QTRADE · 回测报告

reversal_5d · 生成 2026-07-07 00:05 · 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

短线超跌反转：A 股短周期存在显著反转效应（前 5 日跌得越狠、其后越易反弹）。 在长期趋势（ma_120）之上的股票里，选近 5 日回撤最深的 10 只等权，周频轮动， 个股 -8% 止损。反转是「接下落刀子」，个股黑天鹅（业绩雷/退市）是主要风险， 靠趋势过滤 + 流动性护栏 + 止损控制。用于验证引擎与 DSL，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0.8808
总收益-11.92%
年化收益-1.25%
年化波动+10.72%
夏普(rf=0)-0.12
最大回撤-21.25%
回撤区间2016-04-18 → 2024-07-24
卡玛比-0.06
平仓笔数454
胜率+45.37%
盈亏比(PF)0.91
总成交额81,247,638
总费用62,537
年化换手(单边)4.5
基准年化+2.25%
超额年化-3.50%
信息比率-0.26

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 907 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2016-09-20 000758.SZ sell 11200 8.5272 95504.53 121.29 rebalance 463.490000
2016-09-20 600367.SH sell 6600 14.5182 95820.05 121.70 rebalance 1614.090000
2016-09-20 000960.SZ sell 7700 12.2816 94567.94 120.10 rebalance -661.250000
2016-09-20 000791.SZ buy 6700 14.2013 95148.51 25.69 rebalance
2016-09-20 600848.SH buy 4500 21.1917 95362.83 25.75 rebalance
2016-09-20 002708.SZ buy 6800 14.1612 96296.23 26.00 rebalance
2016-09-20 600119.SH buy 4000 23.8357 95342.80 25.75 rebalance
2016-09-20 300072.SZ buy 2000 47.0204 94040.85 25.39 rebalance
2016-09-20 300362.SZ buy 5200 18.3575 95458.97 25.77 rebalance
2016-09-20 603012.SH buy 7800 12.2784 95771.44 25.86 rebalance
2016-09-20 002212.SZ buy 6400 14.9023 95374.85 25.75 rebalance
2016-09-20 600178.SH buy 7900 12.1181 95733.38 25.84 rebalance
2016-09-27 600278.SH sell 4900 18.9615 92911.42 118.00 rebalance -716.830000
2016-09-27 000791.SZ sell 6700 12.8307 85965.86 109.18 rebalance -9317.520000
2016-09-27 600848.SH sell 4500 19.2711 86719.73 110.13 rebalance -8778.990000
2016-09-27 002708.SZ sell 6800 13.0404 88674.79 112.61 rebalance -7760.050000
2016-09-27 600119.SH sell 4000 24.1337 96534.98 122.59 rebalance 1043.840000
2016-09-27 300072.SZ sell 1900 43.9140 83436.66 105.97 rebalance -6032.240000
2016-09-27 300362.SZ sell 5200 19.1712 99690.24 126.60 rebalance 4078.900000
2016-09-27 603012.SH sell 7800 11.4628 89409.68 113.55 rebalance -6501.170000
2016-09-27 002212.SZ sell 6400 14.7878 94641.82 120.19 rebalance -878.960000
2016-09-27 600178.SH sell 7900 12.1218 95762.14 121.62 rebalance -118.700000
2016-09-27 603268.SH buy 1900 48.0720 91336.80 24.66 rebalance
2016-09-27 300040.SZ buy 8100 11.3971 92316.27 24.93 rebalance
2016-09-27 002695.SZ buy 5600 16.4246 91977.76 24.83 rebalance
2016-09-27 000683.SZ buy 30600 3.0546 93469.99 25.24 rebalance
2016-09-27 002619.SZ buy 4100 22.4436 92018.82 24.84 rebalance
2016-09-27 600187.SH buy 14900 6.1692 91921.68 24.82 rebalance
2016-09-27 300218.SZ buy 4400 20.5308 90335.30 24.39 rebalance
2016-09-27 300381.SZ buy 1200 72.9292 87515.08 23.63 rebalance
2016-09-27 600213.SH buy 6400 14.2614 91272.70 24.65 rebalance
2016-09-27 002631.SZ buy 3900 23.2048 90498.54 24.43 rebalance
2016-10-11 603268.SH sell 1900 48.0678 91328.80 115.99 rebalance -148.650000
2016-10-11 300040.SZ sell 8000 11.9121 95296.84 121.03 rebalance 3974.630000
