QTRADE · 回测报告

smallcap_top10 · 生成 2026-07-04 09:15 · 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

小市值：流通市值估算（成交量/换手率反推，全历史可用）最小的 10 只等权，周频轮动，含流动性与市值下限护栏（防换手率数据噪声）。小市值是 A 股历史超额最显著也最拥挤的因子，2024-02 流动性危机式回撤是必看压力窗口——此模板用于验证引擎，非投资建议。

绩效概览

区间2023-01-03 → 2026-07-03 (846 交易日)
期末净值1.2383
总收益+23.83%
年化收益+6.57%
年化波动+35.16%
夏普(rf=0)0.19
最大回撤-49.39%
回撤区间2023-02-15 → 2024-02-07
卡玛比0.13
平仓笔数592
胜率+53.04%
盈亏比(PF)1.12
总成交额99,149,767
总费用56,129
年化换手(单边)13.0
基准年化+12.12%
超额年化-5.55%
信息比率-0.05

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 1296 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2025-12-30 301105.SZ buy 3000 48.3224 144967.12 37.69 rebalance
2025-12-30 001368.SZ buy 300 24.8472 7454.16 5.07 rebalance
2025-12-30 301575.SZ buy 2900 48.8532 141674.19 36.84 rebalance
2026-01-06 301295.SZ sell 5000 30.0549 150274.25 114.21 rebalance 6746.91000
2026-01-06 301560.SZ sell 4100 34.4483 141237.83 107.34 rebalance 745.79000
2026-01-06 001260.SZ buy 300 20.2003 6060.08 5.06 rebalance
2026-01-06 001366.SZ buy 600 13.2398 7943.90 5.08 rebalance
2026-01-06 301105.SZ buy 100 47.6113 4761.13 5.05 rebalance
2026-01-06 301578.SZ buy 4200 34.9123 146631.62 38.13 rebalance
2026-01-06 001368.SZ buy 200 24.9674 4993.48 5.05 rebalance
2026-01-06 301173.SZ buy 3200 46.0390 147324.66 38.30 rebalance
2026-01-13 688758.SH sell 8119 18.5421 150543.68 114.42 rebalance -504.35000
2026-01-13 301105.SZ sell 100 52.3314 5233.14 7.67 rebalance 394.15000
2026-01-13 301575.SZ sell 2900 53.4098 154888.32 117.71 rebalance 13059.58000
2026-01-13 301173.SZ sell 3200 48.0977 153912.78 116.98 rebalance 6432.85000
2026-01-13 001260.SZ buy 300 20.0901 6027.03 5.06 rebalance
2026-01-13 603307.SH buy 3600 41.0615 147821.40 38.44 rebalance
2026-01-13 301636.SZ buy 2900 51.2067 148499.42 38.60 rebalance
2026-01-13 300379.SZ buy 83100 1.9129 158959.08 41.33 rebalance
2026-01-20 001260.SZ sell 1100 23.7643 26140.73 19.87 rebalance 3868.13000
2026-01-20 301105.SZ sell 3000 52.4512 157353.61 119.59 rebalance 12294.35000
2026-01-20 300379.SZ sell 83100 1.9271 160142.43 121.71 rebalance 1020.30000
2026-01-20 603307.SH buy 200 41.3820 8276.40 5.08 rebalance
2026-01-20 301636.SZ buy 100 51.8376 5183.76 5.05 rebalance
2026-01-20 301578.SZ buy 100 36.4646 3646.46 5.04 rebalance
2026-01-20 301173.SZ buy 3200 48.2823 154503.41 40.18 rebalance
2026-01-20 301560.SZ buy 4200 37.3559 156894.99 40.79 rebalance
2026-01-27 001368.SZ sell 6000 28.8766 173259.72 131.67 rebalance 21826.30000
2026-01-27 301636.SZ sell 3000 70.9035 212710.46 161.67 rebalance 58821.96000
2026-01-27 301560.SZ sell 4200 37.9929 159570.29 121.28 rebalance 2513.23000
2026-01-27 603307.SH buy 100 42.0930 4209.30 5.04 rebalance
2026-01-27 301314.SZ buy 100 46.5798 4657.98 5.05 rebalance
2026-01-27 301287.SZ buy 300 44.7671 13430.12 5.13 rebalance
2026-01-27 001260.SZ buy 500 24.3965 12198.27 5.12 rebalance
