QTRADE · 回测报告

ma250_reclaim · 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

年线收复的早期趋势（Weinstein 第二阶段起点）：只买刚把年线真正收复的低位股—— 收盘(后复权)高出 ma_250 至少 3%（确认带防假突破）、距 250 日高点仍有 20% 以上 空间（未透支，与追年高类策略刻意反向）、ma_20 > ma_60 保证收复动能仍在、 近月涨幅 <25% 排除一根垂直脉冲的反抽。打分用 close_hfq/ma_250 的收复力度， 逆波动率加权 24 只、月频轮动；涨到距年内高点 20% 以内即被换出，天然兑现利润、 把仓位滚动到更早期的标的。出场用迟滞带宽止损：跌回年线下方 3% 才离场，±3% 滞回消解年线附近的反复穿越，个股止损放宽至 -18% 配合低频持有；熊市年线上方 无票时自然空仓防守。风险与失效场景：深跌后的收复常是下跌中继的反抽，确认带 与动能条件只能部分甄别，失败率靠分散与迟滞出场消化；单边疯牛后期无低位收复 标的会踏空主升段；宽止损在个股业绩雷上单票亏损更深；此类信号的收益集中在 2019/2024 式底部反转段，若市场长期阴跌无反转，将长期低仓位吃现金拖累。 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0.8179
总收益-18.21%
年化收益-1.97%
年化波动+6.83%
夏普(rf=0)-0.29
最大回撤-30.87%
回撤区间2016-11-24 → 2024-02-07
卡玛比-0.06
平仓笔数287
胜率+40.77%
盈亏比(PF)0.79
总成交额21,906,565
总费用16,819
年化换手(单边)1.3
基准年化+2.25%
超额年化-4.22%
信息比率-0.31

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 578 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2017-01-04 600497.SH buy 5300 7.1908 38111.08 10.29 rebalance
2017-01-04 002732.SZ buy 900 39.0585 35152.65 9.49 rebalance
2017-01-04 601003.SH buy 7400 4.7471 35128.61 9.48 rebalance
2017-01-04 603799.SH buy 1000 36.1441 36144.14 9.76 rebalance
2017-01-04 002086.SZ buy 2600 11.7075 30439.59 8.22 rebalance
2017-01-04 002220.SZ buy 4500 13.6104 61246.73 16.53 rebalance
2017-01-04 600280.SH buy 4200 8.7030 36552.75 9.87 rebalance
2017-01-04 002564.SZ buy 4700 10.2153 48011.91 12.96 rebalance
2017-01-04 002141.SZ buy 3800 10.1252 38475.63 10.39 rebalance
2017-01-04 002556.SZ buy 2900 10.9664 31802.63 8.59 rebalance
2017-01-04 600967.SH buy 3500 13.8708 48547.71 13.11 rebalance
2017-01-04 002746.SZ buy 600 49.6744 29804.64 8.05 rebalance
2017-01-04 002072.SZ buy 1600 28.3425 45347.92 12.25 rebalance
2017-01-04 600150.SH buy 1200 28.2423 33890.76 9.15 rebalance
2017-01-04 600614.SH buy 1700 11.9980 20396.55 5.51 rebalance
2017-01-17 002620.SZ sell 600 43.0354 25821.21 32.80 rebalance -7029.59
2017-01-17 002389.SZ sell 1300 18.0729 23494.71 29.83 rebalance -6878.75
2017-01-17 600321.SH sell 4500 5.5417 24937.54 31.67 rebalance -6154.02
2017-01-20 002220.SZ sell 4500 11.1932 50369.33 63.97 rebalance -10957.90
2017-02-06 600275.SH sell 1800 16.2756 29295.99 37.21 rebalance -241.35
2017-02-06 300410.SZ sell 900 43.5346 39181.14 49.76 rebalance -5303.17
2017-02-06 002278.SZ sell 1700 17.0244 28941.52 36.76 rebalance -1630.20
2017-02-06 002086.SZ sell 4800 11.4528 54973.42 69.81 rebalance -1241.61
2017-02-06 600182.SH sell 1100 26.8497 29534.63 37.50 rebalance -3649.44
2017-02-06 601668.SH sell 4000 8.8168 35267.02 44.80 rebalance -200.38
2017-02-06 002201.SZ sell 1600 18.2726 29236.08 37.13 rebalance -3899.54
2017-02-06 600497.SH sell 5300 8.0978 42918.53 54.51 rebalance 4742.64
2017-02-06 002732.SZ sell 900 34.3284 30895.59 39.24 rebalance -4305.79
2017-02-06 601003.SH sell 7400 5.0624 37461.72 47.58 rebalance 2276.05
