现行规则 v2：动量门 + 回踩确认 + 状态门（沪深300 000300.SH）+ 最低波动率前 2 只 · 数据截至 2026-11-13 · 页面生成于 2026-11-14 17:38（CST）
同日其它指数：上证指数 000001.SH 3,634.35 / 20日线 3,668.61（在20日线之下） · 深证成指 399001.SZ 10,968.79 / 20日线 11,319.66（在20日线之下）
当日 v2 候选 0 只。下表是状态门拦下的回踩票，仅作记录，不是候选。
| 代码 | 名称 | 收盘价 | 5日 | 10日 | 波动率20日 | 距20日高点 | 5日均成交额 |
|---|---|---|---|---|---|---|---|
| 301322.SZ | 绿通科技 | 42.42 | +4.1% | +38.0% | 5.0% | -4.0% | 1.11 亿 |
| 300056.SZ | 中创环保 | 8.90 | +18.7% | +26.2% | 5.8% | -2.4% | 2.05 亿 |
筛选规则与上图相同。
| 排名 | 代码 | 名称 | 收盘价 | 5日 | 10日 | 波动率20日 | 参考止盈 / 止损 | H10 | H20 |
|---|---|---|---|---|---|---|---|---|---|
| 1 | 003023.SZ | 彩虹集团 | 27.75 | +8.2% | +33.0% | 2.9% | 29.97 / 26.08 | -1.58% | -8.08% |
| 2 | 603655.SH | 朗博科技 | 33.64 | -0.1% | +27.8% | 4.1% | 36.33 / 31.62 | -10.18% | -15.83% |
H10/H20 口径：信号日次日开盘买入、第 10 / 20 根 K 线收盘卖出，不计费用。参考止盈止损为收盘价 +8% / −6%。
收盘 20日线
左柱 H10 · 右柱 H20 · 红涨绿跌 · 全样本 H10 +2.58% / H20 +5.13%
已结算 2 只 · 待结算 0 只 · 均值与胜率并列，胜率不等于盈利 · 期间不调参
| 信号日 | 代码 | 名称 | 收盘价 | H10 | H20 |
|---|---|---|---|---|---|
| 2026-08-18 | 003023.SZ | 彩虹集团 | 27.75 | -1.58% | -8.08% |
| 2026-08-18 | 603655.SH | 朗博科技 | 33.64 | -10.18% | -15.83% |
代码表 5582 → universe 4424 → 成交额过门 2260 → 进入历史 800（按成交额取前 800）→ 过门 92 · v1 回测四段全负（H20 −3.97%），已停用。
| 排名 | 代码 | 名称 | 现价 | 今日 | 5日 | 10日 | 分数 | 提示 |
|---|---|---|---|---|---|---|---|---|
| 1 | 600715.SH | 文投控股 | 3.40 | +10.03% | +44.7% | +66.7% | 99.9 | 涨停附近 |
| 2 | 603366.SH | 日出东方 | 13.90 | +5.54% | +54.6% | +76.6% | 99.8 | |
| 3 | 002931.SZ | 锋龙股份 | 58.10 | +2.65% | +45.7% | +55.5% | 97.5 | |
| 4 | 603706.SH | 东方环宇 | 27.75 | +3.28% | +51.2% | +61.9% | 93.4 | |
| 5 | 600327.SH | 大东方 | 6.46 | -10.03% | +31.6% | +67.8% | 91.4 | 跌停附近 |
| 6 | 000026.SZ | 飞亚达 | 24.61 | +1.11% | +34.1% | +50.8% | 90.2 | |
| 7 | 002623.SZ | 亚玛顿 | 26.25 | +2.30% | +49.7% | +52.3% | 89.4 | |
| 8 | 300473.SZ | 德尔股份 | 56.72 | -0.60% | +33.4% | +48.6% | 88.8 | |
| 9 | 002086.SZ | 东方海洋 | 4.82 | -6.59% | +21.4% | +70.3% | 83.1 | |
| 10 | 002148.SZ | 北纬科技 | 7.95 | +9.96% | +35.2% | +43.8% | 82.3 | 涨停附近 |
