摘要:本报告基于青柠量化历史行情数据,对「量价齐升」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 5183 只。平均收益率 +0.38%,胜率 46.7%,最优标的 603938.SH(+28.11%),最差标的 002072.SZ。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 5183 回测失败数 0
平均收益率 +0.38% 胜率 46.7%
盈利标的数 2421 亏损标的数 2762
最优标的 603938.SH 最差标的 002072.SZ
初始资金(单标的) ¥100,000.00 耗时 35.9s

二、回测参数

参数
策略名称 量价齐升
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:量价齐升

{
  "strategy_name": "量价齐升",
  "strategy_type": "quant",
  "version": "1.0",
  "meta": {
    "category": "volume",
    "level": "intermediate"
  },
  "components": {
    "indicators": [
      {
        "id": "ma20_1",
        "type": "ma",
        "name": "MA20",
        "parameters": {
          "period": 20
        }
      },
      {
        "id": "vol_avg_1",
        "type": "vol",
        "name": "均量20",
        "parameters": {
          "period": 20
        }
      },
      {
        "id": "rsi_1",
        "type": "rsi",
        "name": "RSI14",
        "parameters": {
          "period": 14
        }
      }
    ],
    "conditions": [
      {
        "id": "cond_1",
        "type": "cond_compare",
        "name": "收盘站上MA20",
        "parameters": {
          "left_operand": "Close",
          "operator": ">",
          "right_operand": "ma20_1"
        }
      },
      {
        "id": "cond_2",
        "type": "cond_compare",
        "name": "量能放大1.5倍",
        "parameters": {
          "left_operand": "Volume",
          "operator": ">",
          "right_operand": "vol_avg_1",
          "right_multiplier": 1.5
        }
      },
      {
        "id": "cond_3",
        "type": "cond_threshold",
        "name": "RSI未超买(<75)",
        "parameters": {
          "indicator": "rsi_1",
          "threshold_type": "below",
          "value1": 75
        }
      }
    ],
    "logics": [
      {
        "id": "logic_1",
        "type": "logic_and",
        "name": "量价齐升且未超买",
        "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": 12
        }
      }
    ]
  }
}

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 5183 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) 46.71%(2421/5183) p=1.0000 未显著优于随机
平均收益(t 检验) +0.38% t=5.61, p=0.0000 均值显著大于零
平均夏普(t 检验) -0.05 t=-3.19, 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)
-6.31% -2.91% -0.39% +3.17% +9.36% -6.69%

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 603938.SH +28.11% 3.01 1.96% 71.4% 14
2 688227.SH +26.31% 2.43 2.30% 53.8% 13
3 603580.SH +22.28% 2.72 5.60% 64.3% 14
4 002824.SZ +20.45% 2.84 3.53% 72.7% 11
5 600397.SH +20.39% 3.63 1.16% 80.0% 10
6 600330.SH +20.04% 2.82 2.50% 71.4% 14
7 001258.SZ +19.94% 2.52 1.89% 81.8% 11
8 603203.SH +19.51% 3.28 1.67% 75.0% 12
9 688352.SH +19.43% 2.80 2.24% 77.8% 9
10 605358.SH +18.54% 2.88 2.69% 75.0% 12
11 600989.SH +18.53% 3.19 2.13% 77.8% 9
12 300191.SZ +18.21% 2.41 2.83% 61.5% 13
13 301526.SZ +18.02% 2.02 2.85% 66.7% 12
14 603261.SH +17.90% 2.60 2.26% 72.7% 11
15 002217.SZ +17.37% 2.19 3.26% 53.8% 13

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 002072.SZ -13.76% -2.46 13.76% 6.7% 15
2 603159.SH -12.92% -2.88 12.97% 8.3% 12
3 920075.BJ -12.08% -3.22 12.13% 8.3% 12
4 600322.SH -11.24% -2.01 13.11% 9.1% 11
5 301168.SZ -11.21% -2.35 11.92% 8.3% 12
6 300651.SZ -11.11% -1.73 11.11% 26.7% 15
7 920351.BJ -10.91% -1.73 11.43% 15.4% 13
8 920230.BJ -10.88% -2.26 12.06% 16.7% 12
9 600810.SH -10.77% -2.03 13.12% 11.1% 9
10 920770.BJ -10.60% -2.41 12.12% 14.3% 14

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。