QTRADE · 回测报告

smallcap_value · 生成 2026-07-07 00:04 · 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

小市值多因子：在流动性护栏内，按「流通市值估算越小 + 60 日动量越强」的综合分排序， 取前 15 只等权周频轮动，个股 -12% 止损，组合回撤 25% 熔断。小市值是 A 股历史超额最 显著也最拥挤的因子，2024-02 微盘流动性危机是必看压力窗口——用于验证，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0.7748
总收益-22.52%
年化收益-2.49%
年化波动+5.80%
夏普(rf=0)-0.43
最大回撤-28.30%
回撤区间2016-01-06 → 2016-01-29
卡玛比-0.09
平仓笔数45
胜率+22.22%
盈亏比(PF)0.12
总成交额4,362,343
总费用3,272
年化换手(单边)0.3
基准年化+2.25%
超额年化-4.74%
信息比率-0.32

净值与回撤

月度收益（%）

交易明细

dt symbol side shares price amount fees reason realized_pnl
2016-01-05 300467.SZ buy 700 75.2126 52648.85 14.21 rebalance
2016-01-05 002667.SZ buy 900 62.1932 55973.83 15.11 rebalance
2016-01-05 600734.SH buy 2700 20.9914 56676.89 15.30 rebalance
2016-01-05 300368.SZ buy 1200 46.0189 55222.71 14.91 rebalance
2016-01-05 002137.SZ buy 3000 20.1001 60300.32 16.29 rebalance
2016-01-05 600576.SH buy 2500 22.0530 55132.57 14.88 rebalance
2016-01-05 600226.SH buy 6300 9.5643 60255.25 16.27 rebalance
2016-01-05 000606.SZ buy 3800 15.5233 58988.35 15.93 rebalance
2016-01-05 000838.SZ buy 1400 42.5637 59589.25 16.09 rebalance
2016-01-05 002590.SZ buy 2700 21.2418 57352.90 15.49 rebalance
2016-01-05 600207.SH buy 4700 12.0681 56719.95 15.31 rebalance
2016-01-05 600165.SH buy 3000 19.0285 57085.50 15.41 rebalance
2016-01-05 600303.SH buy 4500 12.5188 56334.38 15.21 rebalance
2016-01-05 002355.SZ buy 3400 16.8352 57239.73 15.45 rebalance
2016-01-08 600734.SH sell 2700 20.9985 56695.83 72.00 rebalance -68.36
2016-01-11 002137.SZ sell 3000 17.1642 51492.65 65.39 rebalance -8889.35
2016-01-11 002590.SZ sell 2700 19.9800 53945.96 68.52 rebalance -3490.95
2016-01-11 600303.SH sell 4500 10.6141 47763.25 60.66 rebalance -8647.00
2016-01-12 002667.SZ sell 900 51.9220 46729.80 59.34 rebalance -9318.48
2016-01-12 600576.SH sell 2500 17.9231 44807.69 56.91 rebalance -10396.68
2016-01-12 000606.SZ sell 3800 12.6410 48035.84 61.01 rebalance -11029.45
2016-01-12 000838.SZ sell 200 48.1377 9627.54 14.82 rebalance 1097.67
2016-01-12 600207.SH sell 4700 10.1947 47915.02 60.86 rebalance -8881.10
2016-01-12 600165.SH sell 3000 16.7548 50264.49 63.84 rebalance -6900.26
2016-01-12 600053.SH buy 1400 41.3620 57906.73 15.64 rebalance
2016-01-12 600734.SH buy 3200 17.4762 55923.76 15.10 rebalance
2016-01-12 002575.SZ buy 3900 13.5603 52885.21 14.28 rebalance
2016-01-12 300160.SZ buy 1400 37.0855 51919.76 14.02 rebalance
2016-01-12 300368.SZ buy 200 41.0114 8202.28 5.16 rebalance
2016-01-12 002137.SZ buy 3600 15.5233 55883.70 15.09 rebalance
2016-01-12 002343.SZ buy 1200 46.7300 56075.99 15.14 rebalance
2016-01-12 600306.SH buy 2900 19.5192 56605.78 15.28 rebalance
2016-01-12 300230.SZ buy 2100 28.5928 60044.93 16.21 rebalance
2016-01-13 300368.SZ sell 1400 39.3908 55147.16 70.04 rebalance -8367.95
2016-01-14 300467.SZ sell 700 67.6983 47388.81 60.19 rebalance -5334.44
2016-01-14 600226.SH sell 6300 7.4888 47179.12 59.91 rebalance -13152.30
2016-01-19 002355.SZ sell 200 19.2711 3854.21 8.93 rebalance 477.33
2016-01-19 002575.SZ sell 3900 12.8807 50234.54 63.79 rebalance -2728.74
2016-01-19 300160.SZ sell 1400 35.2970 49415.77 62.76 rebalance -2580.78
2016-01-19 002137.SZ sell 3600 16.8247 60569.01 76.92 rebalance 4593.30
2016-01-19 600306.SH sell 2900 20.9685 60808.65 77.23 rebalance 4110.36
