QTRADE · 回测报告

quiet_drift · 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

静默漂移（frog-in-the-pan）：信息以连续小步扩散的股票，其上涨不易触发关注与抢跑， 价格漂移更持久，而A股中低换手正是低关注度的天然代理。本策略在流通市值30亿-800亿 的中盘带、20日均成交额≥2500万的池子里，先用趋势门槛只保留站上120日均线且近60日 温和上涨（0~35%）的"悄悄走强"股，再按20日均换手率从低到高排序取20只等权—— 动量只做二值门槛、冷门度才是主排序因子（辅以0.25权重的120日收益打破平票）， 与追高型趋势策略本质不同；35%涨幅上限刻意避开已被市场发现的热门股。 风险：趋势门槛在单边急跌市会使可选池骤缩、组合被动集中甚至凑不满20只； 中盘冷门股流动性弱于蓝筹，极端行情卖出滑点可能放大； 若风格转向高换手题材炒作或急涨急跌反复打穿门槛，该策略会因反复调仓损耗而失效。

绩效概览

区间2016-01-04 → 2026-07-03 (2549 交易日)
期末净值0.8169
总收益-18.31%
年化收益-1.98%
年化波动+8.85%
夏普(rf=0)-0.22
最大回撤-29.14%
回撤区间2016-01-06 → 2024-08-22
卡玛比-0.07
平仓笔数467
胜率+42.18%
盈亏比(PF)0.75
总成交额38,023,117
总费用29,292
年化换手(单边)2.3
基准年化+2.25%
超额年化-4.23%
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 914 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-04-03 002311.SZ sell 200 24.6030 4920.61 10.02 rebalance 1540.18
2018-04-03 000150.SZ sell 1600 27.7383 44381.33 56.37 rebalance -698.61
2018-04-03 601113.SH sell 3300 13.6894 45175.14 57.37 rebalance -800.39
2018-04-03 603939.SH sell 300 58.9115 17673.45 23.02 rebalance 5337.67
2018-04-03 601633.SH sell 3700 11.2831 41747.29 53.02 rebalance -3822.18
2018-04-03 000963.SZ sell 800 64.3334 51466.68 65.37 rebalance 6666.26
2018-04-03 600612.SH sell 900 40.9085 36817.69 46.76 rebalance -3079.50
2018-04-03 000418.SZ sell 600 64.8027 38881.59 49.38 rebalance -3710.97
2018-04-03 600143.SH sell 7300 5.8912 43005.40 54.62 rebalance -3047.52
2018-04-03 002485.SZ sell 1700 26.7898 45542.58 57.84 rebalance 968.07
2018-04-03 002294.SZ sell 1100 42.4363 46679.88 59.28 rebalance 3909.12
2018-04-03 600299.SH sell 3800 12.9805 49325.90 62.65 rebalance 3620.59
2018-04-03 000048.SZ sell 1800 23.7244 42703.85 54.23 rebalance -2430.05
2018-04-03 002333.SZ sell 2800 14.7878 41405.80 52.59 rebalance -3834.64
2018-04-03 002493.SZ buy 3200 14.4216 46149.12 12.46 rebalance
2018-04-03 002602.SZ buy 1300 33.8707 44031.95 11.89 rebalance
2018-04-03 002563.SZ buy 4500 10.3155 46419.53 12.53 rebalance
2018-04-03 603699.SH buy 2400 19.2488 46197.19 12.47 rebalance
2018-04-03 601158.SH buy 7000 6.6099 46269.30 12.50 rebalance
2018-04-03 002032.SZ buy 1000 43.0445 43044.47 11.62 rebalance
2018-04-03 000504.SZ buy 1900 23.9358 45478.11 12.28 rebalance
2018-04-03 600011.SH buy 7000 6.6600 46619.83 12.58 rebalance
2018-04-03 600004.SH buy 3000 15.0626 45187.68 12.20 rebalance
2018-04-03 603806.SH buy 1200 36.8151 44178.17 11.92 rebalance
2018-04-03 600009.SH buy 900 49.0735 44166.15 11.92 rebalance
2018-04-03 601808.SH buy 4100 11.2669 46194.19 12.47 rebalance
2018-04-03 600661.SH buy 1700 27.2408 46309.36 12.51 rebalance
2018-04-03 000918.SZ buy 6600 7.0105 46269.30 12.50 rebalance
2018-05-03 600023.SH sell 8300 5.1423 42680.88 54.20 rebalance -3270.43
2018-05-03 002372.SZ sell 300 23.7144 7114.31 12.25 rebalance 1073.41
2018-05-03 002493.SZ sell 3200 14.8777 47608.48 60.46 rebalance 1386.44
