MACD顶背离小市值优选量化策略详解：低回撤高收益的A股投资智慧

*******5290_b6Y8Y · 发表于 6 天前

本文将详细解读这个在A股市场表现优异的MACD顶背离小市值优选策略，并分析其降低回撤的机制、盈利特色以及实战效果。

策略核心逻辑解析

该策略的核心逻辑可以概括为以下几点：

1. 选股时机：每周二10:30进行选股操作，这个时间点经过回测验证效果最佳

2. 选股范围：从中小板指数成分股中筛选，按市值升序排列后取前100只股票，最终选取前7只

3. 持仓数量：固定持有7只小市值股票，保持相对均衡的资金分配

4. 风险控制：

a. 大盘MACD顶背离信号出现时清仓

b. 市场日跌幅超过一定阈值时全部止损

c. 个股亏损超过12%时进行个股止损

d. 四月和一月整月空仓（A股历史表现规律）

e. 昨日涨停今日打开则卖出

下面我们逐一深入分析这些关键点。

选股机制详解

策略的选股流程具有明确的价值投资特征：

1. 获取中小板指数成分股
2. 过滤掉新股、ST股和北交所/科创板股票
3. 过滤停牌、涨停、跌停的股票
4. 按市值升序排列，选取前100只
5. 从中最终确定持有前7只小市值股票

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为什么选择小市值股票？这与A股市场的特点密切相关。小市值股票往往具有以下特征：

1. 成长空间大，有更高的上涨潜力

2. 股价弹性大，对好消息反应更敏感

3. 机构关注度相对较低，存在信息不对称的投资机会

4. 在市场风格偏向成长时，表现往往更为突出

从代码实现看，作者通过下面这段代码完成选股：

def get_stock_list(context):
final_list = []
MKT_index = '399101.XSHE' # 中小板指数
initial_list = get_index_stocks(MKT_index)
initial_list = filter_new_stock(context, initial_list)
initial_list = filter_kcbj_stock(initial_list)
initial_list = filter_st_stock(initial_list)
initial_list = filter_paused_stock(initial_list)
initial_list = filter_limitup_stock(context, initial_list)
initial_list = filter_limitdown_stock(context, initial_list)
q = query(valuation.code, indicator.eps).filter(valuation.code.in_(initial_list)).order_by(valuation.market_cap.asc())
df = get_fundamentals(q)
stock_list = list(df.code)
stock_list = stock_list[:100]
final_list = stock_list[:2 * g.stock_num]
return final_list

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风险控制机制分析

该策略最大的亮点在于其多层次的风险控制机制，这也是其能够在A股波动较大的市场环境中保持较低回撤的关键：

1. MACD顶背离清仓信号

策略利用MACD指标检测市场顶部信号。当中小板指数出现MACD顶背离时，认为市场可能即将转向下跌，此时策略会全部清仓，规避系统性风险：

def dapan(context):
print('大盘')
print(g.dbl)
if doDecide('399101.XSHE', context)['dead']:
g.dbl.append(True)
print('大盘顶背离，清仓')
for stock in context.portfolio.positions.keys():
order_target_value_(stock, 0)
else:
g.dbl.append(False)

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MACD顶背离的判断逻辑是通过对比价格与MACD指标的走势关系来实现的：

suit['dead'] = grid.close[key2] < grid.close[key1] and \
grid.dif[key2] > grid.dif[key1] > 0 and \
grid.macd[-2] > 0 > grid.macd[-1]

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当价格创新高，但MACD指标却出现下降，并且MACD柱由正转负时，判定为顶背离信号。这种信号在实战中往往能提前捕捉到市场转向。

2. 三重止损机制

策略实现了三层止损保护：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.stoploss_strategy = 3 # 1为止损线止损，2为市场趋势止损, 3为联合1、2策略<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.stoploss_limit = 0.88 # 止损线，亏损超过12%止损<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.stoploss_market = 0.94 # 市场趋势止损参数，中小板指当日平均跌幅超过6%时清仓

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联合策略的具体实现：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"># 获取中小板指数当日收盘价和开盘价，计算整体市场走势<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">stock_df = get_price(security=get_index_stocks('399101.XSHE'), end_date=context.previous_date, frequency='daily', fields=['close', 'open'], count=1, panel=False)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">down_ratio = (stock_df['close'] / stock_df['open']).mean()<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"> <span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"># 如果市场整体大跌，全部清仓<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if down_ratio <= g.stoploss_market:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.reason_to_sell = 'stoploss'<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">log.debug("大盘惨跌,平均降幅{:.2%}".format(down_ratio))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">for stock in context.portfolio.positions.keys():<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">order_target_value_(stock, 0)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">else:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"># 如果市场正常，检查个股止损<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">for stock in context.portfolio.positions.keys():<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if context.portfolio.positions[stock].price < context.portfolio.positions[stock].avg_cost * g.stoploss_limit:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">order_target_value_(stock, 0)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">log.debug("收益止损,卖出{}".format(stock))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.reason_to_sell = 'stoploss'

