海龟交易法 (Turtle Trading) 回测报告

策略: 20日突破入场 · 10日突破离场 · ATR(20)仓位管理 · 2N止损 · 0.5N加仓(最多4次) · 55日趋势过滤
回测区间: 1991-01-29 ~ 2026-11-12 · 初始资金: 1,000,000 元
数据范围: 沪深300成分股（286只 / 共288只，其中 280 只产生交易，6 只未产生交易已隐藏）
+7695.73%
组合总收益率
77,957,256
终资
+9.58%
平均收益
-9.24%
收益中位数
68.9%
亏损概率
31.1%
盈利股票占比
280
产生交易标的
1. 策略 vs 沪深300指数（策略收益 +7695.73% | 指数变动 -）
蓝色=海龟策略 · 灰色=沪深300指数 · Y轴随缩放自适应
2. 盈利最多: 000776 广发证券（个股收益 ¥+5,636,962 | 策略收益 +563.70% | 股价变动 -）
红色三角=入场 · 绿色三角=离场 · 橙色=20日高点(入场线) · 绿色=10日低点(离场线) · 标记为实际成交价，与信号线有微小偏差属正常
3. 亏损最多: 600660 福耀玻璃（个股收益 ¥-715,076 | 策略收益 -71.51% | 股价变动 -）
红色三角=入场 · 绿色三角=离场 · 橙色=20日高点(入场线) · 绿色=10日低点(离场线) · 标记为实际成交价，与信号线有微小偏差属正常
4. 产生交易的个股收益排名（280 只）
排名 ▾代码名称初始终资个股收益收益率交易最近交易分布
1000776广发证券1,000,0006,636,962+5,636,962+563.70%452026-07
2688183生益电子1,000,0006,317,082+5,317,082+531.71%82026-06
3600809山西汾酒1,000,0005,571,324+4,571,324+457.13%722025-03
4002625光启技术1,000,0005,040,128+4,040,128+404.01%422026-01
5601919中国远洋1,000,0003,976,842+2,976,842+297.68%482026-11
6600276恒瑞医药1,000,0003,971,260+2,971,260+297.13%72026-11
7000596古井贡酒1,000,0003,782,744+2,782,744+278.27%762024-11
8300750宁德时代1,000,0003,554,035+2,554,035+255.40%192025-11
9600150中国船舶1,000,0003,525,311+2,525,311+252.53%872025-08
10600115东方航空1,000,0002,876,058+1,876,058+187.61%612025-09
11000408藏格矿业1,000,0002,833,675+1,833,675+183.37%1132026-01
12600029南方航空1,000,0002,786,926+1,786,926+178.69%452024-11
13601766中国南车1,000,0002,781,476+1,781,476+178.15%252025-01
14300033同花顺1,000,0002,527,436+1,527,436+152.74%432024-11
15300308中际旭创1,000,0002,487,108+1,487,108+148.71%422025-09
16600760中航沈飞1,000,0002,322,347+1,322,347+132.23%1112026-11
17600089特变电工1,000,0002,312,093+1,312,093+131.21%562026-04
18600515海南机场1,000,0002,238,815+1,238,815+123.88%862026-01
19600050中国联通1,000,0002,221,835+1,221,835+122.18%442026-11
20603260合盛硅业1,000,0002,113,343+1,113,343+111.33%142022-08
21601872招商轮船1,000,0002,084,113+1,084,113+108.41%492026-10
22600372中航机载1,000,0001,935,883+935,883+93.59%642026-01
23000657中钨高新1,000,0001,932,481+932,481+93.25%872026-07
24601888中国国旅1,000,0001,883,098+883,098+88.31%362025-12
25002602世纪华通1,000,0001,850,489+850,489+85.05%492025-10
26601618中国中冶1,000,0001,828,638+828,638+82.86%352025-10
27000568泸州老窖1,000,0001,806,435+806,435+80.64%702024-11
28600803新奥股份1,000,0001,782,674+782,674+78.27%602022-01
29600886国投电力1,000,0001,725,400+725,400+72.54%462025-08
30601390中国中铁1,000,0001,677,851+677,851+67.79%252023-06
31300661圣邦股份1,000,0001,673,308+673,308+67.33%262025-04
32603259药明康德1,000,0001,612,481+612,481+61.25%182026-11
33601138工业富联1,000,0001,600,171+600,171+60.02%292026-11
34002460赣锋锂业1,000,0001,593,817+593,817+59.38%612026-04
35600460士兰微1,000,0001,536,741+536,741+53.67%612026-11
36600547山东黄金1,000,0001,529,702+529,702+52.97%572025-10
37600489中金黄金1,000,0001,507,421+507,421+50.74%362026-03
