可转债低风险多因子策略 V1.0 MVP
报告截止：2026-07-16T00:00:00
研究报告模式·QMT 实盘交易已禁用，本页不含任何下单功能。
结果质量：降级 · AkShare 历史结果明确标记为探索性：强赎与历史元数据并非完整时点快照。
期末资产
¥968,665.58
累计收益
-3.13%
年化收益
-10.39%
最大回撤
-9.16%
夏普比率
-1.278
年化波动率
10.00%
交易记录数
200
当前持仓数
20
净值曲线
最新 TOP20 排名
| date | bond_code | open | high | low | close | volume | amount | conversion_premium_pct | ytm | _universe_average_amount | double_low_raw | premium_raw | ytm_raw | momentum_20_raw | momentum_60_raw | amount_20d_raw | volatility_raw | max_drawdown_raw | bond_name | stock_code | rating | redeem_status | redeem_status_source | remaining_days | average_amount | eligible | exclusion_reason | double_low_score | premium_score | ytm_score | momentum_20_score | momentum_60_score | liquidity_score | volatility_score | drawdown_score | value_score | trend_score | liquidity_factor_score | risk_score | factor_coverage | composite_score | rank |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-07-16T00:00:00 | 113070 | 128.008 | 128.617 | 127.400 | 127.543 | 387010.0 | 4.936042e+07 | 44.712250 | -5.280342 | 5.335476e+07 | 172.255250 | 44.712250 | -5.280342 | -0.001237 | -0.018817 | 5.335476e+07 | 0.092746 | -0.065603 | 渝水转债 | 601158 | AAA | historical | 1638 | 5.335476e+07 | True | 0.884211 | 0.894737 | 0.842105 | 0.715789 | 0.863158 | 0.578947 | 0.936842 | 0.894737 | 0.873684 | 0.789474 | 0.578947 | 0.915789 | 1.0 | 0.818947 | 1 | ||
| 2026-07-16T00:00:00 | 113052 | 117.201 | 117.800 | 116.855 | 117.506 | 2339350.0 | 2.748877e+08 | 33.940871 | -10.540434 | 4.162612e+08 | 151.446871 | 33.940871 | -10.540434 | 0.016488 | -0.028884 | 4.162612e+08 | 0.076946 | -0.050113 | 兴业转债 | 601166 | AAA | historical | 529 | 4.162612e+08 | True | 0.905263 | 0.905263 | 0.294737 | 0.915789 | 0.778947 | 0.957895 | 0.968421 | 0.968421 | 0.701754 | 0.847368 | 0.957895 | 0.968421 | 1.0 | 0.809298 | 2 | ||
| 2026-07-16T00:00:00 | 110081 | 111.010 | 112.958 | 108.128 | 108.195 | 7172910.0 | 7.760730e+08 | 5.606603 | -7.347115 | 1.171721e+09 | 113.801603 | 5.606603 | -7.347115 | 0.135298 | 0.037722 | 1.171721e+09 | 0.414191 | -0.159886 | 闻泰转债 | 600745 | BBB+ | historical | 377 | 1.171721e+09 | True | 0.957895 | 0.978947 | 0.673684 | 1.000000 | 1.000000 | 1.000000 | 0.063158 | 0.189474 | 0.870175 | 1.000000 | 1.000000 | 0.126316 | 1.0 | 0.804035 | 3 | ||
| 2026-07-16T00:00:00 | 127089 | 123.300 | 124.327 | 122.646 | 123.400 | 891094.0 | 1.099610e+08 | 54.684507 | -6.755336 | 1.694103e+08 | 178.084507 | 54.684507 | -6.755336 | -0.002240 | -0.032840 | 1.694103e+08 | 0.130238 | -0.075865 | 晶澳转债 | 002459 | AA+sti | historical | 1098 | 1.694103e+08 | True | 0.863158 | 0.842105 | 0.757895 | 0.684211 | 0.736842 | 0.884211 | 0.694737 | 0.831579 | 0.821053 | 0.710526 | 0.884211 | 0.763158 | 1.0 | 0.799737 | 4 | ||
| 2026-07-16T00:00:00 | 113062 | 129.627 | 130.116 | 129.258 | 129.752 | 1073820.0 | 1.393303e+08 | 9.166346 | -11.318157 | 1.412380e+08 | 138.918346 | 9.166346 | -11.318157 | 0.001791 | -0.009133 | 1.412380e+08 | 0.050847 | -0.037446 | 常银转债 | 601128 | AAA | historical | 792 | 1.412380e+08 | True | 0.926316 | 0.957895 | 0.231579 | 0.768421 | 0.926316 | 0.842105 | 0.989474 | 1.000000 | 0.705263 | 0.847368 | 0.842105 | 0.994737 | 1.0 | 0.797632 | 5 | ||