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这种联合止损机制确保了：

1. 在市场大幅下跌时能迅速全部清仓，规避系统性风险

2. 在市场正常情况下，控制单只股票的最大亏损幅度

3. 收益达到100%时自动止盈，锁定利润

3. 季节性规避

通过历史数据分析，策略发现A股市场在4月和1月往往表现不佳，因此在这两个月份选择完全空仓，避开市场的季节性弱势期：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">def today_is_between(context):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">today = context.current_dt.strftime('%m-%d')<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if g.pass_april is True:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if (('04-01' <= today) and (today <= '04-30')) or (('01-01' <= today) and (today <= '01-30')):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">return True<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">else:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">return False<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">else:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">return False

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正是这个机制导致策略在2024年1月2日清仓，直到2024年2月6日（周二）才重新建仓，中间经历了一个相对较长的空仓期。这段空仓期恰好体现了策略的设计理念：宁可错过一些上涨机会，也要严格控制风险。

4. 涨停板风险管理

策略对涨停板股票采取了特殊处理：

l当持有的股票前一日涨停，当天涨停打开时及时卖出，避免追高风险

l当持有的股票前一日涨停，当天继续涨停则继续持有，把握强势股的持续上涨机会

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">def check_limit_up(context):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">now_time = context.current_dt<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if g.yesterday_HL_list != []:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">for stock in g.yesterday_HL_list:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">current_data = get_price(stock, end_date=now_time, frequency='1m', fields=['close', 'high_limit'], skip_paused=False, fq='pre', count=1, panel=False, fill_paused=True)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if current_data.iloc[0, 0] < current_data.iloc[0, 1]:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">log.info("[%s]涨停打开，卖出" % (stock))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">position = context.portfolio.positions[stock]<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">close_position(position)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.reason_to_sell = 'limitup'<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">else:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">log.info("[%s]涨停，继续持有" % (stock))

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策略特色与盈利原因分析

1. 明确的选股逻辑

该策略的选股逻辑明确且有效：专注于小市值股票。在A股市场，小市值股票具有更高的成长性和弹性，尤其在市场情绪向好时，往往能获得超额收益。从统计数据来看，A股历史上小市值股票的平均收益率显著高于大市值股票。

2. 精确的风险控制

策略成功的关键在于其精确的风险控制：

lMACD顶背离判断市场转向

l三重止损机制限制亏损

l季节性规避避开弱市

l涨停板管理把握强势股

这些风险控制手段使得策略能够在保持较高收益的同时，大幅降低回撤，提高夏普比率。

3. 周期选择与调仓频率优化

策略选择每周二10:30作为固定调仓时间，这一时间点经过回测验证效果最佳。通常周二市场情绪已经稳定，更适合做出理性决策。每周调仓的频率既不会过于频繁增加交易成本，也不会过于稀疏而错过市场机会。

4. 红利复利效应

策略通过持续低回撤高收益的特点，能够实现资金的稳健增长。复利效应在长期投资中发挥巨大作用，尤其是当策略能够有效控制回撤时，复利效果更为显著。

回撤控制分析

该策略在回撤控制方面表现突出，主要归功于以下几点：

1. MACD顶背离的市场趋势判断

MACD是经典的趋势跟踪指标，其顶背离信号在捕捉市场转向方面有着良好表现。通过代码实现：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">def doDecide(stock, context):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"># MACD计算与顶背离判断<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">grid['dif'], grid['dea'], grid['macd'] = MACD(grid.close, SHORT=12, LONG=26, M=9)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"> <span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"># 顶背离判断逻辑<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">mask = grid['macd'] < 0<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">mask = mask[mask == True][mask.shift(1) == False]<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">key2 = mask.keys()[-2]<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">key1 = mask.keys()[-1]<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">suit['dead'] = grid.close[key2] < grid.close[key1] and \<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">grid.dif[key2] > grid.dif[key1] > 0 and \<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">grid.macd[-2] > 0 > grid.macd[-1]

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当策略检测到中小板指数MACD顶背离时立即全部清仓，有效规避了大幅下跌风险。

2. 市场大跌风险控制

策略设置了市场平均跌幅超过6%时的全局止损，这是对系统性风险的有效防御：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">down_ratio = (stock_df['close'] / stock_df['open']).mean()<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if down_ratio <= g.stoploss_market: # g.stoploss_market = 0.94，即跌幅超过6%<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.reason_to_sell = 'stoploss'<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">log.debug("大盘惨跌,平均降幅{:.2%}".format(down_ratio))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">for stock in context.portfolio.positions.keys():<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">order_target_value_(stock, 0)

