QTRADE · 回测报告

neglect_premium · 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

冷门溢价：A股高换手承载散户博彩式炒作，横截面上低换手的"无人问津"股被系统性忽视， 长期赚取关注度折价回归的超额（低换手是A股最稳健的负向定价因子之一）。本策略在 流通市值≥50亿、20日均成交额≥3000万的非微盘可交易池内，按20日均换手率从低到高 取最冷门的25只，并剔除距一年高点回撤超45%的深度破位股以规避基本面恶化的价值陷阱， 月频轮动+逆波动率加权压低组合波动与换手成本。风险：组合天然偏向银行/公用事业等 冷门防御板块，行业集中，题材快牛中会显著跑输高换手热点；部分股票"冷得有理"， 护栏无法完全排除基本面陷阱；系统性流动性收缩时冷门股卖出冲击成本可能高于回测假设。

绩效概览

区间2016-01-04 → 2026-07-03 (2549 交易日)
期末净值1.7711
总收益+77.11%
年化收益+5.81%
年化波动+12.42%
夏普(rf=0)0.47
最大回撤-23.40%
回撤区间2018-01-26 → 2020-03-23
卡玛比0.25
平仓笔数1640
胜率+57.99%
盈亏比(PF)1.45
总成交额107,989,994
总费用75,693
年化换手(单边)4.1
基准年化+3.35%
超额年化+2.46%
信息比率0.11

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 3369 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2025-12-02 600377.SH buy 1200 12.6590 15190.75 5.15 rebalance
2025-12-02 601825.SH buy 5900 9.4542 55779.54 14.50 rebalance
2025-12-30 002032.SZ sell 1600 44.4033 71045.27 53.99 rebalance -11920.86
2026-01-05 300979.SZ sell 600 50.2246 30134.73 22.90 rebalance -5272.35
2026-01-06 601398.SH sell 1100 7.7983 8578.11 9.38 rebalance 1817.03
2026-01-06 601628.SH sell 400 48.1976 19279.04 14.83 rebalance 3978.01
2026-01-06 601288.SH sell 900 7.5586 6802.78 8.47 rebalance 2660.84
2026-01-06 600028.SH sell 900 6.0908 5481.76 7.79 rebalance 447.56
2026-01-06 601088.SH sell 100 40.2396 4023.95 7.05 rebalance 192.70
2026-01-06 001872.SZ sell 200 19.3609 3872.18 6.98 rebalance -136.45
2026-01-06 600236.SH sell 8979 7.8782 70738.04 53.76 rebalance 12645.50
2026-01-06 600377.SH sell 6100 11.9920 73151.11 55.60 rebalance -8563.19
2026-01-06 601319.SH sell 3629 9.4159 34170.14 25.97 rebalance 4427.41
2026-01-06 601728.SH sell 4900 6.3305 31019.40 23.57 rebalance -2117.12
2026-01-06 603288.SH sell 600 37.9330 22759.81 17.30 rebalance -187.79
2026-01-06 601066.SH sell 3400 26.8996 91458.61 69.50 rebalance 4211.91
2026-01-06 601800.SH sell 1400 8.2676 11574.61 10.91 rebalance -399.32
2026-01-06 600350.SH sell 9100 9.6655 87955.87 66.85 rebalance 4750.92
2026-01-06 601816.SH sell 5700 5.1323 29254.05 22.23 rebalance 53.55
2026-01-06 601825.SH sell 5900 9.3460 55141.16 41.91 rebalance -694.79
2026-01-06 001289.SZ buy 2400 15.2228 36534.72 9.50 rebalance
2026-01-06 601988.SH buy 3900 5.6785 22146.17 5.76 rebalance
2026-01-06 601998.SH buy 900 7.5313 6778.15 5.07 rebalance
2026-01-06 601658.SH buy 17000 5.4682 92959.23 24.17 rebalance
2026-01-06 000877.SZ buy 12200 5.3680 65490.09 17.02 rebalance
2026-01-06 600663.SH buy 9500 8.1121 77065.43 20.04 rebalance
2026-01-06 600299.SH buy 8200 9.0035 73828.58 19.20 rebalance
2026-01-06 603392.SH buy 1100 46.0390 50642.85 13.17 rebalance
2026-01-06 601898.SH buy 4800 12.5188 60090.00 15.62 rebalance
2026-01-06 002399.SZ buy 5100 12.1782 62109.02 16.15 rebalance
2026-01-06 001213.SZ buy 23600 4.0861 96432.43 25.07 rebalance
