QTRADE · 回测报告

trend_align · 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

均线多头排列趋势跟随：只在 ma_5 > ma_20 > ma_60 且价格站上 ma_60 的「多头排列」 股票里，按 120 日动量取最强 10 只等权，周频轮动，跌破 ma_60 离场、个股 -10% 止损。 趋势策略在单边市有效、震荡市反复止损是主要亏损来源——2023-2024 箱体震荡段是 必看压力窗口。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0.8191
总收益-18.09%
年化收益-1.95%
年化波动+5.77%
夏普(rf=0)-0.34
最大回撤-26.99%
回撤区间2016-01-06 → 2019-11-04
卡玛比-0.07
平仓笔数38
胜率+26.32%
盈亏比(PF)0.21
总成交额5,775,047
总费用4,371
年化换手(单边)0.3
基准年化+2.25%
超额年化-4.20%
信息比率-0.3

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 600734.SH buy 4000 20.9914 83965.76 22.67 rebalance
2016-01-05 000838.SZ buy 2100 42.5637 89383.88 24.14 rebalance
2016-01-05 600630.SH buy 3300 27.1106 89465.00 24.16 rebalance
2016-01-05 600346.SH buy 8100 10.9764 88909.16 24.01 rebalance
2016-01-05 600482.SH buy 2200 38.6779 85091.45 22.97 rebalance
2016-01-05 002771.SZ buy 800 98.2572 78605.73 21.22 rebalance
2016-01-05 000622.SZ buy 5600 16.2243 90856.08 24.53 rebalance
2016-01-05 002355.SZ buy 5200 16.8352 87543.12 23.64 rebalance
2016-01-05 300327.SZ buy 2600 32.3985 84236.17 22.74 rebalance
2016-01-05 300310.SZ buy 1600 51.5873 82539.62 22.28 rebalance
2016-01-06 600482.SH sell 2200 40.2995 88658.81 112.59 rebalance 3431.81
2016-01-08 600734.SH sell 4000 20.9985 83993.82 106.67 rebalance -101.28
2016-01-08 002771.SZ sell 800 108.7666 87013.28 110.50 rebalance 8275.83
2016-01-11 600630.SH sell 3300 24.4832 80794.63 102.61 rebalance -8797.14
2016-01-11 000622.SZ sell 5600 14.8377 83091.18 105.52 rebalance -7894.95
2016-01-11 300327.SZ sell 2600 29.2261 75987.85 96.51 rebalance -8367.57
2016-01-12 000838.SZ sell 100 48.1377 4813.77 9.91 rebalance 546.33
2016-01-12 300310.SZ sell 1600 52.9005 84640.85 107.49 rebalance 1971.45
2016-01-12 600734.SH buy 5200 17.4762 90876.11 24.54 rebalance
2016-01-12 300160.SZ buy 2300 37.0855 85296.75 23.03 rebalance
2016-01-12 002643.SZ buy 2400 38.1371 91529.09 24.71 rebalance
2016-01-12 002629.SZ buy 7200 12.6089 90783.97 24.52 rebalance
2016-01-12 600671.SH buy 2500 35.5533 88883.13 24.00 rebalance
2016-01-12 002654.SZ buy 2200 39.1587 86149.03 23.26 rebalance
2016-01-12 603300.SH buy 2000 47.2508 94501.54 25.52 rebalance
2016-01-12 002355.SZ buy 500 15.6534 7826.72 5.16 rebalance
2016-01-12 002634.SZ buy 2300 38.0670 87554.13 23.64 rebalance
2016-01-13 002643.SZ sell 2400 36.8347 88403.20 112.27 rebalance -3262.87
2016-01-13 002629.SZ sell 7100 11.6924 83016.29 105.43 rebalance -6636.40
2016-01-14 002654.SZ sell 2200 35.0474 77104.17 97.92 rebalance -9166.04
2016-01-15 600671.SH sell 2500 31.9520 79880.00 101.45 rebalance -9128.58
2016-01-18 600346.SH sell 8100 9.8153 79503.57 100.97 rebalance -9530.58
2016-01-18 300160.SZ sell 2300 31.4028 72226.50 91.73 rebalance -13185.02
2016-01-19 000838.SZ sell 300 52.3414 15702.41 21.01 rebalance 2908.83
