QTRADE · 回测报告

volume_dry_pullback · 生成 2026-07-07 00:03 · 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

缩量回调企稳（强势股歇脚）：中期趋势完好（close_hfq > ma_120 且 ma_60 > ma_120）、 距 250 日高点回撤不超过 25% 的强势股，近 5 日出现回调且当日换手率萎缩到自身 20 日均值的 85% 以下——量能枯竭说明抛压来自浮筹清洗而非机构出货；待价格重新 站上 5 日线确认企稳后，按「缩量深度 + 回调深度」双 zscore 打分，取前 25 只等权、 月频轮动。波动率上限（vol_20 < 60%）与流动性/市值/价格三重下限过滤妖股仙股， 避免掉进「缩量 = 无人问津」的僵尸股逆向选择陷阱。 风险与失效场景：牛转熊初期该形态大面积失效——彼时缩量是全市场流动性退潮而非 洗盘，2022 年即是回测中主要回撤来源（约 -20%）；横盘震荡市中价格反复穿越 5 日线造成信号抖动、抬高换手损耗，靠月频调仓 + 个股止损 + 组合回撤熔断控制； 个别票换手率数据有估算噪声，极端值可能污染排序，依赖成交额与市值下限对冲。

绩效概览

区间2016-01-04 → 2026-07-03 (2549 交易日)
期末净值0.7836
总收益-21.64%
年化收益-2.38%
年化波动+5.71%
夏普(rf=0)-0.42
最大回撤-28.02%
回撤区间2016-11-22 → 2024-02-05
卡玛比-0.09
平仓笔数306
胜率+33.99%
盈亏比(PF)0.7
总成交额29,540,206
总费用22,651
年化换手(单边)1.8
基准年化+3.35%
超额年化-5.73%
信息比率-0.4

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 611 笔，仅显示最后 200 笔。

dt symbol side shares price amount fees reason realized_pnl
2017-07-04 300332.SZ buy 3400 10.3155 35072.53 9.47 rebalance
2017-07-04 600970.SH buy 4000 8.8533 35413.04 9.56 rebalance
2017-07-04 600496.SH buy 7400 4.8573 35943.83 9.71 rebalance
2017-07-04 000778.SZ buy 5300 6.8402 36253.30 9.79 rebalance
2017-07-04 300115.SZ buy 1200 29.2138 35056.51 9.46 rebalance
2017-07-04 600028.SH buy 6000 5.9489 35693.46 9.63 rebalance
2017-07-04 603589.SH buy 900 38.0570 34251.30 9.25 rebalance
2017-07-04 000402.SZ buy 3000 11.8878 35663.42 9.63 rebalance
2017-07-04 600886.SH buy 4500 7.9119 35603.33 9.61 rebalance
2017-07-04 002271.SZ buy 900 36.7951 33115.60 8.94 rebalance
2017-07-04 600729.SH buy 1300 26.8502 34905.28 9.43 rebalance
2017-07-04 000963.SZ buy 700 49.7746 34842.19 9.41 rebalance
2017-07-04 600663.SH buy 1500 23.5753 35362.97 9.55 rebalance
2017-07-04 000158.SZ buy 2200 16.1041 35429.06 9.57 rebalance
2017-07-04 002108.SZ buy 2600 13.5303 35178.69 9.49 rebalance
2017-07-04 600885.SH buy 900 39.6594 35693.46 9.63 rebalance
2017-07-04 002460.SZ buy 700 46.3695 32458.62 8.76 rebalance
2017-07-04 600835.SH buy 1700 21.0916 35855.70 9.68 rebalance
2017-07-04 601008.SH buy 3000 7.1507 21452.13 5.79 rebalance
2017-07-11 002658.SZ sell 2000 16.2556 32511.16 41.29 rebalance -3473.6500
2017-07-13 300332.SZ sell 3400 9.1662 31165.18 39.58 rebalance -3956.4000
2017-07-18 002305.SZ sell 6500 4.5132 29335.93 37.26 rebalance -6514.6200
2017-07-18 002431.SZ sell 3200 9.3160 29811.22 37.86 rebalance -6514.7800
2017-07-18 000965.SZ sell 4100 7.3190 30007.92 38.11 rebalance -5599.0500
2017-07-18 000158.SZ sell 2200 13.7893 30336.43 38.53 rebalance -5140.7400
2017-08-02 002427.SZ sell 1501 26.6100 39941.65 50.73 rebalance 1052.3000
2017-08-02 600135.SH sell 2200 15.1073 33236.07 42.21 rebalance -1649.7200
2017-08-02 002466.SZ sell 600 68.3972 41038.35 52.12 rebalance 8474.7700
2017-08-02 600970.SH sell 4000 8.4873 33949.00 43.12 rebalance -1516.7200
2017-08-02 600496.SH sell 7416 4.4633 33099.80 42.03 rebalance -2894.6700
