QTRADE · 回测报告

quiet_neglect_u · 生成 2026-07-07 00:02 · 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

双冷门防御：A 股散户博彩偏好使高换手、高波动股票被系统性高估，低波动 + 低换手的「被忽视」 大盘股长期存在冷门折价。换手率度量拥挤度，与波动率相关但不同源，叠加后能剔除「低波但刚被 爆炒过」的票，比纯低波更干净。在流通市值 ≥80 亿、成交额达标的池子里取双冷门综合排名最冷的 25 只等权月调，ret_120 > -10% 过滤阴跌价值陷阱。失效场景：流动性驱动的题材牛市中显著跑输 （冷门票会更冷门）；个别票换手率数据噪声大，靠市值/成交额双下限与 25 只分散钝化；若市场 风格长期奖励拥挤交易，折价可能迟迟不收敛。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0.9948
总收益-0.52%
年化收益-0.05%
年化波动+6.34%
夏普(rf=0)-0.01
最大回撤-25.61%
回撤区间2018-01-24 → 2022-04-26
卡玛比-0.0
平仓笔数472
胜率+47.88%
盈亏比(PF)1.02
总成交额38,269,841
总费用29,471
年化换手(单边)1.9
基准年化+3.35%
超额年化-3.40%
信息比率-0.3

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 949 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-04-17 601633.SH sell 3900 10.9835 42835.650000 54.41 rebalance -6594.890000
2018-04-20 600350.SH sell 7400 5.3220 39382.840000 50.02 rebalance -5442.320000
2018-05-03 601628.SH sell 1700 24.3634 41417.780000 52.60 rebalance -1149.690000
2018-05-03 600642.SH sell 8000 5.4618 43694.360000 55.48 rebalance -3564.540000
2018-05-03 600674.SH sell 4900 8.7469 42859.610000 54.43 rebalance -4170.840000
2018-05-03 601018.SH sell 8500 5.1023 43369.850000 55.08 rebalance -1985.290000
2018-05-03 600000.SH sell 3600 10.9735 39504.650000 50.17 rebalance -5264.550000
2018-05-03 600018.SH sell 6400 6.8297 43710.340000 55.51 rebalance -1247.460000
2018-05-03 601998.SH sell 7000 6.4603 45222.070000 57.43 rebalance 565.810000
2018-05-03 601766.SH sell 4500 9.5856 43135.200000 54.78 rebalance -1593.530000
2018-05-03 601633.SH buy 4000 10.9063 43625.340000 11.78 rebalance
2018-05-03 000157.SZ buy 8200 4.1963 34409.540000 9.29 rebalance
2018-05-03 600518.SH buy 1800 23.2348 41822.640000 11.30 rebalance
2018-05-03 000876.SZ buy 6200 7.0806 43899.750000 11.85 rebalance
2018-05-03 601166.SH buy 2700 16.0641 43372.960000 11.71 rebalance
2018-05-03 603699.SH buy 2100 20.1302 42273.320000 11.42 rebalance
2018-05-03 600252.SH buy 11600 3.7757 43797.600000 11.83 rebalance
2018-05-03 601288.SH buy 11400 3.8558 43955.840000 11.87 rebalance
2018-05-03 600017.SH buy 11400 3.8057 43384.980000 11.72 rebalance
2018-05-03 600739.SH buy 2500 17.2859 43214.730000 11.66 rebalance
2018-06-04 002437.SZ sell 7000 6.6999 46899.540000 59.56 rebalance -213.170000
2018-06-04 600886.SH sell 6700 7.4288 49773.230000 63.21 rebalance 2592.750000
2018-06-04 600015.SH sell 5000 8.3175 41587.530000 52.82 rebalance -2643.360000
2018-06-04 601169.SH sell 6500 6.6400 43160.160000 54.81 rebalance -1563.580000
2018-06-04 601857.SH sell 5900 7.9680 47011.380000 59.70 rebalance 2150.490000
2018-06-04 600016.SH sell 5600 7.7284 43278.980000 54.97 rebalance -1150.410000
2018-06-04 600170.SH sell 12000 3.4149 40978.440000 52.04 rebalance -3792.630000
2018-06-04 600688.SH sell 7600 5.6715 43103.250000 54.74 rebalance -1566.340000
2018-06-04 601633.SH sell 4063 10.9635 44544.820000 56.57 rebalance 853.880000
2018-06-04 600518.SH sell 1700 25.8212 43896.060000 55.75 rebalance 4330.470000
2018-06-04 000876.SZ sell 6200 7.1293 44201.600000 56.13 rebalance 233.870000
