摘要:本报告基于青柠量化历史行情数据,对「均线多头排列」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 5207 只。平均收益率 +0.76%,胜率 47.0%,最优标的 688146.SH(+40.79%),最差标的 600981.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 |
5207 |
回测失败数 |
0 |
| 平均收益率 |
+0.76% |
胜率 |
47.0% |
| 盈利标的数 |
2446 |
亏损标的数 |
2761 |
| 最优标的 |
688146.SH |
最差标的 |
600981.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 |
均线多头排列 |
| 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:均线多头排列
{
"strategy_name": "均线多头排列",
"strategy_type": "quant",
"version": "1.0",
"meta": {
"category": "combo",
"level": "intermediate"
},
"components": {
"indicators": [
{
"id": "ma5_1",
"type": "ma",
"name": "MA5",
"parameters": {
"period": 5
}
},
{
"id": "ma10_1",
"type": "ma",
"name": "MA10",
"parameters": {
"period": 10
}
},
{
"id": "ma20_1",
"type": "ma",
"name": "MA20",
"parameters": {
"period": 20
}
}
],
"conditions": [
{
"id": "cond_1",
"type": "cond_compare",
"name": "MA5>MA10",
"parameters": {
"left_operand": "ma5_1",
"operator": ">",
"right_operand": "ma10_1"
}
},
{
"id": "cond_2",
"type": "cond_compare",
"name": "MA10>MA20",
"parameters": {
"left_operand": "ma10_1",
"operator": ">",
"right_operand": "ma20_1"
}
},
{
"id": "cond_3",
"type": "cond_rising",
"name": "MA5抬升",
"parameters": {
"indicator": "ma5_1",
"lookback": 5,
"direction": "up",
"min_pct": 0
}
}
],
"logics": [
{
"id": "logic_1",
"type": "logic_and",
"name": "多头排列且抬升",
"parameters": {
"input_conditions": [
"cond_1",
"cond_2",
"cond_3"
]
}
}
],
"signals": {
"entry": {
"id": "entry_1",
"type": "signal_entry",
"name": "入场信号",
"parameters": {
"trigger_condition": "logic_1"
}
}
},
"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": 15
}
}
]
}
}
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 5207 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) |
46.98%(2446/5207) |
p=1.0000 |
未显著优于随机 |
| 平均收益(t 检验) |
+0.76% |
t=9.02, p=0.0000 |
均值显著大于零 |
| 平均夏普(t 检验) |
-0.05 |
t=-3.56, 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) |
| -6.76% |
-3.25% |
-0.41% |
+3.41% |
+12.49% |
-7.21% |
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 |
688146.SH |
+40.79% |
3.49 |
4.89% |
68.2% |
22 |
| 2 |
301232.SZ |
+38.62% |
3.39 |
4.61% |
64.7% |
17 |
| 3 |
688257.SH |
+38.34% |
4.07 |
2.22% |
76.5% |
17 |
| 4 |
688387.SH |
+36.43% |
2.70 |
3.69% |
63.6% |
22 |
| 5 |
301526.SZ |
+35.39% |
2.22 |
6.48% |
52.9% |
34 |
| 6 |
002969.SZ |
+34.73% |
3.26 |
7.92% |
58.8% |
17 |
| 7 |
688308.SH |
+34.14% |
2.91 |
3.97% |
54.8% |
31 |
| 8 |
603256.SH |
+33.91% |
2.73 |
7.25% |
58.8% |
34 |
| 9 |
688679.SH |
+33.04% |
2.77 |
3.49% |
50.0% |
22 |
| 10 |
688125.SH |
+31.56% |
3.22 |
6.76% |
76.2% |
21 |
| 11 |
603045.SH |
+31.06% |
2.96 |
3.57% |
59.1% |
22 |
| 12 |
300868.SZ |
+30.57% |
2.64 |
3.55% |
56.5% |
23 |
| 13 |
600397.SH |
+30.23% |
3.22 |
4.23% |
65.0% |
20 |
| 14 |
002842.SZ |
+29.43% |
2.69 |
6.86% |
53.8% |
26 |
| 15 |
000510.SZ |
+29.28% |
2.95 |
5.96% |
61.5% |
26 |
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 |
600981.SH |
-13.72% |
-2.94 |
14.35% |
10.0% |
10 |
| 2 |
600800.SH |
-13.55% |
-2.79 |
15.25% |
0.0% |
12 |
| 3 |
600939.SH |
-12.62% |
-4.06 |
12.67% |
9.1% |
11 |
| 4 |
300147.SZ |
-12.60% |
-2.53 |
12.75% |
0.0% |
10 |
| 5 |
301089.SZ |
-12.14% |
-2.82 |
13.02% |
8.3% |
12 |
| 6 |
300961.SZ |
-11.98% |
-1.85 |
14.17% |
16.7% |
12 |
| 7 |
920832.BJ |
-11.97% |
-3.60 |
11.97% |
0.0% |
10 |
| 8 |
600322.SH |
-11.58% |
-1.86 |
12.69% |
8.3% |
12 |
| 9 |
920230.BJ |
-11.47% |
-2.44 |
12.64% |
0.0% |
9 |
| 10 |
002613.SZ |
-11.39% |
-2.01 |
11.75% |
8.3% |
12 |
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。