QTRADE · 回测报告

low_vol · 生成 2026-07-07 00:04 · 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

低波动异象：长期看低波动股票的风险调整后收益优于高波动股票（博彩偏好 + 杠杆约束）。 在中大市值、流动性充足的池子里按 20 日年化波动率取最低的 20 只等权，月频轮动降换手。 低波组合牛市跑输、熊市抗跌，风格特征鲜明；波动率测量窗口短（20 日）带来的噪声 靠月频 + 分散（20 只）平滑。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0.7231
总收益-27.69%
年化收益-3.15%
年化波动+5.60%
夏普(rf=0)-0.56
最大回撤-35.56%
回撤区间2016-11-29 → 2024-02-05
卡玛比-0.09
平仓笔数402
胜率+44.28%
盈亏比(PF)0.73
总成交额38,317,412
总费用29,430
年化换手(单边)2.4
基准年化+2.25%
超额年化-5.40%
信息比率-0.38

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 815 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-01-03 600177.SH sell 5300 9.3959 49798.19 63.25 rebalance -2031.55
2018-01-03 601258.SH sell 19700 2.5262 49766.24 63.21 rebalance -2002.34
2018-01-03 600069.SH sell 5800 8.4373 48936.49 62.15 rebalance -2314.12
2018-01-03 600820.SH sell 5700 8.4673 48263.50 61.30 rebalance -2731.82
2018-01-03 601880.SH sell 17800 2.8058 49942.97 63.43 rebalance -1653.53
2018-01-03 600642.SH sell 9000 5.9111 53200.08 67.56 rebalance 1651.54
2018-01-03 600377.SH sell 5300 9.8153 52020.85 66.07 rebalance 931.61
2018-01-03 300070.SZ sell 3000 17.4538 52361.34 66.50 rebalance 513.32
2018-01-03 000726.SZ sell 4700 10.9535 51481.66 65.38 rebalance 707.67
2018-01-03 600895.SH sell 3200 14.5681 46617.97 59.20 rebalance -4283.09
2018-01-03 000673.SZ sell 4500 12.9905 58457.18 74.24 rebalance 7307.67
2018-01-03 002665.SZ sell 7100 6.6300 47073.28 59.78 rebalance -4410.38
2018-01-03 300110.SZ sell 3600 14.3285 51582.51 65.51 rebalance 1208.09
2018-01-03 600568.SH sell 7300 7.5087 54813.66 69.61 rebalance 3407.32
2018-01-03 601991.SH sell 12200 4.1937 51163.14 64.97 rebalance -110.33
2018-01-03 002411.SZ buy 1900 26.5598 50463.58 13.63 rebalance
2018-01-03 000584.SZ buy 3400 14.8422 50463.58 13.63 rebalance
2018-01-03 600170.SH buy 13500 3.7656 50836.14 13.73 rebalance
2018-01-03 002547.SZ buy 6400 7.9820 51084.51 13.79 rebalance
2018-01-03 600290.SH buy 3800 13.1898 50121.07 13.53 rebalance
2018-01-03 002468.SZ buy 2000 25.0675 50135.09 13.53 rebalance
2018-01-03 600122.SH buy 5200 9.7446 50671.89 13.68 rebalance
2018-01-03 601988.SH buy 12800 3.9760 50892.22 13.74 rebalance
2018-01-03 600175.SH buy 9800 5.2278 51232.73 13.83 rebalance
2018-01-03 601618.SH buy 10500 4.8673 51106.55 13.80 rebalance
2018-01-03 601006.SH buy 5500 9.1938 50565.74 13.65 rebalance
2018-01-03 002426.SZ buy 8600 5.8788 50557.72 13.65 rebalance
2018-01-03 600739.SH buy 2800 17.7366 49662.38 13.41 rebalance
2018-01-03 000723.SZ buy 7400 6.8903 50988.37 13.77 rebalance
2018-01-03 600221.SH buy 16000 3.1848 50956.32 13.76 rebalance
2018-01-03 002716.SZ buy 1100 19.1287 21041.52 5.68 rebalance
2018-01-03 600166.SH buy 300 2.8242 847.27 5.02 rebalance
2018-01-12 600715.SH sell 2100 19.1313 40175.65 51.02 rebalance -6577.90