2018-06-04 603699.SH sell 2100 19.8801 41748.280000 53.02 rebalance -589.470000
2018-06-04 600252.SH sell 11785 3.5646 42009.340000 53.35 rebalance -1851.210000
2018-06-04 600017.SH sell 11400 3.6845 42002.900000 53.34 rebalance -1447.140000
2018-06-04 601398.SH buy 7800 5.6685 44214.220000 11.93 rebalance
2018-06-04 600642.SH buy 8100 5.4181 43886.730000 11.85 rebalance
2018-06-04 000883.SZ buy 10100 4.3665 44102.050000 11.91 rebalance
2018-06-04 002602.SZ buy 1200 34.9323 41918.780000 11.32 rebalance
2018-06-04 601998.SH buy 6900 6.3595 43880.720000 11.85 rebalance
2018-06-04 000656.SZ buy 8800 4.9875 43889.740000 11.85 rebalance
2018-06-04 600674.SH buy 4700 9.3140 43775.570000 11.82 rebalance
2018-06-04 600823.SH buy 9600 4.5769 43937.810000 11.86 rebalance
2018-06-04 002311.SZ buy 1800 24.2363 43625.340000 11.78 rebalance
2018-06-04 002352.SZ buy 900 47.9218 43129.600000 11.64 rebalance
2018-06-04 000898.SZ buy 7100 6.2093 44086.030000 11.90 rebalance
2018-06-04 600104.SH buy 1200 35.9038 43084.530000 11.63 rebalance
2018-06-04 600153.SH buy 4200 10.5758 44418.530000 11.99 rebalance
2018-06-04 600036.SH buy 1500 28.9534 43430.050000 11.73 rebalance
2018-06-04 603766.SH buy 400 5.8988 2359.530000 5.05 rebalance
2018-06-19 600739.SH sell 2500 14.8677 37169.160000 47.20 rebalance -6104.420000
2018-06-20 600023.SH sell 8200 4.6930 38482.190000 48.87 rebalance -6910.820000
2018-06-27 601988.SH sell 10800 3.6345 39253.030000 49.85 rebalance -6237.130000
2018-06-27 600153.SH sell 4200 9.0664 38078.800000 48.36 rebalance -6400.080000
2018-06-29 002311.SZ sell 1821 20.5791 37474.510000 47.59 rebalance -6206.680000
2018-07-03 600900.SH sell 400 15.9261 6370.430000 11.50 rebalance 302.480000
2018-07-03 601818.SH sell 11100 3.5147 39013.390000 49.54 rebalance -5959.540000
2018-07-03 601166.SH sell 2815 13.8392 38957.380000 49.48 rebalance -4476.670000
2018-07-03 601288.SH sell 11968 3.3150 39674.160000 50.38 rebalance -4342.380000
2018-07-03 601398.SH sell 7800 5.0824 39642.450000 50.34 rebalance -4634.040000
2018-07-03 600642.SH sell 8000 4.9625 39700.360000 50.42 rebalance -3706.680000
2018-07-03 000883.SZ sell 10100 4.0439 40843.640000 51.87 rebalance -3322.190000
2018-07-03 600674.SH sell 4700 8.4972 39937.000000 50.72 rebalance -3901.100000
2018-07-03 600823.SH sell 9600 4.0439 38821.680000 49.31 rebalance -5177.300000
2018-07-03 002352.SZ sell 900 44.1337 39720.330000 50.44 rebalance -3471.350000
2018-07-03 000898.SZ sell 7399 5.3619 39673.030000 50.38 rebalance -4474.780000
2018-07-03 600036.SH sell 1500 25.4018 38102.760000 48.39 rebalance -5387.410000
2018-07-03 601857.SH buy 5400 7.5213 40614.830000 10.96 rebalance
2018-07-03 600018.SH buy 6900 5.9089 40771.070000 11.01 rebalance
2018-07-03 600028.SH buy 6400 6.3295 40508.670000 10.94 rebalance
2018-07-03 600011.SH buy 6200 6.5198 40422.540000 10.92 rebalance
2018-07-03 600236.SH buy 7400 5.5884 41353.940000 11.17 rebalance
2018-07-03 002142.SZ buy 2500 16.0941 40235.260000 10.86 rebalance
2018-07-03 000538.SZ buy 300 106.0488 31814.650000 8.59 rebalance
2018-07-03 002415.SZ buy 1100 36.4546 40100.060000 10.83 rebalance