2018-05-03 002602.SZ sell 1300 34.8477 45301.94 57.54 rebalance 1200.57
2018-05-03 601158.SH sell 7000 6.3305 44313.43 56.28 rebalance -2024.65
2018-05-03 002032.SZ sell 100 52.0718 5207.18 10.31 rebalance 891.26
2018-05-03 000504.SZ sell 1900 21.6575 41149.18 52.26 rebalance -4393.47
2018-05-03 600011.SH sell 7000 6.3704 44593.01 56.63 rebalance -2096.03
2018-05-03 600004.SH sell 3000 15.3070 45921.01 58.32 rebalance 662.82
2018-05-03 600009.SH sell 900 49.8751 44887.57 57.01 rebalance 652.49
2018-05-03 601808.SH sell 4100 10.3445 42412.29 53.86 rebalance -3848.23
2018-05-03 000918.SZ sell 6600 6.5801 43428.76 55.16 rebalance -2908.20
2018-05-03 603555.SH buy 1800 24.8873 44797.10 12.10 rebalance
2018-05-03 002399.SZ buy 2500 18.0971 45242.76 12.21 rebalance
2018-05-03 601113.SH buy 3200 14.3515 45924.78 12.40 rebalance
2018-05-03 600398.SH buy 3700 12.4687 46134.10 12.45 rebalance
2018-05-03 000981.SZ buy 4600 10.0050 46022.93 12.43 rebalance
2018-05-03 600299.SH buy 3400 13.5904 46207.21 12.47 rebalance
2018-05-03 300257.SZ buy 2700 17.1257 46239.26 12.48 rebalance
2018-05-03 601566.SH buy 2900 15.9239 46179.17 12.46 rebalance
2018-05-03 002203.SZ buy 5300 8.7932 46603.80 12.58 rebalance
2018-05-03 600998.SH buy 2400 18.3775 44106.06 11.91 rebalance
2018-05-31 603806.SH sell 1583 30.0049 47497.80 60.32 rebalance 3270.89
2018-06-04 002563.SZ sell 4589 13.6994 62866.64 79.85 rebalance 16358.34
2018-06-04 600661.SH sell 1700 31.5027 53554.55 68.01 rebalance 7164.67
2018-06-04 002399.SZ sell 2500 23.4548 58636.91 74.47 rebalance 13307.47
2018-06-04 601113.SH sell 3200 14.4783 46330.40 58.84 rebalance 334.38
2018-06-04 600398.SH sell 3700 14.3784 53200.08 67.56 rebalance 6985.97
2018-06-04 000981.SZ sell 4600 9.2561 42578.04 54.07 rebalance -3511.39
2018-06-04 600299.SH sell 3400 12.9306 43963.95 55.83 rebalance -2311.55
2018-06-04 601566.SH sell 3080 15.5766 47975.93 60.93 rebalance 1726.91
2018-06-04 002203.SZ sell 5335 8.2676 44107.54 56.02 rebalance -2556.72
2018-06-04 600998.SH sell 2400 18.4723 44333.40 56.30 rebalance 159.13
2018-06-04 603555.SH buy 200 24.5568 4911.36 5.10 rebalance
2018-06-04 600011.SH buy 7000 6.9805 48863.18 13.20 rebalance
2018-06-04 000688.SZ buy 4400 11.0866 48781.06 13.18 rebalance
2018-06-04 600236.SH buy 8300 5.9189 49126.58 13.26 rebalance
2018-06-04 002493.SZ buy 4600 10.6159 48833.14 13.19 rebalance
2018-06-04 002602.SZ buy 1400 34.9323 48905.25 13.21 rebalance
2018-06-04 600648.SH buy 2600 18.5979 48354.42 13.06 rebalance
2018-06-04 601098.SH buy 3500 13.8908 48617.82 13.12 rebalance
2018-06-04 603806.SH buy 1700 25.6985 43687.43 11.79 rebalance
2018-06-04 600098.SH buy 7200 6.7902 48889.22 13.20 rebalance
2018-06-04 600007.SH buy 3000 16.1041 48312.36 13.05 rebalance
2018-06-04 601021.SH buy 1300 37.6063 48888.22 13.20 rebalance
2018-06-04 601727.SH buy 1400 6.3595 8903.33 5.18 rebalance