2018-02-01 002426.SZ sell 8600 5.3320 45855.11 58.24 rebalance -4774.50
2018-02-02 600023.SH sell 9100 5.8412 53155.15 67.51 rebalance 3496.00
2018-02-02 600649.SH sell 5700 8.8767 50596.99 64.26 rebalance -287.08
2018-02-02 002411.SZ sell 1900 26.1507 49686.36 63.10 rebalance -853.95
2018-02-02 002468.SZ sell 2000 23.7643 47528.60 60.36 rebalance -2680.38
2018-02-02 600122.SH sell 5200 8.7469 45483.67 57.76 rebalance -5259.66
2018-02-02 601988.SH sell 12800 4.5731 58536.06 74.34 rebalance 7555.76
2018-02-02 600175.SH sell 9800 4.8028 47067.29 59.78 rebalance -4239.05
2018-02-02 601618.SH sell 10500 4.5032 47283.97 60.05 rebalance -3896.43
2018-02-02 601006.SH sell 5500 9.6455 53050.31 67.37 rebalance 2403.55
2018-02-02 000723.SZ sell 7400 6.2007 45885.07 58.28 rebalance -5175.35
2018-02-02 002716.SZ sell 1100 18.9815 20879.63 26.52 rebalance -194.08
2018-02-02 600269.SH buy 9600 5.1677 49610.30 13.39 rebalance
2018-02-02 600900.SH buy 3000 16.1542 48462.59 13.09 rebalance
2018-02-02 000598.SZ buy 9700 5.1577 50029.93 13.51 rebalance
2018-02-02 600642.SH buy 8400 5.8988 49550.21 13.38 rebalance
2018-02-02 002178.SZ buy 3300 15.0826 49772.55 13.44 rebalance
2018-02-02 002390.SZ buy 6100 8.0420 49056.47 13.24 rebalance
2018-02-02 601985.SH buy 6400 7.6515 48969.34 13.22 rebalance
2018-02-02 601880.SH buy 18600 2.6740 49736.49 13.42 rebalance
2018-02-02 000883.SZ buy 10700 4.6470 49722.47 13.42 rebalance
2018-02-02 002355.SZ buy 4900 9.9048 48533.69 13.10 rebalance
2018-02-02 002210.SZ buy 3800 13.0596 49626.33 13.40 rebalance
2018-02-02 002352.SZ buy 1000 49.2237 49223.72 13.29 rebalance
2018-02-02 002007.SZ buy 400 26.5998 10639.94 5.21 rebalance
2018-02-02 000008.SZ buy 100 8.1923 819.23 5.02 rebalance
2018-02-13 002178.SZ sell 3300 7.5187 24811.73 31.51 rebalance -25005.77
2018-03-02 600170.SH sell 13500 3.7843 51088.25 64.88 rebalance 173.50
2018-03-02 002547.SZ sell 6400 8.9066 57002.37 72.39 rebalance 5831.68
2018-03-02 600739.SH sell 2800 17.4039 48730.79 61.88 rebalance -1006.88
2018-03-02 000598.SZ sell 9700 4.9426 47942.98 60.89 rebalance -2161.36
2018-03-02 600642.SH sell 8400 5.7813 48563.05 61.67 rebalance -1062.22
2018-03-02 002390.SZ sell 6100 7.9181 48300.44 61.35 rebalance -830.62
2018-03-02 601880.SH sell 18600 2.5562 47544.58 60.38 rebalance -2265.72
2018-03-02 000883.SZ sell 10700 4.5432 48611.97 61.73 rebalance -1185.65
2018-03-02 002355.SZ sell 4900 10.3445 50687.85 64.37 rebalance 2076.69
2018-03-02 002352.SZ sell 1000 49.9150 49915.02 63.40 rebalance 614.60
2018-03-02 002007.SZ sell 400 26.8497 10739.87 15.95 rebalance 78.77
2018-03-02 600518.SH buy 2300 21.0315 48372.45 13.06 rebalance
2018-03-02 002666.SZ buy 7700 6.2594 48197.19 13.01 rebalance
2018-03-02 600816.SH buy 3700 12.8092 47393.98 12.80 rebalance
2018-03-02 601669.SH buy 6700 7.1707 48043.96 12.97 rebalance