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这种机制在2024年2月A股市场大跌中发挥了重要作用，有效降低了回撤幅度。

3. 个股止损设置

针对单只股票的12%止损线设置，确保了单只股票的亏损幅度受到严格控制：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if context.portfolio.positions[stock].price < context.portfolio.positions[stock].avg_cost * g.stoploss_limit:<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">order_target_value_(stock, 0)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">log.debug("收益止损,卖出{}".format(stock))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.reason_to_sell = 'stoploss'

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这种机制避免了单只股票的大幅亏损拖累整体表现。

4. 季节性风险规避

通过在历史表现不佳的4月和1月选择空仓，规避了这两个月份可能带来的系统性风险：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">if (('04-01' <= today) and (today <= '04-30')) or (('01-01' <= today) and (today <= '01-30')):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">return True # 返回True表示今天需要空仓

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这一机制充分利用了A股市场的季节性特征，是对历史规律的有效应用。

实战效果分析

该策略在实战中表现优异，尤其在2024年的市场波动中展现出色的适应能力。

2024年2月市场大跌期间表现

2024年2月，A股市场经历了较大幅度的调整，上证指数从2月初的高点一路下跌，最大跌幅超过15%。在这一期间，该策略凭借其MACD顶背离判断和市场大跌风险控制机制，成功规避了大部分下跌，最大回撤控制在较低水平。

具体表现：

l策略在市场开始下跌前，通过MACD顶背离信号提前减仓

l当市场单日跌幅较大时，触发市场趋势止损机制，及时清仓

l个股层面的12%止损线进一步限制了亏损

2024年9-10月市场大涨期间表现

2024年9-10月，A股市场迎来一波强劲上涨，特别是小市值股票表现更为突出。该策略在这一阶段充分发挥其选股优势：

l小市值股票在市场上涨中弹性更大，带来显著超额收益

l涨停板管理策略使得强势股得以持续持有，充分享受上涨红利

l较低的持仓数量(7只)使得每只股票获得足够资金配置，放大收益效果

策略绩效指标

从回测结果来看，该策略表现出色：

从这些指标可以看出，策略不仅收益可观，而且风险控制得当：

l111%的年化收益率远超市场平均水平

l0.20的最大回撤控制在较低范围

l4.02的夏普比率表明策略在风险调整后的收益表现优异

l5.58的Calmar比率说明策略在应对回撤方面表现出色

策略编写要点与注意事项

通过分析这个策略，我们可以总结出几点量化策略编写的关键经验：

1. 明确的策略逻辑

好的策略需要有清晰的逻辑支撑，包括选股标准、买入条件、卖出条件等。该策略的逻辑非常清晰：选择小市值股票，结合MACD顶背离风险控制，实现低回撤高收益。

2. 多层次的风险控制

风险控制是量化策略成功的关键。该策略实现了从市场层面到个股层面的多层次风险控制，包括：

l市场趋势判断（MACD顶背离）

l市场整体跌幅控制

l个股止损线设置

l季节性规避

3. 参数可调整性

好的策略应该具有参数可调整性，以适应不同的市场环境：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.stock_num = 7 # 持仓数量<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.stoploss_limit = 0.88 # 止损线<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.stoploss_market = 0.94 # 市场趋势止损参数<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">g.HV_control = False # 是否启用放量判断

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这些可调整参数使策略具有更强的适应性。

4. 交易记录与日志

详细的交易记录和日志对策略监控和优化至关重要：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">def print_position_info(context):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">for position in list(context.portfolio.positions.values()):<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">securities = position.security<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">cost = position.avg_cost<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">price = position.price<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">ret = 100 * (price / cost - 1)<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">value = position.value<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">amount = position.total_amount<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('代码:{}'.format(securities))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('成本价:{}'.format(format(cost, '.2f')))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('现价:{}'.format(price))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('收益率:{}%'.format(format(ret, '.2f')))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('持仓(股):{}'.format(amount))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('市值:{}'.format(format(value, '.2f')))<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">print('———————————————————————————————————')

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5. 定时任务设置

策略使用run_daily和run_weekly函数设置定时任务，确保各项功能在合适的时间点执行：

<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"># 设置交易运行时间<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_daily(prepare_stock_list, '9:05')<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_daily(dapan, '9:30')<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_weekly(weekly_adjustment, 2, '10:30') # 每周二10:30调仓<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_daily(sell_stocks, time='10:00') # 止损函数<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_daily(trade_afternoon, time='14:30') # 检查持仓中的涨停股是否需要卖出<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_daily(close_account, '14:50')<span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;"><o:p></o:p><span style="mso-spacerun:'yes';font-family:'Arial Unicode MS';mso-fareast-font-family:MicrosoftYaHei;
font-size:11.0000pt;">run_weekly(print_position_info, 5, time='15:10')