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前5%成交额占比 · 符号运算策略挖掘回测报告
> 生成时间：2026-08-30 22:35 ｜ 指标区间：2005-01 ~ 2026-07（259 个月）
一、指标口径
每月末，全 A 股按当月成交额排名，取前 int(股票数×5%) 只的成交额 ÷ 全市场成交额。
本质是头部成交集中度/抱团度，历史在 20%~50% 波动，>45% 常对应牛熊转折/风格切换。
历史上 ratio≥45% 的月份：
2007-11、2008-10、2014-12、2015-01、2018-02、2021-01、2021-02、2026-06、2026-07
二、符号运算策略清单（把指标当价格序列套技术信号）
所有策略统一 position[M] = raw_signal[M-1]（信号月末才知道，次月生效），杜绝未来函数。
| 阈值(固定) | 阈值<40%/45%/50%持有 | 集中度低于固定阈值（资金分散）持有 |
| 均线位置 | ratio<MA / ≥MA 持有 | 集中度处于自身均线下方/上方时持有 |
| 均线穿越 | 死叉买·金叉卖 / 金叉买·死叉卖 | 短均线与长均线金叉/死叉决定持有状态（状态机） |
| 动量(水平) | 集中度6/12月上行/下行持有 | 集中度较 K 月前上升/下降→持有 |
| 趋势拐点 | ROC(6/12)转负买 | 集中度动量由升转降（抱团瓦解）→买入，转正→卖出 |
| 突破拐点 | 跌破12/24月新低买 | 集中度跌破前低→买入，创前高→卖出 |
| 自适应阈值 | 滚动60月30分位/36月20分位买 | 集中度低于自身滚动低位→买，高于滚动高位→卖（阈值动态自适应） |
| 布林带 | 布林下轨买(12,1.5)/(24,2.0) | 集中度跌破下轨→买，突破上轨→卖 |
| z-score | z<0 / z<-0.5 持有 | 滚动标准化后均值回归/极端反转 |
| 跨标的 | 风格切换 | 集中度≥45%切小盘，否则持大盘 |
三、核心结论
- 「阈值<40%持有」是 A 股大盘最稳、最有效的用法：沪深300/上证50/上证指数/深证成指全部显著跑赢（年化 +4~7pp，夏普普遍翻倍），20 年换手仅 24 次。
- 「阈值≥45%持有」在所有健康标的上都跑输（唯一稳健的负向结论）——高集中度(≥45%)是明确的顶部/抱团瓦解信号，2007-11/2008-10/2014-12/2015-01/2018-02/2026-06 之后均大跌。
- 信号在不同板块方向分化：对成长/小盘/行业（创业板/中证1000/医药/半导体），「集中度上行/金叉买」类趋势信号部分有正超额，但更像「风险偏好上升→进攻小盘」的周期巧合，换手高、不如阈值稳，需样本外验证。
- 美股（标普500/纳指）套用无效：所有信号均跑输买入持有，这是 A 股本土结构指标。
- 科创板（科创50）仅 2020 起，样本太短，结论置信度低。
- 趋势拐点/自适应阈值是否更优，见第六节每市场最优阈值对比——固定 40% 阈值在部分板块并非最优，但自适应分位数/布林带类信号换手更高、未必更稳，需样本外验证。
四、各标的最优策略（按年化）
| 标的 | 数据起 | 月数 | buy&hold年化 | 最优策略 | 最优年化 | 最优夏普 | 跑赢策略 | 跑赢年化 |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 纳指ETF | 2013-06 | 158 | 19.98% | 阈值<45%持有 | 19.96% | 0.92 | 无 | — |
| 标普500ETF | 2014-02 | 150 | 14.71% | 阈值<50%持有 | 14.07% | 0.78 | 无 | — |
| 创业板ETF | 2012-01 | 175 | 11.17% | ratio≥MA12持有 | 11.81% | 0.49 | ratio≥MA12持有 | 11.81% |
| 中证500 | 2005-02 | 258 | 10.46% | 阈值<40%持有 | 10.53% | 0.42 | 阈值<40%持有 | 10.53% |
| 上证50ETF | 2006-03 | 242 | 9.04% | 死叉买·金叉卖(6/12) | 15.85% | 0.58 | 死叉买·金叉卖(6/12) | 15.85% |
| 中证500ETF | 2013-04 | 160 | 8.63% | 集中度6月上行持有 | 10.09% | 0.51 | 集中度6月上行持有 | 10.09% |
| 创业板指 | 2010-07 | 193 | 8.47% | ratio≥MA12持有 | 10.14% | 0.44 | ratio≥MA12持有 | 10.14% |
| 红利ETF | 2007-02 | 222 | 7.81% | 死叉买·金叉卖(6/12) | 14.62% | 0.50 | 死叉买·金叉卖(6/12) | 14.62% |
| 沪深300ETF | 2012-06 | 170 | 7.15% | 阈值<40%持有 | 9.12% | 0.38 | 阈值<40%持有 | 9.12% |
| 中证白酒 | 2015-07 | 133 | 5.74% | 阈值<40%持有 | 9.05% | 0.37 | 阈值<40%持有 | 9.05% |
| 沪深300 | 2002-02 | 259 | 5.55% | 阈值<40%持有 | 9.88% | 0.42 | 阈值<40%持有 | 9.88% |
| 银行ETF | 2017-09 | 107 | 5.49% | ratio≥MA12持有 | 6.25% | 0.38 | ratio≥MA12持有 | 6.25% |
| 科创50 | 2020-02 | 78 | 5.05% | 布林下轨买(24,2.0) | 13.36% | 0.61 | 布林下轨买(24,2.0) | 13.36% |
| 上证50 | 2004-02 | 259 | 4.56% | 死叉买·金叉卖(6/12) | 9.80% | 0.47 | 死叉买·金叉卖(6/12) | 9.80% |
| 科创50ETF | 2020-12 | 68 | 4.14% | 布林下轨买(24,2.0) | 15.62% | 0.66 | 布林下轨买(24,2.0) | 15.62% |
| 医药ETF | 2013-11 | 153 | 3.85% | 集中度6月上行持有 | 10.37% | 0.56 | 集中度6月上行持有 | 10.37% |
| 上证指数 | 1991-01 | 259 | 3.24% | 死叉买·金叉卖(6/12) | 8.05% | 0.42 | 死叉买·金叉卖(6/12) | 8.05% |
| 全指医药 | 2011-09 | 179 | 2.74% | ratio≥MA12持有 | 8.94% | 0.47 | ratio≥MA12持有 | 8.94% |
| 半导体 | 2011-11 | 177 | 2.69% | ratio≥MA12持有 | 6.43% | 0.33 | ratio≥MA12持有 | 6.43% |
| 深证成指 | 1991-05 | 259 | 2.36% | 阈值<40%持有 | 9.02% | 0.38 | 阈值<40%持有 | 9.02% |
