STRATEGY VS BENCHMARK
策略净值与基准净值
策略净值创业板指 · 399006.SZ728 ALIGNED DAYS
CONTROLLED RESEARCHNO TRADING仅工作区研究资产、策略参数、Sandbox 回测任务与报告可受控写入 · 不构成投资建议
← 返回回测沙盒success is_official=false 0 EVENTS PASS PASS SANDBOX ONLY ADJUSTED PRICE ONLY
SANDBOX RUN · NOT OFFICIAL
ma_cross_demo
总收益率50.78%
年化收益率15.30%
最大回撤-26.71%
Sharpe Ratio0.538
基准收益54.16%
超额收益-3.38%
Alpha0.1182
Beta0.5799
信息比率0.0791
跟踪误差41.82%
399006.SZ
CONTROLLED INPUT
回测参数、费用与数据版本
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
STATIC VALIDATION
策略静态验证摘要
规则结果0 RULES0 PASS
失败规则NONE0
WarningsNONE0
TRADE FEASIBILITY
成交可实现性摘要
成交数CHECKED TRADES0
逐规则检查0 CHECKS0 PASS
失败 / WarningNONE0 / 0
GATES REMAIN CLOSED
验证通过不代表交易授权
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
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 | 64,400 | 999127.57 | 299.74 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2023-09-21 | 300458.SZ | SELL | 14.7180 | 64,400 | 947837.23 | 1232.19 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2023-10-13 | 300458.SZ | BUY | 15.6783 | 60,300 | 945402.11 | 283.62 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2023-10-23 | 300458.SZ | SELL | 14.2519 | 60,300 | 859391.47 | 1117.21 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2023-11-02 | 300458.SZ | BUY | 15.8548 | 54,200 | 859331.54 | 257.80 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2023-11-24 | 300458.SZ | SELL | 15.4296 | 54,200 | 836285.42 | 1087.17 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2024-02-23 | 300458.SZ | BUY | 11.4609 | 72,800 | 834350.87 | 250.31 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2024-03-28 | 300458.SZ | SELL | 11.3990 | 72,800 | 829849.07 | 1078.80 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2024-04-26 | 300458.SZ | BUY | 12.1354 | 68,300 | 828848.00 | 248.65 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2024-05-22 | 300458.SZ | SELL | 12.2388 | 68,300 | 835907.69 | 1086.68 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2024-06-03 | 300458.SZ | BUY | 13.1211 | 63,600 | 834501.47 | 250.35 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2024-07-30 | 300458.SZ | SELL | 14.7830 | 63,600 | 940196.05 | 1222.25 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2024-09-30 | 300458.SZ | BUY | 15.8774 | 59,100 | 938354.97 | 281.51 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2024-11-08 | 300458.SZ | SELL | 25.2960 | 59,100 | 1494992.81 | 1943.49 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2024-11-12 | 300458.SZ | BUY | 26.8646 | 55,500 | 1490984.17 | 447.30 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2024-11-19 | 300458.SZ | SELL | 21.8889 | 55,500 | 1214835.45 | 1579.29 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2024-12-11 | 300458.SZ | BUY | 23.6002 | 51,400 | 1213049.47 | 363.91 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-01-06 | 300458.SZ | SELL | 22.2759 | 51,400 | 1144983.80 | 1488.48 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-01-21 | 300458.SZ | BUY | 26.8392 | 42,600 | 1143348.89 | 343.00 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-03-24 | 300458.SZ | SELL | 34.5147 | 42,600 | 1470326.82 | 1911.42 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-04-24 | 300458.SZ | BUY | 31.8818 | 46,100 | 1469752.87 | 440.93 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-05-26 | 300458.SZ | SELL | 31.5980 | 46,100 | 1456668.96 | 1893.67 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-06-12 | 300458.SZ | BUY | 31.9864 | 45,400 | 1452183.75 | 435.66 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-06-17 | 300458.SZ | SELL | 31.7638 | 45,400 | 1442076.84 | 1874.70 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-06-19 | 300458.SZ | BUY | 32.3847 | 44,500 | 1441119.21 | 432.34 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-06-23 | 300458.SZ | SELL | 30.8106 | 44,500 | 1371069.97 | 1782.39 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-06-25 | 300458.SZ | BUY | 32.8245 | 41,700 | 1368780.11 | 410.63 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-07-08 | 300458.SZ | SELL | 31.4986 | 41,700 | 1313489.78 | 1707.54 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-07-22 | 300458.SZ | BUY | 34.1935 | 38,300 | 1309612.25 | 392.88 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-10-20 | 300458.SZ | SELL | 39.1825 | 38,300 | 1500691.51 | 1950.90 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-12-03 | 300458.SZ | BUY | 36.0521 | 41,600 | 1499769.28 | 449.93 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2025-12-17 | 300458.SZ | SELL | 33.8444 | 41,600 | 1407925.76 | 1830.30 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2025-12-31 | 300458.SZ | BUY | 35.7203 | 39,300 | 1403805.87 | 421.14 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2026-02-03 | 300458.SZ | SELL | 35.9664 | 39,300 | 1413478.65 | 1837.52 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2026-04-14 | 300458.SZ | BUY | 31.5633 | 44,800 | 1414034.04 | 424.21 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2026-06-02 | 300458.SZ | SELL | 33.8131 | 44,800 | 1514826.21 | 1969.27 | MA5_CROSS_BELOW_MA20_T_PLUS_1 |
| 2026-06-23 | 300458.SZ | BUY | 35.2276 | 42,900 | 1511264.25 | 453.38 | MA5_CROSS_ABOVE_MA20_T_PLUS_1 |
| 2026-07-17 | 300458.SZ | SELL | 35.1524 | 42,900 | 1508038.60 | 1960.45 | END_OF_SANDBOX_LIQUIDATION |