2018-03-02 601018.SH buy 9000 5.3280 47951.82 12.95 rebalance
2018-03-02 600795.SH buy 16000 3.0245 48392.48 13.07 rebalance
2018-03-02 002468.SZ buy 1900 24.3164 46201.20 12.47 rebalance
2018-03-02 600649.SH buy 5700 8.4026 47894.73 12.93 rebalance
2018-03-02 002609.SZ buy 3300 14.4717 47756.53 12.90 rebalance
2018-03-02 002254.SZ buy 4000 11.9679 47871.70 12.93 rebalance
2018-03-02 600252.SH buy 12200 3.9559 48262.29 13.04 rebalance
2018-03-02 002602.SZ buy 200 33.0395 6607.90 5.13 rebalance
2018-03-02 600886.SH buy 100 6.8803 688.03 5.01 rebalance
2018-03-12 002512.SZ sell 2500 11.0933 27733.34 35.21 rebalance -22715.97
2018-03-27 601985.SH sell 6400 6.6999 42879.58 54.46 rebalance -6157.44
2018-04-03 600269.SH sell 9600 4.7529 45627.46 57.95 rebalance -4054.19
2018-04-03 600518.SH sell 2300 21.9470 50478.17 64.11 rebalance 2028.55
2018-04-03 002666.SZ sell 7700 7.1393 54972.42 69.81 rebalance 6692.41
2018-04-03 600816.SH sell 3700 11.5826 42855.62 54.43 rebalance -4605.59
2018-04-03 601669.SH sell 6700 6.6001 44220.57 56.16 rebalance -3892.52
2018-04-03 600795.SH sell 15900 2.9256 46517.12 59.08 rebalance -1644.98
2018-04-03 002468.SZ sell 1900 24.0139 45626.46 57.95 rebalance -645.16
2018-04-03 600649.SH sell 5700 7.8882 44962.46 57.10 rebalance -3002.31
2018-04-03 002609.SZ sell 3300 14.2286 46954.46 59.63 rebalance -874.59
2018-04-03 002254.SZ sell 4000 11.8322 47328.90 60.11 rebalance -615.84
2018-04-03 600252.SH sell 12200 3.9541 48239.53 61.26 rebalance -97.05
2018-04-03 002602.SZ sell 200 33.7693 6753.85 11.89 rebalance 128.94
2018-04-03 000157.SZ buy 11100 4.1863 46467.60 12.55 rebalance
2018-04-03 600919.SH buy 6400 7.2509 46405.50 12.53 rebalance
2018-04-03 601390.SH buy 6300 7.3911 46563.74 12.57 rebalance
2018-04-03 601328.SH buy 7600 6.1492 46734.00 12.61 rebalance
2018-04-03 601229.SH buy 3100 14.6319 45358.94 12.25 rebalance
2018-04-03 000166.SZ buy 9400 4.9574 46599.80 12.58 rebalance
2018-04-03 600687.SH buy 4300 10.7361 46165.14 12.46 rebalance
2018-04-03 601668.SH buy 5400 8.6630 46780.07 12.64 rebalance
2018-04-03 600015.SH buy 5200 8.8332 45932.80 12.40 rebalance
2018-04-03 601166.SH buy 2800 16.5248 46269.30 12.50 rebalance
2018-04-03 601818.SH buy 11500 4.0461 46529.69 12.56 rebalance
2018-04-03 000576.SZ buy 2300 20.3305 46760.04 12.63 rebalance
2018-04-03 600170.SH buy 10100 3.7256 37628.36 10.16 rebalance
2018-05-03 601018.SH sell 9000 5.1023 45921.02 58.32 rebalance -2102.07
2018-05-03 601390.SH sell 6300 7.4189 46738.79 59.35 rebalance 103.13
2018-05-03 601229.SH sell 3100 15.1772 47049.32 59.75 rebalance 1618.38
2018-05-03 000166.SZ sell 9400 4.7529 44676.88 56.74 rebalance -1992.23
2018-05-03 601668.SH sell 5400 8.3674 45184.12 57.38 rebalance -1665.96
2018-05-03 600015.SH sell 5200 8.4573 43977.93 55.85 rebalance -2023.11