2018-06-20 603806.SH sell 1700 21.8472 37140.21 47.17 rebalance -6606.19
2018-06-22 600011.SH sell 7000 6.0809 42566.06 54.06 rebalance -6364.39
2018-06-22 600007.SH sell 3000 13.9790 41937.00 53.26 rebalance -6441.67
2018-06-26 603699.SH sell 2400 13.4798 32351.40 41.09 rebalance -13899.35
2018-06-26 300257.SZ sell 2714 14.9376 40540.54 51.49 rebalance -5749.01
2018-06-27 002372.SZ sell 2659 17.8432 47445.06 60.26 rebalance 7199.09
2018-06-27 603555.SH sell 2031 11.5227 23402.58 29.72 rebalance -26337.97
2018-07-03 002311.SZ sell 1967 20.3894 40105.89 50.94 rebalance 7291.86
2018-07-03 603899.SH sell 100 31.6025 3160.25 8.22 rebalance 337.68
2018-07-03 000688.SZ sell 600 11.9021 7141.27 12.28 rebalance 531.38
2018-07-03 600648.SH sell 2600 18.0729 46989.41 59.68 rebalance -1437.75
2018-07-03 601098.SH sell 3500 12.5412 43894.06 55.74 rebalance -4792.62
2018-07-03 600098.SH sell 7200 6.3804 45938.99 58.34 rebalance -3021.78
2018-07-03 600398.SH buy 3500 12.5889 44060.99 11.90 rebalance
2018-07-03 600886.SH buy 6100 7.3410 44780.07 12.10 rebalance
2018-07-03 601339.SH buy 7800 5.6485 44057.99 11.89 rebalance
2018-07-03 603883.SH buy 500 81.6623 40831.16 11.03 rebalance
2018-07-03 601901.SH buy 6700 6.6399 44487.63 12.01 rebalance
2018-07-03 603568.SH buy 1700 25.5383 43415.03 11.72 rebalance
2018-07-03 600027.SH buy 11400 3.8958 44412.52 11.99 rebalance
2018-07-03 002399.SZ buy 1900 22.7841 43289.84 11.69 rebalance
2018-07-03 600566.SH buy 900 48.2723 43445.07 11.73 rebalance
2018-07-03 002595.SZ buy 2600 16.9454 44057.99 11.89 rebalance
2018-07-03 002030.SZ buy 900 15.5433 13988.95 5.28 rebalance
2018-07-06 601021.SH sell 1300 32.7508 42576.04 54.07 rebalance -6379.45
2018-07-20 600165.SH sell 2900 5.7514 16678.94 22.01 rebalance -28663.17
2018-07-31 002399.SZ sell 1900 18.2326 34641.96 43.99 rebalance -8703.56
2018-08-02 603939.SH sell 804 56.3653 45317.72 57.56 rebalance 12426.90
2018-08-02 601799.SH sell 813 52.7907 42918.84 54.51 rebalance 433.68
2018-08-02 603899.SH sell 1513 28.9066 43735.65 55.54 rebalance 1098.99
2018-08-02 002032.SZ sell 100 51.7223 5172.23 10.27 rebalance 918.13
2018-08-02 600236.SH sell 1400 5.7713 8079.86 13.24 rebalance 217.02
2018-08-02 002493.SZ sell 900 11.5726 10415.35 15.63 rebalance 842.83
2018-08-02 600398.SH sell 3500 11.2930 39525.62 50.20 rebalance -4597.47
2018-08-02 600886.SH sell 700 7.8083 5465.79 10.58 rebalance 315.12
2018-08-02 601339.SH sell 7945 5.3919 42838.65 54.41 rebalance -1282.75
2018-08-02 603883.SH sell 500 69.0063 34503.17 43.82 rebalance -6382.84
2018-08-02 600027.SH sell 11451 4.4034 50423.16 64.04 rebalance 5937.79
2018-08-02 600566.SH sell 900 45.8811 41292.97 52.44 rebalance -2216.27
2018-08-02 002595.SZ sell 2657 16.3255 43376.79 55.09 rebalance -741.57
2018-08-02 002030.SZ sell 900 16.1757 14558.13 19.85 rebalance 544.05
2018-08-02 600011.SH buy 5500 7.6314 41972.87 11.33 rebalance
