QTRADE · 回测报告

momentum_rotation · 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

中期动量轮动：在流动性充足的全市场里，选 60 日后复权收益最强、且站上 20 日均线的 10 只等权持有，周频轮动，个股 -10% 止损。动量是 A 股长期风格因子之一，风格切换月回撤显著——本策略用于验证 DSL 与引擎，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	0.082
总收益	-91.80%
年化收益	-21.91%
年化波动	+28.70%
夏普(rf=0)	-0.76
最大回撤	-95.25%
回撤区间	2016-01-06 → 2024-08-27
卡玛比	-0.23
平仓笔数	1124
胜率	+34.34%
盈亏比(PF)	0.56
总成交额	76,160,785
总费用	60,636
年化换手(单边)	19.9
基准年化	+2.25%
超额年化	-24.16%
信息比率	-1.27

净值与回撤

月度收益（%）

执行事件（涨跌停拒单/停牌/退市）

2016-01-12 300160.SZ 跌停无法卖出
2016-01-12 300459.SZ 开盘涨停无法买入
2016-01-28 002530.SZ 跌停无法卖出
2016-06-22 002612.SZ 跌停无法卖出
2016-11-22 300531.SZ 开盘涨停无法买入
2016-11-22 300530.SZ 开盘涨停无法买入
2017-01-04 600215.SH 开盘涨停无法买入
2017-01-11 002602.SZ 跌停无法卖出
2017-02-24 000514.SZ 跌停无法卖出
2017-03-21 002830.SZ 开盘涨停无法买入
2017-03-31 603577.SH 跌停无法卖出
2017-04-05 603577.SH 跌停无法卖出
2017-04-11 000615.SZ 开盘涨停无法买入
2017-06-20 603559.SH 跌停无法卖出
2017-06-20 603603.SH 跌停无法卖出
2017-06-21 603559.SH 跌停无法卖出
2017-08-04 603320.SH 跌停无法卖出
2017-10-26 300645.SZ 跌停无法卖出
2017-12-01 300567.SZ 跌停无法卖出
2017-12-25 000916.SZ 退市强制出清（折价 0.5）
2018-04-03 300487.SZ 开盘涨停无法买入
2018-06-20 002607.SZ 跌停无法卖出
2018-07-23 300601.SZ 跌停无法卖出
2018-07-24 300601.SZ 跌停无法卖出
2018-10-17 000635.SZ 跌停无法卖出
2018-11-13 002575.SZ 开盘涨停无法买入
2018-12-18 002243.SZ 开盘涨停无法买入
2019-01-08 601700.SH 开盘涨停无法买入
2019-01-15 002733.SZ 开盘涨停无法买入
2019-02-26 000859.SZ 开盘涨停无法买入
2019-02-28 601700.SH 跌停无法卖出
2019-03-05 002017.SZ 开盘涨停无法买入
2019-03-05 603000.SH 开盘涨停无法买入
2019-04-02 600975.SH 开盘涨停无法买入
2019-04-02 300663.SZ 开盘涨停无法买入
2019-05-21 300119.SZ 跌停无法卖出
2019-05-28 002905.SZ 开盘涨停无法买入
2019-06-04 300152.SZ 跌停无法卖出
2019-06-05 300152.SZ 跌停无法卖出
2019-06-11 002481.SZ 开盘涨停无法买入
2019-07-02 603738.SH 开盘涨停无法买入
2019-10-29 300202.SZ 开盘涨停无法买入
2019-11-26 300598.SZ 开盘涨停无法买入
2019-12-17 300643.SZ 开盘涨停无法买入
2020-01-07 603536.SH 跌停无法卖出
2020-01-08 603536.SH 跌停无法卖出
2020-01-10 603536.SH 跌停无法卖出
2020-02-04 000818.SZ 跌停无法卖出
2020-04-14 300658.SZ 开盘涨停无法买入
2020-05-07 300576.SZ 开盘涨停无法买入
2020-05-12 002581.SZ 开盘涨停无法买入
2020-06-02 600185.SH 开盘涨停无法买入
2020-06-09 002581.SZ 跌停无法卖出
2020-07-07 600185.SH 开盘涨停无法买入
2020-07-28 300501.SZ 开盘涨停无法买入
2021-04-12 000662.SZ 退市强制出清（折价 0.5）
2021-04-20 601127.SH 开盘涨停无法买入
2021-06-01 002762.SZ 开盘涨停无法买入
2021-06-22 601567.SH 开盘涨停无法买入
2021-12-21 002432.SZ 开盘涨停无法买入
2022-01-18 002349.SZ 开盘涨停无法买入
2022-02-08 002037.SZ 开盘涨停无法买入
2022-02-22 300584.SZ 开盘涨停无法买入
2022-03-22 600077.SH 开盘涨停无法买入
2022-04-26 000715.SZ 开盘涨停无法买入
2022-05-10 600062.SH 开盘涨停无法买入
2022-05-10 000756.SZ 开盘涨停无法买入
2022-06-14 600695.SH 退市强制出清（折价 0.5）
2022-06-23 002147.SZ 退市强制出清（折价 0.5）
