QTRADE · 回测报告

stealth_momentum_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

低换手安静动量（缩量慢牛）：在 80 亿流通市值、5000 万日成交以上的大票池里， 找"涨但没人凑热闹"的股票——打分 = 0.3×动量分位(ret_120) − 0.35×波动分位(vol_20) − 0.35×换手分位(turnover_ma20)，月频取前 20 只、波动率倒数加权； 护栏为半年跌幅不超 10%、近月涨幅 <15%、换手率 0.2%~3%、年化波动 8%~40%， 刻意不设趋势闸门与逐日退出（实测趋势闸门在震荡市造成反复止损的磨损税）。 原理：换手率是 A股经典负向因子（高换手=博彩偏好+题材拥挤），涨而低换手说明筹码 锁在长线资金手里、抛压轻；与低波叠加构成"双静"底座，动量只作温和倾斜。 风险与失效场景：低换手在大票池里会系统性偏向银行/公用等红利资产，风格集中， 放量突破牛市初期会踏空跑输；样本内外衰减明显（IS 夏普 ~0.9 → OOS ~0.3， 2024 后低换手大票整体滞涨），是本策略最诚实的短板；个别票换手率数据噪声大， float_mv 为量价反推估算，80 亿市值门槛即是对冲该噪声的护栏。

绩效概览

区间2016-01-04 → 2026-07-03 (2549 交易日)
期末净值1.068
总收益+6.80%
年化收益+0.65%
年化波动+7.21%
夏普(rf=0)0.09
最大回撤-32.55%
回撤区间2018-01-24 → 2024-07-24
卡玛比0.02
平仓笔数509
胜率+52.85%
盈亏比(PF)1.08
总成交额50,702,163
总费用39,316
年化换手(单边)2.3
基准年化+3.35%
超额年化-2.70%
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 1036 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2018-05-03 002493.SZ sell 2600 14.8777 38681.89 49.12 rebalance 1126.49
2018-05-03 600009.SH sell 900 49.8751 44887.57 57.01 rebalance 652.49
2018-05-03 601766.SH sell 6400 9.5856 61347.84 77.92 rebalance -2266.37
2018-05-03 601818.SH sell 22700 4.0040 90890.46 115.43 rebalance -1095.33
2018-05-03 000656.SZ sell 1200 5.2521 6302.53 11.43 rebalance -380.69
2018-05-03 600016.SH sell 9800 7.6984 75444.66 95.81 rebalance -2306.38
2018-05-03 601328.SH sell 16000 6.1408 98252.40 124.78 rebalance -286.30
2018-05-03 600170.SH sell 23300 3.6046 83986.83 106.67 rebalance -2949.29
2018-05-03 000576.SZ sell 4400 20.2496 89098.15 113.15 rebalance -493.13
2018-05-03 000688.SZ sell 5400 10.1647 54889.54 69.71 rebalance 183.27
2018-05-03 600674.SH sell 7700 8.7469 67350.82 85.54 rebalance -2157.41
2018-05-03 002372.SZ sell 1600 23.7144 37943.00 48.19 rebalance 4347.53
2018-05-03 600518.SH buy 500 23.2348 11617.40 5.23 rebalance
2018-05-03 601006.SH buy 7200 8.4827 61075.48 16.49 rebalance
2018-05-03 000876.SZ buy 13600 7.0806 96296.23 26.00 rebalance
2018-05-03 601166.SH buy 4100 16.0641 65862.65 17.79 rebalance
2018-05-03 000157.SZ buy 23300 4.1963 97773.44 26.40 rebalance
2018-05-03 601100.SH buy 1100 30.0450 33049.50 8.92 rebalance
2018-05-03 000538.SZ buy 100 98.1570 9815.70 5.20 rebalance
2018-05-03 600252.SH buy 26000 3.7757 98167.03 26.50 rebalance
2018-05-03 600398.SH buy 2600 12.4687 32418.55 8.75 rebalance
2018-05-03 002203.SZ buy 5100 8.7932 44845.17 12.11 rebalance
2018-05-03 600823.SH buy 11800 4.7471 56015.90 15.12 rebalance
2018-05-03 600406.SH buy 3200 17.6164 56372.43 15.22 rebalance
2018-05-03 002511.SZ buy 3500 14.4216 50475.60 13.63 rebalance
2018-05-03 601117.SH buy 5000 7.3811 36905.28 9.97 rebalance
2018-05-18 002511.SZ sell 5987 9.1862 54997.78 69.85 rebalance 4444.05
2018-05-31 000656.SZ sell 7400 4.9725 36796.72 46.74 rebalance -4392.73
2018-05-31 600739.SH sell 4000 16.3255 65301.90 82.94 rebalance -6507.80