2017-08-02 000778.SZ sell 5324 6.7099 35723.61 45.36 rebalance -581.4300
2017-08-02 300115.SZ sell 1200 33.1402 39768.26 50.51 rebalance 4651.7800
2017-08-02 600028.SH sell 6166 6.1807 38110.29 48.40 rebalance 2364.2400
2017-08-02 603589.SH sell 900 43.7742 39396.82 50.04 rebalance 5086.2300
2017-08-02 000402.SZ sell 3000 11.9021 35706.36 45.35 rebalance -12.0300
2017-08-02 600886.SH sell 4500 8.2077 36934.51 46.90 rebalance 1274.6800
2017-08-02 002271.SZ sell 900 35.8761 32288.49 41.01 rebalance -877.0500
2017-08-02 600729.SH sell 1300 26.6799 34683.90 44.04 rebalance -274.8500
2017-08-02 000963.SZ sell 700 45.9610 32172.67 40.85 rebalance -2719.7800
2017-08-02 600663.SH sell 1500 24.6729 37009.40 47.00 rebalance 1589.8900
2017-08-02 002108.SZ sell 2600 16.0759 41797.21 53.09 rebalance 6555.9400
2017-08-02 600885.SH sell 900 41.6375 37473.71 47.59 rebalance 1723.0300
2017-08-02 002460.SZ sell 701 68.9963 48366.44 61.43 rebalance 15857.5300
2017-08-02 600835.SH sell 1600 20.9585 33533.62 42.58 rebalance -264.6100
2017-08-02 601008.SH sell 3000 6.5202 19560.62 24.95 rebalance -1922.2600
2017-08-02 002032.SZ buy 1600 37.2658 59625.30 16.10 rebalance
2017-08-02 600741.SH buy 2800 21.5122 60234.22 16.26 rebalance
2017-08-02 000049.SZ buy 1100 54.3314 59764.51 16.14 rebalance
2017-08-02 600816.SH buy 4200 14.4116 60528.66 16.34 rebalance
2017-08-02 600703.SH buy 3000 19.6895 59068.47 15.95 rebalance
2017-08-02 600436.SH buy 1000 56.3845 56384.45 15.23 rebalance
2017-08-02 000725.SZ buy 15300 3.9259 60065.96 16.22 rebalance
2017-08-02 600315.SH buy 1900 31.1967 59273.78 16.01 rebalance
2017-08-02 000429.SZ buy 6700 8.9434 59920.75 16.18 rebalance
2017-08-02 600085.SH buy 1800 33.0495 59489.10 16.06 rebalance
2017-08-02 600062.SH buy 2800 20.8312 58327.36 15.75 rebalance
2017-08-02 600297.SH buy 7900 7.6214 60209.18 16.25 rebalance
2017-08-02 600887.SH buy 2900 20.7310 60120.04 16.23 rebalance
2017-08-02 300298.SZ buy 3200 18.7681 60057.95 16.21 rebalance
2017-08-02 000158.SZ buy 5700 10.4757 59711.43 16.12 rebalance
2017-08-23 600816.SH sell 4200 13.2601 55692.34 70.72 rebalance -4923.3800
2017-09-04 002032.SZ sell 1600 37.3239 59718.29 75.84 rebalance 1.0400
2017-09-04 600741.SH sell 2800 20.5791 57621.44 73.18 rebalance -2702.2200
2017-09-04 000049.SZ sell 1100 54.5281 59980.89 76.18 rebalance 124.0600
2017-09-04 600703.SH sell 3000 19.3409 58022.84 73.69 rebalance -1135.2800
2017-09-04 600436.SH sell 1000 54.4083 54408.27 69.10 rebalance -2060.5100
2017-09-04 000725.SZ sell 15300 3.8243 58511.10 74.31 rebalance -1645.3900
2017-09-04 600315.SH sell 1900 30.4642 57882.05 73.51 rebalance -1481.2500
2017-09-04 000429.SZ sell 6700 8.7469 58603.96 74.42 rebalance -1407.3800
2017-09-04 600085.SH sell 1813 32.0019 58019.49 73.68 rebalance -1547.8700
2017-09-04 600062.SH sell 2800 21.4178 59969.91 76.16 rebalance 1550.6400
2017-09-04 600297.SH sell 7900 7.7983 61606.45 78.24 rebalance 1302.7800