2022-06-27 300064.SZ 退市强制出清（折价 0.5）
2022-07-04 300202.SZ 退市强制出清（折价 0.5）
2022-09-06 002866.SZ 开盘涨停无法买入
2022-12-13 000756.SZ 开盘涨停无法买入
2022-12-27 002095.SZ 开盘涨停无法买入
2023-06-28 600532.SH 退市强制出清（折价 0.5）
2023-07-18 600393.SH 退市强制出清（折价 0.5）
2023-11-07 603266.SH 开盘涨停无法买入
2024-01-09 603099.SH 开盘涨停无法买入
2024-02-20 603960.SH 开盘涨停无法买入
2024-06-12 605258.SH 开盘涨停无法买入
2024-09-03 603626.SH 开盘涨停无法买入
2024-09-24 002693.SZ 开盘涨停无法买入
2024-10-08 300085.SZ 开盘涨停无法买入
2024-10-08 002693.SZ 开盘涨停无法买入
2024-10-08 300925.SZ 开盘涨停无法买入
2024-10-09 300085.SZ 开盘涨停无法买入
2024-10-09 002693.SZ 开盘涨停无法买入
2024-10-29 002583.SZ 开盘涨停无法买入
2024-10-29 603038.SH 开盘涨停无法买入
2024-10-29 002094.SZ 开盘涨停无法买入
2024-11-19 603366.SH 开盘涨停无法买入
2024-12-03 002640.SZ 开盘涨停无法买入
2025-01-21 002730.SZ 开盘涨停无法买入
2025-04-08 001212.SZ 开盘涨停无法买入
2025-09-23 605255.SH 开盘涨停无法买入
2026-01-13 002969.SZ 开盘涨停无法买入
2026-01-20 002969.SZ 开盘涨停无法买入
2026-01-20 002931.SZ 开盘涨停无法买入
2026-04-28 603629.SH 开盘涨停无法买入

交易明细

共 2273 笔，仅显示最后 200 笔。

dt	symbol	side	shares	price	amount	fees	reason	realized_pnl
2019-06-18	300220.SZ	buy	200	33.1697	6633.940000	5.13	rebalance
2019-06-18	002481.SZ	buy	900	8.5128	7661.480000	5.15	rebalance
2019-06-18	600359.SH	buy	100	8.4426	844.260000	5.02	rebalance
2019-06-24	300663.SZ	sell	150	38.6220	5793.300000	10.91	rebalance	736.700000
2019-06-25	300573.SZ	buy	100	55.5833	5558.330000	5.11	rebalance
2019-06-27	300748.SZ	sell	100	58.8117	5881.160000	11.00	rebalance	-86.870000
2019-07-01	002481.SZ	sell	900	7.4788	6730.890000	11.86	rebalance	-947.600000
2019-07-01	300573.SZ	sell	100	51.4727	5147.270000	10.25	rebalance	-426.420000
2019-07-02	300220.SZ	sell	200	37.9430	7588.600000	12.74	rebalance	936.790000
2019-07-02	300573.SZ	buy	100	55.5833	5558.330000	5.11	rebalance
2019-07-02	002057.SZ	buy	600	12.7992	7679.500000	5.15	rebalance
2019-07-02	002481.SZ	buy	1100	7.4912	8240.340000	5.16	rebalance
2019-07-02	300152.SZ	buy	800	4.8873	3909.860000	5.08	rebalance
2019-07-03	002481.SZ	sell	1100	7.3889	8127.790000	13.29	rebalance	-131.000000
2019-07-05	002057.SZ	sell	600	12.1817	7309.020000	12.46	rebalance	-388.090000
2019-07-09	002869.SZ	buy	100	51.8777	5187.770000	5.10	rebalance
2019-07-09	002237.SZ	buy	400	18.0270	7210.800000	5.14	rebalance
2019-07-09	300561.SZ	buy	100	16.8252	1682.520000	5.03	rebalance
2019-07-09	600095.SH	buy	100	8.7431	874.310000	5.02	rebalance
2019-07-09	600393.SH	buy	100	4.6570	465.700000	5.01	rebalance
2019-07-18	002237.SZ	sell	400	16.7548	6701.930000	11.83	rebalance	-525.840000
2019-07-23	300573.SZ	sell	100	67.1990	6719.900000	11.85	rebalance	1144.620000