2016-10-11 002695.SZ sell 5600 16.9745 95057.20 120.72 rebalance 2933.890000
2016-10-11 000683.SZ sell 30600 3.0454 93190.00 118.35 rebalance -423.580000
2016-10-11 002619.SZ sell 4100 23.0354 94445.12 119.95 rebalance 2281.510000
2016-10-11 600187.SH sell 14900 6.3005 93877.97 119.23 rebalance 1812.250000
2016-10-11 300218.SZ sell 4400 19.8502 87340.79 110.93 rebalance -3129.830000
2016-10-11 300381.SZ sell 1200 75.6763 90811.58 115.33 rebalance 3157.540000
2016-10-11 600213.SH sell 6400 14.7678 94514.02 120.03 rebalance 3096.630000
2016-10-11 002631.SZ sell 3900 24.4433 95328.79 121.07 rebalance 4684.750000
2016-10-11 002755.SZ buy 1900 47.7515 90727.89 24.49 rebalance
2016-10-11 300428.SZ buy 3700 25.0675 92749.92 25.04 rebalance
2016-10-11 002748.SZ buy 4800 19.6294 94221.12 25.44 rebalance
2016-10-11 600753.SH buy 3100 29.8147 92425.43 24.96 rebalance
2016-10-11 002610.SZ buy 25800 3.6755 94828.03 25.61 rebalance
2016-10-11 300215.SZ buy 4400 21.5222 94697.83 25.56 rebalance
2016-10-11 600847.SH buy 2900 31.8177 92271.20 24.92 rebalance
2016-10-11 002663.SZ buy 13700 6.8703 94122.97 25.41 rebalance
2016-10-11 000678.SZ buy 8200 11.4171 93620.22 25.28 rebalance
2016-10-18 300097.SZ sell 100 50.2246 5022.45 10.12 rebalance -11.540000
2016-10-18 002755.SZ sell 1900 47.9280 91063.20 115.65 rebalance 195.170000
2016-10-18 300428.SZ sell 3700 25.0124 92545.97 117.54 rebalance -346.520000
2016-10-18 002748.SZ sell 4800 19.7703 94897.44 120.52 rebalance 530.360000
2016-10-18 600753.SH sell 3100 31.0134 96141.57 122.10 rebalance 3569.080000
2016-10-18 002610.SZ sell 25800 3.6745 94801.58 120.40 rebalance -172.450000
2016-10-18 300215.SZ sell 4400 20.4493 89976.83 114.27 rebalance -4860.830000
2016-10-18 600847.SH sell 2900 33.5396 97264.88 123.53 rebalance 4845.230000
2016-10-18 002663.SZ sell 13700 6.5402 89600.40 113.79 rebalance -4661.780000
2016-10-18 000678.SZ sell 8200 11.9820 98252.40 124.78 rebalance 4482.120000
2016-10-18 000593.SZ buy 7300 13.0996 95627.23 25.82 rebalance
2016-10-18 300207.SZ buy 6600 14.4717 95513.05 25.79 rebalance
2016-10-18 600715.SH buy 4300 22.0731 94914.16 25.63 rebalance
2016-10-18 000971.SZ buy 3600 26.3395 94822.02 25.61 rebalance
2016-10-18 002330.SZ buy 7700 12.1382 93463.99 25.24 rebalance
2016-10-18 600749.SH buy 4300 22.1932 95430.93 25.77 rebalance
2016-10-18 300107.SZ buy 13000 7.3410 95432.94 25.77 rebalance
2016-10-18 300226.SZ buy 1900 50.0750 95142.50 25.69 rebalance
2016-10-18 300280.SZ buy 3000 31.0465 93139.50 25.14 rebalance
2016-10-25 000593.SZ sell 7300 12.8008 93445.62 118.68 rebalance -2326.100000
2016-10-25 300207.SZ sell 6600 14.1987 93711.22 119.01 rebalance -1946.630000
2016-10-25 600715.SH sell 4300 23.3150 100254.39 127.32 rebalance 5187.280000
2016-10-25 000971.SZ sell 3600 25.8512 93064.19 118.19 rebalance -1901.630000
2016-10-25 002330.SZ sell 7700 12.7009 97797.08 124.21 rebalance 4183.650000
