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
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。