QTRADE · 回测报告

high_52w · 生成 2026-07-07 00:05 · 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

年高动量（52-week high）：行为金融经典——投资者把年内高点当「锚」，临近年高的 股票信息消化慢、动量延续概率高。在站上 ma_20 的股票里按「距 250 日高点的距离」 取最接近年高的 10 只等权，周频轮动，跌破 ma_20 离场。与 ret 型动量的区别是锚定 价格位置而非区间收益，风格更偏右侧突破；高位追买在急跌市中回撤集中，靠止损与 熔断控制。用于验证引擎与 DSL，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0.7753
总收益-22.47%
年化收益-2.49%
年化波动+5.99%
夏普(rf=0)-0.42
最大回撤-28.52%
回撤区间2016-01-06 → 2018-08-22
卡玛比-0.09
平仓笔数64
胜率+37.50%
盈亏比(PF)0.27
总成交额8,774,885
总费用6,673
年化换手(单边)0.6
基准年化+2.25%
超额年化-4.73%
信息比率-0.32

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

dt symbol side shares price amount fees reason realized_pnl
2016-01-05 002468.SZ buy 2200 45.2678 99589.16 26.89 rebalance
2016-01-05 600258.SH buy 2800 32.4486 90856.08 24.53 rebalance
2016-01-05 002109.SZ buy 10100 8.8132 89013.32 24.03 rebalance
2016-01-05 600734.SH buy 4000 20.9914 83965.76 22.67 rebalance
2016-01-05 002730.SZ buy 2000 48.0720 96144.00 25.96 rebalance
2016-01-05 000838.SZ buy 2100 42.5637 89383.88 24.14 rebalance
2016-01-05 002508.SZ buy 2200 41.7425 91833.54 24.80 rebalance
2016-01-05 600630.SH buy 3300 27.1106 89465.00 24.16 rebalance
2016-01-05 000779.SZ buy 3500 26.5398 92889.12 25.08 rebalance
2016-01-05 300323.SZ buy 9800 8.8132 86369.36 23.32 rebalance
2016-01-06 002109.SZ sell 10100 8.2676 83502.56 106.05 rebalance -5640.84
2016-01-08 600258.SH sell 2800 26.9495 75458.64 95.83 rebalance -15517.80
2016-01-08 600734.SH sell 4000 20.9985 83993.82 106.67 rebalance -101.28
2016-01-08 002508.SZ sell 2200 42.0668 92546.97 117.54 rebalance 571.09
2016-01-08 000779.SZ sell 3500 24.7628 86669.80 110.07 rebalance -6354.48
2016-01-08 300323.SZ sell 9800 9.4957 93058.20 118.18 rebalance 6547.34
2016-01-11 002730.SZ sell 2000 44.2835 88566.95 112.48 rebalance -7715.49
2016-01-11 600630.SH sell 3300 24.4832 80794.63 102.61 rebalance -8797.14
2016-01-12 000838.SZ sell 200 48.1377 9627.54 14.82 rebalance 1097.67
2016-01-12 600671.SH buy 2400 35.5533 85327.80 23.04 rebalance
2016-01-12 600816.SH buy 4200 21.9629 92244.16 24.90 rebalance
2016-01-12 300160.SZ buy 2200 37.0855 81588.20 22.03 rebalance
2016-01-12 603300.SH buy 1900 47.2508 89776.46 24.24 rebalance
2016-01-12 002395.SZ buy 3200 27.5413 88132.00 23.79 rebalance
2016-01-12 002575.SZ buy 6200 13.5603 84073.92 22.70 rebalance
2016-01-12 600116.SH buy 4600 19.2188 88406.41 23.87 rebalance
2016-01-12 002615.SZ buy 3600 22.9243 82527.61 22.28 rebalance
2016-01-13 300160.SZ sell 2200 33.2900 73237.98 93.01 rebalance -8465.26
2016-01-13 603300.SH sell 1900 46.7298 88786.62 112.77 rebalance -1126.85
2016-01-13 002395.SZ sell 3200 24.9625 79880.00 101.45 rebalance -8377.24
2016-01-13 002575.SZ sell 6200 13.6495 84626.87 107.48 rebalance 422.77
2016-01-13 600116.SH sell 4600 18.1827 83640.35 106.22 rebalance -4896.15
2016-01-13 002615.SZ sell 3600 22.8557 82280.39 104.50 rebalance -373.99