38600036招商银行1,000,0001,506,470+506,470+50.65%342026-11
39600438通威股份1,000,0001,505,904+505,904+50.59%572024-11
40601788光大证券1,000,0001,414,168+414,168+41.42%272025-08
41002074国轩高科1,000,0001,382,362+382,362+38.24%652025-10
42601058赛轮轮胎1,000,0001,318,622+318,622+31.86%302024-03
43002353杰瑞股份1,000,0001,309,925+309,925+30.99%262026-08
44601288农业银行1,000,0001,302,431+302,431+30.24%452026-10
45601800中国交建1,000,0001,293,559+293,559+29.36%222024-05
46601229上海银行1,000,0001,288,032+288,032+28.80%112025-11
47000725京东方A1,000,0001,272,223+272,223+27.22%592026-06
48002714牧原股份1,000,0001,266,912+266,912+26.69%272022-07
49601669中国水电1,000,0001,264,917+264,917+26.49%332026-03
50600031三一重工1,000,0001,227,100+227,100+22.71%422025-09
51600426华鲁恒升1,000,0001,211,845+211,845+21.18%252026-02
52601727上海电气1,000,0001,210,269+210,269+21.03%502026-03
53603986兆易创新1,000,0001,182,282+182,282+18.23%592026-07
54600919江苏银行1,000,0001,178,347+178,347+17.83%62026-11
55601012隆基股份1,000,0001,176,539+176,539+17.65%582025-11
56601398工商银行1,000,0001,173,217+173,217+17.32%392026-11
57002709天赐材料1,000,0001,172,193+172,193+17.22%702026-05
58601328交通银行1,000,0001,166,751+166,751+16.68%392026-11
59601186中国铁建1,000,0001,157,075+157,075+15.71%212025-07
60001965招商公路1,000,0001,153,381+153,381+15.34%82026-11
61601688华泰证券1,000,0001,146,169+146,169+14.62%242025-10
62301165锐捷网络1,000,0001,144,830+144,830+14.48%162025-03
63601066中信建投1,000,0001,144,364+144,364+14.44%222026-07
64000625长安汽车1,000,0001,136,635+136,635+13.66%752025-08
65300450先导智能1,000,0001,109,754+109,754+10.98%222025-11
66600048保利地产1,000,0001,108,091+108,091+10.81%332022-03
67600025华能水电1,000,0001,107,219+107,219+10.72%222025-07
68003816中国广核1,000,0001,104,559+104,559+10.46%122026-11
69601901方正证券1,000,0001,081,903+81,903+8.19%352024-05
70000895双汇发展1,000,0001,074,712+74,712+7.47%462025-05
71601916浙商银行1,000,0001,073,415+73,415+7.34%192025-08
72600015华夏银行1,000,0001,072,856+72,856+7.29%262024-06
73600023浙能电力1,000,0001,063,960+63,960+6.40%262024-02
74600989宝丰能源1,000,0001,055,436+55,436+5.54%82026-03
75601360三六零1,000,0001,055,147+55,147+5.51%372026-01
76603893瑞芯微1,000,0001,045,937+45,937+4.59%362026-10
77000063中兴通讯1,000,0001,044,892+44,892+4.49%512024-11
78601319中国人保1,000,0001,042,187+42,187+4.22%202026-10
79300803指南针1,000,0001,032,118+32,118+3.21%112025-11
80600999招商证券1,000,0001,030,550+30,550+3.06%232024-10
81601009南京银行1,000,0001,027,911+27,911+2.79%312025-08
82300476胜宏科技1,000,0001,022,502+22,502+2.25%212025-09
83300433蓝思科技1,000,0001,020,218+20,218+2.02%112020-07
84601728中国电信1,000,0001,019,866+19,866+1.99%152026-11
85002837英维克1,000,0001,013,573+13,573+1.36%512026-01
86002050三花智控1,000,0001,008,189+8,189+0.82%572026-01
87601881中国银河1,000,0001,007,869+7,869+0.79%252024-10
88300498温氏股份1,000,000983,286-16,714-1.67%72019-03