2018-06-04 000538.SZ sell 500 109.9348 54967.42 69.81 rebalance 5576.62
2018-06-04 600518.SH sell 2700 25.8212 69717.27 88.54 rebalance 11724.31
2018-06-04 600036.SH sell 1400 28.8666 40413.29 51.32 rebalance -1648.38
2018-06-04 600004.SH sell 2700 16.6051 44833.65 56.94 rebalance 4096.82
2018-06-04 000876.SZ sell 13600 7.1293 96958.34 123.14 rebalance 512.98
2018-06-04 000157.SZ sell 6700 4.1937 28097.79 35.68 rebalance -60.59
2018-06-04 601100.SH sell 1100 30.1148 33126.24 42.07 rebalance 25.75
2018-06-04 600252.SH sell 26416 3.5646 94163.66 119.58 rebalance -4149.45
2018-06-04 600398.SH sell 2600 14.3784 37383.84 47.48 rebalance 4909.06
2018-06-04 002203.SZ sell 5134 8.2676 42445.76 53.91 rebalance -2460.40
2018-06-04 600823.SH sell 11800 4.5631 53845.11 68.39 rebalance -2254.30
2018-06-04 600406.SH sell 3200 16.5252 52880.56 67.16 rebalance -3574.25
2018-06-04 601117.SH sell 5000 7.4288 37144.20 47.17 rebalance 181.79
2018-06-04 002311.SZ buy 2100 24.2363 50896.23 13.74 rebalance
2018-06-04 002602.SZ buy 800 34.9323 27945.86 7.55 rebalance
2018-06-04 600642.SH buy 14900 5.4181 80729.91 21.79 rebalance
2018-06-04 601229.SH buy 4000 15.5733 62293.30 16.82 rebalance
2018-06-04 002493.SZ buy 3600 10.6159 38217.24 10.31 rebalance
2018-06-04 000975.SZ buy 4200 11.0165 46269.30 12.50 rebalance
2018-06-04 601166.SH buy 1800 15.9539 28717.01 7.75 rebalance
2018-06-04 600886.SH buy 6800 7.4512 50667.89 13.68 rebalance
2018-06-04 600674.SH buy 6800 9.3140 63334.86 17.10 rebalance
2018-06-04 002372.SZ buy 1400 24.9173 34884.25 9.42 rebalance
2018-06-04 000418.SZ buy 500 68.2022 34101.08 9.21 rebalance
2018-06-04 002179.SZ buy 1200 39.0585 46870.20 12.66 rebalance
2018-06-04 600739.SH buy 3300 16.1742 53374.94 14.41 rebalance
2018-06-04 601009.SH buy 6800 8.1622 55503.13 14.99 rebalance
2018-06-04 002174.SZ buy 3800 20.9113 79463.02 21.46 rebalance
2018-06-04 002352.SZ buy 1100 47.9218 52713.95 14.23 rebalance
2018-06-04 601106.SH buy 13100 3.3951 44475.61 12.01 rebalance
2018-06-08 002372.SZ sell 1861 19.3909 36086.41 45.83 rebalance 1157.15
2018-06-19 600642.SH sell 15100 5.3320 80513.05 102.25 rebalance -1540.87
2018-06-22 000975.SZ sell 4200 9.5956 40301.46 51.19 rebalance -6031.53
2018-06-29 002311.SZ sell 2124 20.5791 43709.98 55.51 rebalance -7239.42
2018-07-03 600674.SH sell 6900 8.4972 58630.92 74.46 rebalance -5697.09
2018-07-03 601006.SH sell 7603 7.9481 60429.10 76.75 rebalance -736.91
2018-07-03 601166.SH sell 6151 13.8392 85124.98 108.10 rebalance -9583.54
2018-07-03 000418.SZ sell 500 62.6060 31302.98 39.76 rebalance -2847.07
2018-07-03 600739.SH sell 3300 14.8577 49030.34 62.27 rebalance -4421.28
2018-07-03 002174.SZ sell 3800 19.9201 75696.29 96.13 rebalance -3884.32
2018-07-03 002352.SZ sell 1100 44.1337 48547.07 61.66 rebalance -4242.77
2018-07-03 601106.SH sell 13100 3.0654 40156.67 51.00 rebalance -4381.95
2018-07-03 000538.SZ buy 500 106.0488 53024.42 14.32 rebalance