2017-02-06 603799.SH sell 1000 38.7318 38731.82 49.18 rebalance 2528.74
2017-02-06 600280.SH sell 4200 7.6685 32207.62 40.90 rebalance -4395.90
2017-02-06 002564.SZ sell 4700 10.4843 49275.98 62.59 rebalance 1188.52
2017-02-06 002141.SZ sell 3800 8.5671 32555.09 41.35 rebalance -5972.27
2017-02-06 002556.SZ sell 2900 10.5841 30693.89 38.97 rebalance -1156.30
2017-02-06 600967.SH sell 3500 14.1288 49450.71 62.80 rebalance 827.09
2017-02-06 002746.SZ sell 600 44.6130 26767.79 34.00 rebalance -3078.90
2017-02-06 002072.SZ sell 1600 26.4702 42352.38 53.79 rebalance -3061.58
2017-02-06 600150.SH sell 1200 29.0963 34915.55 44.35 rebalance 971.29
2017-02-06 601116.SH buy 800 34.0710 27256.82 7.36 rebalance
2017-02-06 600679.SH buy 900 30.6359 27572.30 7.44 rebalance
2017-02-06 600069.SH buy 2800 10.1452 28406.55 7.67 rebalance
2017-02-06 300268.SZ buy 1200 29.0435 34852.20 9.41 rebalance
2017-02-06 300376.SZ buy 700 40.6108 28427.58 7.68 rebalance
2017-02-06 603300.SH buy 1800 19.2088 34575.79 9.33 rebalance
2017-02-06 002098.SZ buy 2000 15.7736 31547.25 8.52 rebalance
2017-02-06 600822.SH buy 1800 17.0656 30718.01 8.29 rebalance
2017-02-06 000975.SZ buy 1900 16.2944 30959.37 8.36 rebalance
2017-02-06 002105.SZ buy 2400 12.0981 29035.49 7.84 rebalance
2017-02-06 300257.SZ buy 1800 20.0300 36054.00 9.73 rebalance
2017-02-06 600621.SH buy 3700 14.1011 52174.14 14.08 rebalance
2017-02-06 002264.SZ buy 3200 10.4356 33394.02 9.02 rebalance
2017-02-06 002622.SZ buy 2500 13.7706 34426.56 9.30 rebalance
2017-02-06 600106.SH buy 7200 8.2023 59056.45 15.94 rebalance
2017-02-06 600614.SH buy 2400 11.4672 27521.22 7.43 rebalance
2017-02-06 000766.SZ buy 2300 18.6479 42890.24 11.58 rebalance
2017-02-06 002059.SZ buy 3000 11.4872 34461.62 9.31 rebalance
2017-02-06 002353.SZ buy 2400 20.5608 49345.91 13.33 rebalance
2017-02-06 600550.SH buy 4200 6.9905 29359.97 7.93 rebalance
2017-02-06 000736.SZ buy 2300 18.7080 43028.45 11.62 rebalance
2017-02-06 001896.SZ buy 5100 10.6459 54294.32 14.66 rebalance
2017-02-06 600775.SH buy 1200 15.3830 18459.65 5.37 rebalance
2017-03-02 600614.SH sell 800 12.9206 10336.47 15.55 rebalance 968.59
2017-03-02 601116.SH sell 800 35.9460 28756.80 36.53 rebalance 1456.09
2017-03-02 600679.SH sell 900 38.1327 34319.44 43.59 rebalance 6696.12
2017-03-02 600069.SH sell 2800 11.4428 32039.87 40.69 rebalance 3584.96
2017-03-02 300268.SZ sell 1200 35.9360 43123.22 54.76 rebalance 8206.85
2017-03-02 300376.SZ sell 700 45.9310 32151.70 40.83 rebalance 3675.61
2017-03-02 002098.SZ sell 2000 15.5367 31073.32 39.46 rebalance -521.91
2017-03-02 600822.SH sell 1800 19.0114 34220.59 43.46 rebalance 3450.83
2017-03-02 000975.SZ sell 1900 16.6849 31701.38 40.26 rebalance 693.39
2017-03-02 002105.SZ sell 2400 12.8906 30937.52 39.29 rebalance 1854.91
2017-03-02 300257.SZ sell 1800 21.2681 38282.49 48.62 rebalance 2170.14
2017-03-02 002264.SZ sell 3200 10.5841 33869.12 43.02 rebalance 423.06