2017-09-04 600887.SH sell 2900 23.5147 68192.56 86.60 rebalance 7969.6800
2017-09-04 300298.SZ sell 3200 20.6989 66236.50 84.12 rebalance 6078.2100
2017-09-04 000158.SZ sell 5700 10.4543 59589.48 75.68 rebalance -213.7500
2017-09-04 300288.SZ buy 2900 32.2783 93607.20 25.27 rebalance
2017-09-04 002449.SZ buy 5000 18.8783 94391.38 25.49 rebalance
2017-09-27 002399.SZ sell 1822 17.9830 32765.00 41.61 rebalance -5877.6600
2017-10-10 300288.SZ sell 2900 31.8522 92371.24 117.31 rebalance -1378.5500
2017-10-10 002449.SZ sell 5000 19.2311 96155.55 122.12 rebalance 1616.5700
2017-10-10 300432.SZ buy 1700 24.2063 41150.63 11.11 rebalance
2017-10-10 002074.SZ buy 1300 32.1982 41857.69 11.30 rebalance
2017-10-10 000969.SZ buy 3900 10.8663 42378.47 11.44 rebalance
2017-10-10 002233.SZ buy 3200 13.4702 43104.56 11.64 rebalance
2017-10-10 002166.SZ buy 3600 11.8678 42723.99 11.53 rebalance
2017-10-10 300122.SZ buy 1600 26.9904 43184.68 11.66 rebalance
2017-10-10 002517.SZ buy 2300 18.1272 41692.45 11.25 rebalance
2017-10-10 300090.SZ buy 3800 11.3370 43080.52 11.63 rebalance
2017-10-10 300337.SZ buy 4000 10.8462 43384.98 11.72 rebalance
2017-10-10 600746.SH buy 3600 11.7175 42183.18 11.39 rebalance
2017-10-10 600115.SH buy 6300 6.8102 42904.26 11.59 rebalance
2017-10-10 601216.SH buy 8400 5.0976 42820.13 11.57 rebalance
2017-10-10 000799.SZ buy 1500 28.3425 42513.68 11.48 rebalance
2017-10-10 002222.SZ buy 2500 16.6950 41737.51 11.26 rebalance
2017-10-10 600958.SH buy 2600 16.0540 41740.52 11.27 rebalance
2017-10-10 603369.SH buy 2600 16.0841 41818.63 11.29 rebalance
2017-10-10 000926.SZ buy 3400 12.3785 42087.04 11.36 rebalance
2017-10-10 600895.SH buy 2500 16.8552 42138.11 11.37 rebalance
2017-10-10 002500.SZ buy 3700 11.4672 42428.55 11.46 rebalance
2017-10-10 000851.SZ buy 3600 11.7877 42435.56 11.46 rebalance
2017-10-10 601899.SH buy 11000 3.9159 43074.51 11.63 rebalance
2017-10-13 300337.SZ sell 4000 9.2960 37184.14 47.22 rebalance -6259.7800
2017-10-20 002500.SZ sell 3700 10.2646 37978.95 48.23 rebalance -4509.2900
2017-10-31 000969.SZ sell 3900 9.3360 36410.30 46.24 rebalance -6025.8500
2017-10-31 600746.SH sell 3600 10.3844 37383.84 47.48 rebalance -4858.2100
2017-10-31 000851.SZ sell 3600 10.5442 37958.98 48.21 rebalance -4536.2500
2017-11-02 300432.SZ sell 1700 22.9256 38973.45 49.49 rebalance -2237.7800
2017-11-02 002074.SZ sell 1300 30.4443 39577.54 50.26 rebalance -2341.7100
2017-11-02 002233.SZ sell 3200 13.4198 42943.49 54.54 rebalance -227.2500
2017-11-02 002166.SZ sell 3600 11.7723 42380.33 53.83 rebalance -409.0200
2017-11-02 300122.SZ sell 1600 27.4588 43934.00 55.79 rebalance 681.8700
2017-11-02 002517.SZ sell 2300 22.8457 52545.06 66.74 rebalance 10774.6300
2017-11-02 300090.SZ sell 3800 11.0634 42040.84 53.39 rebalance -1104.7000
2017-11-02 600115.SH sell 6300 6.9795 43970.94 55.84 rebalance 999.2500
2017-11-02 601216.SH sell 8400 5.1722 43446.73 55.18 rebalance 559.8500
