rebalance
2023-11-29 600519.SH sell 400 1765.3480 706139.20 536.66 rebalance -7650.86
2023-12-29 600519.SH buy 500 1722.5800 861290.00 223.93 rebalance
2024-01-10 600519.SH sell 500 1638.6383 819319.17 622.68 rebalance -42817.44
2024-02-08 600519.SH buy 400 1722.5900 689036.01 179.15 rebalance
2024-03-11 600519.SH sell 400 1672.4875 668995.00 508.44 rebalance -20728.60
2024-03-14 600519.SH buy 400 1721.5785 688631.40 179.05 rebalance
2024-03-29 600519.SH sell 400 1699.0875 679635.02 516.53 rebalance -9691.96
2024-04-02 600519.SH buy 400 1724.5830 689833.20 179.36 rebalance
2024-04-09 600519.SH sell 400 1658.1790 663271.60 504.09 rebalance -27245.05
2024-04-26 600519.SH buy 400 1696.5410 678616.40 176.44 rebalance
2024-05-20 600519.SH sell 400 1715.4130 686165.21 521.48 rebalance 6850.89
2024-07-18 600519.SH buy 500 1501.7493 750874.62 195.23 rebalance
2024-07-29 600519.SH sell 500 1412.8775 706438.75 536.89 rebalance -45167.99
2024-08-16 600519.SH buy 500 1428.9302 714465.09 185.76 rebalance
2024-08-28 600519.SH sell 500 1401.9639 700981.95 532.75 rebalance -14201.65
2024-09-30 600519.SH buy 400 1694.5380 677815.20 176.23 rebalance
2024-10-29 600519.SH sell 400 1557.6600 623064.00 473.53 rebalance -55400.96
2024-11-08 600519.SH buy 400 1663.3813 665352.53 172.99 rebalance
2024-11-20 600519.SH sell 400 1540.6855 616274.20 468.37 rebalance -49719.69
2024-12-13 600519.SH buy 300 1552.3350 465700.50 121.09 rebalance
2025-01-03 600519.SH sell 304 1492.2583 453646.51 344.77 rebalance -11463.20
2025-02-17 600519.SH buy 400 1483.2215 593288.60 154.25 rebalance
2025-04-03 600519.SH sell 400 1527.7050 611082.00 464.42 rebalance 17174.73
2025-04-22 600519.SH buy 400 1552.3250 620930.00 161.44 rebalance
2025-04-25 600519.SH sell 400 1554.7643 621905.74 472.65 rebalance 341.65
2025-05-09 600519.SH buy 300 1581.3585 474407.55 123.34 rebalance
2025-05-27 600519.SH sell 300 1548.6735 464602.05 353.10 rebalance -10281.94
2025-07-08 600519.SH buy 400 1412.8261 565130.43 146.93 rebalance
2025-08-04 600519.SH sell 400 1412.8775 565151.00 429.52 rebalance -555.88
2025-08-22 600519.SH buy 400 1451.0533 580421.33 150.91 rebalance
2025-09-23 600519.SH sell 400 1448.3243 579329.70 440.28 rebalance -1682.82
2025-10-21 600519.SH buy 400 1461.1885 584475.40 151.96 rebalance
2025-10-30 600519.SH sell 400 1419.6773 567870.91 431.59 rebalance -17188.04
2025-11-13 600519.SH buy 400 1464.3132 585725.27 152.29 rebalance
2025-11-28 600519.SH sell 400 1444.3302 577732.10 439.08 rebalance -8584.54
2025-12-23 600519.SH buy 400 1410.3724 564148.96 146.68 rebalance
2026-01-16 600519.SH sell 300 1392.9075 417872.25 317.59 rebalance -5667.07
2026-01-19 600519.SH sell 100 1379.8272 137982.71 104.87 rebalance -3196.06
2026-02-04 600519.SH buy 300 1487.2275 446168.25 116.00 rebalance
2026-03-04 600519.SH sell 300 1412.8775 423863.25 322.14 rebalance -22743.14
2026-03-19 600519.SH buy 300 1475.1694 442550.83 115.07 rebalance
2026-03-26 600519.SH sell 300 1406.8865 422065.95 320.77 rebalance -20920.72
2026-04-02 600519.SH buy 300 1461.6292 438488.75 114.00 rebalance
2026-04-22 600519.SH sell 300 1412.8775 423863.25 322.14 rebalance -15061.64

回测假设与参数

start2023-01-01
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）。