2018-07-03 601799.SH buy 700 59.3890 41572.26 11.22 rebalance
2018-07-03 002493.SZ buy 700 10.4056 7283.91 5.15 rebalance
2018-07-03 603899.SH buy 1300 31.6975 41206.72 11.12 rebalance
2018-07-03 600886.SH buy 800 7.3410 5872.80 5.12 rebalance
2018-07-03 600518.SH buy 3700 22.9444 84894.15 22.92 rebalance
2018-07-03 601229.SH buy 1600 15.3730 24596.84 6.64 rebalance
2018-07-03 300408.SZ buy 2100 23.5353 49424.03 13.35 rebalance
2018-07-03 002415.SZ buy 1400 36.4546 51036.44 13.78 rebalance
2018-07-03 600398.SH buy 3100 12.5889 39025.45 10.54 rebalance
2018-07-03 600027.SH buy 12300 3.8958 47918.77 12.94 rebalance
2018-07-03 000157.SZ buy 2000 4.0461 8092.12 5.16 rebalance
2018-07-03 601117.SH buy 7700 6.6800 51436.04 13.89 rebalance
2018-07-03 002142.SZ buy 4700 16.0941 75642.29 20.42 rebalance
2018-07-03 002179.SZ buy 200 39.1486 7829.73 5.16 rebalance
2018-07-03 300498.SZ buy 2200 22.0330 48472.60 13.09 rebalance
2018-07-03 601901.SH buy 6700 6.6399 44487.63 12.01 rebalance
2018-07-03 600566.SH buy 500 48.2723 24136.15 6.51 rebalance
2018-07-03 601009.SH buy 300 7.4512 2235.35 5.04 rebalance
2018-07-18 601229.SH sell 8098 10.5841 85710.04 108.85 rebalance -1304.00
2018-07-24 600221.SH sell 25758 2.4963 64298.41 81.66 rebalance -17333.75
2018-08-02 002493.SZ sell 4300 11.5726 49762.24 63.20 rebalance 4182.44
2018-08-02 600886.SH sell 1700 7.8083 13274.06 18.54 rebalance 604.06
2018-08-02 002179.SZ sell 1403 41.5176 58249.23 73.97 rebalance 3478.66
2018-08-02 601009.SH sell 7100 7.6785 54517.10 69.24 rebalance -3310.65
2018-08-02 601799.SH sell 700 52.7907 36953.49 46.93 rebalance -4676.93
2018-08-02 603899.SH sell 1300 28.9066 37578.55 47.72 rebalance -3687.01
2018-08-02 600518.SH sell 1300 20.7988 27038.38 34.34 rebalance -2530.71
2018-08-02 300408.SZ sell 2100 24.3135 51058.30 64.84 rebalance 1556.08
2018-08-02 002415.SZ sell 1400 31.4627 44047.83 55.94 rebalance -7058.33
2018-08-02 600398.SH sell 3100 11.2930 35008.41 44.46 rebalance -4072.04
2018-08-02 600027.SH sell 12355 4.4034 54403.82 69.09 rebalance 6406.55
2018-08-02 601117.SH sell 7700 6.8497 52742.77 66.98 rebalance 1225.86
2018-08-02 002142.SZ sell 4816 17.0144 81941.54 104.07 rebalance 6175.54
2018-08-02 300498.SZ sell 300 22.9256 6877.67 12.02 rebalance 253.96
2018-08-02 601901.SH sell 6710 6.5601 44018.57 55.90 rebalance -536.17
2018-08-02 600566.SH sell 500 45.8811 22940.54 29.14 rebalance -1231.26
2018-08-02 600236.SH buy 9300 5.7887 53834.63 14.54 rebalance
2018-08-02 000656.SZ buy 10700 5.0576 54116.05 14.61 rebalance
2018-08-02 600270.SH buy 2500 21.0916 52728.97 14.23 rebalance
2018-08-02 002030.SZ buy 4400 16.2243 71386.92 19.28 rebalance
2018-08-02 000869.SZ buy 1200 41.8627 50235.24 13.56 rebalance
2018-08-02 600660.SH buy 2500 24.8672 62168.11 16.78 rebalance
2018-08-02 002028.SZ buy 4500 15.8537 71341.85 19.27 rebalance
2018-08-02 600406.SH buy 3100 15.4832 47997.89 12.96 rebalance