| 中证1000 | 2014-11 | 141 | 1.84% | ratio≥MA12持有 | 6.94% | 0.34 | ratio≥MA12持有 | 6.94% |
| 中证1000ETF | 2016-12 | 116 | 1.65% | ratio≥MA6持有 | 5.89% | 0.30 | ratio≥MA6持有 | 5.89% |
| 中证银行 | 2015-06 | 134 | 1.35% | 死叉买·金叉卖(6/12) | 3.30% | 0.17 | 死叉买·金叉卖(6/12) | 3.30% |
| 证券ETF | 2016-09 | 119 | 0.40% | ratio≥MA6持有 | 6.55% | 0.31 | ratio≥MA6持有 | 6.55% |
| 证券公司 | 2015-06 | 134 | -6.02% | 死叉买·金叉卖(6/12) | 3.45% | 0.17 | 死叉买·金叉卖(6/12) | 3.45% |
| 中证医疗 | 2015-06 | 134 | -6.72% | 集中度6月上行持有 | 2.82% | 0.13 | 集中度6月上行持有 | 2.82% |
| 沪深300 vs 中证1000 | | 141 | N/A | 风格切换 | 6.58% | 0.31 | 风格切换 | 6.58% |
| 沪深300 vs 中证500 | | 258 | N/A | 风格切换 | 8.73% | 0.37 | 风格切换 | 8.73% |
五、策略一致性排名（按平均超额收益）
> 注：该排名混合了 26 个异质标的（大盘/成长/行业/美股），「平均超额」会被美股等不适用标的稀释。判断信号有效性请以第三节分层结论 + 第四节各标的明细为准。
| 排名 | 策略 | 跑赢标的数 | 平均年化 | 平均超额 | 平均夏普 | 平均换手 |
| --- | --- | --- | --- | --- | --- | --- |
| 1 | 阈值<40%持有 | 17/26 | 6.58% | 1.38% | 0.30 | 16 |
| 2 | cross_golden_3_6 | 18/26 | 6.11% | 0.91% | 0.31 | 45 |
| 3 | ratio≥MA12持有 | 19/26 | 5.97% | 0.77% | 0.30 | 45 |
| 4 | 集中度6月上行持有 | 15/26 | 5.97% | 0.77% | 0.30 | 55 |
| 5 | 阈值<45%持有 | 14/26 | 5.91% | 0.70% | 0.28 | 7 |
| 6 | ratio≥MA6持有 | 17/26 | 5.72% | 0.51% | 0.28 | 62 |
| 7 | 阈值<50%持有 | 10/26 | 5.47% | 0.26% | 0.27 | 0 |
| 8 | 死叉买·金叉卖(6/12) | 13/26 | 5.06% | -0.15% | 0.24 | 16 |
| 9 | 集中度12月下行持有 | 11/26 | 3.94% | -1.27% | 0.19 | 36 |
| 10 | ROC(12)转负买 | 10/26 | 3.89% | -1.31% | 0.19 | 36 |
| 11 | 金叉买·死叉卖(3/12) | 9/26 | 3.39% | -1.81% | 0.17 | 23 |
| 12 | 布林下轨买(24,2.0) | 8/26 | 2.95% | -2.26% | 0.05 | 3 |
| 13 | 跌破12月新低买 | 7/26 | 2.94% | -2.26% | 0.14 | 12 |
| 14 | 跌破24月新低买 | 9/26 | 2.73% | -2.48% | 0.13 | 8 |
| 15 | 死叉买·金叉卖(3/12) | 6/26 | 1.98% | -3.22% | 0.10 | 23 |
| 16 | 集中度12月上行持有 | 2/26 | 1.41% | -3.79% | 0.08 | 36 |
| 17 | z<-0.5持有(60) | 2/26 | 1.40% | -3.81% | 0.03 | 29 |
| 18 | z<-0.5持有 | 3/26 | 1.34% | -3.86% | 0.03 | 29 |
| 19 | 布林下轨买(12,1.5) | 2/26 | 0.74% | -4.46% | -0.05 | 8 |
| 20 | 滚动36月20分位买 | 2/26 | 0.64% | -4.57% | 0.01 | 11 |
| 21 | 金叉买·死叉卖(6/12) | 5/26 | 0.36% | -4.84% | 0.02 | 17 |
| 22 | 滚动60月30分位买 | 2/26 | 0.14% | -5.07% | -0.03 | 13 |
| 23 | z<0持有(60) | 2/26 | 0.03% | -5.17% | -0.01 | 26 |
| 24 | ratio<MA6持有 | 1/26 | -0.18% | -5.38% | -0.00 | 61 |
| 25 | 阈值<40%且<MA6 | 1/26 | -0.35% | -5.56% | -0.01 | 57 |
| 26 | 阈值≥45%持有 | 2/26 | -0.38% | -5.58% | -0.47 | 7 |
| 27 | 集中度6月下行持有 | 0/26 | -0.41% | -5.62% | -0.01 | 55 |
| 28 | ROC(6)转负买 | 0/26 | -0.41% | -5.62% | -0.01 | 55 |
| 29 | ratio<MA12持有 | 1/26 | -0.44% | -5.65% | -0.03 | 45 |
| 30 | 死叉买·金叉卖(3/6) | 0/26 | -0.61% | -5.81% | -0.01 | 45 |
| 31 | z<0持有 | 0/26 | -2.86% | -8.06% | -0.19 | 26 |
| 32 | 风格切换 | 0/2 | 7.65% | N/A | 0.34 | 9 |
六、每市场最优阈值（阈值是否随市场动态变化）
对「阈值<t持有」策略，逐市场在 30%~60% 网格搜索最优固定阈值：
| 标的 | buy&hold年化 | 最优阈值 | 最优年化 | 超额 | 最优夏普 |
| --- | --- | --- | --- | --- | --- |
| 科创50ETF | 4.14% | 45% | 12.25% | 8.12% | 0.44 |
| 科创50 | 5.05% | 45% | 12.03% | 6.98% | 0.44 |
| 深证成指 | 2.36% | 40% | 9.02% | 6.66% | 0.38 |
| 上证50ETF | 9.04% | 40% | 15.42% | 6.38% | 0.52 |
| 上证50 | 4.56% | 40% | 9.33% | 4.77% | 0.40 |
| 证券ETF | 0.40% | 40% | 5.00% | 4.60% | 0.23 |
| 沪深300 | 5.55% | 40% | 9.88% | 4.33% | 0.42 |
| 证券公司 | -6.02% | 30% | -1.85% | 4.18% | -0.17 |
| 上证指数 | 3.24% | 40% | 7.34% | 4.10% | 0.34 |
| 中证医疗 | -6.72% | 30% | -3.23% | 3.49% | -0.34 |