2017-03-02 002622.SZ sell 2500 13.5097 33774.26 42.89 rebalance -704.49
2017-03-02 600106.SH sell 7200 7.8682 56650.90 71.94 rebalance -2493.44
2017-03-02 000766.SZ sell 2300 18.0030 41406.80 52.59 rebalance -1547.61
2017-03-02 002059.SZ sell 3000 11.5027 34508.16 43.83 rebalance -6.60
2017-03-02 002353.SZ sell 2400 23.0154 55237.02 70.15 rebalance 5807.63
2017-03-02 600550.SH sell 4200 7.0694 29691.40 37.70 rebalance 285.79
2017-03-02 000736.SZ sell 2300 18.4423 42417.28 53.87 rebalance -676.66
2017-03-02 001896.SZ sell 5100 12.1817 62126.67 78.90 rebalance 7738.79
2017-03-02 600775.SH sell 1200 15.3370 18404.35 23.77 rebalance -84.44
2017-03-02 002300.SZ buy 1600 14.7421 23587.33 6.37 rebalance
2017-03-02 600148.SH buy 600 37.4962 22497.70 6.07 rebalance
2017-03-02 002040.SZ buy 2000 19.6895 39378.98 10.63 rebalance
2017-03-02 600215.SH buy 3600 11.4972 41389.99 11.18 rebalance
2017-03-02 000812.SZ buy 3900 12.8192 49994.88 13.50 rebalance
2017-03-02 300411.SZ buy 900 39.7996 35819.65 9.67 rebalance
2017-03-02 600353.SH buy 2100 10.4957 22041.01 5.95 rebalance
2017-03-02 002246.SZ buy 2200 15.0726 33159.67 8.95 rebalance
2017-03-02 600381.SH buy 1200 18.0771 21692.49 5.85 rebalance
2017-03-02 000937.SZ buy 4600 7.2408 33307.89 9.00 rebalance
2017-03-02 600158.SH buy 1000 20.7210 20721.04 5.59 rebalance
2017-03-02 000719.SZ buy 3700 12.8593 47579.26 12.84 rebalance
2017-03-02 300450.SZ buy 1000 34.5618 34561.76 9.33 rebalance
2017-03-02 002331.SZ buy 2900 17.2859 50129.08 13.53 rebalance
2017-03-02 000893.SZ buy 2900 14.4917 42025.94 11.35 rebalance
2017-03-02 300052.SZ buy 1000 26.1692 26169.20 7.06 rebalance
2017-03-02 600634.SH buy 4400 18.1272 79759.46 21.54 rebalance
2017-03-02 300142.SZ buy 4400 11.7075 51513.15 13.91 rebalance
2017-03-02 600629.SH buy 1900 20.5908 39122.60 10.56 rebalance
2017-03-02 000426.SZ buy 4100 9.5643 39213.73 10.58 rebalance
2017-03-02 600982.SH buy 100 5.8387 583.87 5.01 rebalance
2017-03-03 300076.SZ sell 2400 12.0819 28996.44 36.83 rebalance -7104.12
2017-03-10 603300.SH sell 1800 15.6365 28145.72 35.75 rebalance -6475.15
2017-03-23 000426.SZ sell 4100 8.5272 34961.48 44.40 rebalance -4307.23
2017-03-30 300052.SZ sell 1000 22.3464 22346.43 28.39 rebalance -3858.22
2017-04-06 600614.SH sell 3300 14.3285 47283.97 60.05 rebalance 8645.54
2017-04-06 600621.SH sell 3700 14.0090 51833.13 65.83 rebalance -420.92
2017-04-06 002300.SZ sell 1600 16.0259 25641.48 32.56 rebalance 2015.22
2017-04-06 600148.SH sell 600 34.4582 20674.94 26.25 rebalance -1855.08
2017-04-06 002040.SZ sell 1900 22.7059 43141.19 54.79 rebalance 5666.27
2017-04-06 600215.SH sell 3600 13.5596 48814.67 61.99 rebalance 7351.51
2017-04-06 000812.SZ sell 3900 12.1617 47430.75 60.24 rebalance -2637.87
2017-04-06 300411.SZ sell 900 37.5436 33789.24 42.92 rebalance -2083.00
2017-04-06 002246.SZ sell 2200 18.9216 41627.47 52.87 rebalance 8405.98