89601877正泰电器1,000,000982,255-17,745-1.77%162026-11
90600018上港集团1,000,000978,662-21,338-2.13%622024-08
91601600中国铝业1,000,000978,566-21,434-2.14%562026-02
92000333美的集团1,000,000978,019-21,981-2.20%82017-12
93601838成都银行1,000,000977,519-22,481-2.25%182025-05
94600905三峡能源1,000,000976,881-23,119-2.31%22024-03
95601939建设银行1,000,000975,953-24,047-2.40%622026-11
96300866安克创新1,000,000974,743-25,257-2.53%92025-03
97688072拓荆科技1,000,000974,571-25,429-2.54%32023-04
98601211国泰君安1,000,000972,485-27,515-2.75%62025-01
99688271联影医疗1,000,000970,980-29,020-2.90%22023-12
100603296华勤技术1,000,000970,875-29,125-2.91%62025-02
101605499东鹏饮料1,000,000969,169-30,831-3.08%32022-07
102002558巨人网络1,000,000969,146-30,854-3.09%422026-01
103301269华大九天1,000,000968,204-31,796-3.18%32024-11
104603288海天味业1,000,000964,541-35,459-3.55%172024-10
105688012中微公司1,000,000964,200-35,800-3.58%42025-10
106300628亿联网络1,000,000961,588-38,412-3.84%42019-04
107600926杭州银行1,000,000960,328-39,672-3.97%72025-02
108601166兴业银行1,000,000959,549-40,451-4.05%222026-11
109600958东方证券1,000,000951,347-48,653-4.87%122024-10
110600219南山铝业1,000,000947,616-52,384-5.24%552026-02
111688009中国通号1,000,000946,041-53,959-5.40%42026-01
112601668中国建筑1,000,000945,493-54,507-5.45%312025-07
113600016民生银行1,000,000944,527-55,473-5.55%372025-08
114002466天齐锂业1,000,000943,422-56,578-5.66%402025-09
115300896爱美客1,000,000941,218-58,782-5.88%62024-04
116603799华友钴业1,000,000939,577-60,423-6.04%492025-11
117688036传音控股1,000,000939,263-60,737-6.07%82024-02
118300999金龙鱼1,000,000937,646-62,354-6.24%52024-11
119300760迈瑞医疗1,000,000933,694-66,306-6.63%142023-02
120688303大全能源1,000,000932,957-67,043-6.70%42024-10
121688008澜起科技1,000,000930,727-69,273-6.93%82026-05
122300124汇川技术1,000,000930,646-69,354-6.94%242021-09
123605117德业股份1,000,000930,044-69,956-7.00%182026-03
124688223晶科能源1,000,000929,113-70,887-7.09%82026-02
125000999华润三九1,000,000928,409-71,591-7.16%652023-06
126600938中国海油1,000,000927,596-72,404-7.24%62026-03
127688047龙芯中科1,000,000927,508-72,492-7.25%42026-01
128688981中芯国际1,000,000926,993-73,007-7.30%52025-09
129600941中国移动1,000,000924,345-75,655-7.57%52023-06
130002938鹏鼎控股1,000,000923,089-76,911-7.69%312026-06
131601059信达证券1,000,000921,752-78,248-7.82%72025-08
132603019中科曙光1,000,000919,908-80,092-8.01%412026-07
133600233圆通速递1,000,000919,078-80,922-8.09%842024-06
134601658邮储银行1,000,000918,372-81,628-8.16%152026-10
135601995中金公司1,000,000918,273-81,727-8.17%62024-10
136688506百利天恒1,000,000912,622-87,378-8.74%122025-06
137601377兴业证券1,000,000911,927-88,073-8.81%222024-10
138600482中国动力1,000,000910,838-89,162-8.92%792026-05
139600918中泰证券1,000,000908,334-91,666-9.17%62025-08
140601021春秋航空1,000,000907,874-92,126-9.21%132026-01
141601077渝农商行1,000,000907,284-92,716-9.27%152025-05
142601878浙商证券1,000,000905,902-94,098-9.41%172025-09