2018-07-03 601098.SH buy 3200 12.5788 40252.290000 10.87 rebalance
2018-07-03 600886.SH buy 5600 7.3410 41109.570000 11.10 rebalance
2018-07-03 002493.SZ buy 3900 10.4056 40581.780000 10.96 rebalance
2018-07-03 600518.SH buy 1600 22.9444 36710.980000 9.91 rebalance
2018-07-03 300498.SZ buy 1800 22.0330 39659.400000 10.70 rebalance
2018-07-03 600655.SH buy 4300 9.4742 40739.020000 10.99 rebalance
2018-07-03 601117.SH buy 6100 6.6800 40748.030000 11.00 rebalance
2018-07-03 601799.SH buy 500 59.3890 29694.480000 8.01 rebalance
2018-07-03 002179.SZ buy 100 39.1486 3914.860000 5.08 rebalance
2018-07-06 000656.SZ sell 9280 4.4433 41234.060000 52.36 rebalance -2718.240000
2018-07-09 601098.SH sell 3358 11.4528 38458.490000 48.84 rebalance -1845.390000
2018-07-20 600104.SH sell 1266 31.8721 40350.100000 51.25 rebalance -2793.740000
2018-07-20 600655.SH sell 4300 8.3674 35979.950000 45.69 rebalance -4815.750000
2018-07-24 600221.SH sell 14287 2.4963 35663.920000 45.29 rebalance -9614.380000
2018-08-02 601328.SH sell 7670 5.6016 42964.160000 54.56 rebalance -1991.140000
2018-08-02 601006.SH sell 1100 8.7668 9643.510000 14.83 rebalance 1113.790000
2018-08-02 601998.SH sell 7203 5.9111 42577.800000 54.07 rebalance -1368.600000
2018-08-02 601857.SH sell 5400 7.5686 40870.600000 51.91 rebalance 192.900000
2018-08-02 600018.SH sell 6900 6.0110 41475.690000 52.68 rebalance 640.940000
2018-08-02 600011.SH sell 6200 7.6086 47173.130000 59.90 rebalance 6679.770000
2018-08-02 002142.SZ sell 2561 17.0144 43573.980000 55.33 rebalance 3283.970000
2018-08-02 002415.SZ sell 1100 31.4627 34609.010000 43.95 rebalance -5545.830000
2018-08-02 002493.SZ sell 3900 11.5726 45133.200000 57.31 rebalance 4483.150000
2018-08-02 601117.SH sell 6100 6.8497 41783.230000 53.07 rebalance 971.130000
2018-08-02 601799.SH sell 500 52.7907 26395.350000 33.53 rebalance -3340.670000
2018-08-02 600674.SH buy 4600 8.7731 40356.440000 10.90 rebalance
2018-08-02 600104.SH buy 1300 31.4271 40855.190000 11.03 rebalance
2018-08-02 600277.SH buy 7500 5.4682 41011.420000 11.07 rebalance
2018-08-02 600660.SH buy 1600 24.8672 39787.590000 10.75 rebalance
2018-08-02 000656.SZ buy 8100 5.0576 40966.360000 11.06 rebalance
2018-08-02 600406.SH buy 2600 15.4832 40256.290000 10.87 rebalance
2018-08-02 600518.SH buy 200 20.8612 4172.250000 5.08 rebalance
2018-08-02 000538.SZ buy 100 98.9081 9890.810000 5.20 rebalance
2018-08-02 601139.SH buy 6900 5.9890 41323.890000 11.16 rebalance
2018-08-02 002030.SZ buy 2500 16.2243 40560.750000 10.95 rebalance
2018-08-02 000869.SZ buy 900 41.8627 37676.430000 10.17 rebalance
2018-08-02 600998.SH buy 2500 15.9739 39934.810000 10.78 rebalance
2018-08-02 601005.SH buy 19200 2.1332 40957.340000 11.06 rebalance
2018-08-02 002358.SZ buy 2900 14.0410 40718.990000 10.99 rebalance
2018-08-02 600737.SH buy 5300 7.6615 40605.820000 10.96 rebalance
2018-08-02 600270.SH buy 1900 21.0916 40074.020000 10.82 rebalance
2018-08-02 600388.SH buy 2200 12.6389 27805.650000 7.51 rebalance
2018-08-15 000538.SZ sell 404 91.8620 37112.250000 47.13 rebalance -4600.750000
2018-08-20 600518.SH sell 1917 20.1198 38569.610000 48.98 rebalance -4694.400000