2018-08-02 600737.SH buy 7100 7.6615 54396.47 14.69 rebalance
2018-08-02 600085.SH buy 1400 33.5503 46970.35 12.68 rebalance
2018-08-02 002242.SZ buy 2900 17.1357 49693.43 13.41 rebalance
2018-08-02 002358.SZ buy 5100 14.0410 71609.25 19.33 rebalance
2018-08-02 000895.SZ buy 1400 25.7185 36005.93 9.72 rebalance
2018-08-02 002589.SZ buy 3300 13.1497 43393.99 11.72 rebalance
2018-08-03 000656.SZ sell 10805 4.9526 53512.41 67.96 rebalance -1239.87
2018-08-15 000538.SZ sell 507 91.8620 46574.03 59.14 rebalance -6468.52
2018-08-17 000895.SZ sell 1400 21.9670 30753.80 39.06 rebalance -5300.91
2018-08-20 000869.SZ sell 1200 35.5466 42655.92 54.17 rebalance -7647.05
2018-09-04 000157.SZ sell 2600 3.8143 9917.10 15.12 rebalance -444.51
2018-09-04 600886.SH sell 6033 7.3190 44155.56 56.08 rebalance 196.79
2018-09-04 600518.SH sell 2437 20.6090 50224.23 63.78 rebalance -5205.85
2018-09-04 300498.SZ sell 1900 20.7289 39384.83 50.02 rebalance -2539.19
2018-09-04 600236.SH sell 1500 5.7014 8552.15 13.72 rebalance -146.92
2018-09-04 002030.SZ sell 900 17.6734 15906.10 21.23 rebalance 1279.06
2018-09-04 600660.SH sell 2500 25.9610 64902.50 82.43 rebalance 2635.18
2018-09-04 002028.SZ sell 4500 14.4783 65152.13 82.74 rebalance -6291.74
2018-09-04 600406.SH sell 400 15.9560 6382.41 11.51 rebalance 175.95
2018-09-04 600737.SH sell 7100 7.7883 55296.93 70.23 rebalance 815.54
2018-09-04 600085.SH sell 1410 31.5925 44545.48 56.58 rebalance -2462.00
2018-09-04 002242.SZ sell 2900 16.9845 49255.01 62.56 rebalance -514.39
2018-09-04 002358.SZ sell 5100 14.5282 74093.69 94.09 rebalance 2371.02
2018-09-04 002589.SZ sell 3300 11.9620 39474.70 50.13 rebalance -3981.14
2018-09-04 000656.SZ buy 14800 5.1577 76334.33 20.61 rebalance
2018-09-04 000999.SZ buy 2400 26.3795 63310.82 17.10 rebalance
2018-09-04 601229.SH buy 6100 11.8578 72332.34 19.53 rebalance
2018-09-04 600572.SH buy 7800 6.9805 54447.55 14.70 rebalance
2018-09-04 002506.SZ buy 11500 4.7772 54937.28 14.83 rebalance
2018-09-04 600926.SH buy 8500 7.8818 66995.34 18.09 rebalance
2018-09-04 601006.SH buy 4800 8.3525 40092.05 10.82 rebalance
2018-09-04 601225.SH buy 6700 7.4111 49654.37 13.40 rebalance
2018-09-04 002183.SZ buy 9200 6.0691 55835.63 15.08 rebalance
2018-09-04 000898.SZ buy 6800 6.0791 41337.91 11.16 rebalance
2018-09-04 300142.SZ buy 2100 21.9829 46164.14 12.46 rebalance
2018-09-04 601117.SH buy 6100 6.4597 39404.02 10.64 rebalance
2018-09-04 002434.SZ buy 6600 10.0050 66032.90 17.83 rebalance
2018-09-04 603198.SH buy 2700 14.9224 40290.35 10.88 rebalance
2018-09-04 002493.SZ buy 2200 11.4171 25117.62 6.78 rebalance
2018-09-10 000157.SZ sell 16944 3.7144 62937.13 79.93 rebalance -4570.08
2018-10-09 600270.SH sell 2500 20.2696 50673.88 64.35 rebalance -2133.68
2018-10-09 600406.SH sell 2700 16.8946 45615.47 57.93 rebalance 3741.64
2018-10-09 000656.SZ sell 14800 4.9326 73002.33 92.71 rebalance -3445.32