2017-11-02 000799.SZ sell 1500 28.2576 42386.33 53.84 rebalance -192.6700
2017-11-02 002222.SZ sell 2500 18.4723 46180.63 58.65 rebalance 4373.2000
2017-11-02 600958.SH sell 2600 15.1373 39356.88 49.99 rebalance -2444.9000
2017-11-02 603369.SH sell 2600 15.0674 39175.15 49.75 rebalance -2704.5200
2017-11-02 000926.SZ sell 3400 12.2117 41519.63 52.73 rebalance -631.5000
2017-11-02 600895.SH sell 2500 17.0644 42660.91 54.18 rebalance 457.2500
2017-11-02 601899.SH sell 11000 3.6845 40529.12 51.47 rebalance -2608.5000
2017-11-02 600322.SH buy 9100 6.4396 58600.77 15.82 rebalance
2017-11-02 600390.SH buy 4400 13.2398 58255.25 15.73 rebalance
2017-11-02 300355.SZ buy 4100 14.2313 58348.39 15.76 rebalance
2017-11-02 600199.SH buy 6400 9.1036 58263.26 15.74 rebalance
2017-11-02 002594.SZ buy 900 64.0960 57686.40 15.57 rebalance
2017-11-02 002020.SZ buy 4700 12.3685 58132.07 15.69 rebalance
2017-11-02 600338.SH buy 1300 44.4466 57780.54 15.61 rebalance
2017-11-02 600643.SH buy 4200 14.0611 59056.45 15.94 rebalance
2017-11-02 000537.SZ buy 4100 14.2013 58225.21 15.72 rebalance
2017-11-02 600219.SH buy 15100 3.8858 58675.88 15.84 rebalance
2017-11-02 600549.SH buy 2100 28.4426 59729.46 16.12 rebalance
2017-11-02 002273.SZ buy 2000 28.7431 57486.10 15.52 rebalance
2017-11-02 000541.SZ buy 6300 9.2839 58488.60 15.79 rebalance
2017-11-02 002460.SZ buy 600 86.9302 52158.12 14.08 rebalance
2017-11-02 600695.SH buy 5800 10.0350 58203.17 15.71 rebalance
2017-11-10 300355.SZ sell 4100 12.1318 49740.28 63.17 rebalance -8687.0400
2017-11-14 600643.SH sell 4200 12.0219 50492.15 64.12 rebalance -8644.3600
2017-11-15 002460.SZ sell 600 75.6863 45411.78 57.67 rebalance -6818.0900
2017-11-20 600549.SH sell 2100 23.5646 49485.66 62.85 rebalance -10322.7700
2017-11-27 600199.SH sell 6400 8.0180 51314.91 65.17 rebalance -7029.2600
2017-12-04 600322.SH sell 9100 6.8697 62514.09 79.39 rebalance 3818.1100
2017-12-04 600390.SH sell 4400 11.9221 52457.20 66.62 rebalance -5880.4100
2017-12-04 002594.SZ sell 900 63.3948 57055.29 72.46 rebalance -719.1400
2017-12-04 002020.SZ sell 4700 12.4014 58286.44 74.03 rebalance 64.6500
2017-12-04 000537.SZ sell 4100 14.2786 58542.06 74.35 rebalance 226.7800
2017-12-04 600219.SH sell 15100 3.6845 55635.42 70.66 rebalance -3126.9600
2017-12-04 002273.SZ sell 2000 25.4817 50963.44 64.72 rebalance -6602.9000
2017-12-04 000541.SZ sell 6300 9.7753 61584.48 78.21 rebalance 3001.8800
2017-12-04 603989.SH buy 800 38.8582 31086.56 8.39 rebalance
2017-12-04 300327.SZ buy 1000 30.7360 30736.04 8.29 rebalance
2017-12-04 002311.SZ buy 1600 20.6409 33025.46 8.92 rebalance
2017-12-04 000581.SZ buy 1300 25.4882 33134.63 8.94 rebalance
2017-12-04 000913.SZ buy 1600 20.4306 32688.96 8.82 rebalance
2017-12-04 002664.SZ buy 1100 29.1036 32013.95 8.64 rebalance
2017-12-04 300395.SZ buy 1900 17.0255 32348.45 8.74 rebalance
2017-12-04 000823.SZ buy 2100 15.4431 32430.57 8.76 rebalance
2017-12-04 000612.SZ buy 3400 9.8247 33404.03 9.02 rebalance