2018-08-20 000869.SZ sell 900 35.5466 31991.940000 40.63 rebalance -5735.290000
2018-08-21 600388.SH sell 2200 10.5242 23153.220000 29.40 rebalance -4689.340000
2018-09-04 300498.SZ sell 1800 20.7289 37311.950000 47.39 rebalance -2405.540000
2018-09-04 600674.SH sell 4600 8.0379 36974.460000 46.95 rebalance -3439.840000
2018-09-04 600104.SH sell 1300 28.8766 37539.610000 47.67 rebalance -3374.280000
2018-09-04 600277.SH sell 7583 5.2821 40053.900000 50.86 rebalance -1016.820000
2018-09-04 600660.SH sell 1600 25.9610 41537.600000 52.75 rebalance 1686.510000
2018-09-04 600406.SH sell 2600 15.9560 41485.680000 52.69 rebalance 1165.820000
2018-09-04 601139.SH sell 6900 6.0010 41406.800000 52.59 rebalance 19.150000
2018-09-04 002030.SZ sell 2500 17.6734 44183.620000 56.11 rebalance 3555.820000
2018-09-04 600998.SH sell 2500 15.1572 37893.070000 48.12 rebalance -2100.640000
2018-09-04 601005.SH sell 19200 2.0270 38917.540000 49.43 rebalance -2100.300000
2018-09-04 002358.SZ sell 2900 14.5282 42131.710000 53.50 rebalance 1348.230000
2018-09-04 600737.SH sell 5300 7.7883 41277.990000 52.43 rebalance 608.780000
2018-09-04 601328.SH buy 7000 5.6485 39539.220000 10.67 rebalance
2018-09-04 601288.SH buy 10900 3.6455 39735.510000 10.72 rebalance
2018-09-04 601998.SH buy 6600 5.9790 39461.100000 10.66 rebalance
2018-09-04 600518.SH buy 1900 20.6710 39274.820000 10.61 rebalance
2018-09-04 601818.SH buy 10700 3.7056 39649.390000 10.70 rebalance
2018-09-04 600688.SH buy 7200 5.5583 40019.940000 10.80 rebalance
2018-09-04 601898.SH buy 7700 5.1377 39560.250000 10.68 rebalance
2018-09-04 601857.SH buy 4900 8.0721 39553.240000 10.68 rebalance
2018-09-04 000999.SZ buy 1500 26.3795 39569.260000 10.68 rebalance
2018-09-04 601229.SH buy 3300 11.8578 39130.610000 10.56 rebalance
2018-09-04 600240.SH buy 4900 8.1222 39798.610000 10.75 rebalance
2018-09-04 600572.SH buy 5700 6.9805 39788.590000 10.75 rebalance
2018-09-04 600036.SH buy 1400 28.2223 39511.180000 10.67 rebalance
2018-09-04 600926.SH buy 5000 7.8818 39409.030000 10.64 rebalance
2018-09-04 601225.SH buy 5300 7.4111 39278.830000 10.61 rebalance
2018-09-04 002183.SZ buy 3000 6.0691 18207.270000 5.36 rebalance
2018-09-11 000157.SZ sell 10927 3.6845 40260.150000 51.14 rebalance -3421.120000
2018-09-25 600240.SH sell 4900 6.9496 34052.840000 43.24 rebalance -5799.750000
2018-10-09 601006.SH sell 4708 7.9381 37372.460000 47.46 rebalance 881.240000
2018-10-09 600028.SH sell 6554 6.6101 43322.400000 55.02 rebalance 2751.990000
2018-10-09 600886.SH sell 5726 7.3989 42366.020000 53.81 rebalance 1198.240000
2018-10-09 000656.SZ sell 8100 4.9326 39953.980000 50.74 rebalance -1074.180000
2018-10-09 600270.SH sell 1800 20.2696 36485.190000 46.34 rebalance -1536.260000
2018-10-09 601288.SH sell 10900 3.7643 41031.360000 52.11 rebalance 1233.020000
2018-10-09 601229.SH sell 3300 11.7923 38914.540000 49.42 rebalance -276.050000
2018-10-09 600036.SH sell 1400 29.2860 41000.410000 52.07 rebalance 1426.490000
2018-10-09 600926.SH sell 5000 7.6086 38042.850000 48.31 rebalance -1425.120000
