QTRADE · 回测报告

ma250_pullback · 生成 2026-07-07 00:03 · 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

带风控的趋势：只在年线趋势已确立的股票里做回调低吸——收盘(后复权)站上 ma_250、 ma_60 亦在年线上方（排除刚上穿的假突破）、距 250 日高点回撤 5%~30%（趋势未坏 且明确不追新高）、当日价格落在 ma_60~ma_20 之间的「趋势内回调带」，并要求当日 成交额低于其 20 日均值（缩量回调=抛压衰竭，剔除放量出货式下跌）。打分用 ma_60/ma_250 的均线结构陡峭度，选「走得稳的既有趋势」而非近期涨幅榜，月频等权 20 只。出场是结构性宽止损：日频监控跌破年线即离场，个股止损放宽至 -15%， 避免趋势策略在震荡市被浅止损反复打脸；熊市年线上方标的骤减时，单票 8% 权重 上限使组合自动降仓持币防守。风险与失效场景：回调可能演变为下跌中继，缩量条件 只能部分甄别；2024-02 式流动性踩踏会跳空穿越止损与年线出场；月频对 V 型反转 迟钝、单边疯牛段会跑输高贝塔；宽止损意味着个股黑天鹅上的单票亏损更深，靠 分散与市值/成交额双下限钝化。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0.7606
总收益-23.94%
年化收益-2.67%
年化波动+5.87%
夏普(rf=0)-0.45
最大回撤-24.69%
回撤区间2016-04-06 → 2024-08-27
卡玛比-0.11
平仓笔数232
胜率+32.76%
盈亏比(PF)0.6
总成交额19,503,945
总费用14,919
年化换手(单边)1.2
基准年化+2.25%
超额年化-4.92%
信息比率-0.33

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 464 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2017-01-04 300249.SZ sell 2700 13.6794 36934.510000 46.90 rebalance -3575.890000
2017-01-04 000639.SZ sell 1700 23.8841 40603.000000 51.56 rebalance 1211.920000
2017-01-04 000723.SZ sell 2500 15.0274 37568.560000 47.71 rebalance -4303.060000
2017-01-04 600609.SH sell 6100 7.9580 48544.070000 61.65 rebalance 6990.100000
2017-01-04 002319.SZ sell 1700 21.5976 36715.840000 46.63 rebalance -3164.190000
2017-01-04 600338.SH sell 1200 29.0564 34867.620000 44.29 rebalance -5928.690000
2017-01-04 002694.SZ buy 900 42.1131 37901.770000 10.24 rebalance
2017-01-04 300338.SZ buy 1600 24.8672 39787.590000 10.75 rebalance
2017-01-04 601668.SH buy 4600 8.8533 40725.000000 10.99 rebalance
2017-01-04 300393.SZ buy 800 47.6514 38121.100000 10.29 rebalance
2017-01-04 600497.SH buy 5600 7.1908 40268.310000 10.88 rebalance
2017-01-04 300482.SZ buy 500 72.8792 36439.580000 9.84 rebalance
2017-01-04 002383.SZ buy 800 48.9834 39186.690000 10.58 rebalance
2017-01-04 600141.SH buy 2600 15.6234 40620.840000 10.97 rebalance
2017-01-04 600313.SH buy 6100 6.8002 41481.130000 11.20 rebalance
2017-01-04 600290.SH buy 3100 13.1697 40826.150000 11.03 rebalance
2017-01-04 002648.SZ buy 3300 12.2584 40452.590000 10.92 rebalance
2017-01-04 300090.SZ buy 3500 11.6975 40941.320000 11.06 rebalance
2017-01-04 000656.SZ buy 7800 5.2278 40777.070000 11.01 rebalance
2017-01-04 002537.SZ buy 1200 32.0480 38457.600000 10.38 rebalance
2017-01-04 603636.SH buy 400 90.7359 36294.360000 9.80 rebalance
2017-01-04 600148.SH buy 1400 28.8532 40394.500000 10.91 rebalance
2017-01-04 000488.SZ buy 3800 10.7160 40720.990000 10.99 rebalance
2017-01-04 000525.SZ buy 2300 17.6765 40655.890000 10.97 rebalance
2017-01-04 603355.SH buy 700 46.6298 32640.890000 8.81 rebalance
2017-01-04 300148.SZ buy 200 20.7110 4142.200000 5.08 rebalance
2017-01-12 600290.SH sell 3100 11.2531 34884.590000 44.30 rebalance -5996.880000
2017-01-17 300482.SZ sell 500 57.2440 28622.000000 36.35 rebalance -7863.760000
2017-01-17 600141.SH sell 2600 13.5696 35281.000000 44.81 rebalance -5395.620000
2017-02-06 600275.SH sell 2500 16.2756 40688.880000 51.67 rebalance -335.200000
2017-02-06 300338.SZ sell 1600 22.6260 36201.620000 45.97 rebalance -3642.700000