| 中证白酒 | 5.74% | 40% | 9.05% | 3.31% | 0.37 |
| 沪深300ETF | 7.15% | 40% | 9.12% | 1.97% | 0.38 |
| 中证1000ETF | 1.65% | 45% | 2.68% | 1.03% | 0.14 |
| 中证银行 | 1.35% | 35% | 1.97% | 0.61% | 0.05 |
| 医药ETF | 3.85% | 40% | 4.24% | 0.40% | 0.21 |
| 银行ETF | 5.49% | 50% | 5.82% | 0.33% | 0.30 |
| 创业板ETF | 11.17% | 45% | 11.38% | 0.21% | 0.43 |
| 半导体 | 2.69% | 45% | 2.83% | 0.14% | 0.16 |
| 创业板指 | 8.47% | 45% | 8.61% | 0.13% | 0.35 |
| 中证500 | 10.46% | 40% | 10.53% | 0.07% | 0.42 |
| 纳指ETF | 19.98% | 45% | 19.96% | -0.02% | 0.92 |
| 全指医药 | 2.74% | 40% | 2.72% | -0.02% | 0.15 |
| 中证500ETF | 8.63% | 45% | 8.59% | -0.04% | 0.37 |
| 红利ETF | 7.81% | 50% | 7.58% | -0.23% | 0.36 |
| 中证1000 | 1.84% | 45% | 1.26% | -0.58% | 0.11 |
| 标普500ETF | 14.71% | 50% | 14.07% | -0.64% | 0.78 |
> 解读：最优阈值随市场显著变化——大盘蓝筹约 40%，部分成长/小盘/行业或美股的最优阈值不同，说明用单一固定阈值一刀切不合适，应按市场分组标定，或用自适应分位数阈值。
七、完整结果矩阵（年化收益）
| target | 布林下轨买(12,1.5) | 布林下轨买(24,2.0) | 跌破12月新低买 | 跌破24月新低买 | 买入持有 | 死叉买·金叉卖(3/12) | 死叉买·金叉卖(3/6) | 死叉买·金叉卖(6/12) | 金叉买·死叉卖(3/12) | cross_golden_3_6 | 金叉买·死叉卖(6/12) | ratio≥MA12持有 | ratio≥MA6持有 | ratio<MA12持有 | ratio<MA6持有 | 集中度12月下行持有 | 集中度6月下行持有 | 集中度12月上行持有 | 集中度6月上行持有 | 滚动36月20分位买 | 滚动60月30分位买 | ROC(12)转负买 | ROC(6)转负买 | 风格切换 | 阈值<40%且<MA6 | 阈值≥45%持有 | 阈值<40%持有 | 阈值<45%持有 | 阈值<50%持有 | z<0持有 | z<0持有(60) | z<-0.5持有 | z<-0.5持有(60) |
| :---------------- | ----------------: | ----------------: | -----------: | -----------: | ---------: | ----------------: | ---------------: | ----------------: | ----------------: | -------------------: | ----------------: | ---------------: | --------------: | ---------------: | --------------: | -------------: | ------------: | -------------: | ------------: | -------------: | -------------: | -------------: | ------------: | ---------: | --------------: | -----------: | -----------: | -----------: | -----------: | ---------: | ------------: | -----------: | ---------------: |
| 上证50 | -0.0007 | 0.0072 | 0.042 | 0.0193 | 0.0456 | 0.062 | 0.012 | 0.098 | -0.0027 | 0.0497 | -0.0371 | 0.0355 | 0.0485 | 0.0256 | 0.0153 | 0.0469 | 0.0204 | 0.0116 | 0.0414 | 0.0111 | 0.0048 | 0.0452 | 0.0204 | nan | 0.0178 | -0.001 | 0.0933 | 0.0621 | 0.061 | -0.0129 | -0.003 | 0.016 | 0.0167 |
| 上证50ETF | 0.0052 | 0.0137 | 0.0724 | 0.0359 | 0.0904 | 0.1185 | 0.0419 | 0.1585 | -0.0248 | 0.0469 | -0.0581 | 0.0138 | 0.0484 | 0.0759 | 0.0404 | 0.086 | 0.0566 | 0.0044 | 0.0324 | 0.0245 | 0.0152 | 0.0865 | 0.0566 | nan | 0.0429 | 0.0028 | 0.1542 | 0.0878 | 0.0908 | 0.0002 | 0.0109 | 0.0337 | 0.0342 |
| 上证指数 | 0.0093 | 0.0099 | 0.0394 | 0.0127 | 0.0324 | 0.0471 | 0.0089 | 0.0805 | 0.0056 | 0.0478 | -0.0269 | 0.0366 | 0.0514 | 0.0195 | 0.0085 | 0.0405 | 0.0129 | 0.012 | 0.0468 | 0.0103 | 0.0057 | 0.039 | 0.0129 | nan | 0.0092 | 0.0034 | 0.0734 | 0.052 | 0.0556 | -0.0114 | -0.0016 | 0.0199 | 0.0159 |
| 中证1000 | 0.005 | 0.0302 | 0.0005 | -0.0102 | 0.0184 | -0.0489 | -0.0296 | 0.0019 | 0.0632 | 0.042 | 0.0093 | 0.0694 | 0.0424 | -0.0545 | -0.0299 | 0.003 | -0.051 | 0.0081 | 0.0655 | -0.017 | -0.016 | 0.003 | -0.051 | nan | -0.0368 | -0.0014 | 0.0092 | 0.0126 | 0.0112 | -0.0631 | -0.0156 | 0.0069 | -0.001 |