2026-02-03 601857.SH sell 1500 10.6340 15951.04 13.14 rebalance 4180.35
2026-02-03 600018.SH sell 19107 4.9526 94628.56 71.92 rebalance -9011.14
2026-02-03 600028.SH sell 1400 6.3604 8904.62 9.54 rebalance 1076.21
2026-02-03 601088.SH sell 600 40.1896 24113.78 18.33 rebalance 1150.20
2026-02-03 001289.SZ sell 900 15.4967 13947.05 12.11 rebalance -430.03
2026-02-03 601728.SH sell 10200 5.7314 58460.18 44.43 rebalance -10513.25
2026-02-03 603195.SH sell 700 42.3564 29649.46 22.53 rebalance -1624.65
2026-02-03 603288.SH sell 2100 35.5166 74584.95 56.69 rebalance -5727.77
2026-02-03 601800.SH sell 12072 8.0579 97274.91 73.93 rebalance -4484.31
2026-02-03 601816.SH sell 18600 4.8827 90817.57 69.02 rebalance -4464.77
2026-02-03 601658.SH sell 1700 5.0724 8623.05 9.40 rebalance -478.83
2026-02-03 000877.SZ sell 12200 5.0824 62004.85 47.12 rebalance -3549.38
2026-02-03 600663.SH sell 9500 7.9980 75980.86 57.75 rebalance -1162.36
2026-02-03 600299.SH sell 8200 9.1562 75081.21 57.06 rebalance 1176.37
2026-02-03 603392.SH sell 1100 41.6874 45856.11 34.85 rebalance -4834.76
2026-02-03 601898.SH sell 4800 12.7309 61108.20 46.44 rebalance 956.14
2026-02-03 002399.SZ sell 5100 11.8822 60598.97 46.06 rebalance -1572.27
2026-02-03 001213.SZ sell 23600 4.1238 97321.80 73.96 rebalance 790.34
2026-02-03 001872.SZ buy 2900 19.6695 57041.43 14.83 rebalance
2026-02-03 601288.SH buy 3300 6.7601 22308.41 5.80 rebalance
2026-02-03 601398.SH buy 4100 7.3110 29974.90 7.79 rebalance
2026-02-03 600025.SH buy 2900 9.0736 26313.41 6.84 rebalance
2026-02-03 601988.SH buy 4800 5.4081 25958.88 6.75 rebalance
2026-02-03 600350.SH buy 4800 10.2253 49081.51 12.76 rebalance
2026-02-03 600236.SH buy 6400 8.1422 52110.05 13.55 rebalance
2026-02-03 601158.SH buy 32700 4.5368 148353.20 38.57 rebalance
2026-02-03 001965.SZ buy 7800 9.6745 75461.02 19.62 rebalance
2026-02-03 600007.SH buy 3700 20.1502 74555.67 19.39 rebalance
2026-02-03 688055.SH buy 16920 3.6755 62189.54 16.17 rebalance
2026-02-03 601319.SH buy 5100 9.1237 46530.69 12.10 rebalance
2026-02-03 601633.SH buy 4400 20.5107 90247.17 23.46 rebalance
2026-02-03 300979.SZ buy 1300 49.3740 64186.14 16.69 rebalance
2026-02-03 688198.SH buy 537 106.0589 56953.60 14.81 rebalance
2026-02-03 600000.SH buy 6500 10.0751 65488.09 17.02 rebalance
2026-02-03 600039.SH buy 5400 9.6945 52350.41 13.61 rebalance
2026-03-03 601857.SH sell 1000 12.2915 12291.54 11.27 rebalance 4441.90
2026-03-03 600028.SH sell 6962 7.1393 49703.63 37.78 rebalance 10783.74
2026-03-03 601088.SH sell 400 44.6330 17853.18 14.11 rebalance 2542.24
2026-03-03 600025.SH sell 4500 9.6455 43404.79 32.98 rebalance 1536.40
2026-03-03 001289.SZ sell 1600 17.0045 27207.13 20.67 rebalance 1648.74
2026-03-03 001872.SZ sell 2500 20.8287 52071.78 39.58 rebalance 2352.29
2026-03-03 600236.SH sell 3600 9.9950 35981.95 27.35 rebalance 6635.07