2026-01-27 001366.SZ buy 300 14.3515 4305.45 5.04 rebalance
2026-01-27 301578.SZ buy 200 36.1341 7226.82 5.07 rebalance
2026-01-27 301105.SZ buy 3200 52.1281 166809.84 43.37 rebalance
2026-01-27 001395.SZ buy 3700 44.9674 166379.20 43.25 rebalance
2026-01-27 301173.SZ buy 200 48.8231 9764.62 5.10 rebalance
2026-01-27 301575.SZ buy 3100 52.3885 162404.24 42.22 rebalance
2026-02-03 001395.SZ sell 3700 43.2650 160080.52 121.66 rebalance -6463.59000
2026-02-03 301309.SZ buy 5300 30.3655 160937.04 41.84 rebalance
2026-02-03 301575.SZ buy 100 50.4456 5044.56 5.05 rebalance
2026-02-10 001366.SZ sell 500 14.9475 7473.77 8.81 rebalance 528.28000
2026-02-10 001260.SZ buy 200 23.1847 4636.94 5.05 rebalance
2026-02-10 301173.SZ buy 100 48.1722 4817.22 5.05 rebalance
2026-02-25 301314.SZ sell 100 49.6055 4960.55 7.53 rebalance 772.11000
2026-02-25 001260.SZ sell 7200 22.8457 164488.90 125.00 rebalance 16025.10000
2026-02-25 301287.SZ sell 100 46.7198 4671.98 7.39 rebalance 500.58000
2026-02-25 603307.SH sell 3800 41.9370 159360.60 121.11 rebalance 2995.51000
2026-02-25 301173.SZ sell 3500 47.7083 166979.15 126.90 rebalance -2283.32000
2026-02-25 001366.SZ buy 400 14.5818 5832.74 5.06 rebalance
2026-02-25 001368.SZ buy 5800 28.5928 165838.39 43.12 rebalance
2026-02-25 301560.SZ buy 4000 41.0615 164246.00 42.70 rebalance
2026-02-25 301429.SZ buy 7600 21.9729 166994.12 43.42 rebalance
2026-03-03 301105.SZ sell 100 53.2800 5328.00 7.71 rebalance 106.12000
2026-03-03 301560.SZ sell 4000 40.5191 162076.52 123.18 rebalance -2335.36000
2026-03-03 301429.SZ sell 7600 20.9186 158981.17 120.83 rebalance -8177.20000
2026-03-03 001367.SZ buy 7000 23.0345 161241.50 41.92 rebalance
2026-03-03 301353.SZ buy 5600 28.7531 161017.16 41.86 rebalance
2026-03-10 001366.SZ sell 11400 14.5282 165621.20 125.88 rebalance 7050.53000
2026-03-10 301105.SZ sell 100 55.7962 5579.62 7.85 rebalance 357.61000
2026-03-10 301575.SZ sell 3200 48.8466 156309.18 118.79 rebalance -11305.67000
2026-03-10 301287.SZ buy 100 43.2748 4327.48 5.04 rebalance
2026-03-10 001368.SZ buy 300 26.2894 7886.81 5.08 rebalance
2026-03-10 300784.SZ buy 3100 52.8492 163832.38 42.60 rebalance
2026-03-10 301429.SZ buy 7600 21.2719 161666.14 42.04 rebalance
2026-03-17 301309.SZ sell 400 33.6495 13459.78 11.86 rebalance 1298.57000
2026-03-17 301353.SZ sell 5600 29.4757 165064.03 125.45 rebalance 3879.56000
2026-03-17 301578.SZ buy 100 35.5533 3555.33 5.04 rebalance
2026-03-17 301560.SZ buy 4100 39.3990 161535.94 42.00 rebalance
2026-03-24 301105.SZ sell 3000 53.3998 160199.34 121.75 rebalance 3652.71000
2026-03-24 301560.SZ sell 4100 35.6165 146027.63 110.98 rebalance -15661.29000
2026-03-24 300391.SZ buy 425500 0.3505 149148.39 38.78 rebalance
2026-03-24 301287.SZ buy 200 39.0184 7803.69 5.08 rebalance
2026-03-24 301314.SZ buy 100 42.7641 4276.41 5.04 rebalance
2026-03-24 301578.SZ buy 200 31.3069 6261.38 5.06 rebalance
