SANDBOX RUN · NOT OFFICIAL

ma_cross_demo

SANDBOXLONG ONLYNO T+0CNY

success

总收益率50.54%

年化收益率15.23%

最大回撤-26.53%

Sharpe Ratio0.538

基准收益54.16%

超额收益-3.62%

Alpha0.1169

Beta0.5761

信息比率0.0745

跟踪误差41.53%

STRATEGY VS BENCHMARK

策略净值与基准净值

399006.SZ

策略净值创业板指 · 399006.SZ728 ALIGNED DAYS

CONTROLLED INPUT

回测参数、费用与数据版本

is_official=false

Run IDb323f500-ff9b-4f16-b25d-ef01668718cc参数集BT_PARAM_MA_CROSS_300458_V1策略模板MA_CROSS_DEMO模板版本MA_CROSS_DEMO_V0_1数据集A_DAILY_BARS_100数据版本ADJ_A_100_QFQ_20260717_V1Enginebacktest_engine_v0.1Strategyma_cross_demo_v0.1Metricsmetrics_v0.1区间2023-07-17 → 2026-07-17初始资金¥100,000最终价值¥150,535.99换手率37.4709波动率43.45%费用合计3706.93滑点成本2299.89印花税2327.00胜率36.84%

查看运行时参数快照

{
  "id": 3,
  "notes": "MA5/MA20 演示参数，不构成投资建议。",
  "allow_t0": false,
  "end_date": "2026-07-17",
  "is_active": true,
  "is_sandbox": true,
  "start_date": "2023-07-17",
  "allow_short": false,
  "price_field": "adjusted_close/adjusted_open",
  "initial_cash": 100000,
  "cash_currency": "CNY",
  "slippage_rate": 0.0005,
  "strategy_name": "ma_cross_demo",
  "strategy_type": "DEMO",
  "universe_name": "A_DAILY_BARS_100",
  "allow_leverage": false,
  "benchmark_code": "399006.SZ",
  "stamp_tax_sell": 0.001,
  "commission_rate": 0.0003,
  "max_position_count": 1,
  "parameter_set_code": "BT_PARAM_MA_CROSS_300458_V1",
  "rebalance_frequency": "SIGNAL_DRIVEN",
  "strategy_parameters": {
    "mode": "ma_cross",
    "ma_long": 20,
    "symbols": [
      "300458.SZ"
    ],
    "ma_short": 5
  },
  "execution_price_rule": "next_trade_day_adjusted_open",
  "adjusted_data_version": "ADJ_A_100_QFQ_20260717_V1"
}

策略模板仅用于系统验证，不构成投资建议，不代表未来收益，不允许用于模拟交易或实盘交易。

IMMUTABLE AUDIT TRAIL

运行审计时间线

8 EVENTS

2026/7/17 20:22:00
RUN_CREATED
Sandbox run record created
2026/7/17 20:22:00
PARAMETERS_LOADED
Active parameter set and immutable snapshot loaded
2026/7/17 20:22:00
DATA_VERSION_CHECKED
Adjusted data version validation passed
2026/7/17 20:22:00
DATA_LOADED
Adjusted sandbox price data loaded
2026/7/17 20:22:00
TRADES_GENERATED
Sandbox trades and equity curve persisted
2026/7/17 20:22:00
METRICS_CALCULATED
Sandbox metrics calculated
2026/7/17 20:22:00
RUN_COMPLETED
Sandbox run completed successfully
2026/7/17 20:22:00
BENCHMARK_ATTACHED
Default benchmark metrics attached

STATIC VALIDATION

策略静态验证摘要

PASS

规则结果9 RULES9 PASS

失败规则NONE0

WarningsNONE0

TRADE FEASIBILITY

成交可实现性摘要

PASS

成交数CHECKED TRADES38

逐规则检查266 CHECKS266 PASS

失败 / WarningNONE0 / 0

GATES REMAIN CLOSED

验证通过不代表交易授权

SANDBOX ONLY

策略模板仅用于系统验证。回测结果不构成投资建议，不代表未来收益，不允许用于模拟交易或实盘交易。strategy_gate_open=false · paper_trading_gate_open=false · live_trading_allowed=false