| 中证1000ETF | 0.0048 | 0.043 | 0.0154 | 0.0251 | 0.0165 | -0.0171 | -0.0147 | 0.0116 | 0.025 | 0.0225 | -0.0041 | 0.0446 | 0.0589 | -0.0356 | -0.0486 | 0.0255 | -0.0202 | -0.0176 | 0.0282 | -0.0245 | -0.0253 | 0.0255 | -0.0202 | nan | -0.0591 | -0.0188 | 0.0169 | 0.0268 | 0.0074 | -0.0537 | -0.0105 | -0.0073 | -0.0172 |
| 中证500 | 0.0191 | 0.0309 | 0.0481 | 0.0036 | 0.1046 | 0.0264 | 0.0086 | 0.0682 | 0.0721 | 0.0959 | 0.028 | 0.0817 | 0.0943 | 0.0224 | 0.0146 | 0.0784 | 0.0197 | 0.0204 | 0.0919 | -0.0009 | -0.0027 | 0.0762 | 0.0197 | nan | 0.0141 | 0.0133 | 0.1053 | 0.0879 | 0.1023 | -0.0068 | 0.0097 | 0.026 | 0.018 |
| 中证500ETF | 0.038 | 0.0769 | 0.0415 | 0.0401 | 0.0863 | 0.0033 | -0.0104 | 0.0445 | 0.0788 | 0.0938 | 0.0363 | 0.0914 | 0.0795 | -0.0082 | 0.0027 | 0.0556 | -0.0168 | 0.0254 | 0.1009 | 0.0329 | 0.03 | 0.0556 | -0.0168 | nan | 0.001 | -0.0032 | 0.0839 | 0.0859 | 0.0824 | -0.0256 | 0.0139 | 0.0362 | 0.0336 |
| 中证医疗 | -0.0277 | -0.0072 | -0.0263 | -0.0212 | -0.0672 | -0.0647 | -0.0934 | -0.0315 | -0.0065 | 0.025 | -0.0405 | 0.0143 | -0.0112 | -0.0838 | -0.0602 | -0.0129 | -0.0962 | -0.0586 | 0.0282 | -0.0624 | -0.0546 | -0.0129 | -0.0962 | nan | -0.0583 | 0.0084 | -0.0573 | -0.0784 | -0.0707 | -0.1119 | -0.0652 | -0.0339 | -0.0322 |
| 中证白酒 | -0.0011 | -0.0392 | 0.0741 | 0.0594 | 0.0574 | 0.0236 | 0.0198 | 0.0697 | 0.0399 | 0.0438 | -0.0049 | 0.0608 | 0.0688 | 0.0035 | -0.004 | 0.0565 | 0.0124 | 0.0075 | 0.0514 | 0.0131 | -0.0124 | 0.0565 | 0.0124 | nan | 0.001 | -0.005 | 0.0905 | 0.0699 | 0.0645 | -0.0344 | -0.0197 | 0.0091 | 0.0044 |
| 中证银行 | 0.0048 | -0.0128 | 0.0171 | 0.0156 | 0.0135 | 0.0012 | -0.004 | 0.033 | 0.0138 | 0.0191 | -0.0174 | 0.0236 | 0.0179 | -0.0083 | -0.0028 | 0.0145 | -0.0007 | 0.0005 | 0.0158 | 0.0112 | -0.0009 | 0.0145 | -0.0007 | nan | 0.0072 | 0.0084 | 0.0163 | 0.0066 | 0.015 | -0.0045 | -0.0033 | 0.0187 | 0.0042 |
| 全指医药 | -0.0092 | 0.0118 | -0.0079 | -0.0078 | 0.0274 | -0.0398 | -0.0377 | -0.0112 | 0.0693 | 0.067 | 0.0384 | 0.0894 | 0.0678 | -0.0575 | -0.0384 | -0.007 | -0.0519 | 0.034 | 0.0831 | -0.026 | -0.0196 | -0.007 | -0.0519 | nan | -0.0338 | 0.016 | 0.0272 | 0.0106 | 0.0268 | -0.0656 | -0.034 | -0.0145 | -0.0166 |
| 创业板ETF | 0.0208 | 0.1059 | 0.0173 | 0.0061 | 0.1117 | 0.0255 | 0.0136 | 0.0551 | 0.083 | 0.0957 | 0.0526 | 0.1181 | 0.083 | -0.0067 | 0.0255 | 0.0503 | 0.0102 | 0.0575 | 0.0994 | -0.0064 | -0.008 | 0.0503 | 0.0102 | nan | 0.0148 | -0.0028 | 0.0879 | 0.1138 | 0.1106 | -0.0383 | 0.0038 | 0.0271 | 0.0168 |
| 创业板指 | 0.0199 | 0.0808 | 0.0152 | -0.0118 | 0.0847 | 0.0156 | 0.0135 | 0.0411 | 0.0669 | 0.0692 | 0.0408 | 0.1014 | 0.0879 | -0.0162 | -0.0039 | 0.0409 | -0.0152 | 0.041 | 0.1004 | -0.0239 | -0.0251 | 0.0409 | -0.0152 | nan | -0.0131 | -0.0023 | 0.0639 | 0.0861 | 0.0836 | -0.0684 | -0.0262 | 0.0105 | -0.0052 |
| 医药ETF | -0.0125 | -0.0014 | 0.0086 | 0.0408 | 0.0385 | -0.0332 | -0.0409 | -0.0113 | 0.0731 | 0.0816 | 0.0493 | 0.0888 | 0.0701 | -0.0472 | -0.0305 | 0.0099 | -0.06 | 0.0272 | 0.1037 | 0.0021 | 0.0057 | 0.0099 | -0.06 | nan | -0.0254 | 0.0164 | 0.0424 | 0.0207 | 0.0374 | -0.0467 | -0.005 | -0.01 | 0.0141 |
| 半导体 | 0.0038 | 0.0485 | 0.0036 | -0.0021 | 0.0269 | -0.0233 | -0.0332 | 0.0162 | 0.0467 | 0.0574 | 0.0061 | 0.0643 | 0.0591 | -0.0394 | -0.0347 | -0.0003 | -0.0274 | 0.0226 | 0.0512 | -0.0118 | -0.0098 | -0.0003 | -0.0274 | nan | -0.0363 | -0.0058 | 0.0273 | 0.0283 | 0.0224 | -0.0566 | -0.0261 | 0.0041 | -0.0012 |