2026-03-24 300784.SZ buy 100 46.8902 4689.02 5.05 rebalance
2026-03-24 301575.SZ buy 3300 44.8772 148094.81 38.50 rebalance
2026-03-24 301429.SZ buy 700 18.6680 13067.57 5.13 rebalance
2026-03-24 001367.SZ buy 300 20.6309 6189.27 5.06 rebalance
2026-03-24 301353.SZ buy 2100 26.0390 54681.90 14.22 rebalance
2026-03-31 001367.SZ sell 7300 25.8611 188786.39 143.48 rebalance 21165.16000
2026-03-31 301429.SZ sell 200 19.9700 3994.00 7.04 rebalance -224.63000
2026-03-31 300391.SZ buy 21400 0.3505 7501.23 5.08 rebalance
2026-03-31 301575.SZ buy 200 45.2277 9045.55 5.09 rebalance
2026-03-31 001368.SZ buy 400 24.5768 9830.72 5.10 rebalance
2026-03-31 300784.SZ buy 100 48.6829 4868.29 5.05 rebalance
2026-03-31 603075.SH buy 7600 21.1617 160828.88 41.82 rebalance
2026-04-08 301287.SZ sell 200 42.0568 8411.36 9.29 rebalance 92.04000
2026-04-08 301578.SZ sell 4800 32.9705 158258.26 120.27 rebalance -9241.96000
2026-04-08 301309.SZ sell 4900 37.8032 185235.73 140.78 rebalance 36265.41000
2026-04-08 001368.SZ sell 6500 24.7628 160958.20 122.33 rebalance -22773.35000
2026-04-08 300391.SZ sell 446900 0.2496 111557.41 84.79 rebalance -45220.86000
2026-04-08 301353.SZ sell 2100 27.3289 57390.78 43.62 rebalance 2651.04000
2026-04-08 603075.SH sell 7600 22.1567 168391.03 127.98 rebalance 7392.35000
2026-04-08 300344.SZ buy 483700 0.3305 159860.43 41.57 rebalance
2026-04-08 301388.SZ buy 5000 31.3169 156584.53 40.72 rebalance
2026-04-08 603120.SH buy 4000 38.9584 155833.40 40.52 rebalance
2026-04-08 301567.SZ buy 3700 41.7425 154447.32 40.15 rebalance
2026-04-08 301533.SZ buy 4900 32.0480 157035.20 40.83 rebalance
2026-04-14 301314.SZ sell 200 47.1991 9439.82 9.81 rebalance 1062.46000
2026-04-14 300784.SZ sell 100 49.6255 4962.55 7.53 rebalance -300.82000
2026-04-14 301575.SZ sell 3500 45.2520 158382.07 120.37 rebalance 1077.75000
2026-04-14 300344.SZ buy 71500 0.2804 20050.03 5.21 rebalance
2026-04-14 603075.SH buy 6900 22.6740 156450.32 40.67 rebalance
2026-04-21 301314.SZ sell 100 50.4642 5046.42 7.57 rebalance 855.07000
2026-04-21 603120.SH sell 4000 39.1412 156564.80 118.99 rebalance 571.89000
2026-04-21 300344.SZ buy 75700 0.2504 18953.39 5.19 rebalance
2026-04-21 301049.SZ buy 6900 22.7841 157210.46 40.87 rebalance
2026-04-22 300344.SZ sell 630900 0.2500 78862.50 0.00 delist_forced -120053.31900
2026-04-28 301314.SZ sell 200 53.8391 10767.82 10.49 rebalance 2389.78000
2026-04-28 300784.SZ sell 100 49.3159 4931.59 7.52 rebalance -331.76000
2026-04-28 301429.SZ sell 600 20.3494 12209.66 11.22 rebalance -436.32000
2026-04-28 301388.SZ sell 300 32.0419 9612.56 9.91 rebalance 205.13000
2026-04-28 301567.SZ sell 100 42.7658 4276.58 7.18 rebalance 94.06000
2026-04-28 301533.SZ sell 4900 32.7608 160527.85 122.00 rebalance 3329.82000
2026-04-28 603075.SH sell 500 23.3649 11682.45 10.96 rebalance 331.56000