2019-07-23	300417.SZ	buy	200	36.6549	7330.980000	5.15	rebalance
2019-07-23	300526.SZ	buy	200	22.9944	4598.890000	5.09	rebalance
2019-07-23	600095.SH	buy	200	8.3225	1664.490000	5.03	rebalance
2019-08-06	603363.SH	sell	200	23.6645	4732.890000	9.82	rebalance	-965.870000
2019-08-06	300585.SZ	buy	200	22.5338	4506.750000	5.09	rebalance
2019-09-09	300417.SZ	sell	201	47.8781	9623.490000	14.81	rebalance	2308.370000
2019-09-10	002869.SZ	sell	100	67.8381	6783.810000	11.92	rebalance	1585.680000
2019-09-10	002201.SZ	buy	300	25.3480	7604.390000	5.15	rebalance
2019-09-10	002463.SZ	buy	300	27.5713	8271.390000	5.17	rebalance
2019-09-17	002201.SZ	sell	300	24.7129	7413.860000	12.56	rebalance	-208.240000
2019-09-17	600095.SH	buy	500	10.8162	5408.100000	5.11	rebalance
2019-09-24	600095.SH	sell	800	10.2047	8163.740000	13.32	rebalance	188.350000
2019-09-24	601698.SH	buy	600	14.5818	8749.100000	5.17	rebalance
2019-09-25	300526.SZ	sell	200	48.2675	9653.500000	14.84	rebalance	5034.680000
2019-09-26	601698.SH	sell	600	13.2201	7932.080000	13.09	rebalance	-835.280000
2019-09-27	002463.SZ	sell	300	25.1123	7533.680000	12.68	rebalance	-755.560000
2019-10-08	300526.SZ	buy	100	52.0780	5207.800000	5.10	rebalance
2019-10-08	300417.SZ	buy	100	54.1711	5417.110000	5.11	rebalance
2019-10-08	002552.SZ	buy	400	20.0300	8012.000000	5.16	rebalance
2019-10-08	300788.SZ	buy	100	43.3449	4334.490000	5.09	rebalance
2019-10-08	002241.SZ	buy	200	17.6164	3523.280000	5.07	rebalance
2019-10-17	300417.SZ	sell	100	50.2146	5021.460000	10.12	rebalance	-410.890000
2019-10-22	300492.SZ	buy	100	53.0895	5308.950000	5.11	rebalance
2019-10-28	002552.SZ	sell	400	20.1997	8079.860000	13.24	rebalance	49.460000
2019-10-29	300552.SZ	buy	100	71.8076	7180.760000	5.14	rebalance
2019-10-29	002524.SZ	buy	100	10.8863	1088.630000	5.02	rebalance
2019-11-05	603222.SH	sell	100	49.9150	4991.500000	10.09	rebalance	1364.670000
2019-11-05	300788.SZ	sell	100	51.6225	5162.250000	10.26	rebalance	812.400000
2019-11-05	603613.SH	buy	100	76.5146	7651.460000	5.15	rebalance
2019-11-05	002351.SZ	buy	200	12.9895	2597.890000	5.05	rebalance
2019-11-07	603613.SH	sell	100	69.0063	6900.630000	12.04	rebalance	-768.020000
2019-11-12	002351.SZ	buy	400	12.6189	5047.560000	5.10	rebalance
2019-11-12	300202.SZ	buy	100	14.6019	1460.190000	5.03	rebalance
2019-11-18	300492.SZ	sell	100	60.1596	6015.960000	11.14	rebalance	690.760000
2019-11-19	002552.SZ	buy	200	25.5983	5119.670000	5.10	rebalance
2019-11-19	002524.SZ	buy	100	12.7291	1272.910000	5.03	rebalance