143600522中天科技1,000,000902,974-97,026-9.70%482026-06
144601985中国核电1,000,000902,387-97,613-9.76%172025-03
145300394天孚通信1,000,000900,209-99,791-9.98%362025-09
146688041海光信息1,000,000900,135-99,865-9.99%112025-10
147002920德赛西威1,000,000899,243-100,757-10.08%322024-10
148002027分众传媒1,000,000898,856-101,144-10.11%472025-06
149002422科伦药业1,000,000898,344-101,656-10.17%172025-04
150002916深南电路1,000,000898,298-101,702-10.17%272026-07
151301308江波龙1,000,000895,554-104,446-10.44%172026-05
152300014亿纬锂能1,000,000891,468-108,532-10.85%422020-03
153001979招商蛇口1,000,000888,861-111,139-11.11%82018-02
154603392万泰生物1,000,000887,075-112,925-11.29%92025-06
155601633长城汽车1,000,000886,484-113,516-11.35%202021-02
156688082盛美上海1,000,000884,615-115,385-11.54%202026-07
157300251光线传媒1,000,000881,858-118,142-11.81%322026-02
158600183生益科技1,000,000872,586-127,414-12.74%712026-07
159601136首创证券1,000,000870,816-129,184-12.92%162024-11
160300418昆仑万维1,000,000868,507-131,493-13.15%202025-08
161600019宝钢股份1,000,000867,067-132,933-13.29%402025-04
162002001新和成1,000,000866,623-133,377-13.34%562025-09
163601689拓普集团1,000,000864,763-135,237-13.52%312025-09
164603993洛阳钼业1,000,000863,850-136,150-13.62%462025-10
165603501韦尔股份1,000,000862,768-137,232-13.72%212025-02
166002179中航光电1,000,000862,494-137,506-13.75%222026-05
167600111包钢稀土1,000,000857,964-142,036-14.20%892026-03
168002648卫星化学1,000,000857,282-142,718-14.27%332026-03
169601898中煤能源1,000,000856,304-143,696-14.37%422025-12
170601318中国平安1,000,000856,129-143,871-14.39%222024-10
171601825沪农商行1,000,000855,771-144,229-14.42%112025-07
172601456国联民生1,000,000850,628-149,372-14.94%132025-01
173601225陕西煤业1,000,000849,137-150,863-15.09%282026-09
174601238广汽集团1,000,000848,856-151,144-15.11%352025-12
175600009上海机场1,000,000848,050-151,950-15.20%112024-05
176002493荣盛石化1,000,000846,230-153,770-15.38%462025-08
177600570恒生电子1,000,000845,788-154,212-15.42%592025-08
178688126沪硅产业1,000,000844,281-155,719-15.57%102026-07
179300442润泽科技1,000,000842,728-157,272-15.73%162026-01
180601868中国能建1,000,000842,679-157,321-15.73%172026-05
181000858五粮液1,000,000833,035-166,965-16.70%372021-01
182000301东方盛虹1,000,000832,610-167,390-16.74%762026-07
183601006大秦铁路1,000,000831,690-168,310-16.83%302025-05
184601601中国太保1,000,000825,926-174,074-17.41%282025-07
185002736国信证券1,000,000816,359-183,641-18.36%152024-10
186600346恒力股份1,000,000815,391-184,609-18.46%522025-05
187002594比亚迪1,000,000814,977-185,023-18.50%562025-05
188688521芯原股份1,000,000811,069-188,931-18.89%202026-05
189300413芒果超媒1,000,000810,399-189,601-18.96%322026-11
190601336新华保险1,000,000810,226-189,774-18.98%322024-11
191000166申万宏源1,000,000802,747-197,253-19.73%192025-11
192002142宁波银行1,000,000802,035-197,965-19.80%432025-04
193002415海康威视1,000,000801,819-198,181-19.82%252021-01
194601818光大银行1,000,000799,263-200,737-20.07%272025-07