2016-01-14 002468.SZ sell 2200 39.9400 87868.00 111.60 rebalance -11859.65
2016-01-14 600816.SH sell 4200 18.2027 76451.15 97.09 rebalance -15915.00
2016-01-15 600671.SH sell 2400 31.9520 76684.80 97.38 rebalance -8763.42
2016-01-19 000838.SZ sell 200 52.3414 10468.27 15.68 rebalance 1937.54
2016-01-19 000586.SZ buy 4100 21.6925 88939.21 24.01 rebalance
2016-01-19 000813.SZ buy 6600 12.7491 84144.03 22.72 rebalance
2016-01-19 000518.SZ buy 11400 7.5113 85628.25 23.12 rebalance
2016-01-19 000779.SZ buy 3100 27.7315 85967.76 23.21 rebalance
2016-01-19 002346.SZ buy 4700 18.8282 88492.54 23.89 rebalance
2016-01-19 300100.SZ buy 2800 30.0350 84097.96 22.70 rebalance
2016-01-19 600383.SH buy 5700 15.3830 87683.33 23.67 rebalance
2016-01-19 300329.SZ buy 3000 27.9418 83825.55 22.64 rebalance
2016-01-19 002407.SZ buy 1100 75.6133 83174.58 22.45 rebalance
2016-01-22 000518.SZ sell 11400 7.0095 79907.96 101.49 rebalance -5844.90
2016-01-22 000779.SZ sell 3100 26.9595 83574.45 106.13 rebalance -2522.65
2016-01-22 300329.SZ sell 3000 26.2705 78811.60 100.09 rebalance -5136.68
2016-01-22 002407.SZ sell 1100 69.8650 76851.55 97.60 rebalance -6443.08
2016-01-25 000586.SZ sell 4100 20.3794 83555.48 106.12 rebalance -5513.86
2016-01-25 000813.SZ sell 6600 10.9835 72491.10 92.06 rebalance -11767.71
2016-01-26 000838.SZ sell 200 58.1826 11636.52 16.87 rebalance 3104.60
2016-01-26 002346.SZ sell 400 20.4693 8187.70 13.35 rebalance 641.04
2016-01-26 600383.SH sell 5700 15.2571 86965.36 110.45 rebalance -852.09
2016-01-26 002355.SZ buy 3700 22.2433 82300.27 22.23 rebalance
2016-01-26 300160.SZ buy 1800 44.5768 80238.18 21.66 rebalance
2016-01-26 300294.SZ buy 1900 43.2348 82146.03 22.18 rebalance
2016-01-26 300061.SZ buy 3300 24.5968 81169.57 21.91 rebalance
2016-01-26 300456.SZ buy 600 127.0503 76230.17 20.58 rebalance
2016-01-26 300310.SZ buy 1400 58.5877 82022.85 22.15 rebalance
2016-01-27 300061.SZ sell 3300 23.3449 77038.27 97.84 rebalance -4251.05
2016-01-28 000838.SZ sell 1500 46.9395 70409.23 89.42 rebalance 6456.94
2016-01-28 300100.SZ sell 2800 25.3419 70957.40 90.12 rebalance -13253.37
2016-01-28 300160.SZ sell 1800 37.7433 67937.94 86.28 rebalance -12408.18
2016-01-28 300310.SZ sell 1400 47.9280 67099.20 85.21 rebalance -15031.01
2016-01-29 300456.SZ sell 600 99.7302 59838.11 76.00 rebalance -16488.65
2016-02-02 002346.SZ sell 500 20.7189 10359.44 15.57 rebalance 927.23
2016-02-02 002355.SZ sell 3700 17.9730 66500.10 84.46 rebalance -15906.86
2016-02-02 300294.SZ sell 300 49.1262 14737.86 20.03 rebalance 1743.90
2016-02-02 002624.SZ buy 2100 36.1642 75944.75 20.51 rebalance
2016-02-02 600383.SH buy 4800 15.9038 76338.34 20.61 rebalance
2016-02-02 002127.SZ buy 4400 17.4261 76674.84 20.70 rebalance
2016-02-02 300100.SZ buy 2800 27.9318 78209.14 21.11 rebalance
2016-02-02 600136.SH buy 1200 60.4505 72540.65 19.59 rebalance
2016-02-02 000048.SZ buy 2000 37.8567 75713.40 20.44 rebalance