2026-04-28 301049.SZ sell 6900 24.2636 167418.50 127.23 rebalance 10039.93000
2026-04-28 301520.SZ buy 3500 42.1632 147571.02 38.37 rebalance
2026-04-28 301105.SZ buy 2600 57.5762 149698.21 38.92 rebalance
2026-04-28 603280.SH buy 4300 34.3514 147711.23 38.41 rebalance
2026-05-07 301287.SZ sell 200 44.5531 8910.61 9.55 rebalance 591.03000
2026-05-07 301429.SZ sell 400 21.8472 8738.87 9.46 rebalance 306.24000
2026-05-07 603075.SH sell 6400 24.3135 155606.24 118.26 rebalance 10336.91000
2026-05-07 301105.SZ sell 2600 58.1826 151274.75 114.97 rebalance 1422.65000
2026-05-07 301575.SZ buy 3200 47.3609 151554.99 39.41 rebalance
2026-05-07 301520.SZ buy 100 42.5237 4252.37 5.04 rebalance
2026-05-07 603280.SH buy 200 34.0911 6818.21 5.07 rebalance
2026-05-07 301552.SZ buy 3700 41.4120 153224.49 39.84 rebalance
2026-05-12 301314.SZ sell 100 55.2869 5528.69 7.82 rebalance 1337.10000
2026-05-12 301429.SZ sell 200 23.2151 4643.02 7.37 rebalance 424.07000
2026-05-12 301388.SZ sell 4700 33.5496 157683.12 119.84 rebalance 10335.55000
2026-05-12 301567.SZ sell 100 46.1307 4613.07 7.36 rebalance 430.37000
2026-05-12 603280.SH sell 4500 34.4183 154882.33 117.71 rebalance 191.69000
2026-05-12 301552.SZ sell 4926 31.6225 155772.41 118.39 rebalance 2412.84000
2026-05-12 301575.SZ buy 100 48.2022 4820.22 5.05 rebalance
2026-05-12 603376.SH buy 5100 31.0465 158337.15 41.16 rebalance
2026-05-12 301105.SZ buy 2600 60.0600 156155.88 40.60 rebalance
2026-05-12 301449.SZ buy 2100 73.2096 153740.26 39.98 rebalance
2026-05-19 300784.SZ sell 200 54.4083 10881.65 10.55 rebalance 359.44000
2026-05-19 301429.SZ sell 6900 22.6959 156601.74 119.02 rebalance 11182.96000
2026-05-19 301567.SZ sell 3500 46.7997 163798.93 124.49 rebalance 17537.64000
2026-05-19 603376.SH sell 5100 31.2830 159543.33 121.26 rebalance 1043.76000
2026-05-19 301449.SZ sell 2100 70.8436 148771.51 113.07 rebalance -5121.81000
2026-05-19 301287.SZ buy 100 43.3650 4336.49 5.04 rebalance
2026-05-19 001220.SZ buy 4300 36.4947 156927.04 40.80 rebalance
2026-05-19 301533.SZ buy 4900 31.9278 156446.32 40.67 rebalance
2026-05-19 301520.SZ buy 100 41.5422 4154.22 5.04 rebalance
2026-05-19 301353.SZ buy 5200 29.7746 154827.89 40.26 rebalance
2026-05-19 301552.SZ buy 5100 30.4957 155527.94 40.44 rebalance
2026-05-26 301314.SZ sell 2900 51.0633 148083.54 112.54 rebalance 26641.49000
2026-05-26 301105.SZ sell 2600 53.9190 140189.40 106.54 rebalance -16113.62000
2026-05-26 301353.SZ sell 5200 27.8581 144862.38 110.10 rebalance -10115.87000
2026-05-26 301552.SZ sell 5100 29.1862 148849.39 113.12 rebalance -6832.11000
2026-05-26 688287.SH buy 209789 0.4006 84041.47 21.85 rebalance
2026-05-26 301578.SZ buy 4200 35.0525 147220.50 38.28 rebalance
2026-05-26 603284.SH buy 3400 43.4651 147781.34 38.43 rebalance
2026-05-26 001325.SZ buy 3300 45.1677 149053.24 38.75 rebalance
2026-06-02 301520.SZ sell 3600 38.0928 137133.99 104.22 rebalance -14779.38000