2017-02-06 601668.SH sell 4600 8.8168 40557.070000 51.51 rebalance -230.420000
2017-02-06 300393.SZ sell 800 48.1277 38502.160000 48.90 rebalance 321.870000
2017-02-06 600497.SH sell 5600 8.0978 45347.880000 57.60 rebalance 5011.080000
2017-02-06 600313.SH sell 6100 6.4303 39225.070000 49.82 rebalance -2317.070000
2017-02-06 002648.SZ sell 3300 13.0804 43165.160000 54.82 rebalance 2646.830000
2017-02-06 300090.SZ sell 3500 11.0135 38547.090000 48.96 rebalance -2454.250000
2017-02-06 000656.SZ sell 7700 5.3420 41133.210000 52.23 rebalance 815.820000
2017-02-06 002537.SZ sell 1200 30.4742 36569.060000 46.44 rebalance -1945.360000
2017-02-06 603636.SH sell 400 88.8665 35546.600000 45.15 rebalance -802.710000
2017-02-06 600148.SH sell 1400 43.9240 61493.620000 78.09 rebalance 21010.120000
2017-02-06 000488.SZ sell 3800 11.8722 45114.230000 57.29 rebalance 4324.960000
2017-02-06 000525.SZ sell 2300 20.4493 47033.340000 59.73 rebalance 6306.750000
2017-02-06 603355.SH sell 700 44.4432 31110.260000 39.51 rebalance -1578.940000
2017-02-06 002694.SZ buy 100 39.8096 3980.960000 5.08 rebalance
2017-02-06 600609.SH buy 5300 7.6915 40765.060000 11.01 rebalance
2017-02-06 000961.SZ buy 4100 9.9549 40815.130000 11.02 rebalance
2017-02-06 300237.SZ buy 2500 16.4747 41186.690000 11.12 rebalance
2017-02-06 600393.SH buy 2800 14.6219 40941.320000 11.06 rebalance
2017-02-06 000609.SZ buy 2400 16.7150 40116.080000 10.83 rebalance
2017-02-06 000822.SZ buy 5700 7.2208 41158.650000 11.11 rebalance
2017-02-06 600779.SH buy 2200 18.3475 40364.460000 10.90 rebalance
2017-02-06 000985.SZ buy 1300 31.6574 41154.640000 11.11 rebalance
2017-02-06 000881.SZ buy 1500 26.2393 39358.950000 10.63 rebalance
2017-02-06 002086.SZ buy 3600 11.4872 41353.940000 11.17 rebalance
2017-02-06 601333.SH buy 7500 5.4682 41011.420000 11.07 rebalance
2017-02-06 600682.SH buy 1100 36.9954 40694.950000 10.98 rebalance
2017-02-06 002564.SZ buy 3900 10.5158 41011.430000 11.07 rebalance
2017-02-06 002217.SZ buy 2300 17.4161 40057.000000 10.81 rebalance
2017-02-06 600809.SH buy 1600 24.7370 39579.280000 10.68 rebalance
2017-02-06 300164.SZ buy 4000 10.1953 40781.080000 11.02 rebalance
2017-02-06 000509.SZ buy 5100 8.1422 41525.190000 11.21 rebalance
2017-02-06 600558.SH buy 3900 5.6184 21911.820000 5.92 rebalance
2017-03-02 000635.SZ sell 2100 26.9595 56614.950000 71.89 rebalance 15247.080000
2017-03-02 002694.SZ sell 1000 34.4483 34448.250000 43.75 rebalance -7493.550000
2017-03-02 600609.SH sell 5300 7.3090 38737.810000 49.19 rebalance -2087.450000
2017-03-02 000961.SZ sell 4100 9.8153 40242.550000 51.10 rebalance -634.710000
2017-03-02 300237.SZ sell 2500 16.0359 40089.780000 50.91 rebalance -1158.940000
2017-03-02 000609.SZ sell 2400 18.8716 45291.960000 57.52 rebalance 5107.530000
2017-03-02 600779.SH sell 2200 23.1552 50941.470000 64.70 rebalance 10501.420000
2017-03-02 000985.SZ sell 1300 34.2486 44523.120000 56.54 rebalance 3300.830000
2017-03-02 000881.SZ sell 1500 28.7568 43135.200000 54.78 rebalance 3710.840000
2017-03-02 002086.SZ sell 3600 10.5142 37851.140000 48.07 rebalance -3562.040000
2017-03-02 600682.SH sell 1100 37.5436 41297.960000 52.45 rebalance 539.580000
