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
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。