2016-01-19 002355.SZ sell 5700 19.2711 109844.99 139.50 rebalance 14306.84
2016-01-19 600734.SH sell 5200 16.9845 88319.32 112.17 rebalance -2693.50
2016-01-19 603300.SH sell 2000 43.7143 87428.66 111.04 rebalance -7209.44
2016-01-19 002634.SZ sell 2300 30.9036 71078.22 90.27 rebalance -16589.82
2016-01-19 000971.SZ buy 2900 30.4756 88379.37 23.86 rebalance
2016-01-19 300329.SZ buy 3100 27.9418 86619.74 23.38 rebalance
2016-01-19 002468.SZ buy 2200 38.6579 85047.38 22.96 rebalance
2016-01-19 600671.SH buy 2800 31.4872 88164.05 23.80 rebalance
2016-01-19 002617.SZ buy 3200 27.5413 88132.00 23.79 rebalance
2016-01-19 600693.SH buy 6000 14.6319 87791.49 23.71 rebalance
2016-01-19 002760.SZ buy 1700 52.6388 89486.03 24.16 rebalance
2016-01-19 000779.SZ buy 3200 27.7315 88740.91 23.96 rebalance
2016-01-19 000518.SZ buy 11700 7.5113 87881.62 23.73 rebalance
2016-01-21 002468.SZ sell 2200 34.8676 76708.76 97.42 rebalance -8459.00
2016-01-22 600671.SH sell 2800 28.4772 79736.22 101.26 rebalance -8552.89
2016-01-22 002760.SZ sell 1700 49.2261 83684.29 106.27 rebalance -5932.17
2016-01-22 000779.SZ sell 3200 26.9595 86270.40 109.57 rebalance -2604.04
2016-01-26 000838.SZ sell 100 58.1826 5818.26 10.94 rebalance 1549.79
2016-01-26 300329.SZ sell 3100 25.9610 80479.10 102.21 rebalance -6266.23
2016-01-26 002617.SZ sell 3200 26.8397 85886.98 109.08 rebalance -2377.89
2016-01-26 600693.SH sell 900 17.4238 15681.44 20.99 rebalance 2488.17
2016-01-26 000518.SZ sell 11700 7.0394 82361.27 104.60 rebalance -5648.68
2016-01-26 300160.SZ buy 1900 44.5768 84695.85 22.86 rebalance
2016-01-26 002355.SZ buy 3800 22.2433 84524.60 22.82 rebalance
2016-01-26 002407.SZ buy 1200 70.2552 84306.27 22.77 rebalance
2016-01-26 000048.SZ buy 2200 39.4090 86699.86 23.40 rebalance
2016-01-26 002717.SZ buy 2100 40.8612 85808.52 23.17 rebalance
2016-01-26 300100.SZ buy 2800 31.0465 86930.20 23.47 rebalance
2016-01-26 002468.SZ buy 2600 34.1512 88792.99 23.98 rebalance
2016-01-27 000971.SZ sell 2900 28.0079 81222.98 103.15 rebalance -7283.40
2016-01-27 002407.SZ sell 1200 64.9025 77883.00 98.91 rebalance -6544.95
2016-01-28 000838.SZ sell 1600 46.9395 75103.18 95.38 rebalance 6887.40
2016-01-28 600693.SH sell 5100 15.5766 79440.66 100.89 rebalance 4696.85
2016-01-28 300160.SZ sell 1900 37.7433 71712.27 91.07 rebalance -13097.51
2016-01-28 002355.SZ sell 3800 19.1612 72812.62 92.47 rebalance -11827.27
2016-01-28 000048.SZ sell 2200 33.9590 74709.77 94.88 rebalance -12108.37
2016-01-28 002717.SZ sell 2100 34.8077 73096.19 92.83 rebalance -12828.33
2016-01-28 300100.SZ sell 2800 25.3419 70957.40 90.12 rebalance -16086.39
2016-01-28 002468.SZ sell 2600 32.3015 83983.84 106.66 rebalance -4939.79

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）。