2016-10-25 600749.SH sell 4300 21.9370 94329.29 119.80 rebalance -1247.210000
2016-10-25 300107.SZ sell 13000 7.4488 96834.53 122.98 rebalance 1252.840000
2016-10-25 300226.SZ sell 1900 51.1332 97153.05 123.38 rebalance 1861.480000
2016-10-25 300280.SZ sell 3000 32.6510 97952.85 124.40 rebalance 4663.810000
2016-10-25 600758.SH buy 5500 16.7250 91987.77 24.84 rebalance
2016-10-25 002495.SZ buy 13500 7.1207 96128.98 25.95 rebalance
2016-10-25 300310.SZ buy 3000 30.6459 91937.70 24.82 rebalance
2016-10-25 600870.SH buy 9400 10.1953 95835.54 25.88 rebalance
2016-10-25 300215.SZ buy 5100 18.7280 95513.05 25.79 rebalance
2016-10-25 300090.SZ buy 8900 10.7561 95729.38 25.84 rebalance
2016-10-25 000977.SZ buy 3800 24.7871 94191.08 25.43 rebalance
2016-10-25 600228.SH buy 6900 13.8307 95431.93 25.77 rebalance
2016-10-25 600535.SH buy 2300 41.1617 94671.79 25.56 rebalance
2016-10-25 002619.SZ buy 3900 24.5167 95615.21 25.81 rebalance
2016-11-01 600758.SH sell 5500 15.4768 85122.12 108.10 rebalance -6998.590000
2016-11-01 002495.SZ sell 13500 6.8797 92875.48 117.96 rebalance -3397.410000
2016-11-01 300310.SZ sell 3000 29.8751 89625.36 113.83 rebalance -2450.990000
2016-11-01 600870.SH sell 9400 9.9650 93671.28 118.96 rebalance -2309.100000
2016-11-01 300215.SZ sell 5100 17.1742 87588.42 111.24 rebalance -8061.660000
2016-11-01 300090.SZ sell 8900 10.4843 93309.83 118.51 rebalance -2563.900000
2016-11-01 000977.SZ sell 3800 23.4548 89128.11 113.19 rebalance -5201.590000
2016-11-01 600228.SH sell 6900 13.7793 95077.17 120.75 rebalance -501.280000
2016-11-01 600535.SH sell 2300 41.3978 95214.96 120.91 rebalance 396.700000
2016-11-01 300221.SZ buy 4200 22.2333 93379.86 25.21 rebalance
2016-11-01 000922.SZ buy 8100 11.5874 93857.58 25.34 rebalance
2016-11-01 603999.SH buy 2400 38.3875 92129.99 24.87 rebalance
2016-11-01 300381.SZ buy 3100 30.3054 93946.71 25.37 rebalance
2016-11-01 002760.SZ buy 2000 46.9103 93820.52 25.34 rebalance
2016-11-01 002082.SZ buy 4200 22.2333 93379.86 25.21 rebalance
2016-11-01 600657.SH buy 12900 7.2609 93665.29 25.29 rebalance
2016-11-01 300423.SZ buy 2600 36.0340 93688.32 25.29 rebalance
2016-11-01 600491.SH buy 8000 11.4171 91336.80 24.66 rebalance
2016-11-01 002221.SZ buy 2100 13.2498 27824.67 7.52 rebalance
2016-11-07 002619.SZ sell 3900 21.6674 84503.05 107.32 rebalance -11245.280000
2016-11-07 300221.SZ sell 4200 20.6490 86725.72 110.14 rebalance -6789.490000
2016-11-08 000922.SZ sell 8100 12.1817 98671.77 125.31 rebalance 4663.540000
2016-11-08 603999.SH sell 2400 39.9700 95927.89 121.83 rebalance 3651.200000
2016-11-08 300381.SZ sell 3100 31.1432 96543.97 122.61 rebalance 2449.280000
2016-11-08 002760.SZ sell 2000 46.1307 92261.40 117.18 rebalance -1701.640000
2016-11-08 002082.SZ sell 4200 21.4877 90248.42 114.61 rebalance -3271.260000
2016-11-08 600657.SH sell 12900 6.8797 88747.68 112.71 rebalance -5055.610000
2016-11-08 300423.SZ sell 2600 38.0628 98963.33 125.68 rebalance 5124.040000