2018-08-02 600648.SH buy 2200 19.1186 42061.00 11.36 rebalance
2018-08-02 000883.SZ buy 9800 4.2764 41908.77 11.32 rebalance
2018-08-02 601098.SH buy 3300 12.4787 41179.68 11.11 rebalance
2018-08-02 601139.SH buy 7000 5.9890 41922.79 11.32 rebalance
2018-08-02 600674.SH buy 4700 8.7731 41233.76 11.13 rebalance
2018-08-02 002563.SZ buy 3300 12.7892 42204.21 11.39 rebalance
2018-08-02 600277.SH buy 7700 5.4682 42105.06 11.37 rebalance
2018-08-02 600660.SH buy 1600 24.8672 39787.59 10.75 rebalance
2018-08-02 000869.SZ buy 1000 41.8627 41862.70 11.31 rebalance
2018-08-02 601100.SH buy 1800 23.0645 41516.18 11.21 rebalance
2018-08-02 600270.SH buy 1900 21.0916 40074.02 10.82 rebalance
2018-08-02 603338.SH buy 400 54.3614 21744.57 5.87 rebalance
2018-08-07 002563.SZ sell 3300 10.4543 34499.17 43.81 rebalance -7760.24
2018-08-09 601727.SH sell 1400 5.2022 7283.06 12.43 rebalance -1637.89
2018-08-13 600011.SH sell 5500 6.8697 37783.24 47.99 rebalance -4248.94
2018-08-16 601901.SH sell 6710 5.8712 39395.62 50.04 rebalance -5153.26
2018-08-20 000869.SZ sell 1000 35.5466 35546.60 45.15 rebalance -6372.56
2018-09-04 002032.SZ sell 813 49.1761 39980.19 50.78 rebalance 5427.07
2018-09-04 000688.SZ sell 3837 11.1932 42948.25 54.55 rebalance 701.98
2018-09-04 600236.SH sell 7364 5.7014 41985.37 53.33 rebalance 643.13
2018-09-04 603568.SH sell 1700 27.0394 45966.95 58.38 rebalance 2481.82
2018-09-04 600648.SH sell 2200 17.7533 39057.33 49.60 rebalance -3064.63
2018-09-04 000883.SZ sell 9800 4.0140 39336.91 49.96 rebalance -2633.14
2018-09-04 601098.SH sell 3300 11.9121 39309.95 49.93 rebalance -1930.77
2018-09-04 600674.SH sell 4700 8.0379 37778.25 47.98 rebalance -3514.62
2018-09-04 600270.SH sell 1900 19.8801 37772.26 47.97 rebalance -2360.55
2018-09-04 600688.SH buy 7200 5.5583 40019.94 10.80 rebalance
2018-09-04 600011.SH buy 5500 7.3009 40155.14 10.84 rebalance
2018-09-04 601898.SH buy 7800 5.1377 40074.02 10.82 rebalance
2018-09-04 002203.SZ buy 4600 8.6830 39941.82 10.79 rebalance
2018-09-04 000656.SZ buy 7700 5.1577 39714.48 10.72 rebalance
2018-09-04 002242.SZ buy 2300 17.0355 39181.68 10.58 rebalance
2018-09-04 603338.SH buy 300 52.5787 15773.62 5.32 rebalance
2018-09-04 601808.SH buy 3800 10.4957 39883.74 10.77 rebalance
2018-09-04 601229.SH buy 3300 11.8578 39130.61 10.56 rebalance
2018-09-04 600240.SH buy 4900 8.1222 39798.61 10.75 rebalance
2018-09-04 000829.SZ buy 4700 8.3125 39068.52 10.55 rebalance
2018-09-04 002179.SZ buy 900 42.7641 38487.65 10.39 rebalance
2018-09-04 603939.SH buy 700 51.3970 35977.89 9.71 rebalance
2018-09-04 002030.SZ buy 1800 17.7265 31907.79 8.62 rebalance
2018-09-17 000829.SZ sell 4700 7.1493 33601.52 42.67 rebalance -5520.21
2018-09-25 600240.SH sell 4900 6.9496 34052.84 43.24 rebalance -5799.75
2018-10-09 601139.SH sell 7000 6.4503 45152.17 57.34 rebalance 3160.72