| 标普500ETF | 0.0289 | 0.0313 | 0.0656 | 0.0952 | 0.1471 | 0.0887 | 0.0537 | 0.0956 | 0.0478 | 0.0826 | 0.0411 | 0.0562 | 0.0502 | 0.08 | 0.0862 | 0.0615 | 0.046 | 0.0746 | 0.0906 | 0.092 | 0.0772 | 0.0615 | 0.046 | nan | 0.0836 | 0.0036 | 0.1184 | 0.1366 | 0.1407 | 0.0643 | 0.0632 | 0.0688 | 0.0797 |
| 沪深300 | 0.004 | 0.0124 | 0.0442 | 0.0164 | 0.0555 | 0.0541 | 0.0125 | 0.0908 | 0.0176 | 0.0641 | -0.0189 | 0.0485 | 0.063 | 0.0273 | 0.0156 | 0.0598 | 0.0185 | 0.0121 | 0.0594 | 0.0071 | 0.0014 | 0.0574 | 0.0185 | nan | 0.0176 | 0.0025 | 0.0988 | 0.0728 | 0.0754 | -0.0127 | -0.0018 | 0.019 | 0.0185 |
| 沪深300 vs 中证1000 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | 0.0658 | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 沪深300 vs 中证500 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | 0.0873 | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 沪深300ETF | 0.0187 | 0.0546 | 0.0537 | 0.0795 | 0.0715 | 0.0303 | -0.0145 | 0.0769 | 0.04 | 0.0873 | -0.005 | 0.0838 | 0.0783 | -0.0114 | -0.0063 | 0.0529 | -0.0044 | 0.0176 | 0.0762 | 0.062 | 0.052 | 0.0529 | -0.0044 | nan | -0.004 | -0.0118 | 0.0912 | 0.0842 | 0.0715 | -0.0224 | -0.0045 | 0.0318 | 0.0385 |
| 深证成指 | -0.0016 | 0.0129 | 0.0395 | 0.0077 | 0.0236 | 0.0556 | 0.0115 | 0.0856 | 0.0124 | 0.0619 | -0.0193 | 0.047 | 0.0673 | 0.0265 | 0.0088 | 0.0606 | 0.0122 | 0.0075 | 0.0614 | -0.0046 | -0.0085 | 0.0566 | 0.0122 | nan | 0.0083 | 0.0035 | 0.0902 | 0.068 | 0.0717 | -0.0245 | -0.006 | 0.0166 | 0.0158 |
| 科创50 | 0.0079 | 0.1336 | 0.0079 | 0.0534 | 0.0505 | 0.0391 | -0.0231 | -0.0048 | 0.0091 | 0.0734 | 0.0537 | 0.0617 | 0.0327 | -0.0124 | 0.0153 | 0.0666 | 0.0119 | -0.0169 | 0.0362 | -0.0223 | -0.0065 | 0.0666 | 0.0119 | nan | -0.0084 | -0.064 | 0.085 | 0.1203 | 0.0486 | -0.0457 | 0.0261 | 0 | 0.0297 |
| 科创50ETF | 0.0141 | 0.1562 | 0.0141 | 0.0363 | 0.0414 | -0.0067 | -0.0237 | -0.0195 | 0.0461 | 0.0643 | 0.0597 | 0.06 | 0.0477 | -0.0198 | -0.0083 | 0.0888 | 0.018 | -0.0457 | 0.0206 | -0.021 | -0.008 | 0.0888 | 0.018 | nan | -0.0364 | -0.0744 | 0.0785 | 0.1225 | 0.039 | -0.0457 | 0.0306 | 0.0021 | 0.0316 |
| 红利ETF | 0.0027 | -0.0883 | 0.076 | 0.01 | 0.0781 | 0.0774 | -0.0373 | 0.1462 | -0.0015 | 0.1174 | -0.0614 | 0.0234 | 0.067 | 0.0512 | 0.0083 | 0.024 | 0.0013 | 0.0506 | 0.0744 | 0.022 | 0.0091 | 0.024 | 0.0013 | nan | 0.0137 | 0.0319 | 0.0741 | 0.0426 | 0.0758 | 0.0251 | 0.0211 | 0.041 | 0.0304 |
| 纳指ETF | 0.0298 | 0.0528 | 0.0578 | 0.1267 | 0.1998 | 0.0817 | 0.0708 | 0.1009 | 0.1057 | 0.117 | 0.0865 | 0.1171 | 0.0906 | 0.0707 | 0.0967 | 0.0429 | 0.0565 | 0.1468 | 0.1321 | 0.0934 | 0.0791 | 0.0429 | 0.0565 | nan | 0.0934 | -0.003 | 0.1594 | 0.1996 | 0.196 | 0.0549 | 0.0626 | 0.0486 | 0.0725 |
| 证券ETF | -0.0014 | 0.0078 | 0.011 | 0.0294 | 0.004 | 0.0021 | -0.0204 | 0.0292 | 0.0022 | 0.0252 | -0.0242 | 0.0526 | 0.0655 | -0.0459 | -0.0574 | 0.0293 | -0.0171 | -0.0243 | 0.0217 | -0.0143 | -0.0314 | 0.0293 | -0.0171 | nan | -0.0554 | -0.0145 | 0.05 | 0.019 | 0.0043 | -0.0626 | -0.0064 | -0.0259 | -0.0292 |