2026-06-02 688287.SH buy 180423 0.3605 65049.71 16.91 rebalance
2026-06-02 301287.SZ buy 100 37.8767 3787.67 5.04 rebalance
2026-06-02 300784.SZ buy 100 46.5397 4653.97 5.05 rebalance
2026-06-02 301552.SZ buy 5200 26.9103 139933.59 36.38 rebalance
2026-06-09 301575.SZ sell 3300 40.4093 133350.67 101.35 rebalance -23170.35000
2026-06-09 301578.SZ buy 300 23.0045 6901.34 5.07 rebalance
2026-06-09 603382.SH buy 6500 20.3805 132473.41 34.44 rebalance
2026-06-09 301353.SZ buy 3000 19.2889 57866.67 15.05 rebalance
2026-06-10 688287.SH sell 390212 0.3700 72189.22 0.00 delist_forced -76940.72182
2026-06-16 301287.SZ sell 100 35.8362 3583.62 6.83 rebalance -573.48000
2026-06-16 300784.SZ sell 200 45.8711 9174.22 9.68 rebalance -1266.83000
2026-06-16 001220.SZ sell 300 31.4727 9441.82 9.81 rebalance -1364.46000
2026-06-16 301533.SZ sell 4954 26.0009 128808.66 97.89 rebalance -27764.09000
2026-06-16 603284.SH sell 200 39.6105 7922.10 9.04 rebalance -782.22000
2026-06-16 001325.SZ sell 100 40.6989 4069.89 7.07 rebalance -455.12000
2026-06-16 301552.SZ sell 5200 25.3519 131829.96 100.19 rebalance -8240.20000
2026-06-16 603382.SH sell 6500 19.7603 128442.05 97.61 rebalance -4163.42000
2026-06-16 600636.SH buy 70600 1.8528 130805.92 34.01 rebalance
2026-06-16 301353.SZ buy 3800 18.7280 71166.59 18.50 rebalance
2026-06-16 301449.SZ buy 3000 41.8827 125648.19 32.67 rebalance
2026-06-16 603273.SH buy 8800 14.4516 127174.48 33.06 rebalance
2026-06-23 300784.SZ sell 100 45.8112 4581.12 7.34 rebalance -641.91000
2026-06-23 301353.SZ sell 6800 18.0529 122759.58 93.30 rebalance -6400.53000
2026-06-23 301449.SZ sell 3000 41.5975 124792.53 94.85 rebalance -983.18000
2026-06-23 603273.SH sell 8800 13.8991 122312.26 92.96 rebalance -4988.24000
2026-06-23 301429.SZ buy 7000 17.4361 122052.81 31.73 rebalance
2026-06-23 301170.SZ buy 5300 23.1747 122825.96 31.94 rebalance
2026-06-23 301105.SZ buy 2600 47.0605 122357.26 31.81 rebalance
2026-06-29 600636.SH sell 70600 1.7100 60363.00 0.00 delist_forced -70476.92500
2026-06-30 301287.SZ sell 3626 33.2501 120564.68 91.63 rebalance -28913.11000
2026-06-30 001220.SZ sell 4061 28.2276 114632.26 87.13 rebalance -31603.07000
2026-06-30 301578.SZ sell 400 20.0499 8019.95 9.09 rebalance -2614.01000
2026-06-30 603284.SH sell 200 35.8362 7167.23 8.65 rebalance -1393.39000
2026-06-30 301429.SZ sell 7000 15.6765 109735.15 83.40 rebalance -12432.78000
2026-06-30 301105.SZ sell 2600 44.1836 114877.43 87.31 rebalance -7598.96000
2026-06-30 603273.SH buy 8500 12.8192 108963.20 28.33 rebalance
2026-06-30 301567.SZ buy 3100 34.4115 106675.77 27.74 rebalance
2026-06-30 301049.SZ buy 6000 18.1973 109183.53 28.39 rebalance
2026-06-30 301449.SZ buy 2900 37.2558 108041.82 28.09 rebalance
2026-06-30 001396.SZ buy 3100 34.3514 106489.49 27.68 rebalance

回测假设与参数

start2023-01-01
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）。