195603369今世缘1,000,000798,960-201,040-20.10%222021-07
196002304洋河股份1,000,000798,313-201,687-20.17%232020-07
197000617中油资本1,000,000797,274-202,726-20.27%952026-04
198002028思源电气1,000,000795,591-204,409-20.44%512026-01
199301236软通动力1,000,000794,595-205,405-20.54%112024-10
200600406国电南瑞1,000,000793,658-206,342-20.63%422021-12
201688256寒武纪1,000,000791,561-208,439-20.84%282025-09
202002384东山精密1,000,000791,387-208,613-20.86%592026-06
203002463沪电股份1,000,000786,966-213,034-21.30%652026-05
204600519贵州茅台1,000,000783,461-216,539-21.65%192021-03
205601169北京银行1,000,000775,027-224,973-22.50%242025-07
206600585海螺水泥1,000,000773,158-226,842-22.68%272025-04
207601988中国银行1,000,000762,147-237,853-23.79%832026-11
208000002万科A1,000,000760,893-239,107-23.91%1112026-10
209601100恒立液压1,000,000759,422-240,578-24.06%332026-01
210601088中国神华1,000,000752,058-247,942-24.79%262026-11
211600887伊利股份1,000,000751,373-248,627-24.86%482026-11
212300122智飞生物1,000,000751,183-248,817-24.88%212023-12
213600028中国石化1,000,000750,860-249,140-24.91%462026-03
214002475立讯精密1,000,000748,391-251,609-25.16%272025-09
215000938紫光股份1,000,000745,139-254,861-25.49%752026-07
216600309烟台万华1,000,000742,931-257,069-25.71%272021-02
217002202金风科技1,000,000741,222-258,778-25.88%592026-11
218601111中国国航1,000,000739,891-260,109-26.01%502024-06
219600030中信证券1,000,000735,229-264,771-26.48%452024-11
220300502新易盛1,000,000732,460-267,540-26.75%372025-07
221002352顺丰控股1,000,000720,486-279,514-27.95%302025-03
222000975山金国际1,000,000719,512-280,488-28.05%642026-02
223002532天山铝业1,000,000718,548-281,452-28.15%292026-02
224002230科大讯飞1,000,000717,356-282,644-28.26%522024-11
225002049紫光国微1,000,000698,089-301,911-30.19%772022-01
226601698中国卫通1,000,000692,514-307,486-30.75%232026-11
227601628中国人寿1,000,000683,321-316,679-31.67%302024-11
228600588用友软件1,000,000683,038-316,962-31.70%552025-03
229300408三环集团1,000,000680,392-319,608-31.96%122020-08
230601018宁波港1,000,000679,448-320,552-32.06%342025-08
231600674川投能源1,000,000678,257-321,743-32.17%672024-04
232600600青岛啤酒1,000,000677,619-322,381-32.24%592020-06
233000792盐湖股份1,000,000658,172-341,828-34.18%522026-11
234600436片仔癀1,000,000653,557-346,443-34.64%382021-02
235002311海大集团1,000,000645,511-354,489-35.45%362024-03
236601117中国化学1,000,000639,326-360,674-36.07%352026-02
237601998中信银行1,000,000638,824-361,176-36.12%362024-04
238300316晶盛机电1,000,000624,619-375,381-37.54%322024-11
239600584长电科技1,000,000624,371-375,629-37.56%632026-07
240300015爱尔眼科1,000,000623,180-376,820-37.68%392024-10
241600027华电国际1,000,000618,736-381,264-38.13%792024-04
242601857中国石油1,000,000616,322-383,678-38.37%432026-11
243002241歌尔声学1,000,000614,785-385,215-38.52%442025-09
244002371北方华创1,000,000613,951-386,049-38.60%582022-08
245600066宇通客车1,000,000596,536-403,464-40.35%402025-09
