@不会python的然 小盘股的策略不能整这些的，我试过给小盘股弄只在上升趋势买入的策略，效果很差，估计要改成按天交易才行

学习了

@rbq2025 那么那个防黑天鹅的思路呢？https://www.joinquant.com/view/community/detail/4722e3a5023737cc4e08bfaa94f4985a#517751

@不会python的然 防黑天鹅的思路是从财报的审计维度着手的，保障从财报层面不会买到黑天鹅的差股票

@rbq2025 了解~~

@rbq2025 大佬，代码里有这句： # 当前一年的温度判断 index300 = attribute_history("000300.XSHG", 220, "1d", ("close",), df=True).drop( pd.to_datetime("2024-10-08"), errors="ignore" ) 为什么要特意把2024-10-08日的数据去掉啊？

克隆学习支持

这个优化版本最近效果不理想，2026.01.01-2026.04.03的收益是3.81%，如图：

@jwyming 这是原来三马105的逻辑，应该是为了去除那天的巨大波动，有意而为之的

@我不是小韭菜 因为三月份的海外大环境不好，导致市场资金的流动性也是紧缺的，流动性不好小盘股肯定没啥机会嘛，最近还是多看少动，等局势稳定了再进场吧

我看我最近的模拟shipan的log，在4月1号就把小盘股清了，4月2号和3号都只买了城投而已，最近大盘收外部影响太大了，建议大家谨慎操作哈： 2026-04-03 15:02:00 - INFO - [持仓] 当前总资产 +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 所属策略 | 股票代码 | 股票名称 | 持仓数量 | 持仓价格 | 当前价格 | 盈亏数额 | 盈亏比例 | 股票市值 | 仓位占比 | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 3 | 511220 | 511220(城投ETF) | 4800 | 10.311 | 10.321 | 48.0 | 0.10% ↑ | 49540.8 | 50.37% | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | ETF轮动 | | | | | | | | 49540.80 | 50.37% | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 总市值 | | | | | | | | 49540.80 | | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 总资产 | | | | | | | | 98346.21 | | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ 2026-04-03 15:01:00 - INFO - 排名1: 511220.XSHG 得分: 0.0385 2026-04-03 15:01:00 - INFO - [收盘] 检测最新的ETF动量排名, 方便明天参考 2026-04-02 15:02:00 - INFO - unschedule_all 2026-04-02 15:02:00 - INFO - run after_code_changed 2026-04-02 15:02:00 - INFO - [持仓] 当前总资产 +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 所属策略 | 股票代码 | 股票名称 | 持仓数量 | 持仓价格 | 当前价格 | 盈亏数额 | 盈亏比例 | 股票市值 | 仓位占比 | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 3 | 511220 | 511220(城投ETF) | 4800 | 10.311 | 10.312 | 4.8 | 0.01% ↑ | 49497.6 | 50.35% | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | ETF轮动 | | | | | | | | 49497.60 | 50.35% | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 总市值 | | | | | | | | 49497.60 | | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ | 总资产 | | | | | | | | 98303.01 | | +------------+------------+------------------+------------+------------+------------+------------+------------+------------+------------+ 2026-04-02 15:01:00 - INFO - 排名1: 511220.XSHG 得分: 0.0375 2026-04-02 15:01:00 - INFO - [收盘] 检测最新的ETF动量排名, 方便明天参考 2026-04-01 15:02:00 - INFO - [持仓] 当前总资产 +------------+------------+------------------+-- 2026-04-01 15:01:00 - INFO - 排名1: 511220.XSHG 得分: 0.0378 2026-04-01 15:01:00 - INFO - [收盘] 检测最新的ETF动量排名, 方便明天参考 2026-04-01 14:50:00 - INFO - [交易] 卖出 002963(豪尔赛) 卖价14.79 成本15.37 卖量800 盈亏-464.00( -3.77% ) 2026-04-01 14:50:00 - WARNING - [策略1] 进入清仓期间，卖出 002963(豪尔赛) 2026-04-01 14:50:00 - INFO - [交易] 卖出 002188(中天服务) 卖价6.55 成本6.90 卖量1800 盈亏-630.00( -5.07% ) 2026-04-01 14:50:00 - WARNING - [策略1] 进入清仓期间，卖出 002188(中天服务) 2026-04-01 14:50:00 - INFO - [交易] 卖出 002820(桂发祥) 卖价10.96 成本11.24 卖量1100 盈亏-308.00( -2.49% ) 2026-04-01 14:50:00 - WARNING - [策略1] 进入清仓期间，卖出 002820(桂发祥) 2026-04-01 14:50:00 - INFO - [交易] 卖出 002316(亚联发展) 卖价5.67 成本5.78 卖量2100 盈亏-231.00( -1.90% ) 2026-04-01 14:50:00 - WARNING - [策略1] 进入清仓期间，卖出 002316(亚联发展) 2026-03-31 15:02:00 - INFO - [持仓] 当前总资产 +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 所属策略 | 股票代码 | 股票名称 | 持仓数量 | 持仓价格 | 当前价格 | 盈亏数额 | 盈亏比例 | 股票市值 | 仓位占比 | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 3 | 511220 | 511220(城投ETF) | 4800 | 10.311 | 10.312 | 4.8 | 0.01% ↑ | 49497.6 | 50.22% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 1 | 002316 | 002316(亚联发展) | 2100 | 5.78 | 5.67 | -231.0 | -1.90% ↓ | 11907.0 | 12.08% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 1 | 002820 | 002820(桂发祥) | 1100 | 11.24 | 10.94 | -330.0 | -2.67% ↓ | 12034.0 | 12.21% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 1 | 002188 | 002188(中天服务) | 1800 | 6.9 | 6.64 | -468.0 | -3.77% ↓ | 11952.0 | 12.13% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 1 | 002963 | 002963(豪尔赛) | 800 | 15.37 | 14.88 | -392.0 | -3.19% ↓ | 11904.0 | 12.08% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 小市值 | | | | | | | | 47797.00 | 48.50% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | ETF轮动 | | | | | | | | 49497.60 | 50.22% | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 总市值 | | | | | | | | 97294.60 | | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+ | 总资产 | | | | | | | | 98558.80 | | +------------+------------+-------------------+------------+------------+------------+------------+------------+------------+------------+

 2018年-2019年的单独小市值回测还是挺差的

大佬三马加五福好，还是三马加七星好

这个加入市场宽度择时效果不知道怎么样

@daicy 市场择时的参数我测试过，效果比较差，急跌的时候来不及逃跑，反弹的时候来不及抓住就上去了

@不会python的然 普拉斯高斯过滤器适合行业大宗商品或者ETF，对单个股票标的效果没用

@rbq2025 菜博的机器学习一条龙框架很不错可以借鉴研究https://www.joinquant.com/view/community/detail/7253d06b938dc84af3e0c3c996d7d5bd

@rbq2025 好的就直接10盘，没必要跑一两个月模拟去看

感谢大佬的优秀策略，准备实，盘上