2017-04-06 600381.SH sell 1200 15.7963 18955.52 24.34 rebalance -2767.16
2017-04-06 000937.SZ sell 4600 7.7384 35596.53 45.21 rebalance 2234.43
2017-04-06 000719.SZ sell 3700 12.2017 45146.18 57.34 rebalance -2503.26
2017-04-06 300450.SZ sell 900 45.1522 40636.95 51.61 rebalance 9471.36
2017-04-06 002331.SZ sell 2900 15.4967 44940.49 57.08 rebalance -5259.20
2017-04-06 000893.SZ sell 2900 16.2356 47083.27 59.79 rebalance 4986.18
2017-04-06 600634.SH sell 4400 21.1782 93184.01 118.34 rebalance 13284.67
2017-04-06 300142.SZ sell 4400 13.0704 57509.61 73.04 rebalance 5909.50
2017-04-06 600629.SH sell 1900 19.8602 37734.31 47.91 rebalance -1446.75
2017-04-06 000635.SZ buy 3100 25.7386 79789.51 21.55 rebalance
2017-04-06 600069.SH buy 2600 10.9364 28434.59 7.68 rebalance
2017-04-06 600679.SH buy 1200 31.5573 37868.72 10.23 rebalance
2017-04-06 002389.SZ buy 1400 23.9759 33566.27 9.06 rebalance
2017-04-06 600182.SH buy 2400 28.0420 67300.80 18.18 rebalance
2017-04-06 600099.SH buy 1600 16.1242 25798.64 6.97 rebalance
2017-04-06 000409.SZ buy 4000 13.8808 55523.16 14.99 rebalance
2017-04-06 600353.SH buy 1200 11.1968 13436.12 5.27 rebalance
2017-04-06 002323.SZ buy 1900 17.3460 32957.36 8.90 rebalance
2017-04-06 002098.SZ buy 1700 15.8738 26985.42 7.29 rebalance
2017-04-06 002201.SZ buy 1600 18.6079 29772.59 8.04 rebalance
2017-04-06 000818.SZ buy 3900 12.5087 48784.07 13.18 rebalance
2017-04-06 600319.SH buy 3000 10.6159 31847.70 8.60 rebalance
2017-04-06 002759.SZ buy 2100 26.7501 56175.14 15.16 rebalance
2017-04-06 000639.SZ buy 1300 20.8312 27080.56 7.31 rebalance
2017-04-06 002388.SZ buy 2200 13.0195 28642.90 7.73 rebalance
2017-04-06 000584.SZ buy 2300 12.4186 28562.78 7.71 rebalance
2017-04-06 600379.SH buy 2200 22.2834 49023.42 13.24 rebalance
2017-04-06 000997.SZ buy 2900 20.8412 60439.52 16.32 rebalance
2017-04-06 300014.SZ buy 800 38.2373 30589.82 8.26 rebalance
2017-04-06 600139.SH buy 3000 13.5203 40560.75 10.95 rebalance
2017-04-06 600797.SH buy 2800 14.7721 41361.95 11.17 rebalance
2017-04-06 002620.SZ buy 400 48.4726 19389.04 5.39 rebalance
2017-04-11 002620.SZ sell 400 41.2381 16495.22 21.83 rebalance -2921.04
2017-04-12 002323.SZ sell 1900 12.5911 23923.06 30.38 rebalance -9073.58
2017-04-17 000584.SZ sell 2300 10.5342 24228.60 30.77 rebalance -4372.66
2017-04-18 600158.SH sell 1000 17.2741 17274.05 22.62 rebalance -3475.19
2017-04-18 002388.SZ sell 2200 11.2930 24844.68 31.55 rebalance -3837.50
2017-04-19 600379.SH sell 2200 15.8262 34817.69 44.22 rebalance -14263.19
2017-04-19 300014.SZ sell 800 33.1602 26528.15 33.69 rebalance -4103.62
2017-04-19 600139.SH sell 3000 11.0634 33190.14 42.15 rebalance -7423.71
2017-04-20 600069.SH sell 2600 8.3974 21833.20 27.73 rebalance -6636.80
2017-04-20 002201.SZ sell 1600 15.1872 24299.50 30.86 rebalance -5512.00
2017-04-21 600679.SH sell 1200 25.6415 30769.78 39.08 rebalance -7148.25
