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 |
值 |
| 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。