2017-03-02 002564.SZ sell 3900 11.5526 45055.320000 57.22 rebalance 3975.600000
2017-03-02 002217.SZ sell 2300 19.1113 43955.970000 55.83 rebalance 3832.330000
2017-03-02 600809.SH sell 1600 29.6555 47448.720000 60.26 rebalance 7798.500000
2017-03-02 300164.SZ sell 4000 9.6455 38582.040000 49.00 rebalance -2259.060000
2017-03-02 000509.SZ sell 5100 7.5686 38600.010000 49.02 rebalance -2985.410000
2017-03-02 600558.SH sell 3900 5.9810 23325.960000 29.63 rebalance 1378.590000
2017-03-02 002265.SZ buy 1500 26.3695 39554.240000 10.68 rebalance
2017-03-02 600148.SH buy 1100 37.4962 41245.780000 11.13 rebalance
2017-03-02 002300.SZ buy 2800 14.7421 41277.820000 11.15 rebalance
2017-03-02 000959.SZ buy 5900 7.2008 42484.630000 11.47 rebalance
2017-03-02 000416.SZ buy 3500 11.8177 41361.950000 11.17 rebalance
2017-03-02 002040.SZ buy 2100 19.6895 41347.930000 11.17 rebalance
2017-03-02 000993.SZ buy 3100 13.4301 41633.360000 11.24 rebalance
2017-03-02 600113.SH buy 2000 21.2218 42443.570000 11.46 rebalance
2017-03-02 002561.SZ buy 2300 17.8367 41024.440000 11.08 rebalance
2017-03-02 002287.SZ buy 800 51.0665 40853.190000 11.03 rebalance
2017-03-02 600426.SH buy 3000 13.7606 41281.830000 11.15 rebalance
2017-03-02 000951.SZ buy 2700 15.4732 41777.570000 11.28 rebalance
2017-03-02 600507.SH buy 5400 7.8417 42345.420000 11.44 rebalance
2017-03-02 000898.SZ buy 7000 6.0791 42553.740000 11.49 rebalance
2017-03-02 600487.SH buy 2000 20.5808 41161.650000 11.11 rebalance
2017-03-02 000825.SZ buy 8400 5.1076 42904.260000 11.59 rebalance
2017-03-02 002258.SZ buy 3200 13.1397 42046.980000 11.35 rebalance
2017-03-02 600282.SH buy 500 3.8057 1902.850000 5.04 rebalance
2017-04-06 002383.SZ sell 800 55.6165 44493.160000 56.50 rebalance 5239.390000
2017-04-06 600393.SH sell 2800 15.8762 44453.220000 56.45 rebalance 3444.390000
2017-04-06 000822.SZ sell 5700 6.5202 37165.170000 47.20 rebalance -4051.790000
2017-04-06 601333.SH sell 7500 5.2920 39690.380000 50.40 rebalance -1382.520000
2017-04-06 002265.SZ sell 1500 25.1123 37668.410000 47.84 rebalance -1944.350000
2017-04-06 600148.SH sell 1100 34.4582 37904.060000 48.14 rebalance -3400.990000
2017-04-06 002300.SZ sell 2800 16.0259 44872.590000 56.99 rebalance 3526.630000
2017-04-06 000959.SZ sell 5900 8.4573 49898.040000 63.37 rebalance 7338.570000
2017-04-06 000416.SZ sell 3500 10.7139 37498.670000 47.62 rebalance -3922.070000
2017-04-06 002040.SZ sell 2100 22.7059 47682.370000 60.55 rebalance 6262.720000
2017-04-06 000993.SZ sell 3100 13.7793 42715.830000 54.25 rebalance 1016.980000
2017-04-06 600113.SH sell 2000 18.5122 37024.380000 47.02 rebalance -5477.670000
2017-04-06 002561.SZ sell 2300 16.3355 37571.560000 47.71 rebalance -3511.680000
2017-04-06 002287.SZ sell 800 49.9450 39955.980000 50.75 rebalance -958.990000
2017-04-06 600426.SH sell 3000 13.3400 40019.880000 50.82 rebalance -1323.920000
2017-04-06 000951.SZ sell 2700 14.4683 39064.320000 49.61 rebalance -2774.150000
2017-04-06 600507.SH sell 5400 7.3989 39953.980000 50.74 rebalance -2453.620000
2017-04-06 000898.SZ sell 7000 5.7613 40329.410000 51.22 rebalance -2287.030000