2026-03-03 601158.SH sell 4000 4.6031 18412.34 14.39 rebalance 246.05
2026-03-03 688055.SH sell 3989 3.7643 15015.97 12.66 rebalance 337.91
2026-03-03 601633.SH sell 500 20.3994 10199.68 10.20 rebalance -68.55
2026-03-03 600000.SH sell 6500 9.6455 62695.82 47.65 rebalance -2856.94
2026-03-03 601628.SH buy 300 43.8357 13150.70 5.13 rebalance
2026-03-03 601288.SH buy 3100 6.4697 20056.04 5.21 rebalance
2026-03-03 600350.SH buy 3800 9.7746 37143.63 9.66 rebalance
2026-03-03 601988.SH buy 1800 5.3079 9554.31 5.10 rebalance
2026-03-03 601398.SH buy 2700 6.9604 18793.15 5.19 rebalance
2026-03-03 601998.SH buy 1400 7.1808 10053.06 5.10 rebalance
2026-03-03 001965.SZ buy 1800 9.7646 17576.33 5.18 rebalance
2026-03-03 601319.SH buy 3100 8.5428 26482.66 6.88 rebalance
2026-03-03 601066.SH buy 4100 23.5353 96494.53 25.08 rebalance
2026-03-03 601658.SH buy 4500 4.9975 22488.68 5.84 rebalance
2026-03-03 600039.SH buy 1800 10.1151 18207.27 5.18 rebalance
2026-03-03 601728.SH buy 9700 5.8788 57024.41 14.83 rebalance
2026-03-30 601319.SH sell 8200 7.3090 59933.96 45.55 rebalance -13143.92
2026-04-02 601398.SH sell 3500 7.5586 26455.26 20.10 rebalance 3313.49
2026-04-02 601288.SH sell 1100 6.7099 7380.91 8.76 rebalance 1140.94
2026-04-02 601988.SH sell 2600 5.8612 15239.11 12.77 rebalance 1497.90
2026-04-02 601088.SH sell 751 46.6100 35004.09 26.60 rebalance 6257.70
2026-04-02 001289.SZ sell 3872 16.1358 62477.66 47.48 rebalance 628.89
2026-04-02 001872.SZ sell 1700 22.0269 37445.75 28.45 rebalance 3634.96
2026-04-02 601658.SH sell 3400 5.1023 17347.94 13.84 rebalance -585.75
2026-04-02 600350.SH sell 2500 10.5641 26410.33 20.07 rebalance 1318.29
2026-04-02 600236.SH sell 2800 9.6755 27091.30 20.59 rebalance 4266.64
2026-04-02 601158.SH sell 28700 4.4733 128383.14 97.57 rebalance -1954.30
2026-04-02 001965.SZ sell 2300 9.8053 22552.12 17.15 rebalance 238.83
2026-04-02 688055.SH sell 12931 3.9840 51517.30 39.16 rebalance 3937.82
2026-04-02 601633.SH sell 3900 20.6689 80608.90 61.26 rebalance 535.04
2026-04-02 600039.SH sell 7100 9.4358 66994.36 50.92 rebalance -2652.80
2026-04-02 601628.SH buy 600 36.9053 22143.17 5.76 rebalance
2026-04-02 603195.SH buy 900 41.9528 37757.55 9.82 rebalance
2026-04-02 601998.SH buy 1100 8.3024 9132.68 5.09 rebalance
2026-04-02 002032.SZ buy 1600 44.4666 71146.56 18.50 rebalance
2026-04-02 601319.SH buy 7100 7.4612 52974.34 13.77 rebalance
2026-04-02 600025.SH buy 500 9.8848 4942.40 5.05 rebalance
2026-04-02 601825.SH buy 9500 9.1537 86960.24 22.61 rebalance
2026-04-02 601728.SH buy 4300 5.6985 24503.70 6.38 rebalance
2026-04-02 600000.SH buy 7900 10.2654 81096.46 21.08 rebalance
2026-04-02 601512.SH buy 6200 8.7030 53958.82 14.03 rebalance
2026-04-02 000877.SZ buy 11200 5.0375 56420.50 14.67 rebalance
2026-04-02 601298.SH buy 7900 8.7331 68991.33 17.94 rebalance
2026-04-02 601857.SH buy 600 12.2183 7330.98 5.07 rebalance