2019-11-26	300552.SZ	sell	100	76.0757	7607.570000	12.76	rebalance	408.920000
2019-11-26	002351.SZ	sell	600	13.1802	7908.120000	13.07	rebalance	239.450000
2019-11-26	300548.SZ	buy	100	61.4621	6146.210000	5.12	rebalance
2019-11-26	002524.SZ	buy	500	11.2669	5633.440000	5.11	rebalance
2019-11-26	002045.SZ	buy	300	11.0966	3328.990000	5.07	rebalance
2019-12-02	002524.SZ	sell	700	11.0833	7758.340000	12.92	rebalance	-264.710000
2019-12-02	002552.SZ	sell	200	25.3919	5078.370000	10.18	rebalance	-56.580000
2019-12-03	300548.SZ	sell	100	61.1781	6117.810000	11.24	rebalance	-44.760000
2019-12-03	603093.SH	buy	200	27.5413	5508.250000	5.11	rebalance
2019-12-03	300341.SZ	buy	500	17.1557	8577.850000	5.17	rebalance
2019-12-03	002552.SZ	buy	200	25.3279	5065.590000	5.10	rebalance
2019-12-09	002552.SZ	sell	200	24.4533	4890.650000	9.99	rebalance	-190.020000
2019-12-10	300526.SZ	sell	100	53.5196	5351.960000	10.46	rebalance	128.600000
2019-12-10	002961.SZ	buy	200	39.1386	7827.720000	5.16	rebalance
2019-12-10	002351.SZ	buy	100	24.0761	2407.610000	5.05	rebalance
2019-12-17	603093.SH	sell	200	28.6170	5723.400000	10.83	rebalance	199.210000
2019-12-17	002351.SZ	buy	200	27.1507	5430.130000	5.11	rebalance
2019-12-23	300341.SZ	sell	500	15.5666	7783.310000	12.94	rebalance	-812.650000
2019-12-24	002961.SZ	sell	200	37.0943	7418.860000	12.57	rebalance	-426.600000
2019-12-24	300643.SZ	buy	300	25.8087	7742.600000	5.15	rebalance
2019-12-24	002291.SZ	buy	500	13.7205	6860.270000	5.14	rebalance
2019-12-24	600712.SH	buy	100	9.8648	986.480000	5.02	rebalance
2019-12-31	002351.SZ	sell	300	22.0069	6602.080000	11.73	rebalance	-1257.550000
2019-12-31	300643.SZ	sell	300	22.1567	6647.010000	11.78	rebalance	-1112.510000
2019-12-31	600712.SH	buy	700	8.9835	6288.420000	5.13	rebalance
2019-12-31	603536.SH	buy	300	22.4937	6748.110000	5.13	rebalance
2020-01-07	600712.SH	sell	800	9.1662	7332.980000	12.48	rebalance	35.460000
2020-01-07	603598.SH	buy	300	22.8142	6844.250000	5.14	rebalance
2020-01-17	603598.SH	sell	300	19.4508	5835.230000	10.96	rebalance	-1025.120000
2020-01-21	002291.SZ	sell	200	34.1287	6825.750000	11.97	rebalance	4067.610000
2020-01-21	603005.SH	buy	100	72.2382	7223.820000	5.14	rebalance
2020-01-21	000818.SZ	buy	200	28.5428	5708.550000	5.11	rebalance
2020-02-12	002291.SZ	sell	300	27.0494	8114.810000	13.27	rebalance	3982.290000
2020-02-18	000700.SZ	buy	600	13.8407	8304.440000	5.17	rebalance
2020-02-24	603536.SH	sell	300	16.3255	4897.640000	10.00	rebalance	-1865.590000
2020-02-25	002241.SZ	sell	200	25.0624	5012.470000	10.11	rebalance	1474.010000