2017-12-04 000977.SZ buy 1700 19.2288 32688.96 8.82 rebalance
2017-12-04 600459.SH buy 1400 23.1947 32472.64 8.77 rebalance
2017-12-04 600305.SH buy 2900 11.4972 33341.94 9.01 rebalance
2017-12-04 000998.SZ buy 1300 25.5883 33264.82 8.99 rebalance
2017-12-04 600580.SH buy 4100 8.1322 33341.94 9.01 rebalance
2017-12-04 002081.SZ buy 2200 14.6519 32234.28 8.70 rebalance
2017-12-04 300498.SZ buy 1300 24.7471 32171.18 8.68 rebalance
2017-12-04 000988.SZ buy 1900 17.1657 32614.85 8.80 rebalance
2017-12-04 600388.SH buy 2000 16.0240 32048.00 8.65 rebalance
2017-12-04 002463.SZ buy 6100 5.4582 33294.87 8.99 rebalance
2017-12-04 000021.SZ buy 3500 9.2539 32388.51 8.75 rebalance
2017-12-04 600201.SH buy 1100 28.0320 30835.18 8.33 rebalance
2017-12-04 600588.SH buy 1600 20.6509 33041.49 8.92 rebalance
2017-12-04 600867.SH buy 1500 22.4136 33620.36 9.08 rebalance
2017-12-04 600175.SH buy 100 5.2378 523.78 5.01 rebalance
2017-12-06 600338.SH sell 1300 44.2336 57503.61 73.03 rebalance -365.5700
2017-12-06 603989.SH sell 800 36.9245 29539.62 37.51 rebalance -1592.8400
2017-12-06 300327.SZ sell 1000 29.0064 29006.43 36.84 rebalance -1774.7400
2017-12-06 002311.SZ sell 1600 19.9400 31904.07 40.52 rebalance -1170.8300
2017-12-06 000581.SZ sell 1300 24.0639 31283.01 39.73 rebalance -1900.2900
2017-12-06 000913.SZ sell 1600 18.9715 30354.40 38.55 rebalance -2381.9300
2017-12-06 002664.SZ sell 1100 28.0079 30808.72 39.13 rebalance -1253.0000
2017-12-06 300395.SZ sell 1900 15.9760 30354.40 38.55 rebalance -2041.3400
2017-12-06 000823.SZ sell 2100 14.8577 31201.13 39.62 rebalance -1277.8200
2017-12-06 000612.SZ sell 3400 9.2960 31606.52 40.14 rebalance -1846.6700
2017-12-06 000977.SZ sell 1700 17.7733 30214.61 38.36 rebalance -2521.5300
2017-12-06 600459.SH sell 1400 21.2681 29775.27 37.82 rebalance -2743.9600
2017-12-06 600305.SH sell 2900 10.9635 31794.24 40.38 rebalance -1597.0900
2017-12-06 000998.SZ sell 1300 24.6630 32061.84 40.72 rebalance -1252.7000
2017-12-06 600580.SH sell 4100 7.6086 31195.14 39.62 rebalance -2195.4300
2017-12-06 002081.SZ sell 2200 14.5082 31918.05 40.54 rebalance -365.4700
2017-12-06 300498.SZ sell 1300 24.9625 32451.25 41.21 rebalance 230.1800
2017-12-06 000988.SZ sell 1900 16.2756 30923.55 39.27 rebalance -1739.3700
2017-12-06 600388.SH sell 2000 15.5267 31053.35 39.43 rebalance -1042.7300
2017-12-06 002463.SZ sell 6100 5.2421 31976.96 40.61 rebalance -1367.5100
2017-12-06 000021.SZ sell 3500 8.8068 30823.69 39.15 rebalance -1612.7200
2017-12-06 600201.SH sell 1100 27.4987 30248.56 38.41 rebalance -633.3600
2017-12-06 600588.SH sell 1600 19.9600 31936.02 40.56 rebalance -1154.9400
2017-12-06 600867.SH sell 1500 21.9171 32875.61 41.76 rebalance -795.5800
2020-08-14 600175.SH sell 100 0.2100 10.50 0.00 delist_forced -518.2945
2022-06-14 600695.SH sell 5800 0.5100 1479.00 0.00 delist_forced -56739.8840

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）。