2017-04-25 600353.SH sell 3300 9.0165 29754.30 37.79 rebalance -5771.84
2017-04-25 000409.SZ sell 4322 11.2431 48592.72 61.71 rebalance -7004.97
2017-04-25 600797.SH sell 2800 12.5911 35255.04 44.78 rebalance -6162.86
2017-05-03 000635.SZ sell 3100 25.1922 78095.68 99.18 rebalance -1814.55
2017-05-03 600182.SH sell 2400 26.2705 63049.28 80.07 rebalance -4349.77
2017-05-03 600099.SH sell 1600 14.4882 23181.18 29.44 rebalance -2653.87
2017-05-03 000818.SZ sell 3900 11.7923 45989.91 58.41 rebalance -2865.75
2017-05-03 600319.SH sell 3000 10.3944 31183.16 39.60 rebalance -712.74
2017-05-03 002759.SZ sell 2100 25.6515 53868.08 68.42 rebalance -2390.64
2017-05-03 000639.SZ sell 1300 19.4308 25260.05 32.09 rebalance -1859.91
2017-05-03 000997.SZ sell 2900 20.4693 59360.83 75.39 rebalance -1170.41
2017-05-03 002558.SZ buy 800 70.2552 56204.18 15.17 rebalance
2017-05-03 600215.SH buy 3900 11.4271 44565.75 12.03 rebalance
2017-05-03 002555.SZ buy 2700 22.8042 61571.22 16.62 rebalance
2017-05-03 002389.SZ buy 500 21.4722 10736.08 5.21 rebalance
2017-05-03 300116.SZ buy 3500 10.5859 37050.49 10.00 rebalance
2017-05-03 000597.SZ buy 3600 11.1767 40236.26 10.86 rebalance
2017-05-03 002745.SZ buy 1100 37.0555 40761.05 11.01 rebalance
2017-05-03 600280.SH buy 9100 8.0320 73091.47 19.73 rebalance
2017-05-03 601388.SH buy 11000 4.5769 50345.40 13.60 rebalance
2017-05-03 002044.SZ buy 5000 14.7321 73660.33 19.89 rebalance
2017-05-03 000576.SZ buy 4500 16.0440 72198.13 19.49 rebalance
2017-05-03 002478.SZ buy 8300 6.0791 50456.57 13.62 rebalance
2017-05-03 601101.SH buy 8400 7.2008 60486.59 16.33 rebalance
2017-05-03 002479.SZ buy 4100 12.7892 52435.54 14.16 rebalance
2017-05-03 002522.SZ buy 2300 20.1302 46299.35 12.50 rebalance
2017-05-09 601101.SH sell 8400 6.6201 55608.46 70.62 rebalance -4965.08
2017-05-09 002522.SZ sell 2300 18.1228 41682.38 52.93 rebalance -4682.39
2017-05-10 601388.SH sell 11000 4.0839 44922.52 57.05 rebalance -5493.54
2017-05-11 002389.SZ sell 1800 19.3409 34813.70 44.21 rebalance -7214.68
2017-05-11 002558.SZ sell 800 62.2764 49821.16 63.28 rebalance -6461.47
2017-05-11 600215.SH sell 3900 10.3844 40499.16 51.43 rebalance -4130.05
2017-05-11 002555.SZ sell 2700 22.5361 60847.59 77.28 rebalance -817.53
2017-05-11 300116.SZ sell 3500 9.3659 32780.76 41.64 rebalance -4321.38
2017-05-11 000597.SZ sell 3600 10.5641 38030.87 48.30 rebalance -2264.56
2017-05-11 002745.SZ sell 1100 35.6465 39211.10 49.79 rebalance -1610.76
2017-05-11 600280.SH sell 9100 7.6186 69328.85 88.05 rebalance -3870.40
2017-05-11 002044.SZ sell 5000 14.3984 71991.85 91.43 rebalance -1779.79
2017-05-11 000576.SZ sell 4500 16.4253 73913.96 93.87 rebalance 1602.47
2017-05-11 002478.SZ sell 8300 5.4718 45415.77 57.68 rebalance -5112.10
2017-05-11 002479.SZ sell 4100 11.8222 48471.18 61.56 rebalance -4040.07

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）。