2020-02-25	300803.SZ	buy	100	67.4410	6744.100000	5.13	rebalance
2020-02-25	300160.SZ	buy	200	11.2268	2245.360000	5.04	rebalance
2020-02-25	002239.SZ	buy	100	5.5483	554.830000	5.01	rebalance
2020-02-27	000700.SZ	sell	600	12.0918	7255.100000	12.41	rebalance	-1066.920000
2020-02-27	300803.SZ	sell	100	61.9370	6193.700000	11.31	rebalance	-566.850000
2020-02-28	000818.SZ	sell	200	27.0494	5409.870000	10.52	rebalance	-314.310000
2020-03-03	002838.SZ	buy	200	35.4331	7086.610000	5.14	rebalance
2020-03-03	300578.SZ	buy	100	79.2587	7925.870000	5.16	rebalance
2020-03-03	000652.SZ	buy	400	10.5057	4202.290000	5.08	rebalance
2020-03-05	603005.SH	sell	100	101.8071	10180.710000	15.38	rebalance	2936.370000
2020-03-09	300578.SZ	sell	100	66.9095	6690.950000	11.82	rebalance	-1251.900000
2020-03-10	002291.SZ	buy	300	27.0405	8112.150000	5.16	rebalance
2020-03-10	000955.SZ	buy	600	14.0210	8412.600000	5.17	rebalance
2020-03-11	002291.SZ	sell	300	27.1392	8141.770000	13.30	rebalance	11.160000
2020-03-16	000955.SZ	sell	600	11.5327	6919.610000	12.06	rebalance	-1510.230000
2020-03-17	000955.SZ	buy	700	11.0165	7711.550000	5.15	rebalance
2020-03-17	300677.SZ	buy	100	45.6584	4565.840000	5.09	rebalance
2020-03-17	002551.SZ	buy	200	11.1968	2239.350000	5.04	rebalance
2020-03-17	600550.SH	buy	100	6.8102	681.020000	5.01	rebalance
2020-03-18	000955.SZ	sell	700	10.4243	7297.040000	12.45	rebalance	-432.110000
2020-03-20	002838.SZ	sell	200	38.6919	7738.380000	12.89	rebalance	633.730000
2020-03-24	002953.SZ	buy	100	47.1807	4718.070000	5.09	rebalance
2020-03-24	603726.SH	buy	300	25.2678	7580.350000	5.15	rebalance
2020-03-24	300265.SZ	buy	100	15.2228	1522.280000	5.03	rebalance
2020-03-24	002581.SZ	buy	100	12.5388	1253.880000	5.03	rebalance
2020-03-25	603726.SH	sell	300	23.7144	7114.310000	12.25	rebalance	-483.440000
2020-03-31	603200.SH	buy	100	48.7630	4876.300000	5.10	rebalance
2020-03-31	002551.SZ	buy	200	10.2654	2053.080000	5.04	rebalance
2020-05-07	300677.SZ	sell	100	53.9190	5391.900000	10.50	rebalance	810.470000
2020-05-07	603200.SH	sell	100	67.9978	6799.780000	11.94	rebalance	1906.440000
2020-05-07	002075.SZ	buy	500	13.5203	6760.120000	5.14	rebalance
2020-05-07	600268.SH	buy	500	10.4156	5207.800000	5.10	rebalance
2020-05-12	002075.SZ	sell	500	12.6310	6315.510000	11.45	rebalance	-461.200000
2020-05-12	603893.SH	buy	100	65.2477	6524.770000	5.13	rebalance
2020-05-19	600268.SH	sell	500	9.9750	4987.510000	10.09	rebalance	-235.480000
2020-05-19	002581.SZ	buy	100	27.3309	2733.090000	5.05	rebalance
2020-05-19	002400.SZ	buy	300	7.1707	2151.220000	5.04	rebalance