2018-05-03 601166.SH sell 2800 16.0159 44844.63 56.95 rebalance -1494.12
2018-05-03 601818.SH sell 11500 4.0040 46045.83 58.48 rebalance -554.90
2018-05-03 002071.SZ buy 5300 8.6630 45913.77 12.40 rebalance
2018-05-03 002254.SZ buy 3900 11.5773 45151.63 12.19 rebalance
2018-05-03 002547.SZ buy 5300 8.5728 45436.05 12.27 rebalance
2018-05-03 600252.SH buy 12100 3.7757 45685.43 12.33 rebalance
2018-05-03 600795.SH buy 15900 2.8543 45382.97 12.26 rebalance
2018-05-03 600170.SH buy 2600 3.6154 9400.08 5.19 rebalance
2018-05-03 000876.SZ buy 6400 7.0806 45315.87 12.24 rebalance
2018-05-03 600122.SH buy 5400 8.3525 45103.55 12.18 rebalance
2018-05-03 600037.SH buy 3000 12.0581 36174.18 9.76 rebalance
2018-05-03 000630.SZ buy 100 2.5739 257.39 5.01 rebalance
2018-05-04 600290.SH sell 3800 9.5357 36235.57 46.02 rebalance -13945.05
2018-05-29 002072.SZ sell 1700 13.7993 23458.76 29.79 rebalance -27644.29
2018-06-04 600900.SH sell 3000 16.8746 50623.95 64.29 rebalance 2083.98
2018-06-04 000157.SZ sell 11100 4.1937 46550.07 59.12 rebalance 10.80
2018-06-04 600919.SH sell 6400 7.1293 45627.46 57.95 rebalance -848.53
2018-06-04 600687.SH sell 4300 9.6156 41346.89 52.52 rebalance -4883.24
2018-06-04 000576.SZ sell 2300 20.3295 46757.76 59.39 rebalance -74.30
2018-06-04 002071.SZ sell 5300 9.4059 49851.11 63.31 rebalance 3861.63
2018-06-04 002254.SZ sell 3900 11.6126 45288.96 57.52 rebalance 67.63
2018-06-04 002547.SZ sell 5300 8.8367 46834.64 59.48 rebalance 1326.84
2018-06-04 600252.SH sell 12293 3.5646 43820.18 55.66 rebalance -1931.00
2018-06-04 000876.SZ sell 6400 7.1293 45627.46 57.95 rebalance 241.39
2018-06-04 600122.SH sell 5400 7.9880 43135.20 54.78 rebalance -2035.31
2018-06-04 002468.SZ buy 1800 23.3650 42056.99 11.35 rebalance
2018-06-04 600037.SH buy 700 11.8077 8265.38 5.17 rebalance
2018-06-04 002385.SZ buy 8100 5.4482 44130.10 11.91 rebalance
2018-06-04 601818.SH buy 11100 3.9760 44133.10 11.91 rebalance
2018-06-04 601169.SH buy 6600 6.6600 43955.84 11.87 rebalance
2018-06-04 601166.SH buy 2800 15.9539 44670.91 12.06 rebalance
2018-06-04 601988.SH buy 11800 3.7757 44552.73 12.03 rebalance
2018-06-04 600015.SH buy 5300 8.3425 44215.22 11.93 rebalance
2018-06-04 600016.SH buy 5700 7.7516 44184.18 11.93 rebalance
2018-06-04 600000.SH buy 4100 10.7761 44182.17 11.93 rebalance
2018-06-04 600179.SH buy 3800 11.6474 44260.29 11.96 rebalance
2018-06-04 002656.SZ buy 4500 9.5042 42769.06 11.55 rebalance
2018-06-04 601997.SH buy 3300 13.3400 44021.93 11.89 rebalance
2018-06-04 600642.SH buy 5300 5.4181 28716.01 7.75 rebalance
2018-06-04 601099.SH buy 100 2.6940 269.40 5.01 rebalance
2018-06-14 600170.SH sell 13200 3.2651 43099.25 54.73 rebalance -3998.18
2018-06-19 600037.SH sell 3757 10.3844 39014.19 49.54 rebalance -5486.11
2018-06-19 600179.SH sell 3800 9.8652 37487.68 47.61 rebalance -6832.18