246000157中联重科1,000,000589,700-410,300-41.03%552025-09
247600011华能国际1,000,000582,775-417,225-41.72%482026-06
248000708中信特钢1,000,000576,111-423,889-42.39%672026-02
249000001深发展A1,000,000574,577-425,423-42.54%912024-05
250600039四川路桥1,000,000574,521-425,479-42.55%502026-01
251000768西飞国际1,000,000572,965-427,035-42.70%832024-08
252600118中国卫星1,000,000571,531-428,469-42.85%1112026-01
253601899紫金矿业1,000,000559,193-440,807-44.08%312025-10
254000988华工科技1,000,000539,971-460,029-46.00%702026-06
255000338潍柴动力1,000,000530,647-469,353-46.94%282026-05
256600549厦门钨业1,000,000528,654-471,346-47.13%732026-06
257000963华东医药1,000,000519,680-480,320-48.03%422022-07
258600362江西铜业1,000,000518,022-481,978-48.20%922026-02
259600188兖矿能源1,000,000514,165-485,835-48.58%842026-06
260000425徐工科技1,000,000487,707-512,293-51.23%722023-03
261600221海航控股1,000,000485,581-514,419-51.44%732026-01
262600875东方电气1,000,000483,949-516,051-51.61%742026-06
263600176中国巨石1,000,000479,122-520,878-52.09%732026-07
264300059东方财富1,000,000478,533-521,467-52.15%582024-11
265000977浪潮信息1,000,000469,966-530,034-53.00%1082026-09
266600893航空动力1,000,000456,466-543,534-54.35%842026-03
267002600领益智造1,000,000454,723-545,277-54.53%452026-06
268600690青岛海尔1,000,000431,484-568,516-56.85%512020-09
269600160巨化股份1,000,000430,970-569,030-56.90%912026-07
270600845宝信软件1,000,000430,648-569,352-56.94%972025-02
271000807云铝股份1,000,000428,415-571,585-57.16%962026-02
272600026中远海能1,000,000421,100-578,900-57.89%452026-03
273000651格力电器1,000,000406,986-593,014-59.30%492023-05
274000630铜陵有色1,000,000396,656-603,344-60.33%752026-11
275002236大华股份1,000,000394,945-605,055-60.51%502026-11
276600061国投安信1,000,000390,782-609,218-60.92%892025-09
277000538云南白药1,000,000324,064-675,936-67.59%742024-11
278600415小商品城1,000,000310,127-689,873-68.99%672025-09
279600010包钢股份1,000,000301,075-698,925-69.89%1022025-10
280600660福耀玻璃1,000,000284,924-715,076-71.51%652024-05
5. 最近操作（近30天 · 共 65 笔）
按时间由近至远排列 · 点击代码可查看个股回测明细
日期 ▾代码名称操作方向价格数量金额备注
2026-11-12000630铜陵有色强平卖出4.8382,100396,424回测结束强制平仓（未实际成交）
2026-11-12000792盐湖股份强平卖出21.7230,300657,919回测结束强制平仓（未实际成交）
2026-11-12001965招商公路强平卖出10.05114,7001,152,389回测结束强制平仓（未实际成交）
2026-11-12002202金风科技强平卖出14.6650,500740,108回测结束强制平仓（未实际成交）
2026-11-12002236大华股份强平卖出14.1627,800393,530回测结束强制平仓（未实际成交）
2026-11-12003816中国广核止损卖出4.61108,900501,377止损触发
2026-11-12300413芒果超媒强平卖出33.1012,300407,008回测结束强制平仓（未实际成交）
2026-11-12600036招商银行强平卖出42.6335,3001,504,388回测结束强制平仓（未实际成交）
2026-11-12600050中国联通离场卖出4.29518,3002,220,617跌破10日低点离场
2026-11-12600276恒瑞医药强平卖出47.9376,7003,675,128回测结束强制平仓（未实际成交）
2026-11-12600460士兰微强平卖出23.9364,1001,533,453回测结束强制平仓（未实际成交）
2026-11-12600760中航沈飞强平卖出47.6634,6001,648,541回测结束强制平仓（未实际成交）
2026-11-12600887伊利股份强平卖出31.0024,200749,975回测结束强制平仓（未实际成交）
2026-11-12600919江苏银行强平卖出12.9491,0001,177,187回测结束强制平仓（未实际成交）