2018-10-09 600277.SH sell 7785 5.1223 39877.14 50.65 rebalance -2286.07
2018-10-09 600660.SH sell 1600 24.7728 39636.46 50.34 rebalance -212.23
2018-10-09 601100.SH sell 1700 21.2880 36189.63 45.96 rebalance -3076.64
2018-10-09 600011.SH sell 5500 7.3290 40309.44 51.20 rebalance 92.26
2018-10-09 002203.SZ sell 4600 8.1877 37663.42 47.83 rebalance -2337.02
2018-10-09 000656.SZ sell 7700 4.9326 37980.94 48.24 rebalance -1792.50
2018-10-09 002242.SZ sell 2300 15.6565 36009.90 45.73 rebalance -3228.09
2018-10-09 002179.SZ sell 900 42.9355 38641.95 49.07 rebalance 94.85
2018-10-09 603939.SH sell 700 53.6195 37533.62 47.66 rebalance 1498.36
2018-10-09 002030.SZ sell 1800 18.1527 32674.91 41.49 rebalance 717.01
2018-10-09 600023.SH buy 7700 5.0476 38866.21 10.50 rebalance
2018-10-09 601021.SH buy 1100 34.8622 38348.44 10.36 rebalance
2018-10-09 601618.SH buy 11200 3.5153 39370.97 10.63 rebalance
2018-10-09 601991.SH buy 11900 3.3049 39328.90 10.62 rebalance
2018-10-09 002032.SZ buy 700 52.6188 36833.17 9.95 rebalance
2018-10-09 601872.SH buy 10300 3.8758 39920.79 10.78 rebalance
2018-10-09 000027.SZ buy 7300 5.3680 39186.69 10.58 rebalance
2018-10-09 600236.SH buy 6700 5.8588 39253.79 10.60 rebalance
2018-10-09 600483.SH buy 4800 8.1222 38986.39 10.53 rebalance
2018-10-09 000959.SZ buy 9300 4.2063 39118.59 10.56 rebalance
2018-10-09 600027.SH buy 9500 4.1162 39103.57 10.56 rebalance
2018-10-09 600500.SH buy 5400 7.3410 39641.37 10.70 rebalance
2018-10-12 002493.SZ sell 3700 10.7339 39715.34 50.44 rebalance 375.46
2018-10-12 600886.SH sell 5522 7.0494 38926.84 49.44 rebalance -771.81
2018-10-12 603338.SH sell 700 49.0363 34325.43 43.60 rebalance -3247.55
2018-10-12 600688.SH sell 7200 5.5017 39612.49 50.30 rebalance -468.55
2018-10-12 601898.SH sell 7800 4.9625 38707.85 49.16 rebalance -1426.15
2018-10-12 601808.SH sell 3800 10.1348 38512.15 48.91 rebalance -1431.27
2018-10-12 601229.SH sell 3300 11.1333 36739.81 46.65 rebalance -2448.01
2018-10-12 600023.SH sell 7600 4.7129 35818.19 45.49 rebalance -2599.12
2018-10-12 601021.SH sell 1100 33.5496 36904.56 46.87 rebalance -1501.11
2018-10-12 601618.SH sell 11200 3.2451 36345.40 46.17 rebalance -3082.37
2018-10-12 601991.SH sell 11900 3.1153 37072.31 47.08 rebalance -2314.30
2018-10-12 002032.SZ sell 700 49.5855 34709.86 44.08 rebalance -2177.34
2018-10-12 601872.SH sell 10300 3.6246 37332.92 47.41 rebalance -2646.07
2018-10-12 000027.SZ sell 7300 4.9825 36372.36 46.19 rebalance -2871.10
2018-10-12 600236.SH sell 6700 5.6415 37798.22 48.01 rebalance -1514.18
2018-10-12 600483.SH sell 4800 8.0479 38629.97 49.06 rebalance -416.01
2018-10-12 000959.SZ sell 9300 3.9041 36308.46 46.12 rebalance -2866.81
2018-10-12 600027.SH sell 9500 3.9640 37658.43 47.82 rebalance -1503.52
2018-10-12 600500.SH sell 5400 6.8996 37258.03 47.32 rebalance -2441.36

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）。