2017-04-06 600487.SH sell 2000 26.2406 52481.160000 66.65 rebalance 11241.750000
2017-04-06 000825.SZ sell 8400 5.0724 42607.990000 54.11 rebalance -361.970000
2017-04-06 002258.SZ sell 3200 15.1772 48567.040000 61.68 rebalance 6447.030000
2017-04-06 600764.SH buy 1300 31.8076 41349.930000 11.17 rebalance
2017-04-06 002352.SZ buy 700 56.0840 39258.800000 10.60 rebalance
2017-04-06 600809.SH buy 1400 29.9448 41922.790000 11.32 rebalance
2017-04-06 600802.SH buy 3600 11.8678 42723.990000 11.53 rebalance
2017-04-06 002053.SZ buy 2300 18.2674 42014.930000 11.34 rebalance
2017-04-06 600449.SH buy 3200 13.3200 42623.840000 11.51 rebalance
2017-04-06 002028.SZ buy 2700 15.5032 41858.690000 11.30 rebalance
2017-04-06 600800.SH buy 3700 11.3370 41946.830000 11.33 rebalance
2017-04-06 000789.SZ buy 4600 9.1637 42153.140000 11.38 rebalance
2017-04-06 601996.SH buy 3700 11.3670 42057.990000 11.35 rebalance
2017-04-06 600827.SH buy 2500 16.4246 41061.500000 11.09 rebalance
2017-04-06 300123.SZ buy 2300 18.4276 42383.480000 11.45 rebalance
2017-04-06 002233.SZ buy 3800 11.1066 42205.210000 11.39 rebalance
2017-04-06 000501.SZ buy 1800 22.8743 41173.670000 11.11 rebalance
2017-04-06 002323.SZ buy 2400 17.3460 41630.350000 11.24 rebalance
2017-04-06 300415.SZ buy 1900 21.7526 41329.900000 11.16 rebalance
2017-04-06 002217.SZ buy 2100 19.6094 41179.680000 11.11 rebalance
2017-04-06 002738.SZ buy 1500 28.3625 42543.720000 11.49 rebalance
2017-04-06 300422.SZ buy 900 45.0675 40560.750000 10.95 rebalance
2017-04-06 300128.SZ buy 2000 20.7310 41462.100000 11.20 rebalance
2017-04-12 002323.SZ sell 2400 12.5911 30218.600000 38.37 rebalance -11461.360000
2017-04-20 300123.SZ sell 2300 15.4867 35619.490000 45.23 rebalance -6820.670000
2017-04-21 600800.SH sell 3600 9.7653 35155.190000 44.65 rebalance -5713.610000
2017-04-25 600802.SH sell 3600 9.6056 34580.050000 43.92 rebalance -8199.390000
2017-04-25 600449.SH sell 3200 10.6839 34188.640000 43.42 rebalance -8490.130000
2017-04-25 601996.SH sell 3600 9.2261 33214.100000 42.17 rebalance -7760.400000
2017-04-25 002738.SZ sell 1500 23.8841 35826.180000 45.51 rebalance -6774.540000
2017-04-25 300128.SZ sell 2000 17.4738 34947.500000 44.39 rebalance -6570.190000
2017-04-26 002053.SZ sell 2300 15.4468 35527.630000 45.12 rebalance -6543.760000
2017-05-03 600764.SH sell 1300 29.4957 38344.400000 48.70 rebalance -3065.400000
2017-05-03 002352.SZ sell 701 51.0034 35753.370000 45.41 rebalance -3542.360000
2017-05-03 600809.SH sell 1400 30.8137 43139.190000 54.78 rebalance 1150.300000
2017-05-03 002028.SZ sell 2700 17.1542 46316.420000 58.83 rebalance 4387.600000
2017-05-03 000789.SZ sell 4600 8.2876 38122.730000 48.41 rebalance -4090.190000
2017-05-03 600827.SH sell 2500 15.4268 38567.060000 48.98 rebalance -2554.510000
2017-05-03 002233.SZ sell 3862 13.2201 51056.180000 64.84 rebalance 8780.630000
2017-05-03 000501.SZ sell 1800 22.1867 39936.010000 50.72 rebalance -1299.490000
2017-05-03 300415.SZ sell 1900 26.7398 50805.680000 64.53 rebalance 9400.080000
2017-05-03 002217.SZ sell 2100 18.5621 38980.440000 49.51 rebalance -2259.860000