2026-11-12601138工业富联强平卖出43.3536,9001,599,135回测结束强制平仓（未实际成交）
2026-11-12601166兴业银行强平卖出19.5849,000959,132回测结束强制平仓（未实际成交）
2026-11-12601328交通银行强平卖出8.45138,0001,165,750回测结束强制平仓（未实际成交）
2026-11-12601398工商银行强平卖出8.69135,0001,172,798回测结束强制平仓（未实际成交）
2026-11-12601698中国卫通强平卖出22.2521,900487,129回测结束强制平仓（未实际成交）
2026-11-12601728中国电信止损卖出6.62154,0001,019,693止损触发
2026-11-12601919中国远洋强平卖出16.88234,8003,962,235回测结束强制平仓（未实际成交）
2026-11-12601939建设银行强平卖出12.0181,200974,919回测结束强制平仓（未实际成交）
2026-11-12601988中国银行强平卖出7.04108,200761,499回测结束强制平仓（未实际成交）
2026-11-12603259药明康德强平卖出150.3410,7001,608,155回测结束强制平仓（未实际成交）
2026-11-11601857中国石油止损卖出11.7952,200615,159止损触发
2026-11-09300413芒果超媒加仓买入34.164,200143,532加仓
2026-11-06300413芒果超媒加仓买入32.444,100133,054加仓
2026-11-06601088中国神华止损卖出48.4315,500750,463止损触发
2026-11-05300413芒果超媒入场买入29.234,000116,952首仓入场
2026-11-03601877正泰电器止损卖出23.0342,600980,654止损触发
2026-11-02600887伊利股份加仓买入30.181003,019加仓
2026-11-02601088中国神华加仓买入51.552,600134,074加仓
2026-10-30003816中国广核入场买入4.84108,900527,761首仓入场
2026-10-30600887伊利股份加仓买入29.199,700283,220加仓
2026-10-28601166兴业银行加仓买入19.121001,912加仓
2026-10-28601398工商银行加仓买入8.6357,100492,842加仓
2026-10-27600760中航沈飞加仓买入48.5317,400844,649加仓
2026-10-27600887伊利股份入场买入28.4814,400410,213首仓入场
2026-10-27601166兴业银行加仓买入18.5615,500287,744加仓
2026-10-27601728中国电信加仓买入6.898005,511加仓
2026-10-26601288农业银行止损卖出7.16181,7001,301,096止损触发
2026-10-26601658邮储银行止损卖出5.46168,000917,766止损触发
2026-10-21600760中航沈飞入场买入47.3117,200813,929首仓入场
2026-10-21601857中国石油加仓买入12.832002,567加仓
2026-10-20601288农业银行加仓买入7.4886,800649,239加仓
2026-10-20601328交通银行加仓买入8.2356,800467,503加仓
2026-10-20601658邮储银行加仓买入5.6871,000403,093加仓
2026-10-19601728中国电信加仓买入6.7873,300496,886加仓
2026-10-16601728中国电信入场买入6.7679,900540,026首仓入场
2026-10-16601857中国石油加仓买入12.319,500117,002加仓
2026-10-16601872招商轮船离场卖出18.88110,4002,083,848跌破10日低点离场
2026-10-15600050中国联通加仓买入4.39189,300832,108加仓
2026-10-15601088中国神华加仓买入50.606,500329,002加仓
2026-10-14601328交通银行入场买入7.9881,200648,006首仓入场
2026-10-14601857中国石油加仓买入12.2621,400262,491加仓
2026-10-14601939建设银行加仓买入11.416,60075,338加仓
2026-10-13000002万科A止损卖出3.78201,400760,303止损触发
2026-10-13600036招商银行加仓买入42.7013,300568,116加仓
2026-10-13601088中国神华入场买入49.386,400316,123首仓入场
2026-10-13601166兴业银行入场买入18.4333,400615,747首仓入场
2026-10-13601288农业银行入场买入7.2094,900683,218首仓入场
2026-10-13601319中国人保止损卖出7.78133,9001,041,725止损触发
2026-10-13601398工商银行入场买入8.4677,900659,111首仓入场
2026-10-13601658邮储银行入场买入5.5697,000539,050首仓入场
2026-10-13601857中国石油入场买入11.8021,100249,092首仓入场
6. 策略说明
  • 数据范围: 沪深300成分股，共 288 只成分股，其中 286 只有效数据
  • 入场规则: 价格突破过去 20 日的最高价时入场，趋势过滤要求 55 日均线向上
  • 仓位管理: 基于 ATR(20) 的 N 值，单笔风险 2%，每 0.5N 加仓一次，最多 4 次
  • 离场规则: 价格跌破 10 日最低价时离场，或触发 2N 止损
  • 交易成本: 手续费 0.03%，滑点 0.10%
  • 基准对比: 真实沪深300指数（000300），非模拟数据
Generated by Backtrader + ECharts · Turtle Trading Strategy · 沪深300成分股