2016-11-08 600491.SH sell 8000 11.6325 93060.20 118.19 rebalance 1580.550000
2016-11-08 002221.SZ sell 2100 13.1303 27573.58 35.01 rebalance -293.630000
2016-11-08 002780.SZ buy 900 94.4915 85042.37 22.96 rebalance
2016-11-08 002072.SZ buy 4100 22.4536 92059.88 24.85 rebalance
2016-11-08 000818.SZ buy 6800 13.4101 91188.58 24.62 rebalance
2016-11-08 600248.SH buy 11900 7.7015 91648.27 24.74 rebalance
2016-11-08 603669.SH buy 2500 35.9138 89784.47 24.25 rebalance
2016-11-08 002211.SZ buy 5600 16.2644 91080.42 24.59 rebalance
2016-11-08 000721.SZ buy 8800 10.4857 92274.20 24.92 rebalance
2016-11-08 600735.SH buy 5500 16.4346 90390.38 24.41 rebalance
2016-11-08 000889.SZ buy 6100 15.1727 92553.62 24.99 rebalance
2016-11-08 300247.SZ buy 9500 9.6044 91241.66 24.63 rebalance
2016-11-15 002780.SZ sell 900 92.9104 83619.38 106.19 rebalance -1552.140000
2016-11-15 002072.SZ sell 4100 24.3634 99889.94 126.86 rebalance 7678.350000
2016-11-15 000818.SZ sell 6800 13.6595 92884.46 117.96 rebalance 1553.310000
2016-11-15 600248.SH sell 11900 7.6485 91017.27 115.59 rebalance -771.330000
2016-11-15 603669.SH sell 2500 34.5581 86395.21 109.73 rebalance -3523.240000
2016-11-15 002211.SZ sell 5600 15.8562 88794.61 112.77 rebalance -2423.170000
2016-11-15 000721.SZ sell 8800 10.2346 90064.70 114.38 rebalance -2348.800000
2016-11-15 600735.SH sell 5500 17.1742 94458.10 119.96 rebalance 3923.350000
2016-11-15 000889.SZ sell 6100 15.8262 96539.97 122.60 rebalance 3838.760000
2016-11-15 002265.SZ buy 4000 23.0846 92338.30 24.93 rebalance
2016-11-15 601020.SH buy 2100 42.2333 88689.84 23.94 rebalance
2016-11-15 603101.SH buy 3000 30.5758 91727.39 24.76 rebalance
2016-11-15 002180.SZ buy 3000 30.8162 92448.47 24.96 rebalance
2016-11-15 002374.SZ buy 10500 8.8132 92538.60 24.98 rebalance
2016-11-15 002120.SZ buy 1700 51.9178 88260.19 23.84 rebalance
2016-11-15 300447.SZ buy 2000 45.7986 91597.19 24.73 rebalance
2016-11-15 000935.SZ buy 2700 33.4501 90315.27 24.39 rebalance
2016-11-15 002468.SZ buy 2700 34.0510 91937.70 24.82 rebalance
2016-11-15 600275.SH buy 2600 18.3275 47651.37 12.86 rebalance
2016-11-22 300247.SZ sell 9500 9.5656 90873.49 115.41 rebalance -508.210000
2016-11-22 002265.SZ sell 3900 21.5676 84113.64 106.82 rebalance -6047.330000
2016-11-22 601020.SH sell 2100 41.2381 86599.90 109.98 rebalance -2223.850000
2016-11-22 603101.SH sell 3000 31.5326 94597.89 120.14 rebalance 2725.600000
2016-11-22 002180.SZ sell 3000 32.0718 96215.46 122.19 rebalance 3619.840000
2016-11-22 002374.SZ sell 10500 8.7069 91422.66 116.11 rebalance -1257.030000
2016-11-22 002120.SZ sell 1700 52.0318 88454.12 112.33 rebalance 57.760000
2016-11-22 300447.SZ sell 2000 44.6130 89225.96 113.32 rebalance -2509.280000
2016-11-22 000935.SZ sell 2700 32.3814 87429.66 111.04 rebalance -3021.040000
2016-11-22 002468.SZ sell 2700 32.4413 87591.42 111.24 rebalance -4482.340000
2016-11-22 600275.SH sell 2600 17.6734 45950.97 58.36 rebalance -1771.620000