2020-05-25	603893.SH	sell	100	63.3249	6332.490000	11.46	rebalance	-208.880000
2020-05-26	603879.SH	buy	200	23.5553	4711.060000	5.09	rebalance
2020-05-26	002723.SZ	buy	100	19.4491	1944.910000	5.04	rebalance
2020-06-16	002581.SZ	sell	200	26.9795	5395.890000	10.51	rebalance	1388.330000
2020-06-16	600859.SH	buy	100	41.0615	4106.150000	5.08	rebalance
2020-06-16	600532.SH	buy	100	7.9519	795.190000	5.02	rebalance
2020-07-27	600859.SH	sell	100	56.9145	5691.450000	10.80	rebalance	1603.720000
2020-07-28	603069.SH	buy	100	45.1376	4513.760000	5.09	rebalance
2020-07-28	000698.SZ	buy	100	8.7932	879.320000	5.02	rebalance
2020-09-08	300064.SZ	buy	100	5.8988	589.880000	5.01	rebalance
2020-09-17	300405.SZ	sell	449	13.4498	6038.960000	11.16	rebalance	678.520000
2020-09-22	002625.SZ	buy	300	20.5007	6150.210000	5.12	rebalance
2020-09-23	002625.SZ	sell	300	19.5506	5865.190000	10.99	rebalance	-301.130000
2020-09-29	300846.SZ	buy	100	33.6804	3368.040000	5.07	rebalance
2020-09-29	300313.SZ	buy	100	20.2303	2023.030000	5.04	rebalance
2020-11-10	000816.SZ	buy	100	4.0060	400.600000	5.01	rebalance
2020-12-29	600176.SH	sell	254	19.7204	5008.980000	10.11	rebalance	1732.630000
2020-12-29	000995.SZ	buy	200	25.0375	5007.500000	5.10	rebalance
2021-01-12	000995.SZ	sell	200	25.2621	5052.410000	10.15	rebalance	29.660000
2021-01-12	600121.SH	buy	600	7.9119	4747.110000	5.09	rebalance
2021-03-09	600010.SH	buy	200	1.8428	368.550000	5.01	rebalance
2021-04-12	000662.SZ	sell	600	0.2500	75.000000	0.00	delist_forced	-4502.939000
2021-12-21	000537.SZ	sell	224	24.6929	5531.210000	10.64	rebalance	2593.940000
2021-12-21	600860.SH	buy	200	26.0891	5217.820000	5.10	rebalance
2022-04-12	002305.SZ	buy	100	3.8558	385.580000	5.01	rebalance
2022-06-14	600695.SH	sell	100	0.5100	25.500000	0.00	delist_forced	-1120.525500
2022-06-23	002147.SZ	sell	133	0.3700	24.766359	0.00	delist_forced	-1916.664487
2022-06-27	300064.SZ	sell	100	1.3200	66.000000	0.00	delist_forced	-528.893500
2022-07-04	300202.SZ	sell	100	0.5000	25.184332	0.00	delist_forced	-1440.032668
2022-08-19	603701.SH	sell	401	12.9805	5205.180000	10.26	rebalance	-67.210000
2022-08-23	002045.SZ	sell	302	18.6320	5626.870000	10.69	rebalance	2288.860000
2022-08-23	000670.SZ	buy	600	11.9379	7162.730000	5.07	rebalance
2022-08-23	000957.SZ	buy	200	17.6564	3531.290000	5.04	rebalance
2022-08-29	000670.SZ	sell	600	9.4858	5691.450000	10.75	rebalance	-1487.100000
2022-08-30	300565.SZ	buy	100	52.1782	5217.820000	5.05	rebalance
2022-12-06	603778.SH	buy	100	7.0105	701.050000	5.01	rebalance