| 证券公司 | -0.0034 | 0.0053 | 0.0054 | 0.0058 | -0.0602 | -0.0407 | -0.0672 | 0.0345 | -0.0204 | 0.0074 | -0.0916 | 0.0067 | 0.0104 | -0.0665 | -0.0699 | 0.0221 | -0.0649 | -0.0806 | 0.0049 | -0.008 | -0.0231 | 0.0221 | -0.0649 | nan | -0.0676 | -0.013 | -0.0207 | -0.048 | -0.0603 | -0.0821 | -0.0226 | -0.0123 | -0.0181 |
| 银行ETF | 0.0131 | -0.0107 | 0.0296 | 0.0436 | 0.0549 | 0.0378 | 0.0257 | 0.0559 | 0.0196 | 0.0316 | 0.0021 | 0.0625 | 0.0468 | -0.0041 | 0.0109 | 0.0274 | 0.0224 | 0.0299 | 0.035 | 0.0271 | 0.0071 | 0.0274 | 0.0224 | nan | 0.0189 | 0.0124 | 0.0523 | 0.0452 | 0.0582 | 0.0084 | 0.0177 | 0.0166 | 0.01 |
八、完整结果矩阵（夏普比率）
| target | 布林下轨买(12,1.5) | 布林下轨买(24,2.0) | 跌破12月新低买 | 跌破24月新低买 | 买入持有 | 死叉买·金叉卖(3/12) | 死叉买·金叉卖(3/6) | 死叉买·金叉卖(6/12) | 金叉买·死叉卖(3/12) | cross_golden_3_6 | 金叉买·死叉卖(6/12) | ratio≥MA12持有 | ratio≥MA6持有 | ratio<MA12持有 | ratio<MA6持有 | 集中度12月下行持有 | 集中度6月下行持有 | 集中度12月上行持有 | 集中度6月上行持有 | 滚动36月20分位买 | 滚动60月30分位买 | ROC(12)转负买 | ROC(6)转负买 | 风格切换 | 阈值<40%且<MA6 | 阈值≥45%持有 | 阈值<40%持有 | 阈值<45%持有 | 阈值<50%持有 | z<0持有 | z<0持有(60) | z<-0.5持有 | z<-0.5持有(60) |
| :---------------- | ----------------: | ----------------: | -----------: | -----------: | --------: | ----------------: | ---------------: | ----------------: | ----------------: | -------------------: | ----------------: | ---------------: | --------------: | ---------------: | --------------: | -------------: | ------------: | -------------: | ------------: | -------------: | -------------: | -------------: | ------------: | --------: | --------------: | -----------: | -----------: | -----------: | -----------: | --------: | ------------: | -----------: | ---------------: |
| 上证50 | -0.151 | -0.032 | 0.208 | 0.067 | 0.225 | 0.3 | 0.045 | 0.467 | -0.031 | 0.242 | -0.228 | 0.171 | 0.235 | 0.124 | 0.063 | 0.229 | 0.096 | 0.051 | 0.2 | 0.003 | -0.043 | 0.22 | 0.096 | nan | 0.076 | -0.608 | 0.402 | 0.284 | 0.28 | -0.134 | -0.067 | 0.025 | 0.03 |
| 上证50ETF | -0.033 | 0.06 | 0.325 | 0.171 | 0.365 | 0.45 | 0.208 | 0.584 | -0.058 | 0.234 | -0.169 | 0.101 | 0.238 | 0.324 | 0.204 | 0.36 | 0.262 | 0.078 | 0.176 | 0.112 | 0.064 | 0.362 | 0.262 | nan | 0.212 | -0.307 | 0.518 | 0.358 | 0.366 | 0.023 | 0.072 | 0.159 | 0.162 |
| 上证指数 | -0.079 | -0.042 | 0.204 | 0.006 | 0.192 | 0.238 | 0.02 | 0.418 | 0.001 | 0.241 | -0.193 | 0.179 | 0.262 | 0.086 | 0.022 | 0.202 | 0.044 | 0.043 | 0.234 | -0.022 | -0.062 | 0.193 | 0.044 | nan | 0.025 | -0.538 | 0.34 | 0.249 | 0.263 | -0.151 | -0.078 | 0.054 | 0.019 |
| 中证1000 | -0.095 | 0.172 | -0.024 | -0.052 | 0.138 | -0.211 | -0.095 | 0.019 | 0.308 | 0.207 | 0.043 | 0.336 | 0.209 | -0.25 | -0.101 | 0.012 | -0.216 | 0.048 | 0.322 | -0.117 | -0.112 | 0.012 | -0.216 | nan | -0.134 | -0.272 | 0.095 | 0.112 | 0.113 | -0.335 | -0.073 | 0.009 | -0.046 |
| 中证1000ETF | -0.073 | 0.326 | 0.04 | 0.118 | 0.108 | -0.109 | -0.094 | 0.048 | 0.108 | 0.094 | -0.068 | 0.221 | 0.3 | -0.224 | -0.299 | 0.115 | -0.125 | -0.14 | 0.127 | -0.25 | -0.257 | 0.115 | -0.125 | nan | -0.372 | -0.559 | 0.097 | 0.144 | 0.072 | -0.426 | -0.094 | -0.159 | -0.271 |
| 中证500 | 0.043 | 0.145 | 0.25 | -0.027 | 0.413 | 0.135 | 0.062 | 0.337 | 0.333 | 0.454 | 0.149 | 0.392 | 0.453 | 0.124 | 0.093 | 0.373 | 0.103 | 0.113 | 0.413 | -0.074 | -0.087 | 0.363 | 0.103 | nan | 0.09 | -0.061 | 0.421 | 0.365 | 0.406 | -0.064 | 0.032 | 0.113 | 0.059 |