2018-06-20 600795.SH sell 16000 2.5761 41218.08 52.34 rebalance -4532.03
2018-06-25 002468.SZ sell 1815 16.4753 29902.58 37.98 rebalance -12192.84
2018-06-28 002385.SZ sell 8100 4.2636 34535.12 43.86 rebalance -9650.75
2018-06-28 600000.SH sell 4100 9.3160 38195.62 48.51 rebalance -6046.99
2018-07-03 601818.SH sell 11100 3.5147 39013.39 49.54 rebalance -5181.16
2018-07-03 601166.SH sell 2919 13.8392 40396.65 51.31 rebalance -4333.55
2018-07-03 600015.SH sell 5408 7.2891 39419.18 50.06 rebalance -4857.90
2018-07-03 601997.SH sell 3300 11.9421 39408.80 50.05 rebalance -4675.08
2018-07-03 600642.SH sell 5300 4.9625 26301.49 33.41 rebalance -2455.68
2018-07-03 002558.SZ buy 1700 23.3950 39771.57 10.74 rebalance
2018-07-03 601669.SH buy 7500 5.3280 39959.85 10.79 rebalance
2018-07-03 601998.SH buy 6500 5.8888 38277.33 10.34 rebalance
2018-07-03 600688.SH buy 7200 5.5583 40019.94 10.80 rebalance
2018-07-03 600900.SH buy 2500 15.9739 39934.81 10.78 rebalance
2018-07-03 600528.SH buy 4000 10.0150 40060.00 10.82 rebalance
2018-07-03 600388.SH buy 3100 12.6389 39180.68 10.58 rebalance
2018-07-03 601229.SH buy 2600 15.3730 39969.86 10.79 rebalance
2018-07-03 000776.SZ buy 3000 13.1397 39419.04 10.64 rebalance
2018-07-03 600518.SH buy 1700 22.9444 39005.42 10.53 rebalance
2018-07-03 002352.SZ buy 800 44.2663 35413.04 9.56 rebalance
2018-07-03 002434.SZ buy 1800 8.6830 15629.41 5.31 rebalance
2018-07-03 600919.SH buy 100 6.2794 627.94 5.01 rebalance
2018-07-06 600016.SH sell 6933 5.6116 38905.01 49.42 rebalance -5335.35
2018-07-16 601169.SH sell 6907 5.7813 39931.54 50.71 rebalance -4081.96
2018-07-18 601229.SH sell 3760 10.5841 39796.22 50.55 rebalance -233.40
2018-07-20 000584.SZ sell 3404 9.3859 31949.60 40.58 rebalance -18554.81
2018-07-24 600221.SH sell 16099 2.4963 40187.13 51.04 rebalance -10833.77
2018-07-27 002558.SZ sell 1715 19.3409 33169.72 42.12 rebalance -6648.99
2018-08-02 601328.SH sell 7985 5.6016 44728.66 56.80 rebalance -2072.91
2018-08-02 601988.SH sell 12388 3.5447 43911.43 55.77 rebalance -707.78
2018-08-02 601669.SH sell 7500 5.5716 41787.23 53.08 rebalance 1763.51
2018-08-02 601998.SH sell 6500 5.9111 38422.28 48.80 rebalance 85.81
2018-08-02 600688.SH sell 7606 5.3220 40479.17 51.41 rebalance 401.12
2018-08-02 600900.SH sell 2500 16.6749 41687.38 52.94 rebalance 1688.84
2018-08-02 600528.SH sell 4000 10.1148 40459.22 51.38 rebalance 337.02
2018-08-02 600388.SH sell 3100 12.6011 39063.32 49.61 rebalance -177.56
2018-08-02 000776.SZ sell 3000 13.1902 39570.56 50.25 rebalance 90.63
2018-08-02 600518.SH sell 1717 20.7988 35711.46 45.35 rebalance -3342.48
2018-08-02 002352.SZ sell 800 42.5461 34036.87 43.23 rebalance -1428.96
2018-08-02 002434.SZ sell 1800 9.5656 17218.13 22.56 rebalance 1560.86

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）。