2018-10-09 601225.SH sell 5300 8.4373 44717.820000 56.79 rebalance 5371.590000
2018-10-09 002183.SZ sell 3000 6.0210 18062.870000 23.42 rebalance -173.180000
2018-10-09 600674.SH buy 4800 8.3024 39851.690000 10.76 rebalance
2018-10-09 601988.SH buy 11000 3.6154 39769.570000 10.74 rebalance
2018-10-09 002493.SZ buy 3600 11.0065 39623.350000 10.70 rebalance
2018-10-09 000157.SZ buy 10900 3.6354 39626.350000 10.70 rebalance
2018-10-09 600023.SH buy 7800 5.0476 39370.970000 10.63 rebalance
2018-10-09 600016.SH buy 6500 6.0791 39514.180000 10.67 rebalance
2018-10-09 600277.SH buy 7700 5.1377 39560.250000 10.68 rebalance
2018-10-09 601618.SH buy 11300 3.5153 39722.490000 10.72 rebalance
2018-10-09 601991.SH buy 12000 3.3049 39659.400000 10.70 rebalance
2018-10-09 601398.SH buy 7100 5.5283 39250.790000 10.60 rebalance
2018-10-09 300498.SZ buy 1700 23.3750 39737.520000 10.72 rebalance
2018-10-09 601390.SH buy 5100 7.7015 39277.830000 10.61 rebalance
2018-10-09 600500.SH buy 2700 7.3410 19820.690000 5.40 rebalance
2018-10-12 600900.SH sell 2616 15.5067 40565.540000 51.52 rebalance 904.870000
2018-10-12 600236.SH sell 7400 5.6415 41747.290000 53.02 rebalance 329.160000
2018-10-12 601328.SH sell 7000 5.5017 38512.140000 48.91 rebalance -1086.660000
2018-10-12 601998.SH sell 6600 5.6815 37497.670000 47.62 rebalance -2021.710000
2018-10-12 600518.SH sell 1900 21.7573 41338.900000 52.50 rebalance 2000.960000
2018-10-12 601818.SH sell 10700 3.7344 39957.970000 50.75 rebalance 247.140000
2018-10-12 600688.SH sell 7200 5.5017 39612.490000 50.30 rebalance -468.550000
2018-10-12 601898.SH sell 7700 4.9625 38211.600000 48.52 rebalance -1407.850000
2018-10-12 601857.SH sell 4949 8.7069 43090.550000 54.72 rebalance 3477.650000
2018-10-12 000999.SZ sell 1500 22.3564 33534.620000 42.58 rebalance -6087.900000
2018-10-12 600572.SH sell 5700 6.3005 35913.050000 45.61 rebalance -3931.900000
2018-10-12 600674.SH sell 4800 7.8981 37911.050000 48.15 rebalance -1999.550000
2018-10-12 601988.SH sell 11000 3.4848 38332.420000 48.68 rebalance -1496.570000
2018-10-12 002493.SZ sell 3600 10.7339 38641.950000 49.07 rebalance -1041.170000
2018-10-12 000157.SZ sell 10900 3.3150 36133.720000 45.88 rebalance -3549.210000
2018-10-12 600023.SH sell 7700 4.7129 36289.480000 46.09 rebalance -2633.310000
2018-10-12 600016.SH sell 6500 5.9511 38681.890000 49.12 rebalance -892.080000
2018-10-12 600277.SH sell 7600 4.6930 35666.420000 45.30 rebalance -3435.900000
2018-10-12 601618.SH sell 11300 3.2451 36669.910000 46.57 rebalance -3109.870000
2018-10-12 601991.SH sell 12000 3.1153 37383.840000 47.48 rebalance -2333.740000
2018-10-12 601398.SH sell 7000 5.3919 37743.300000 47.93 rebalance -1013.040000
2018-10-12 300498.SZ sell 1700 23.5646 40059.820000 50.87 rebalance 260.710000
2018-10-12 601390.SH sell 5100 7.5287 38396.320000 48.77 rebalance -940.890000
2018-10-12 600500.SH sell 2700 6.8996 18629.010000 24.00 rebalance -1221.070000
2018-12-28 600270.SH sell 100 20.9900 1049.500000 0.00 delist_forced -1060.228474
2024-07-18 600277.SH sell 138 0.3800 26.349012 0.00 delist_forced -487.559190

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）。