| 中证500ETF | 0.206 | 0.507 | 0.209 | 0.197 | 0.367 | 0.026 | -0.031 | 0.22 | 0.399 | 0.496 | 0.174 | 0.454 | 0.41 | -0.038 | 0.025 | 0.272 | -0.072 | 0.12 | 0.514 | 0.16 | 0.143 | 0.272 | -0.072 | nan | 0.016 | -0.392 | 0.362 | 0.367 | 0.353 | -0.156 | 0.066 | 0.181 | 0.165 |
| 中证医疗 | -0.403 | -0.44 | -0.183 | -0.088 | -0.167 | -0.273 | -0.4 | -0.131 | -0.058 | 0.109 | -0.226 | 0.066 | -0.068 | -0.407 | -0.272 | -0.067 | -0.412 | -0.277 | 0.128 | -0.408 | -0.377 | -0.067 | -0.412 | nan | -0.282 | -0.181 | -0.164 | -0.217 | -0.178 | -0.613 | -0.331 | -0.251 | -0.262 |
| 中证白酒 | -0.071 | -0.773 | 0.351 | 0.274 | 0.276 | 0.149 | 0.128 | 0.311 | 0.193 | 0.214 | -0.011 | 0.28 | 0.314 | 0.051 | 0.033 | 0.264 | 0.085 | 0.081 | 0.244 | 0.068 | -0.07 | 0.264 | 0.085 | nan | 0.04 | -0.447 | 0.368 | 0.309 | 0.295 | -0.149 | -0.071 | 0.031 | -0.001 |
| 中证银行 | -0.161 | -0.725 | 0.025 | 0.026 | 0.044 | -0.096 | -0.127 | 0.166 | 0.004 | 0.045 | -0.243 | 0.086 | 0.037 | -0.179 | -0.124 | 0.01 | -0.112 | -0.101 | 0.021 | -0.031 | -0.159 | 0.01 | -0.112 | nan | -0.056 | -0.267 | 0.046 | -0.001 | 0.054 | -0.156 | -0.152 | 0.027 | -0.13 |
| 全指医药 | -0.218 | -0.014 | -0.103 | -0.075 | 0.153 | -0.21 | -0.188 | -0.068 | 0.373 | 0.369 | 0.187 | 0.472 | 0.368 | -0.329 | -0.2 | -0.065 | -0.285 | 0.163 | 0.446 | -0.236 | -0.195 | -0.065 | -0.285 | nan | -0.181 | -0.079 | 0.148 | 0.086 | 0.151 | -0.451 | -0.226 | -0.172 | -0.197 |
| 创业板ETF | 0.075 | 0.57 | 0.08 | 0.043 | 0.42 | 0.138 | 0.096 | 0.259 | 0.366 | 0.426 | 0.244 | 0.494 | 0.367 | -0.007 | 0.137 | 0.233 | 0.081 | 0.268 | 0.439 | -0.052 | -0.062 | 0.233 | 0.081 | nan | 0.092 | -0.22 | 0.355 | 0.429 | 0.417 | -0.19 | 0.039 | 0.124 | 0.063 |
| 创业板指 | 0.071 | 0.406 | 0.069 | -0.034 | 0.348 | 0.095 | 0.092 | 0.201 | 0.307 | 0.321 | 0.197 | 0.443 | 0.398 | -0.052 | 0.012 | 0.196 | -0.03 | 0.202 | 0.453 | -0.128 | -0.135 | 0.196 | -0.03 | nan | -0.028 | -0.226 | 0.285 | 0.352 | 0.344 | -0.337 | -0.097 | 0.032 | -0.058 |
| 医药ETF | -0.264 | -0.316 | -0.006 | 0.199 | 0.193 | -0.194 | -0.242 | -0.068 | 0.395 | 0.44 | 0.258 | 0.461 | 0.364 | -0.307 | -0.197 | 0.022 | -0.365 | 0.126 | 0.557 | -0.06 | -0.037 | 0.022 | -0.365 | nan | -0.176 | -0.051 | 0.206 | 0.12 | 0.189 | -0.368 | -0.076 | -0.168 | 0.011 |
| 半导体 | -0.081 | 0.271 | -0.019 | -0.036 | 0.157 | -0.115 | -0.149 | 0.076 | 0.234 | 0.307 | 0.013 | 0.329 | 0.308 | -0.208 | -0.169 | -0.015 | -0.139 | 0.105 | 0.259 | -0.118 | -0.106 | -0.015 | -0.139 | nan | -0.178 | -0.446 | 0.153 | 0.159 | 0.14 | -0.347 | -0.154 | -0.028 | -0.068 |
| 标普500ETF | 0.147 | 0.211 | 0.47 | 0.597 | 0.81 | 0.599 | 0.309 | 0.655 | 0.298 | 0.677 | 0.239 | 0.36 | 0.313 | 0.548 | 0.591 | 0.412 | 0.265 | 0.494 | 0.672 | 0.674 | 0.572 | 0.412 | 0.265 | nan | 0.575 | -0.627 | 0.681 | 0.762 | 0.778 | 0.416 | 0.434 | 0.56 | 0.698 |
| 沪深300 | -0.111 | -0.002 | 0.226 | 0.046 | 0.261 | 0.266 | 0.053 | 0.45 | 0.078 | 0.318 | -0.113 | 0.24 | 0.312 | 0.134 | 0.071 | 0.295 | 0.086 | 0.053 | 0.291 | -0.031 | -0.077 | 0.283 | 0.086 | nan | 0.081 | -0.393 | 0.421 | 0.322 | 0.331 | -0.132 | -0.058 | 0.051 | 0.047 |