2026-04-02 601136.SH buy 4700 16.3645 76913.20 20.00 rebalance
2026-04-27 300979.SZ sell 1300 41.7373 54258.49 41.23 rebalance -9985.57
2026-05-07 601288.SH sell 1400 6.8198 9547.66 9.87 rebalance 1607.15
2026-05-07 600025.SH sell 1400 9.5756 13405.86 11.83 rebalance 335.23
2026-05-07 603195.SH sell 1100 43.4447 47789.21 36.32 rebalance -29.46
2026-05-07 600350.SH sell 1100 10.7239 11796.28 11.02 rebalance 753.59
2026-05-07 001965.SZ sell 7300 9.4658 69100.19 52.52 rebalance -1718.33
2026-05-07 600007.SH sell 3700 21.1682 78322.34 59.52 rebalance 3687.76
2026-05-07 688198.SH sell 537 99.3508 53351.35 40.55 rebalance -3657.61
2026-05-07 601066.SH sell 1600 23.3749 37399.82 28.42 rebalance -294.79
2026-05-07 002032.SZ sell 1600 47.2291 75566.48 57.43 rebalance 4343.99
2026-05-07 601825.SH sell 2100 8.6869 18242.59 14.30 rebalance -999.49
2026-05-07 601512.SH sell 6200 10.2147 63330.86 48.13 rebalance 9309.88
2026-05-07 601298.SH sell 1400 8.9466 12525.18 11.39 rebalance 284.30
2026-05-07 601136.SH sell 4700 16.8946 79404.71 60.34 rebalance 2411.18
2026-05-07 601857.SH buy 1200 11.6675 14000.97 5.14 rebalance
2026-05-07 601319.SH buy 1100 7.1908 7909.85 5.08 rebalance
2026-05-07 601158.SH buy 27300 4.4667 121940.64 31.71 rebalance
2026-05-07 000877.SZ buy 2300 4.6269 10641.94 5.11 rebalance
2026-05-07 300979.SZ buy 1100 38.4376 42281.33 10.99 rebalance
2026-05-07 600000.SH buy 2100 9.1938 19306.92 5.19 rebalance
2026-05-07 601088.SH buy 1200 47.5713 57085.50 14.84 rebalance
2026-05-07 600018.SH buy 20300 5.0676 102872.08 26.75 rebalance
2026-05-07 601238.SH buy 11400 7.0606 80490.56 20.92 rebalance
2026-05-07 601059.SH buy 5000 17.0756 85377.88 22.19 rebalance
2026-05-07 601633.SH buy 4300 19.9499 85784.48 22.31 rebalance
2026-05-29 601633.SH sell 4300 16.8347 72389.25 55.01 rebalance -13472.55
2026-06-02 600025.SH sell 3400 10.0549 34186.64 25.98 rebalance 2446.43
2026-06-02 001872.SZ sell 500 22.1967 11098.33 10.66 rebalance 1151.69
2026-06-02 603195.SH sell 900 42.3464 38111.75 28.97 rebalance -1011.87
2026-06-02 600350.SH sell 1700 11.5427 19622.52 15.01 rebalance 2558.57
2026-06-02 601066.SH sell 2500 24.0239 60059.78 45.64 rebalance 1160.72
2026-06-02 601728.SH sell 14000 6.0210 84293.37 64.06 rebalance 2679.99
2026-06-02 600000.SH sell 10000 9.2861 92860.50 70.58 rebalance -7639.73
2026-06-02 000877.SZ sell 3200 4.3934 14058.88 12.17 rebalance -1854.26
2026-06-02 601158.SH sell 4500 4.3335 19500.71 14.95 rebalance -619.58
2026-06-02 601088.SH sell 100 48.6270 4862.70 7.48 rebalance 96.85
2026-06-02 600018.SH sell 1200 5.1123 6134.78 8.13 rebalance 43.96
2026-06-02 601238.SH sell 11400 6.1707 70346.32 53.46 rebalance -10218.61
2026-06-02 601059.SH sell 5000 17.0744 85371.75 64.88 rebalance -93.19
2026-06-02 601998.SH buy 4700 7.4311 34926.31 9.08 rebalance
2026-06-02 601658.SH buy 8300 5.0175 41645.37 10.83 rebalance