| 11 | 301252.SZ | 同星科技 | 41.97 | -3.00% | +36.6% | +38.4% | 82.2 | |
| 12 | 603396.SH | 金辰股份 | 35.32 | +10.00% | +32.1% | +47.3% | 80.2 | 涨停附近 |
| 13 | 300528.SZ | 幸福蓝海 | 17.99 | +20.01% | +22.6% | +53.8% | 78.2 | 涨停附近 |
| 14 | 300825.SZ | 阿尔特 | 13.68 | -4.13% | +27.1% | +36.7% | 77.6 | |
| 15 | 300426.SZ | 华智数媒 | 11.19 | +3.52% | +14.6% | +73.5% | 76.6 | |
| 16 | 600892.SH | 大晟文化 | 5.63 | +3.30% | +21.6% | +41.8% | 75.5 | |
| 17 | 301218.SZ | 华是科技 | 99.86 | +15.31% | +16.4% | +47.1% | 73.6 | |
| 18 | 002164.SZ | 宁波东力 | 23.71 | +0.81% | +26.9% | +24.6% | 73.1 | |
| 19 | 603466.SH | 风语筑 | 16.50 | +2.93% | +21.1% | +37.3% | 72.9 | |
| 20 | 601595.SH | 上海电影 | 41.20 | -2.25% | +15.2% | +49.8% | 72.9 | |
| 21 | 002708.SZ | 光洋股份 | 24.65 | -1.79% | +23.4% | +29.6% | 71.7 | |
| 22 | 002578.SZ | 闽发铝业 | 5.44 | -9.93% | +8.6% | +74.9% | 71.1 | 跌停附近 |
| 23 | 002425.SZ | 凯撒文化 | 3.96 | +10.00% | +23.0% | +38.5% | 70.2 | 涨停附近 |
| 24 | 603666.SH | 亿嘉和 | 31.50 | +5.04% | +26.4% | +29.7% | 69.8 | |
| 25 | 603286.SH | 日盈电子 | 64.91 | +10.00% | +29.0% | +20.2% | 69.6 | 涨停附近 |
| 26 | 002310.SZ | 东方新能 | 2.73 | -9.90% | +17.7% | +36.5% | 69.1 | 跌停附近 |
| 27 | 301052.SZ | 果麦文化 | 46.09 | +5.04% | +13.4% | +41.1% | 68.3 | |
| 28 | 000530.SZ | 冰山冷热 | 10.33 | -5.66% | +18.7% | +30.4% | 67.8 | |
| 29 | 603258.SH | 电魂网络 | 18.86 | -0.16% | +19.0% | +36.8% | 67.4 | |
| 30 | 002520.SZ | 日发精机 | 7.70 | +10.00% | +21.3% | +24.2% | 66.1 | 涨停附近 |
| 31 | 002187.SZ | 广百股份 | 6.97 | +9.94% | +22.1% | +32.3% | 65.7 | 涨停附近 |
| 32 | 600410.SH | 华胜天成 | 14.30 | +10.00% | +12.8% | +30.9% | 64.1 | 涨停附近 |
| 33 | 600467.SH | 好当家 | 2.73 | +10.08% | +23.0% | +27.0% | 63.9 | 涨停附近 |
| 34 | 300237.SZ | 美晨科技 | 3.26 | +19.85% | +15.6% | +37.5% | 63.8 | 涨停附近 |
| 35 | 601188.SH | 龙江交通 | 4.30 | -8.90% | +12.9% | +31.9% | 63.7 | |
| 36 | 601599.SH | 浙文影业 | 5.04 | -6.67% | -0.8% | +60.0% | 63.6 | |
| 37 | 603283.SH | 赛腾股份 | 41.99 | -7.29% | +14.8% | +27.8% | 63.5 | |