2018-10-09 000999.SZ sell 500 24.3634 12181.70 17.42 rebalance -1029.04
2018-10-09 601229.SH sell 1700 11.7923 20046.88 25.46 rebalance -142.21
2018-10-09 002506.SZ sell 11500 4.8527 55806.17 70.88 rebalance 783.17
2018-10-09 600926.SH sell 8500 7.6086 64672.85 82.13 rebalance -2422.72
2018-10-09 601225.SH sell 6700 8.4373 56530.08 71.79 rebalance 6790.52
2018-10-09 002183.SZ sell 9200 6.0210 55392.79 70.35 rebalance -528.27
2018-10-09 000898.SZ sell 6800 5.7913 39380.84 50.02 rebalance -2018.25
2018-10-09 601117.SH sell 6100 6.4403 39285.98 49.90 rebalance -178.57
2018-10-09 002493.SZ sell 2200 10.9735 24141.73 30.66 rebalance -1013.33
2018-10-09 300498.SZ buy 2100 23.3750 49087.52 13.25 rebalance
2018-10-09 600500.SH buy 7100 7.3410 52121.06 14.07 rebalance
2018-10-09 002030.SZ buy 1300 18.2073 23669.45 6.39 rebalance
2018-10-09 000157.SZ buy 17300 3.6354 62893.20 16.98 rebalance
2018-10-09 601918.SH buy 13100 3.7957 49723.47 13.42 rebalance
2018-10-09 002434.SZ buy 900 9.9449 8950.41 5.18 rebalance
2018-10-09 002032.SZ buy 600 52.6188 31571.29 8.52 rebalance
2018-10-09 601166.SH buy 2800 15.3330 42932.30 11.59 rebalance
2018-10-09 600027.SH buy 9400 4.1162 38691.95 10.44 rebalance
2018-10-09 600737.SH buy 6600 7.4512 49177.66 13.27 rebalance
2018-10-09 002701.SZ buy 11800 5.2579 62042.93 16.75 rebalance
2018-10-09 601009.SH buy 6600 7.4512 49177.66 13.27 rebalance
2018-10-09 600582.SH buy 10900 4.0461 44102.05 11.91 rebalance
2018-10-12 600236.SH sell 7800 5.6415 44003.90 55.88 rebalance -1215.81
2018-10-12 002030.SZ sell 4800 17.9031 85934.90 109.13 rebalance 5349.55
2018-10-12 000999.SZ sell 1900 22.3564 42477.19 53.95 rebalance -7711.37
2018-10-12 601229.SH sell 4400 11.1333 48986.41 62.22 rebalance -3264.04
2018-10-12 600572.SH sell 7800 6.3005 49144.17 62.41 rebalance -5380.49
2018-10-12 601006.SH sell 4800 7.5886 36425.28 46.27 rebalance -3723.86
2018-10-12 300142.SZ sell 2100 19.4807 40909.54 51.96 rebalance -5319.02
2018-10-12 603198.SH sell 2700 13.8792 37473.71 47.59 rebalance -2875.11
2018-10-12 300498.SZ sell 2100 23.5646 49485.66 62.85 rebalance 322.04
2018-10-12 600500.SH sell 7100 6.8996 48987.41 62.22 rebalance -3209.95
2018-10-12 000157.SZ sell 17300 3.3150 57349.85 72.84 rebalance -5633.17
2018-10-12 601918.SH sell 13100 3.6146 47350.87 60.14 rebalance -2446.17
2018-10-12 002032.SZ sell 600 49.5855 29751.31 37.79 rebalance -1866.29
2018-10-12 601166.SH sell 2800 15.0774 42216.58 53.61 rebalance -780.92
2018-10-12 600027.SH sell 9400 3.9640 37262.02 47.33 rebalance -1487.70
2018-10-12 600737.SH sell 6600 6.9196 45669.39 58.00 rebalance -3579.53
2018-10-12 002701.SZ sell 11800 5.1922 61267.96 77.82 rebalance -869.53
2018-10-12 601009.SH sell 6600 7.1493 47185.12 59.93 rebalance -2065.74
2018-10-12 600582.SH sell 10900 3.9241 42772.74 54.32 rebalance -1395.54

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）。