| 2026-07-16T00:00:00 | 113056 | 126.777 | 127.696 | 125.970 | 127.305 | 1089540.0 | 1.387039e+08 | 11.361679 | -13.337122 | 1.879009e+08 | 138.666679 | 11.361679 | -13.337122 | -0.002351 | -0.008204 | 1.879009e+08 | 0.074060 | -0.041484 | 重银转债 | 601963 | AAA | historical | 616 | 1.879009e+08 | True | 0.936842 | 0.947368 | 0.136842 | 0.673684 | 0.947368 | 0.915789 | 0.978947 | 0.989474 | 0.673684 | 0.810526 | 0.915789 | 0.984211 | 1.0 | 0.783947 | 6 | ||
| 2026-07-16T00:00:00 | 127049 | 112.632 | 114.600 | 112.603 | 114.170 | 1911800.0 | 2.182702e+08 | 65.624699 | -9.707396 | 1.698293e+08 | 179.794699 | 65.624699 | -9.707396 | 0.043601 | -0.032720 | 1.698293e+08 | 0.098722 | -0.096631 | 希望转2 | 000876 | AAA | historical | 474 | 1.698293e+08 | True | 0.852632 | 0.726316 | 0.378947 | 0.957895 | 0.747368 | 0.894737 | 0.915789 | 0.673684 | 0.652632 | 0.852632 | 0.894737 | 0.794737 | 1.0 | 0.750263 | 7 | ||
| 2026-07-16T00:00:00 | 110092 | 78.999 | 79.860 | 76.800 | 78.555 | 8718790.0 | 6.849045e+08 | 29.637213 | 10.231804 | 5.965483e+08 | 108.192213 | 29.637213 | 10.231804 | 0.003410 | -0.238631 | 5.965483e+08 | 0.776668 | -0.452993 | 三房转债 | 600370 | A- | historical | 905 | 5.965483e+08 | True | 0.978947 | 0.926316 | 1.000000 | 0.778947 | 0.031579 | 0.968421 | 0.010526 | 0.010526 | 0.968421 | 0.405263 | 0.968421 | 0.010526 | 1.0 | 0.712105 | 8 | ||
| 2026-07-16T00:00:00 | 113067 | 129.700 | 129.977 | 128.816 | 129.125 | 289950.0 | 3.743979e+07 | 51.028271 | -8.087917 | 6.022021e+07 | 180.153271 | 51.028271 | -8.087917 | 0.008529 | -0.038447 | 6.022021e+07 | 0.127915 | -0.110122 | 燃23转债 | 601139 | AAA | historical | 1107 | 6.022021e+07 | True | 0.842105 | 0.873684 | 0.515789 | 0.842105 | 0.663158 | 0.631579 | 0.715789 | 0.547368 | 0.743860 | 0.752632 | 0.631579 | 0.631579 | 1.0 | 0.711930 | 9 | ||
| 2026-07-16T00:00:00 | 118031 | 123.630 | 124.830 | 123.077 | 123.673 | 920580.0 | 1.138509e+08 | 62.460427 | -7.900053 | 1.188166e+08 | 186.133427 | 62.460427 | -7.900053 | -0.005180 | -0.054321 | 1.188166e+08 | 0.103724 | -0.089811 | 天23转债 | 688599 | AA | historical | 943 | 1.188166e+08 | True | 0.757895 | 0.747368 | 0.547368 | 0.642105 | 0.536842 | 0.821053 | 0.884211 | 0.736842 | 0.684211 | 0.589474 | 0.821053 | 0.810526 | 1.0 | 0.704737 | 10 | ||
| 2026-07-16T00:00:00 | 127061 | 99.665 | 99.700 | 98.033 | 99.243 | 1010076.0 | 1.002430e+08 | 51.309617 | 0.431902 | 1.041475e+08 | 150.552617 | 51.309617 | 0.431902 | 0.059157 | -0.185745 | 1.041475e+08 | 0.314495 | -0.268517 | 美锦转债 | 000723 | A | historical | 644 | 1.041475e+08 | True | 0.915789 | 0.863158 | 0.978947 | 0.989474 | 0.042105 | 0.789474 | 0.094737 | 0.042105 | 0.919298 | 0.515789 | 0.789474 | 0.068421 | 1.0 | 0.691491 | 11 | ||