2023-01-10	300585.SZ	sell	200	27.4288	5485.760000	10.54	rebalance	963.380000
2023-01-10	000721.SZ	buy	300	17.6364	5290.920000	5.05	rebalance
2023-01-16	000721.SZ	sell	300	16.4553	4936.580000	9.99	rebalance	-369.380000
2023-01-17	002150.SZ	buy	100	26.1291	2612.910000	5.03	rebalance
2023-01-17	000716.SZ	buy	200	9.6344	1926.890000	5.02	rebalance
2023-02-07	300071.SZ	buy	100	5.9189	591.890000	5.01	rebalance
2023-06-28	600532.SH	sell	100	0.7200	36.000000	0.00	delist_forced	-764.211000
2023-07-18	600393.SH	sell	100	0.3700	18.500000	0.00	delist_forced	-452.207500
2024-11-05	300152.SZ	sell	800	6.8996	5519.710000	7.82	rebalance	1596.950000
2024-11-05	002693.SZ	buy	100	28.8031	2880.310000	5.03	rebalance
2024-11-05	002583.SZ	buy	100	23.0345	2303.450000	5.02	rebalance
2024-11-19	002717.SZ	buy	100	3.4552	345.520000	5.00	rebalance
2024-12-25	300561.SZ	sell	133	46.2705	6153.980000	8.14	rebalance	4460.590000
2024-12-31	603268.SH	buy	100	40.4606	4046.060000	5.04	rebalance
2024-12-31	000759.SZ	buy	100	12.5087	1250.870000	5.01	rebalance
2024-12-31	002277.SZ	buy	100	6.2694	626.940000	5.01	rebalance
2025-08-12	603268.SH	sell	100	52.9205	5292.050000	7.70	rebalance	1233.250000
2025-08-12	300204.SZ	buy	100	52.0680	5206.800000	5.05	rebalance
2025-08-19	300204.SZ	sell	100	58.9115	5891.150000	8.01	rebalance	671.290000
2025-08-19	002104.SZ	buy	200	30.5658	6113.160000	5.06	rebalance
2025-08-26	002104.SZ	sell	200	29.3659	5873.180000	8.00	rebalance	-253.040000
2025-08-26	600113.SH	buy	100	58.3975	5839.750000	5.06	rebalance
2025-09-16	600113.SH	sell	100	56.3054	5630.540000	7.88	rebalance	-222.150000
2025-09-16	601929.SH	buy	900	5.9089	5317.970000	5.05	rebalance
2026-02-03	002119.SZ	sell	202	25.1922	5088.820000	7.59	rebalance	1640.410000
2026-02-03	002969.SZ	buy	200	24.1862	4837.240000	5.05	rebalance
2026-03-12	002969.SZ	sell	200	25.9610	5192.200000	7.65	rebalance	342.260000
2026-03-17	002969.SZ	buy	200	28.0220	5604.390000	5.06	rebalance
2026-03-26	002969.SZ	sell	200	24.6130	4922.610000	7.51	rebalance	-694.360000
2026-03-31	300385.SZ	buy	200	19.8497	3969.950000	5.04	rebalance
2026-03-31	600396.SH	buy	100	7.5313	753.130000	5.01	rebalance
2026-06-23	300265.SZ	sell	204	24.5731	5012.910000	7.56	rebalance	2697.110000
2026-06-30	301526.SZ	buy	100	47.4310	4743.100000	5.05	rebalance

回测假设与参数

start	2016-01-04
end	2026-07-03
initial_cash	1000000.0
slippage_bps	15.0
volume_cap_pct	2.0
commission_rate	0.00025
commission_min	5.0
min_trade_value	5000.0
delist_haircut	0.5
strict_one_word_limit	False
benchmark	000905.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）。