2017-05-03 300422.SZ sell 900 41.9670 37770.260000 47.97 rebalance -2849.410000
2017-05-03 000820.SZ buy 900 40.2403 36216.240000 9.77 rebalance
2017-05-03 300308.SZ buy 1100 33.4501 36795.110000 9.94 rebalance
2017-05-03 600068.SH buy 3200 12.2383 39162.660000 10.57 rebalance
2017-05-03 000407.SZ buy 3700 10.6560 39427.050000 10.65 rebalance
2017-05-03 300072.SZ buy 1000 39.0585 39058.500000 10.54 rebalance
2017-05-03 600309.SH buy 1300 28.1922 36649.890000 9.89 rebalance
2017-05-03 300393.SZ buy 700 55.2728 38690.950000 10.44 rebalance
2017-05-03 600487.SH buy 1600 23.8858 38217.240000 10.31 rebalance
2017-05-03 000921.SZ buy 2700 14.4717 39073.520000 10.55 rebalance
2017-05-03 601668.SH buy 4200 9.3140 39118.590000 10.56 rebalance
2017-05-03 601155.SH buy 2500 15.4832 38707.980000 10.45 rebalance
2017-05-03 300482.SZ buy 400 82.6238 33049.500000 8.92 rebalance
2017-05-03 600260.SH buy 1900 20.7310 39389.000000 10.64 rebalance
2017-05-03 300257.SZ buy 1800 21.3520 38433.560000 10.38 rebalance
2017-05-03 002271.SZ buy 1400 27.9418 39118.590000 10.56 rebalance
2017-05-03 600528.SH buy 2400 16.0641 38553.740000 10.41 rebalance
2017-05-03 002372.SZ buy 2400 15.8738 38097.060000 10.28 rebalance
2017-05-03 002051.SZ buy 1300 28.4226 36949.340000 9.98 rebalance
2017-05-03 600967.SH buy 2600 15.1227 39318.890000 10.62 rebalance
2017-05-03 600089.SH buy 3500 11.1667 39083.540000 10.55 rebalance
2017-05-09 600967.SH sell 2600 12.5511 32632.980000 41.44 rebalance -6737.970000
2017-05-11 000820.SZ sell 800 38.6919 30953.500000 39.31 rebalance -1286.710000
2017-05-11 300308.SZ sell 1100 35.0973 38607.000000 49.03 rebalance 1752.920000
2017-05-11 600068.SH sell 3200 10.3844 33230.080000 42.20 rebalance -5985.350000
2017-05-11 000407.SZ sell 3700 9.1762 33952.000000 43.12 rebalance -5528.830000
2017-05-11 300072.SZ sell 1000 36.5551 36555.080000 46.43 rebalance -2560.390000
2017-05-11 600309.SH sell 1300 26.2805 34164.680000 43.38 rebalance -2538.490000
2017-05-11 300393.SZ sell 700 50.6040 35422.790000 44.99 rebalance -3323.590000
2017-05-11 600487.SH sell 1600 22.4762 35961.980000 45.67 rebalance -2311.240000
2017-05-11 000921.SZ sell 2700 13.1602 35532.620000 45.12 rebalance -3596.570000
2017-05-11 601668.SH sell 4200 9.1562 38456.230000 48.84 rebalance -721.760000
2017-05-11 601155.SH sell 2500 14.8677 37169.160000 47.20 rebalance -1596.460000
2017-05-11 300482.SZ sell 400 78.0827 31233.080000 39.66 rebalance -1865.000000
2017-05-11 600260.SH sell 1800 19.7104 35478.700000 45.06 rebalance -1892.330000
2017-05-11 300257.SZ sell 1800 19.3210 34777.760000 44.17 rebalance -3710.360000
2017-05-11 002271.SZ sell 1400 28.7069 40189.620000 51.04 rebalance 1009.440000
2017-05-11 600528.SH sell 2400 14.3085 34340.410000 43.62 rebalance -4267.360000
2017-05-11 002372.SZ sell 2400 15.1772 36425.280000 46.27 rebalance -1728.330000
2017-05-11 002051.SZ sell 1300 24.8726 32334.430000 41.06 rebalance -4665.960000
2017-05-11 600089.SH sell 3500 9.9151 34702.870000 44.07 rebalance -4435.290000
2023-02-15 600260.SH sell 141 0.4700 33.350377 0.00 delist_forced -2040.314623

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）。