| 2026-07-16T00:00:00 | 127111 | 129.300 | 129.772 | 128.630 | 129.500 | 463714.0 | 6.005096e+07 | 62.957705 | -4.947110 | 5.995648e+07 | 192.457705 | 62.957705 | -4.947110 | 0.005435 | -0.083964 | 5.995648e+07 | 0.135580 | -0.125869 | 金威转债 | 002626 | AA | historical | 1861 | 5.995648e+07 | True | 0.715789 | 0.736842 | 0.863158 | 0.800000 | 0.305263 | 0.621053 | 0.600000 | 0.410526 | 0.771930 | 0.552632 | 0.621053 | 0.505263 | 1.0 | 0.665439 | 12 | ||
| 2026-07-16T00:00:00 | 113682 | 128.500 | 130.059 | 128.199 | 129.625 | 390710.0 | 5.064578e+07 | 90.173122 | -6.892859 | 4.888291e+07 | 219.798122 | 90.173122 | -6.892859 | 0.027416 | -0.008468 | 4.888291e+07 | 0.134412 | -0.082696 | 益丰转债 | 603939 | AA | historical | 1327 | 4.888291e+07 | True | 0.494737 | 0.505263 | 0.736842 | 0.947368 | 0.936842 | 0.515789 | 0.631579 | 0.800000 | 0.578947 | 0.942105 | 0.515789 | 0.715789 | 1.0 | 0.662632 | 13 | ||
| 2026-07-16T00:00:00 | 118027 | 87.191 | 88.000 | 86.500 | 86.919 | 532960.0 | 4.632435e+07 | 14.037728 | 6.091206 | 1.862545e+08 | 100.956728 | 14.037728 | 6.091206 | -0.051527 | -0.150169 | 1.862545e+08 | 0.595818 | -0.239889 | 宏图转债 | 688066 | B- | historical | 866 | 1.862545e+08 | True | 1.000000 | 0.936842 | 0.989474 | 0.126316 | 0.084211 | 0.905263 | 0.021053 | 0.063158 | 0.975439 | 0.105263 | 0.905263 | 0.042105 | 1.0 | 0.650877 | 14 | ||
| 2026-07-16T00:00:00 | 113632 | 108.021 | 108.600 | 103.550 | 104.460 | 3426980.0 | 3.579823e+08 | 0.239948 | -3.206630 | 6.079432e+08 | 104.699948 | 0.239948 | -3.206630 | -0.316111 | -0.242148 | 6.079432e+08 | 0.460455 | -0.316111 | 鹤21转债 | 603733 | AA | historical | 489 | 6.079432e+08 | True | 0.989474 | 0.989474 | 0.957895 | 0.021053 | 0.021053 | 0.978947 | 0.042105 | 0.031579 | 0.978947 | 0.021053 | 0.978947 | 0.036842 | 1.0 | 0.646053 | 15 | ||
| 2026-07-16T00:00:00 | 118040 | 105.401 | 106.947 | 102.503 | 102.586 | 2620740.0 | 2.688512e+08 | 5.891631 | -0.840368 | 8.468486e+08 | 108.477631 | 5.891631 | -0.840368 | -0.358079 | -0.298893 | 8.468486e+08 | 0.595545 | -0.378685 | 宏微转债 | 688711 | A | historical | 1105 | 8.468486e+08 | True | 0.968421 | 0.968421 | 0.968421 | 0.010526 | 0.010526 | 0.989474 | 0.031579 | 0.021053 | 0.968421 | 0.010526 | 0.989474 | 0.026316 | 1.0 | 0.638684 | 16 | ||
| 2026-07-16T00:00:00 | 127083 | 119.620 | 120.042 | 119.100 | 119.387 | 271180.0 | 3.237537e+07 | 75.069474 | -6.378367 | 5.656848e+07 | 194.456474 | 75.069474 | -6.378367 | -0.015771 | -0.068301 | 5.656848e+07 | 0.115749 | -0.096140 | 山路转债 | 000498 | AAA | historical | 982 | 5.656848e+07 | True | 0.694737 | 0.652632 | 0.789474 | 0.421053 | 0.368421 | 0.600000 | 0.821053 | 0.684211 | 0.712281 | 0.394737 | 0.600000 | 0.752632 | 1.0 | 0.637982 | 17 | ||
| 2026-07-16T00:00:00 | 127105 | 127.880 | 129.288 | 127.140 | 128.561 | 192910.0 | 2.480070e+07 | 55.668852 | -6.835623 | 9.430328e+07 | 184.229852 | 55.668852 | -6.835623 | -0.014103 | -0.065018 | 9.430328e+07 | 0.240157 | -0.141287 | 龙星转债 | 002442 | AA- | historical | 1296 | 9.430328e+07 | True | 0.789474 | 0.831579 | 0.747368 | 0.442105 | 0.410526 | 0.768421 | 0.157895 | 0.294737 | 0.789474 | 0.426316 | 0.768421 | 0.226316 | 1.0 | 0.629211 | 18 | ||