2026-06-02 001965.SZ buy 8500 9.9749 84786.99 22.05 rebalance
2026-06-02 601628.SH buy 500 33.5002 16750.09 5.17 rebalance
2026-06-02 300979.SZ buy 400 34.7821 13912.84 5.14 rebalance
2026-06-02 600377.SH buy 6200 12.9194 80099.97 20.82 rebalance
2026-06-02 001213.SZ buy 32600 3.8658 126024.75 32.77 rebalance
2026-06-02 001289.SZ buy 1900 19.0085 36116.09 9.39 rebalance
2026-06-02 601825.SH buy 600 8.6530 5191.78 5.05 rebalance
2026-06-02 600007.SH buy 2200 21.6324 47591.28 12.38 rebalance
2026-06-02 601928.SH buy 8400 9.2038 77311.79 20.10 rebalance
2026-06-02 002032.SZ buy 1000 46.3695 46369.45 12.05 rebalance
2026-06-05 000877.SZ sell 10300 4.1937 43195.11 32.83 rebalance -8018.97
2026-06-17 300979.SZ sell 1533 31.6824 48569.13 36.91 rebalance -7664.51
2026-06-18 600007.SH sell 2200 18.6021 40924.52 31.10 rebalance -6710.24
2026-06-30 601825.SH sell 8192 7.8382 64210.74 48.80 rebalance -8786.35
2026-07-01 001289.SZ sell 1907 15.4967 29552.25 22.47 rebalance -6593.09
2026-07-02 601398.SH sell 1600 7.0195 11231.13 10.73 rebalance 890.72
2026-07-02 601628.SH sell 1200 38.6919 46430.25 35.29 rebalance 1374.93
2026-07-02 601988.SH sell 4900 5.6515 27692.40 21.05 rebalance 1798.52
2026-07-02 601998.SH sell 7100 6.8797 48845.62 37.12 rebalance -2349.97
2026-07-02 601658.SH sell 8700 4.9426 43000.40 32.68 rebalance -2161.40
2026-07-02 601319.SH sell 3400 7.2391 24613.03 18.71 rebalance -658.16
2026-07-02 601298.SH sell 6500 7.9481 51662.39 39.27 rebalance -5156.66
2026-07-02 601158.SH sell 23361 3.9141 91437.76 69.49 rebalance -10496.23
2026-07-02 601088.SH sell 1100 39.7403 43714.33 33.23 rebalance -8660.88
2026-07-02 001965.SZ sell 1600 9.1363 14618.04 12.46 rebalance -1358.47
2026-07-02 001213.SZ sell 7900 3.4049 26898.59 20.44 rebalance -3412.83
2026-07-02 601857.SH buy 2100 8.6129 18087.09 5.18 rebalance
2026-07-02 601288.SH buy 900 6.0691 5462.18 5.05 rebalance
2026-07-02 001872.SZ buy 600 19.6294 11777.64 5.12 rebalance
2026-07-02 600025.SH buy 4000 9.0135 36054.00 9.37 rebalance
2026-07-02 600350.SH buy 500 11.4672 5733.59 5.06 rebalance
2026-07-02 601728.SH buy 13300 5.2879 70329.34 18.28 rebalance
2026-07-02 600000.SH buy 9100 8.7231 79379.89 20.63 rebalance
2026-07-02 002032.SZ buy 1000 40.8812 40881.23 10.63 rebalance
2026-07-02 001289.SZ buy 2100 15.7235 33019.46 8.58 rebalance
2026-07-02 601825.SH buy 8900 7.5914 67563.19 17.57 rebalance
2026-07-02 600236.SH buy 4000 9.2639 37055.50 9.63 rebalance
2026-07-02 601928.SH buy 1600 8.9134 14261.36 5.14 rebalance
2026-07-02 601598.SH buy 15800 5.0876 80384.40 20.90 rebalance
2026-07-02 600377.SH buy 1500 11.6675 17501.21 5.18 rebalance
2026-07-02 003816.SZ buy 18100 3.8658 69970.80 18.19 rebalance

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
benchmark000300.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）。