| 沪深300 vs 中证1000 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | 0.306 | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 沪深300 vs 中证500 | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | nan | 0.369 | nan | nan | nan | nan | nan | nan | nan | nan | nan |
| 沪深300ETF | 0.052 | 0.269 | 0.262 | 0.38 | 0.311 | 0.151 | -0.064 | 0.37 | 0.19 | 0.431 | -0.036 | 0.391 | 0.368 | -0.072 | -0.041 | 0.252 | -0.015 | 0.073 | 0.376 | 0.313 | 0.259 | 0.252 | -0.015 | nan | -0.031 | -0.985 | 0.38 | 0.355 | 0.311 | -0.157 | -0.038 | 0.152 | 0.198 |
| 深证成指 | -0.137 | 0.011 | 0.195 | 0.008 | 0.167 | 0.264 | 0.066 | 0.401 | 0.052 | 0.304 | -0.103 | 0.232 | 0.325 | 0.138 | 0.051 | 0.29 | 0.072 | 0.039 | 0.3 | -0.088 | -0.115 | 0.271 | 0.072 | nan | 0.049 | -0.263 | 0.379 | 0.303 | 0.314 | -0.168 | -0.053 | 0.047 | 0.042 |
| 科创50 | 0.011 | 0.606 | 0.011 | 0.246 | 0.25 | 0.189 | -0.051 | -0.007 | 0.084 | 0.332 | 0.249 | 0.277 | 0.171 | -0.056 | 0.089 | 0.307 | 0.086 | -0.005 | 0.181 | -0.115 | -0.036 | 0.307 | 0.086 | nan | -0.02 | -0.742 | 0.35 | 0.443 | 0.245 | -0.224 | 0.135 | -0.024 | 0.135 |
| 科创50ETF | 0.053 | 0.665 | 0.053 | 0.181 | 0.226 | -0.017 | -0.051 | -0.071 | 0.222 | 0.289 | 0.269 | 0.27 | 0.228 | -0.077 | -0.005 | 0.384 | 0.109 | -0.122 | 0.123 | -0.09 | -0.029 | 0.384 | 0.109 | nan | -0.137 | -0.768 | 0.326 | 0.443 | 0.221 | -0.199 | 0.158 | -0.001 | 0.147 |
| 红利ETF | 0.092 | -0.13 | 0.329 | 0.114 | 0.361 | 0.335 | 0.054 | 0.495 | 0.089 | 0.437 | -0.057 | 0.163 | 0.292 | 0.274 | 0.165 | 0.2 | 0.134 | 0.25 | 0.317 | 0.153 | 0.109 | 0.2 | 0.134 | nan | 0.179 | 0.167 | 0.349 | 0.291 | 0.357 | 0.194 | 0.187 | 0.211 | 0.176 |
| 纳指ETF | 0.146 | 0.394 | 0.367 | 0.697 | 0.913 | 0.472 | 0.391 | 0.555 | 0.635 | 0.739 | 0.557 | 0.656 | 0.54 | 0.434 | 0.563 | 0.241 | 0.32 | 0.804 | 0.774 | 0.655 | 0.57 | 0.241 | 0.32 | nan | 0.55 | -0.939 | 0.782 | 0.918 | 0.896 | 0.326 | 0.41 | 0.326 | 0.61 |
| 证券ETF | -0.145 | -0.125 | 0.022 | 0.139 | 0.061 | -0.022 | -0.131 | 0.134 | 0.002 | 0.11 | -0.155 | 0.247 | 0.309 | -0.315 | -0.378 | 0.135 | -0.127 | -0.182 | 0.097 | -0.194 | -0.364 | 0.135 | -0.127 | nan | -0.385 | -1.378 | 0.229 | 0.117 | 0.062 | -0.568 | -0.078 | -0.384 | -0.412 |
| 证券公司 | -0.185 | -0.178 | 0.019 | 0.048 | -0.125 | -0.15 | -0.246 | 0.169 | -0.116 | 0.012 | -0.452 | 0.035 | 0.051 | -0.294 | -0.307 | 0.114 | -0.245 | -0.412 | 0.004 | -0.064 | -0.16 | 0.114 | -0.245 | nan | -0.306 | -1.393 | -0.002 | -0.082 | -0.123 | -0.434 | -0.089 | -0.114 | -0.147 |
| 银行ETF | -0.041 | -0.622 | 0.141 | 0.244 | 0.283 | 0.207 | 0.104 | 0.36 | 0.056 | 0.151 | -0.085 | 0.384 | 0.267 | -0.167 | -0.027 | 0.117 | 0.074 | 0.138 | 0.177 | 0.117 | -0.103 | 0.117 | 0.074 | nan | 0.038 | -0.125 | 0.291 | 0.23 | 0.301 | -0.067 | 0.023 | -0.008 | -0.092 |
九、证据与验证
- 无未来函数：
position[M] = raw_signal[M-1]，逐月对齐校验 mismatch=0。
- 换手极低：阈值策略 20 年约 12~24 次调仓，均线穿越 20~40 次，手续费影响可忽略。
- 数据清洗：剔除非正价格 + 单月
| 收益 |
>50% 的脏数据月（同花顺 ETF 早期数据）。
- 口径说明：价格指数/不复权价格（不含分红再投），故年化整体偏保守；策略 vs 基准的相对结论不受影响。
十、落地建议（待确认）
- 首选：
阈值<40%持有（或 <45%）作为 A 股大盘（沪深300/上证50） 的择时 overlay，集中度≥阈值时降仓/空仓。
- 阈值按市场标定：第六节显示最优阈值随市场变化，落地时应按「大盘/成长/行业」分组各自标定阈值，不要全局一个 40%。
- 可探索（不直接落地）：对成长/小盘/行业，可用「集中度上行（金叉买）/自适应分位数」做进攻信号，但必须过样本外验证。
- 不适用：美股/海外市场不要套用该指标；科创板样本不足，先观察不落地。
- 待确认：阈值/窗口参数是否过拟合，建议做 Walk-Forward 滚动样本外验证后再定。
▶ 📜 变更历史（1 次提交）
853d6d02026-09-13 17:39chore: 提交工作区累积改动