| 2026-07-16T00:00:00 | 127108 | 125.404 | 126.498 | 125.122 | 125.869 | 385700.0 | 4.854767e+07 | 59.934463 | -4.779091 | 7.943345e+07 | 185.803463 | 59.934463 | -4.779091 | -0.034006 | -0.067637 | 7.943345e+07 | 0.178584 | -0.142042 | 太能转债 | 000591 | AA+ | historical | 1716 | 7.943345e+07 | True | 0.778947 | 0.789474 | 0.873684 | 0.252632 | 0.378947 | 0.726316 | 0.357895 | 0.273684 | 0.814035 | 0.315789 | 0.726316 | 0.315789 | 1.0 | 0.626491 | 19 | ||
| 2026-07-16T00:00:00 | 111015 | 126.780 | 127.623 | 125.586 | 126.859 | 269180.0 | 3.414791e+07 | 56.967695 | -7.689656 | 5.770483e+07 | 183.826695 | 56.967695 | -7.689656 | -0.004137 | -0.059816 | 5.770483e+07 | 0.190926 | -0.120542 | 东亚转债 | 605177 | A+ | historical | 1086 | 5.770483e+07 | True | 0.800000 | 0.821053 | 0.578947 | 0.663158 | 0.452632 | 0.610526 | 0.252632 | 0.442105 | 0.733333 | 0.557895 | 0.610526 | 0.347368 | 1.0 | 0.621930 | 20 |
最新调仓建议
| as_of | bond_code | bond_name | action | reference_price | current_quantity | target_quantity | delta_quantity | current_weight | target_weight | estimated_target_value | sizing_basis | rank | composite_score | reason |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-07-16 | 127111 | 金威转债 | BUY | 129.500 | 0 | 370 | 370 | 0.000000 | 0.05 | 47915.00 | signal_close_estimate | 12 | 0.665439 | 进入 TOP20，建议按目标权重调入 |
| 2026-07-16 | 111017 | 蓝天转债 | SELL | 130.175 | 370 | 0 | -370 | 0.049723 | 0.00 | 0.00 | signal_close_estimate | 不在最新可投资池，建议退出 | ||
| 2026-07-16 | 113070 | 渝水转债 | HOLD | 127.543 | 370 | 370 | 0 | 0.048717 | 0.05 | 47190.91 | signal_close_estimate | 1 | 0.818947 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 113052 | 兴业转债 | HOLD | 117.506 | 410 | 410 | 0 | 0.049736 | 0.05 | 48177.46 | signal_close_estimate | 2 | 0.809298 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 110081 | 闻泰转债 | HOLD | 108.195 | 420 | 440 | 20 | 0.046912 | 0.05 | 47605.80 | signal_close_estimate | 3 | 0.804035 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 127089 | 晶澳转债 | HOLD | 123.400 | 380 | 390 | 10 | 0.048409 | 0.05 | 48126.00 | signal_close_estimate | 4 | 0.799737 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 113062 | 常银转债 | HOLD | 129.752 | 370 | 370 | 0 | 0.049561 | 0.05 | 48008.24 | signal_close_estimate | 5 | 0.797632 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 113056 | 重银转债 | HOLD | 127.305 | 380 | 380 | 0 | 0.049941 | 0.05 | 48375.90 | signal_close_estimate | 6 | 0.783947 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 127049 | 希望转2 | HOLD | 114.170 | 420 | 420 | 0 | 0.049503 | 0.05 | 47951.40 | signal_close_estimate | 7 | 0.750263 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 110092 | 三房转债 | HOLD | 78.555 | 640 | 610 | -30 | 0.051902 | 0.05 | 47918.55 | signal_close_estimate | 8 | 0.712105 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 113067 | 燃23转债 | HOLD | 129.125 | 380 | 370 | -10 | 0.050655 | 0.05 | 47776.25 | signal_close_estimate | 9 | 0.71193 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 