2016-01-19 300230.SZ sell 2100 30.8337 64750.73 82.24 rebalance 4607.35
2016-01-19 002464.SZ buy 1000 59.7194 59719.45 16.12 rebalance
2016-01-19 300466.SZ buy 1000 62.2032 62203.17 16.79 rebalance
2016-01-19 002667.SZ buy 1100 52.9593 58255.25 15.73 rebalance
2016-01-19 000779.SZ buy 2100 27.7315 58236.22 15.72 rebalance
2016-01-19 600734.SH buy 300 17.0355 5110.65 5.10 rebalance
2016-01-19 002668.SZ buy 900 65.0775 58569.72 15.81 rebalance
2016-01-19 000567.SZ buy 2000 30.2954 60590.75 16.36 rebalance
2016-01-19 000881.SZ buy 3100 19.3290 59919.75 16.18 rebalance
2016-01-19 002717.SZ buy 1400 41.0615 57486.10 15.52 rebalance
2016-01-19 002655.SZ buy 2700 21.3320 57596.27 15.55 rebalance
2016-01-19 600165.SH buy 3800 15.4732 58798.06 15.88 rebalance
2016-01-22 000881.SZ sell 3100 17.1243 53085.25 67.42 rebalance -6918.09
2016-01-22 600165.SH sell 3800 14.3484 54524.09 69.24 rebalance -4359.09
2016-01-25 000779.SZ sell 2100 26.4802 55608.46 70.62 rebalance -2714.10
2016-01-26 000838.SZ sell 100 58.1826 5818.26 10.94 rebalance 1549.80
2016-01-26 002355.SZ sell 600 22.1767 13306.01 18.58 rebalance 3183.58
2016-01-26 002343.SZ sell 1200 44.2236 53068.28 67.40 rebalance -3090.25
2016-01-26 300466.SZ sell 200 75.0273 15005.46 20.31 rebalance 2541.16
2016-01-26 002668.SZ sell 900 59.9200 53927.99 68.49 rebalance -4726.04
2016-01-26 000567.SZ sell 2000 27.4588 54917.50 69.75 rebalance -5759.36
2016-01-26 002717.SZ sell 1400 40.7388 57034.32 72.43 rebalance -539.73
2016-01-26 002655.SZ sell 2700 21.0684 56884.55 72.24 rebalance -799.51
2016-01-26 300456.SZ buy 400 127.0503 50820.12 13.73 rebalance
2016-01-26 600053.SH buy 100 36.9654 3696.54 5.07 rebalance
2016-01-26 002530.SZ buy 2700 19.2388 51944.80 14.03 rebalance
2016-01-26 600693.SH buy 3300 17.4762 57671.38 15.57 rebalance
2016-01-26 300310.SZ buy 900 58.5877 52728.97 14.23 rebalance
2016-01-26 600806.SH buy 4000 14.2213 56885.20 15.36 rebalance
2016-01-26 600165.SH buy 3500 16.2243 56785.05 15.34 rebalance
2016-01-26 000779.SZ buy 2200 25.7486 56646.84 15.29 rebalance
2016-01-26 300160.SZ buy 1200 44.5768 53492.12 14.44 rebalance
2016-01-27 600053.SH sell 1500 32.6609 48991.40 62.22 rebalance -12694.79
2016-01-27 002464.SZ sell 1000 49.7852 49785.21 63.24 rebalance -10013.60
2016-01-28 002667.SZ sell 1100 45.9410 50535.08 64.18 rebalance -7800.08
2016-01-29 000838.SZ sell 1100 41.9370 46130.70 58.58 rebalance -760.65
2016-01-29 002355.SZ sell 2600 20.1198 52311.42 66.44 rebalance 8461.60
2016-01-29 600734.SH sell 3500 13.0105 45536.59 57.83 rebalance -15575.85
2016-01-29 300466.SZ sell 800 63.9140 51131.19 64.93 rebalance 1290.29
2016-01-29 300456.SZ sell 400 99.7302 39892.07 50.66 rebalance -10992.43
2016-01-29 002530.SZ sell 2700 14.9276 40304.45 51.19 rebalance -11705.57
2016-01-29 600693.SH sell 3300 15.1572 50018.86 63.52 rebalance -7731.61
2016-01-29 300310.SZ sell 900 45.2920 40762.76 51.77 rebalance -12032.21
2016-01-29 600806.SH sell 4000 12.0819 48327.40 61.38 rebalance -8634.54
2016-01-29 600165.SH sell 3500 15.2771 53469.68 67.91 rebalance -3398.62
2016-01-29 000779.SZ sell 2200 18.7518 41254.03 52.39 rebalance -15460.50
2016-01-29 300160.SZ sell 1200 34.9675 41960.96 53.29 rebalance -11598.88

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）。