2016-02-02 300466.SZ buy 1000 68.9833 68983.32 18.63 rebalance
2016-02-02 600276.SH buy 1700 44.9473 76410.44 20.63 rebalance
2016-02-15 600383.SH sell 4800 13.9690 67051.27 85.15 rebalance -9392.82
2016-02-16 300294.SZ sell 1600 45.7313 73170.08 92.92 rebalance 3882.87
2016-02-16 002624.SZ sell 100 40.1397 4013.97 9.09 rebalance 387.49
2016-02-16 002127.SZ sell 4400 18.0129 79256.94 100.66 rebalance 2460.74
2016-02-16 300100.SZ sell 300 32.2016 9660.49 14.85 rebalance 1263.83
2016-02-16 600136.SH sell 1200 63.3049 75965.88 96.48 rebalance 3309.16
2016-02-16 000048.SZ sell 2000 37.6235 75246.96 95.56 rebalance -582.44
2016-02-16 300466.SZ sell 1000 68.5970 68596.95 87.12 rebalance -492.12
2016-02-16 600276.SH sell 1700 45.5316 77403.72 98.30 rebalance 874.35
2016-02-16 000838.SZ buy 1300 58.3274 75825.57 20.48 rebalance
2016-02-16 600610.SH buy 4000 18.8482 75392.92 20.36 rebalance
2016-02-16 002508.SZ buy 1800 43.0545 77498.07 20.92 rebalance
2016-02-16 603558.SH buy 3400 22.8342 77636.28 20.96 rebalance
2016-02-16 600365.SH buy 5000 15.7235 78617.75 21.22 rebalance
2016-02-16 600116.SH buy 3500 22.8342 79919.70 21.58 rebalance
2016-02-23 002346.SZ sell 200 23.7144 4742.88 9.83 rebalance 966.39
2016-02-23 002624.SZ sell 2000 42.4363 84872.50 107.79 rebalance 12416.85
2016-02-23 300100.SZ sell 2500 34.8976 87243.94 110.79 rebalance 17284.71
2016-02-23 600610.SH sell 3900 20.1597 78622.89 99.85 rebalance 4995.09
2016-02-23 002508.SZ sell 1800 42.9055 77229.98 98.08 rebalance -387.09
2016-02-23 603558.SH sell 3300 22.9755 75819.10 96.29 rebalance 349.61
2016-02-23 600365.SH sell 5000 15.3370 76684.80 97.38 rebalance -2051.55
2016-02-23 600116.SH sell 200 26.3105 5262.10 10.37 rebalance 683.65
2016-02-23 002628.SZ buy 8400 10.0150 84126.00 22.71 rebalance
2016-02-23 002654.SZ buy 1600 53.2397 85183.58 23.00 rebalance
2016-02-23 300294.SZ buy 1600 50.4856 80776.98 21.81 rebalance
2016-02-23 300459.SZ buy 2900 30.9263 89686.33 24.21 rebalance
2016-02-23 300450.SZ buy 600 120.4003 72240.20 19.50 rebalance
2016-02-23 002355.SZ buy 3400 23.9859 81552.15 22.02 rebalance
2016-02-23 002615.SZ buy 2700 30.2453 81662.31 22.05 rebalance
2016-02-26 002346.SZ sell 3600 21.5776 77679.31 98.65 rebalance 9780.84
2016-02-26 000838.SZ sell 1300 52.4213 68147.62 86.55 rebalance -7784.97
2016-02-26 600116.SH sell 3200 22.9655 73489.60 93.33 rebalance 307.10
2016-02-26 002628.SZ sell 8400 8.7469 73473.62 93.31 rebalance -10768.40
2016-02-26 002654.SZ sell 1600 45.1122 72179.57 91.66 rebalance -13118.68
2016-02-26 300294.SZ sell 1600 43.6345 69815.12 88.67 rebalance -11072.34
2016-02-26 300459.SZ sell 2900 29.4558 85421.68 108.49 rebalance -4397.35
2016-02-26 300450.SZ sell 600 103.4246 62054.78 78.80 rebalance -10283.72
2016-02-26 002355.SZ sell 3400 19.9900 67965.90 86.32 rebalance -13694.59
2016-02-26 002615.SZ sell 2700 29.7154 80231.47 101.89 rebalance -1554.78

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）。