118031 | 天23转债 | HOLD | 123.673 | 390 | 390 | 0 | 0.049793 | 0.05 | 48232.47 | signal_close_estimate | 10 | 0.704737 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 127061 | 美锦转债 | HOLD | 99.243 | 490 | 480 | -10 | 0.050202 | 0.05 | 47636.64 | signal_close_estimate | 11 | 0.691491 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 118027 | 宏图转债 | HOLD | 86.919 | 520 | 550 | 30 | 0.046660 | 0.05 | 47805.45 | signal_close_estimate | 14 | 0.650877 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 127083 | 山路转债 | HOLD | 119.387 | 400 | 400 | 0 | 0.049300 | 0.05 | 47754.80 | signal_close_estimate | 17 | 0.637982 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 127108 | 太能转债 | HOLD | 125.869 | 380 | 380 | 0 | 0.049377 | 0.05 | 47830.22 | signal_close_estimate | 19 | 0.626491 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 111015 | 东亚转债 | HOLD | 126.859 | 380 | 380 | 0 | 0.049766 | 0.05 | 48206.42 | signal_close_estimate | 20 | 0.62193 | 位于 TOP20，继续持有并调整至目标权重 |
| 2026-07-16 | 118034 | 晶能转债 | HOLD | 117.566 | 400 | 410 | 10 | 0.048548 | 0.05 | 48202.06 | signal_close_estimate | 25 | 0.596404 | 排名 21-40，按缓冲规则继续持有 |
| 2026-07-16 | 123216 | 科顺转债 | HOLD | 125.559 | 380 | 380 | 0 | 0.049256 | 0.05 | 47712.42 | signal_close_estimate | 26 | 0.593596 | 排名 21-40，按缓冲规则继续持有 |
| 2026-07-16 | 110093 | 神马转债 | HOLD | 121.111 | 400 | 390 | -10 | 0.050011 | 0.05 | 47233.29 | signal_close_estimate | 29 | 0.570263 | 排名 21-40，按缓冲规则继续持有 |
当前持仓
| date | bond_code | bond_name | quantity | close | price_date | stale_trading_days | valuation_status | market_value | weight | score | rank | reason | last_market_date | price_stale | stale_calendar_days |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026-07-16T00:00:00 | 110081 | 闻泰转债 | 420 | 108.195 | 2026-07-16T00:00:00 | 0 | fresh | 45441.90 | 0.046912 | 0.727533 | 10 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 110092 | 三房转债 | 640 | 78.555 | 2026-07-16T00:00:00 | 0 | fresh | 50275.20 | 0.051902 | 0.735621 | 8 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 110093 | 神马转债 | 400 | 121.111 | 2026-07-16T00:00:00 | 0 | fresh | 48444.40 | 0.050011 | 0.569526 | 32 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 111015 | 东亚转债 | 380 | 126.859 | 2026-07-16T00:00:00 | 0 | fresh | 48206.42 | 0.049766 | 0.572222 | 31 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 111017 | 蓝天转债 | 370 | 130.175 | 2026-07-16T00:00:00 | 0 | fresh | 48164.75 | 0.049723 | 0.664706 | 13 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 113052 | 兴业转债 | 410 | 117.506 | 2026-07-16T00:00:00 | 0 | fresh | 48177.46 | 0.049736 | 0.764869 | 4 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 113056 | 重银转债 | 380 | 127.305 | 2026-07-16T00:00:00 | 0 | fresh | 48375.90 | 0.049941 | 0.750245 | 5 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 113062 | 常银转债 | 370 | 129.752 | 2026-07-16T00:00:00 | 0 | fresh | 48008.24 | 0.049561 | 0.782680 | 3 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 113067 | 燃23转债 | 380 | 129.125 | 