基于第一性原理的散户量化交易规则自举研究
散户量化实践普遍将历史数据中经参数优化获得的统计巧合误认为盈利逻辑，这一归纳主义范式在非平稳市场中必然失效。本研究引入第一性原理，从流动性供需物理事实、概率论公理及大数定律出发重构规则生成机制，提出规则自举框架。该框架强调参数由微观结构理论推导，而非由样本内优化确定。利用2015年7月至2026年6月A 股沪深300成分股数据，将自举策略与传统对照策略进行样本外回测。结果显示，自举策略样本外年化收益率为17.69%，夏普比率0.876，最大回撤仅-16.99%。经网格搜索优化的均线对照策略样本外夏普比率转负（-0.161），最大回撤达-52.13%。Jobson-Korkie 检验表明差异在1% 水平上显著。策略在2023年注册制改革前后均保持正收益。本研究证明，脱离底层物理逻辑的策略优化仅为样本内的统计巧合，基于市场本质生成的规则方能适应非平稳时序变化。
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