2016-11-22 600917.SH buy 5800 15.7736 91487.03 24.70 rebalance
2016-11-22 002495.SZ buy 12400 7.3610 91276.71 24.65 rebalance
2016-11-22 002651.SZ buy 7400 12.2083 90341.31 24.40 rebalance
2016-11-22 600179.SH buy 5800 15.5533 90209.11 24.35 rebalance
2016-11-22 600715.SH buy 3900 23.0545 89912.67 24.28 rebalance
2016-11-22 002141.SZ buy 7700 11.9679 92153.02 24.88 rebalance
2016-11-22 000923.SZ buy 3400 26.1692 88975.26 24.02 rebalance
2016-11-22 002486.SZ buy 7900 11.4672 90590.68 24.46 rebalance
2016-11-22 600997.SH buy 11500 7.9719 91677.31 24.75 rebalance
2016-11-22 600280.SH buy 10100 9.1136 92047.87 24.85 rebalance
2016-11-28 000923.SZ sell 3400 23.9840 81545.50 103.57 rebalance -7557.360000
2016-11-28 002486.SZ sell 7800 10.6340 82945.40 105.35 rebalance -6628.070000
2016-11-29 600917.SH sell 5800 14.7778 85711.24 108.85 rebalance -5909.340000
2016-11-29 002495.SZ sell 12400 7.1992 89269.89 113.38 rebalance -2144.850000
2016-11-29 002651.SZ sell 7400 11.8822 87927.91 111.67 rebalance -2549.470000
2016-11-29 600179.SH sell 5800 15.3170 88838.54 112.83 rebalance -1507.750000
2016-11-29 600715.SH sell 3900 22.3564 87190.02 110.73 rebalance -2857.660000
2016-11-29 002141.SZ sell 7700 11.3529 87417.68 111.02 rebalance -4871.250000
2016-11-29 600997.SH sell 11500 7.7084 88646.83 112.58 rebalance -3167.810000
2016-11-29 600280.SH sell 10100 8.7868 88746.68 112.71 rebalance -3438.750000
2016-11-29 002287.SZ buy 1800 48.7530 87755.44 23.70 rebalance
2016-11-29 300402.SZ buy 3400 25.5383 86830.05 23.45 rebalance
2016-11-29 002623.SZ buy 1800 48.3524 87034.36 23.50 rebalance
2016-11-29 002124.SZ buy 6700 12.9494 86760.95 23.43 rebalance
2016-11-29 603028.SH buy 2700 31.3470 84636.77 22.85 rebalance
2016-11-29 603300.SH buy 6100 14.3014 87238.66 23.55 rebalance
2016-11-29 002346.SZ buy 3900 22.2834 86905.16 23.47 rebalance
2016-11-29 300492.SZ buy 1400 60.0600 84083.94 22.70 rebalance
2016-11-29 002785.SZ buy 2200 39.5593 87030.35 23.50 rebalance
2016-11-29 603223.SH buy 2300 36.9353 84951.24 22.94 rebalance
2016-11-30 002287.SZ sell 1800 47.2390 85030.26 107.99 rebalance -2856.860000
2016-11-30 300402.SZ sell 3400 24.6630 83854.03 106.49 rebalance -3105.960000
2016-11-30 002623.SZ sell 1800 46.6399 83951.88 106.62 rebalance -3212.590000
2016-11-30 002124.SZ sell 6700 12.7109 85163.06 108.15 rebalance -1729.460000
2016-11-30 603028.SH sell 2700 30.2346 81633.37 103.67 rebalance -3129.920000
2016-11-30 603300.SH sell 6100 14.1188 86124.62 109.37 rebalance -1246.960000
2016-11-30 002346.SZ sell 3900 21.5476 84035.76 106.73 rebalance -2999.610000
2016-11-30 300492.SZ sell 1400 56.8446 79582.45 101.07 rebalance -4625.260000
2016-11-30 002785.SZ sell 2200 38.8217 85407.70 108.47 rebalance -1754.620000
2016-11-30 603223.SH sell 2300 36.2655 83410.70 105.93 rebalance -1669.410000
2023-06-29 600242.SH sell 100 0.2500 12.50 0.00 delist_forced -1232.700633

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）。