2026-07-16T00:00:00 | 0 | fresh | 49067.50 | 0.050655 | 0.656863 | 15 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 113070 | 渝水转债 | 370 | 127.543 | 2026-07-16T00:00:00 | 0 | fresh | 47190.91 | 0.048717 | 0.810866 | 2 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 118024 | 冠宇转债 | 370 | 127.411 | 2026-07-16T00:00:00 | 0 | fresh | 47142.07 | 0.048667 | 0.704493 | 11 | BUY_TOP20 | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 118027 | 宏图转债 | 520 | 86.919 | 2026-07-16T00:00:00 | 0 | fresh | 45197.88 | 0.046660 | 0.742157 | 6 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 118031 | 天23转债 | 390 | 123.673 | 2026-07-16T00:00:00 | 0 | fresh | 48232.47 | 0.049793 | 0.734641 | 9 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 118034 | 晶能转债 | 400 | 117.566 | 2026-07-16T00:00:00 | 0 | fresh | 47026.40 | 0.048548 | 0.630719 | 17 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 123216 | 科顺转债 | 380 | 125.559 | 2026-07-16T00:00:00 | 0 | fresh | 47712.42 | 0.049256 | 0.624428 | 18 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 127049 | 希望转2 | 420 | 114.170 | 2026-07-16T00:00:00 | 0 | fresh | 47951.40 | 0.049503 | 0.741667 | 7 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 127061 | 美锦转债 | 490 | 99.243 | 2026-07-16T00:00:00 | 0 | fresh | 48629.07 | 0.050202 | 0.681618 | 12 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 127083 | 山路转债 | 400 | 119.387 | 2026-07-16T00:00:00 | 0 | fresh | 47754.80 | 0.049300 | 0.584559 | 28 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 127089 | 晶澳转债 | 380 | 123.400 | 2026-07-16T00:00:00 | 0 | fresh | 46892.00 | 0.048409 | 0.831127 | 1 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
| 2026-07-16T00:00:00 | 127108 | 太能转债 | 380 | 125.869 | 2026-07-16T00:00:00 | 0 | fresh | 47830.22 | 0.049377 | 0.605392 | 23 | HOLD_RANK_BUFFER | 2026-07-16T00:00:00 | False | 0 |
最近调仓 / 交易原因
| date | signal_date | bond_code | bond_name | side | quantity | price | amount | commission | slippage_cost | reason |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 118024 | 冠宇转债 | BUY | 370 | 128.954445 | 47713.144650 | 14.313943 | 23.844650 | BUY_TOP20 |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 110093 | 神马转债 | BUY | 10 | 120.061000 | 1200.610005 | 0.360183 | 0.600005 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 111015 | 东亚转债 | BUY | 10 | 126.167052 | 1261.670520 | 0.378501 | 0.630520 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 127108 | 太能转债 | BUY | 10 | 123.627783 | 1236.277830 | 0.370883 | 0.617830 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 123216 | 科顺转债 | BUY | 20 | 125.282610 | 2505.652200 | 0.751696 | 1.252200 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 113067 | 燃23转债 | BUY | 10 | 126.263100 | 1262.631000 | 0.378789 | 0.631000 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 118031 | 天23转债 | BUY | 10 | 122.511225 | 1225.112250 | 0.367534 | 0.612250 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 118027 | 宏图转债 | BUY | 20 | 90.945450 | 1818.909000 | 0.545673 | 0.909000 