摘要:本报告基于青柠量化历史行情数据,对「双均线+RSI过滤」策略进行了批量单标的独立回测(Batch Backtest),回测区间 2025-07-31 至 2026-07-31,覆盖 5534 只标的,成功回测 5534 只,其中产生交易的标的 5180 只。平均收益率 +0.34%,胜率 49.1%,最优标的 300816.SZ(+19.68%),最差标的 601588.SH。以下为完整核心指标、统计检验、策略逻辑与标的排行,仅供策略研究与教学参考,不构成任何投资建议。
一、核心指标一览
| 指标 |
数值 |
指标 |
数值 |
| 回测标的总数 |
5534 |
成功回测数 |
5534 |
| 产生交易标的数 |
5180 |
回测失败数 |
0 |
| 平均收益率 |
+0.34% |
胜率 |
49.1% |
| 盈利标的数 |
2542 |
亏损标的数 |
2638 |
| 最优标的 |
300816.SZ |
最差标的 |
601588.SH |
| 初始资金(单标的) |
¥100,000.00 |
耗时 |
36.0s |
二、回测参数
| 参数 |
值 |
| 策略名称 |
双均线+RSI过滤 |
| 回测模式 |
批量单标的独立回测(Batch Backtest) |
| 回测区间 |
2025-07-31 至 2026-07-31 |
| 标的总数 |
5534 |
| 初始资金(单标的) |
¥100,000.00 |
三、策略逻辑
策略名称:双均线+RSI过滤
{
"strategy_name": "双均线+RSI过滤",
"strategy_type": "quant",
"version": "1.0",
"meta": {
"category": "combo",
"level": "intermediate"
},
"components": {
"indicators": [
{
"id": "ma5_1",
"type": "ma",
"name": "MA5",
"parameters": {
"period": 5
}
},
{
"id": "ma20_1",
"type": "ma",
"name": "MA20",
"parameters": {
"period": 20
}
},
{
"id": "rsi_1",
"type": "rsi",
"name": "RSI14",
"parameters": {
"period": 14
}
}
],
"conditions": [
{
"id": "cond_1",
"type": "cross_over",
"name": "金叉",
"parameters": {
"fast_line": "ma5_1",
"slow_line": "ma20_1"
}
},
{
"id": "cond_2",
"type": "cond_threshold",
"name": "RSI未超买(<70)",
"parameters": {
"indicator": "rsi_1",
"threshold_type": "below",
"value1": 70
}
},
{
"id": "cond_3",
"type": "cross_under",
"name": "死叉卖出",
"parameters": {
"fast_line": "ma5_1",
"slow_line": "ma20_1"
}
}
],
"logics": [
{
"id": "logic_1",
"type": "logic_and",
"name": "金叉且未超买",
"parameters": {
"input_conditions": [
"cond_1",
"cond_2"
]
}
}
],
"signals": {
"entry": {
"id": "entry_1",
"type": "signal_entry",
"name": "入场信号",
"parameters": {
"trigger_condition": "logic_1"
}
},
"exit": {
"id": "exit_1",
"type": "signal_exit",
"name": "出场信号",
"parameters": {
"trigger_condition": "cond_3"
}
}
},
"position_strategies": [
{
"id": "pos_1",
"type": "position_fixed",
"name": "固定仓位",
"parameters": {
"position_pct": 0.2,
"stop_loss_pct": 6,
"take_profit_pct": 16
}
}
]
}
}
四、统计显著性检验(Reality Check)
策略整体评级:C(一般可信度(部分指标显著,建议扩大样本)),基于 5180 只标的的横截面统计。
| 检验项 |
结果 |
统计量 |
结论 |
| 截面胜率(二项检验) |
49.07%(2542/5180) |
p=0.9089 |
未显著优于随机 |
| 平均收益(t 检验) |
+0.34% |
t=6.14, p=0.0000 |
均值显著大于零 |
| 平均夏普(t 检验) |
-0.04 |
t=-2.46, p=1.0000 |
风险调整收益不显著 |
收益分布(横截面分位数):
| P5 |
P25 |
中位数 |
P75 |
P95 |
尾部风险(最差10%均值) |
| -5.52% |
-2.46% |
-0.09% |
+2.85% |
+7.46% |
-5.88% |
五、标的收益排行
5.1 收益 Top 15
| 排名 |
标的 |
收益率 |
夏普比率 |
最大回撤 |
胜率 |
交易次数 |
| 1 |
300816.SZ |
+19.68% |
2.36 |
2.56% |
71.4% |
7 |
| 2 |
688479.SH |
+18.81% |
2.56 |
1.47% |
80.0% |
5 |
| 3 |
603938.SH |
+17.92% |
2.64 |
1.76% |
80.0% |
5 |
| 4 |
300540.SZ |
+17.08% |
2.29 |
1.95% |
71.4% |
7 |
| 5 |
600961.SH |
+16.73% |
2.53 |
2.63% |
66.7% |
6 |
| 6 |
003018.SZ |
+16.59% |
2.63 |
3.07% |
50.0% |
8 |
| 7 |
688380.SH |
+16.47% |
2.16 |
2.11% |
66.7% |
6 |
| 8 |
002297.SZ |
+16.35% |
2.51 |
2.97% |
71.4% |
7 |
| 9 |
301158.SZ |
+16.31% |
1.95 |
2.09% |
57.1% |
7 |
| 10 |
920225.BJ |
+15.76% |
2.39 |
0.99% |
100.0% |
4 |
| 11 |
688548.SH |
+15.64% |
2.55 |
1.12% |
100.0% |
5 |
| 12 |
688227.SH |
+15.61% |
2.27 |
1.13% |
85.7% |
7 |
| 13 |
688206.SH |
+15.15% |
2.44 |
1.10% |
66.7% |
6 |
| 14 |
002256.SZ |
+14.93% |
2.64 |
2.57% |
62.5% |
8 |
| 15 |
603936.SH |
+14.88% |
3.00 |
0.83% |
71.4% |
7 |
5.2 收益 Bottom 10
| 排名 |
标的 |
收益率 |
夏普比率 |
最大回撤 |
胜率 |
交易次数 |
| 1 |
601588.SH |
-10.70% |
-2.10 |
12.67% |
16.7% |
12 |
| 2 |
301139.SZ |
-10.54% |
-1.91 |
11.67% |
14.3% |
7 |
| 3 |
603363.SH |
-10.29% |
-2.42 |
11.54% |
12.5% |
8 |
| 4 |
002225.SZ |
-10.27% |
-2.31 |
10.35% |
16.7% |
6 |
| 5 |
002314.SZ |
-10.23% |
-2.58 |
11.06% |
10.0% |
10 |
| 6 |
300651.SZ |
-9.97% |
-1.73 |
10.05% |
8.3% |
12 |
| 7 |
688148.SH |
-9.96% |
-2.71 |
10.99% |
11.1% |
9 |
| 8 |
600475.SH |
-9.93% |
-1.99 |
11.06% |
0.0% |
11 |
| 9 |
002427.SZ |
-9.78% |
-2.03 |
10.99% |
0.0% |
8 |
| 10 |
920571.BJ |
-9.77% |
-2.91 |
9.77% |
0.0% |
11 |
六、风险提示与免责声明
本报告所有数据均基于历史行情的量化回测结果,不包含未来数据,亦未考虑极端行情、流动性冲击、政策变化等不可预见因素。历史业绩不代表未来表现,回测结果与实盘交易之间可能存在滑点、手续费、成交延迟等差异。本报告仅用于策略研究与教学交流,不构成任何投资建议,据此操作风险自负。