| 38 | 601091.SH | 沈鼓集团 | 22.23 | +6.26% | +24.8% | +28.6% | 63.3 | |
| 39 | 300613.SZ | 富瀚微 | 79.48 | -4.00% | +18.1% | +16.5% | 61.9 | |
| 40 | 000995.SZ | 皇台酒业 | 18.37 | +0.27% | +11.8% | +29.5% | 61.8 | |
| 41 | 601929.SH | 吉视传媒 | 2.69 | -4.27% | +12.6% | +28.1% | 61.6 | |
| 42 | 001330.SZ | 博纳影业 | 6.78 | +7.28% | +8.8% | +34.0% | 61.6 | |
| 43 | 300508.SZ | 维宏股份 | 49.55 | +1.60% | +14.4% | +35.4% | 61.6 | |
| 44 | 603236.SH | 移远通信 | 83.00 | -2.58% | +7.4% | +37.6% | 61.5 | |
| 45 | 600261.SH | 阳光照明 | 5.73 | -10.05% | +6.1% | +40.1% | 61.0 | 跌停附近 |
| 46 | 301717.SZ | 超纯应材 | 309.65 | +0.54% | +17.3% | +21.1% | 60.7 | |
| 47 | 600228.SH | 返利科技 | 10.97 | +5.18% | +27.1% | +34.3% | 60.7 | |
| 48 | 002685.SZ | 华东重机 | 5.54 | +9.92% | +19.9% | +24.5% | 60.5 | 涨停附近 |
| 49 | 002124.SZ | 天邦食品 | 2.31 | +10.00% | +15.5% | +29.0% | 60.4 | 涨停附近 |
| 50 | 603536.SH | 惠发食品 | 11.74 | -9.97% | +20.4% | +24.1% | 60.2 | 跌停附近 |
| 51 | 300666.SZ | 江丰电子 | 209.04 | +1.94% | +6.9% | +33.9% | 59.4 | |
| 52 | 600853.SH | 龙建股份 | 4.18 | -0.71% | +19.4% | +19.1% | 59.2 | |
| 53 | 603687.SH | 大胜达 | 13.95 | +1.97% | +15.7% | +23.4% | 59.2 | |
| 54 | 300006.SZ | 莱美药业 | 11.34 | -4.14% | +16.2% | +14.2% | 59.0 | |
| 55 | 300052.SZ | 中青宝 | 11.50 | -4.64% | +15.3% | +26.0% | 58.9 | |
| 56 | 603920.SH | 世运电路 | 38.16 | -3.64% | +25.0% | +19.4% | 58.6 | |
| 57 | 300556.SZ | 丝路视觉 | 20.78 | +0.14% | +13.6% | +27.8% | 58.6 | |
| 58 | 300969.SZ | 恒帅股份 | 93.51 | +3.67% | +11.1% | +32.5% | 58.3 | |
| 59 | 600829.SH | 人民同泰 | 10.18 | +4.09% | +17.6% | +20.9% | 57.4 | |
| 60 | 301421.SZ | 波长光电 | 66.00 | +6.30% | +16.9% | +23.2% | 57.3 | |
| 61 | 301165.SZ | 锐捷网络 | 82.50 | +1.54% | +17.8% | +29.3% | 57.1 | |
| 62 | 600259.SH | 中稀有色 | 66.63 | -9.98% | +7.5% | +26.4% | 56.3 | 跌停附近 |
| 63 | 300843.SZ | 胜蓝股份 | 100.40 | +1.34% | +19.8% | +30.1% | 56.1 | |
| 64 | 300692.SZ | 中赋科技 | 9.82 | +5.93% | +15.4% | +22.8% | 55.9 | |
| 65 | 605169.SH | 洪通燃气 | 14.32 | +5.68% | +22.6% | +12.1% | 55.9 | |
| 66 | 603955.SH | 大千生态 | 33.97 | +1.86% | +7.6% | +34.8% | 55.4 | |