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 113052 | 兴业转债 | BUY | 10 | 115.627785 | 1156.277850 | 0.346883 | 0.577850 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 127089 | 晶澳转债 | BUY | 10 | 123.961950 | 1239.619500 | 0.371886 | 0.619500 | HOLD_RANK_BUFFER |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 127061 | 美锦转债 | SELL | 10 | 96.841555 | 968.415550 | 0.290525 | 0.484450 | REBALANCE_SELL |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 127050 | 麒麟转债 | SELL | 360 | 130.396769 | 46942.836840 | 14.082851 | 23.483160 | SELL_UNIVERSE:price_too_high |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 111017 | 蓝天转债 | SELL | 10 | 126.536700 | 1265.367000 | 0.379610 | 0.633000 | REBALANCE_SELL |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 110092 | 三房转债 | SELL | 20 | 73.964999 | 1479.299980 | 0.443790 | 0.740020 | REBALANCE_SELL |
| 2026-07-13T00:00:00 | 2026-07-10T00:00:00 | 110081 | 闻泰转债 | SELL | 60 | 114.302820 | 6858.169200 | 2.057451 | 3.430800 | REBALANCE_SELL |
| 2026-07-06T00:00:00 | 2026-07-03T00:00:00 | 127108 | 太能转债 | BUY | 370 | 126.115026 | 46662.559620 | 13.998768 | 23.319620 | BUY_TOP20 |
| 2026-07-06T00:00:00 | 2026-07-03T00:00:00 | 127050 | 麒麟转债 | BUY | 360 | 130.107021 | 46838.527560 | 14.051558 | 23.407560 | BUY_TOP20 |
| 2026-07-06T00:00:00 | 2026-07-03T00:00:00 | 110093 | 神马转债 | BUY | 10 | 121.059499 | 1210.594995 | 0.363178 | 0.604995 | HOLD_RANK_BUFFER |
| 2026-07-06T00:00:00 | 2026-07-03T00:00:00 | 118034 | 晶能转债 | BUY | 10 | 116.863403 | 1168.634025 | 0.350590 | 0.584025 | HOLD_RANK_BUFFER |
| 2026-07-06T00:00:00 | 2026-07-03T00:00:00 | 123216 | 科顺转债 | BUY | 10 | 130.071003 | 1300.710030 | 0.390213 | 0.650030 | HOLD_RANK_BUFFER |
风险提示
- 历史回测结果不代表未来收益，实际成交可能受停牌、涨跌停和流动性影响。
- 手续费、滑点、税费及数据质量偏差可能使实际结果低于模拟结果。
- V1.0 仅用于研究与策略报告，QMT 实盘下单功能保持禁用。
- 本报告不构成任何投资建议。
- AkShare 历史结果仅为探索性（exploratory）：接口和历史元数据可能不完整；强赎数据主要是当前/可见快照，不是完整历史公告序列。
- 回测以信号后下一交易日开盘价模拟成交，未模拟涨跌停、暂停交易和大额冲击成本。
- 调仓建议数量按信号日收盘价和期末模拟资产估算，仅供研究展示，不会触发委托。
- 本次结果质量为 降级；AkShare 历史结果明确标记为探索性：强赎与历史元数据并非完整时点快照。
- The behavior of DataFrame concatenation with empty or all-NA entries is deprecated. In a future version, this will no longer exclude empty or all-NA columns when determining the result dtypes. To retain the old behavior, exclude the relevant entries before the concat operation.
- bond_cb_redeem_jsl exposes no announcement/effective-date column; returned statuses are dated at as_of as current snapshots and must not be treated as historical notices
- The behavior of array concatenation with empty entries is deprecated. In a future version, this will no longer exclude empty items when determining the result dtype. To retain the old behavior, exclude the empty entries before the concat operation.
- AKShare bond valuation warning(s) for 2 security(s): 118071: bond_zh_hs_cov_daily failed ('date'); using close-only value-analysis fallback with zero volume/amount | 118072: bond_zh_hs_cov_daily failed ('date'); using close-only value-analysis fallback with zero volume/amount