EQUITY / DRAWDOWN

净值与回撤曲线

ADJUSTED PRICE ONLY

组合净值回撤（独立刻度）2023-07-17 → 2026-07-17

AUDIT TRADES

交易记录 38 条

交易日	证券	方向	复权成交价	数量	金额	费用	原因
2023-09-06	300458.SZ	BUY	15.5144	6,400	99292.18	29.79	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2023-09-21	300458.SZ	SELL	14.7180	6,400	94195.00	122.45	MA5_CROSS_BELOW_MA20_T_PLUS_1
2023-10-13	300458.SZ	BUY	15.6783	6,000	94069.86	28.22	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2023-10-23	300458.SZ	SELL	14.2519	6,000	85511.59	111.17	MA5_CROSS_BELOW_MA20_T_PLUS_1
2023-11-02	300458.SZ	BUY	15.8548	5,400	85616.06	25.68	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2023-11-24	300458.SZ	SELL	15.4296	5,400	83319.95	108.32	MA5_CROSS_BELOW_MA20_T_PLUS_1
2024-02-23	300458.SZ	BUY	11.4609	7,200	82518.22	24.76	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2024-03-28	300458.SZ	SELL	11.3990	7,200	82072.98	106.69	MA5_CROSS_BELOW_MA20_T_PLUS_1
2024-04-26	300458.SZ	BUY	12.1354	6,800	82520.74	24.76	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2024-05-22	300458.SZ	SELL	12.2388	6,800	83223.61	108.19	MA5_CROSS_BELOW_MA20_T_PLUS_1
2024-06-03	300458.SZ	BUY	13.1211	6,300	82662.88	24.80	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2024-07-30	300458.SZ	SELL	14.7830	6,300	93132.63	121.07	MA5_CROSS_BELOW_MA20_T_PLUS_1
2024-09-30	300458.SZ	BUY	15.8774	5,900	93676.72	28.10	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2024-11-08	300458.SZ	SELL	25.2960	5,900	149246.32	194.02	MA5_CROSS_BELOW_MA20_T_PLUS_1
2024-11-12	300458.SZ	BUY	26.8646	5,500	147755.19	44.33	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2024-11-19	300458.SZ	SELL	21.8889	5,500	120389.10	156.51	MA5_CROSS_BELOW_MA20_T_PLUS_1
2024-12-11	300458.SZ	BUY	23.6002	5,100	120360.94	36.11	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-01-06	300458.SZ	SELL	22.2759	5,100	113607.34	147.69	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-01-21	300458.SZ	BUY	26.8392	4,200	112724.54	33.82	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-03-24	300458.SZ	SELL	34.5147	4,200	144961.80	188.45	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-04-24	300458.SZ	BUY	31.8818	4,600	146656.47	44.00	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-05-26	300458.SZ	SELL	31.5980	4,600	145350.92	188.96	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-06-12	300458.SZ	BUY	31.9864	4,500	143938.92	43.18	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-06-17	300458.SZ	SELL	31.7638	4,500	142937.13	185.82	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-06-19	300458.SZ	BUY	32.3847	4,400	142492.69	42.75	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-06-23	300458.SZ	SELL	30.8106	4,400	135566.47	176.24	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-06-25	300458.SZ	BUY	32.8245	4,100	134580.30	40.37	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-07-08	300458.SZ	SELL	31.4986	4,100	129144.08	167.89	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-07-22	300458.SZ	BUY	34.1935	3,800	129935.42	38.98	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-10-20	300458.SZ	SELL	39.1825	3,800	148893.67	193.56	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-12-03	300458.SZ	BUY	36.0521	4,100	147813.80	44.34	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2025-12-17	300458.SZ	SELL	33.8444	4,100	138761.91	180.39	MA5_CROSS_BELOW_MA20_T_PLUS_1
2025-12-31	300458.SZ	BUY	35.7203	3,900	139308.98	41.79	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2026-02-03	300458.SZ	SELL	35.9664	3,900	140268.87	182.35	MA5_CROSS_BELOW_MA20_T_PLUS_1
2026-04-14	300458.SZ	BUY	31.5633	4,400	138878.34	41.66	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2026-06-02	300458.SZ	SELL	33.8131	4,400	148777.57	193.41	MA5_CROSS_BELOW_MA20_T_PLUS_1
2026-06-23	300458.SZ	BUY	35.2276	4,200	147955.94	44.39	MA5_CROSS_ABOVE_MA20_T_PLUS_1
2026-07-17	300458.SZ	SELL	35.1524	4,200	147640.14	191.93	END_OF_SANDBOX_LIQUIDATION