| 67 | 603297.SH | 永新光学 | 115.60 | +3.11% | +10.7% | +29.6% | 55.0 | |
| 68 | 002313.SZ | 日海智能 | 9.32 | -3.02% | +11.3% | +26.6% | 54.9 | |
| 69 | 300364.SZ | 中文在线 | 27.73 | +2.21% | +5.8% | +25.4% | 54.8 | |
| 70 | 605577.SH | 龙版传媒 | 16.11 | -1.95% | +3.8% | +36.3% | 54.3 | |
| 71 | 603598.SH | 引力传媒 | 21.28 | -1.94% | -1.3% | +35.4% | 53.7 | |
| 72 | 300788.SZ | 中信出版 | 35.20 | -1.46% | +4.8% | +37.2% | 53.5 | |
| 73 | 603636.SH | 南威软件 | 9.50 | +9.95% | +8.6% | +25.3% | 53.4 | 涨停附近 |
| 74 | 600609.SH | 金杯汽车 | 3.65 | -2.93% | +15.5% | +14.4% | 53.4 | |
| 75 | 300324.SZ | 旋极信息 | 3.88 | +17.58% | +20.5% | +27.2% | 53.1 | |
| 76 | 002045.SZ | 国光电器 | 10.21 | -6.59% | +3.5% | +27.3% | 53.1 | |
| 77 | 600857.SH | 宁波中百 | 16.30 | +8.67% | +23.5% | +22.1% | 51.0 | |
| 78 | 301551.SZ | 无线传媒 | 27.35 | +3.05% | +3.9% | +29.8% | 50.6 | |
| 79 | 300005.SZ | 探路者 | 10.78 | +2.76% | +18.5% | +21.5% | 50.3 | |
| 80 | 002712.SZ | 思美传媒 | 5.88 | -5.16% | -1.3% | +31.0% | 50.1 | |
| 81 | 301262.SZ | 海看股份 | 24.40 | -2.09% | +1.6% | +26.4% | 49.7 | |
| 82 | 002703.SZ | 浙江世宝 | 15.72 | -3.08% | +15.9% | +14.8% | 48.9 | |
| 83 | 301209.SZ | 联合化学 | 48.10 | +7.34% | +25.1% | +7.9% | 47.8 | |
| 84 | 603725.SH | 天安新材 | 12.38 | -5.93% | +15.8% | +24.1% | 45.7 | |
| 85 | 002593.SZ | 日上集团 | 4.75 | -9.18% | +17.3% | +17.6% | 45.5 | |
| 86 | 603353.SH | 和顺石油 | 31.71 | +7.56% | +18.4% | +16.3% | 45.1 | |
| 87 | 300990.SZ | 同飞股份 | 80.12 | -8.50% | +21.6% | +3.1% | 44.5 | |
| 88 | 600408.SH | 安泰集团 | 3.55 | -2.74% | +17.6% | +10.2% | 44.4 | |
| 89 | 301486.SZ | 致尚科技 | 147.81 | -5.44% | +17.3% | +1.9% | 42.8 | |
| 90 | 002913.SZ | 奥士康 | 61.15 | -9.58% | +15.1% | +9.6% | 42.6 | 跌停附近 |
| 91 | 300548.SZ | 长芯博创 | 122.68 | -5.96% | +15.7% | -2.7% | 40.3 | |
| 92 | 001331.SZ | 胜通能源 | 33.27 | -4.51% | +16.7% | +4.2% | 39.1 |
因子 IC 全为负，动量反转：过去涨得多的，未来 5 天倾向于跌回去。回测引擎 PF 最高 1.128（回踩 + 状态门 + 不限持有），未达 1.2 标准。每日高胜率目标已证不可行：隔夜最高胜率 50.4%，两仓位轮动平均每天 −¥9。
以上为样本内结果，存在选择偏差与生存偏差（偏乐观）。真正的检验是影子跟踪的前向数据。