摘要:本报告基于青柠量化历史行情数据,对「MA双均线交叉」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 5182 只。平均收益率 +0.30%,胜率 49.3%,最优标的 300816.SZ(+19.45%),最差标的 688148.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 |
5182 |
回测失败数 |
0 |
| 平均收益率 |
+0.30% |
胜率 |
49.3% |
| 盈利标的数 |
2553 |
亏损标的数 |
2629 |
| 最优标的 |
300816.SZ |
最差标的 |
688148.SH |
| 初始资金(单标的) |
¥100,000.00 |
耗时 |
35.6s |
二、回测参数
| 参数 |
值 |
| 策略名称 |
MA双均线交叉 |
| 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:MA双均线交叉
{
"strategy_name": "MA双均线交叉",
"strategy_type": "quant",
"version": "1.0",
"meta": {
"category": "trend",
"level": "beginner"
},
"components": {
"indicators": [
{
"id": "ma5_1",
"type": "ma",
"name": "MA5",
"parameters": {
"period": 5
}
},
{
"id": "ma20_1",
"type": "ma",
"name": "MA20",
"parameters": {
"period": 20
}
}
],
"conditions": [
{
"id": "cond_1",
"type": "cross_over",
"name": "金叉买入",
"parameters": {
"fast_line": "ma5_1",
"slow_line": "ma20_1"
}
},
{
"id": "cond_2",
"type": "cross_under",
"name": "死叉卖出",
"parameters": {
"fast_line": "ma5_1",
"slow_line": "ma20_1"
}
}
],
"logics": [],
"signals": {
"entry": {
"id": "entry_1",
"type": "signal_entry",
"name": "入场信号",
"parameters": {
"trigger_condition": "cond_1"
}
},
"exit": {
"id": "exit_1",
"type": "signal_exit",
"name": "出场信号",
"parameters": {
"trigger_condition": "cond_2"
}
}
},
"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 5182 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) |
49.27%(2553/5182) |
p=0.8545 |
未显著优于随机 |
| 平均收益(t 检验) |
+0.30% |
t=5.42, 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) |
| -5.57% |
-2.47% |
-0.08% |
+2.82% |
+7.34% |
-5.93% |
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 |
+19.45% |
2.36 |
2.46% |
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 |
688380.SH |
+16.47% |
2.16 |
2.11% |
66.7% |
6 |
| 5 |
603318.SH |
+16.41% |
2.46 |
2.75% |
45.5% |
11 |
| 6 |
300540.SZ |
+16.33% |
2.31 |
1.58% |
71.4% |
7 |
| 7 |
301158.SZ |
+15.85% |
1.94 |
2.10% |
57.1% |
7 |
| 8 |
301042.SZ |
+15.75% |
2.70 |
1.49% |
66.7% |
9 |
| 9 |
688548.SH |
+15.64% |
2.55 |
1.12% |
100.0% |
5 |
| 10 |
300214.SZ |
+15.25% |
2.56 |
1.12% |
60.0% |
10 |
| 11 |
688227.SH |
+14.97% |
2.17 |
1.13% |
85.7% |
7 |
| 12 |
603936.SH |
+14.88% |
3.00 |
0.83% |
71.4% |
7 |
| 13 |
301362.SZ |
+14.83% |
2.29 |
0.84% |
75.0% |
4 |
| 14 |
600961.SH |
+14.73% |
2.34 |
2.68% |
66.7% |
6 |
| 15 |
001258.SZ |
+14.71% |
2.58 |
1.17% |
57.1% |
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 |
688148.SH |
-12.54% |
-3.22 |
13.55% |
10.0% |
10 |
| 2 |
920198.BJ |
-11.79% |
-2.49 |
12.53% |
0.0% |
10 |
| 3 |
601588.SH |
-10.70% |
-2.10 |
12.67% |
16.7% |
12 |
| 4 |
301139.SZ |
-10.54% |
-1.91 |
11.67% |
14.3% |
7 |
| 5 |
002225.SZ |
-10.27% |
-2.31 |
10.35% |
16.7% |
6 |
| 6 |
002314.SZ |
-10.23% |
-2.58 |
11.06% |
10.0% |
10 |
| 7 |
300651.SZ |
-9.97% |
-1.73 |
10.05% |
8.3% |
12 |
| 8 |
600939.SH |
-9.95% |
-2.79 |
10.67% |
9.1% |
11 |
| 9 |
600376.SH |
-9.80% |
-2.21 |
11.52% |
16.7% |
12 |
| 10 |
002427.SZ |
-9.78% |
-2.03 |
10.99% |
0.0% |
8 |
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。