# 回测报告 — 000568

- 生成时间: 2026-10-18 07:58:16 Asia/Shanghai
- 策略: `gp_policy_v1` v1.0.0
- 数据区间: 2020-01-02 → 2026-10-16 (1643 bars)
- 成交假设: 信号当日收盘后下单，**次日开盘**成交；双边佣金万三；卖出印花税 0.05%；滑点 0.1%
- 初始资金: 1,000,000

## 策略参数

```json
{
  "strategy_version": "1.0.0",
  "ma_fast": 20,
  "ma_slow": 50,
  "breakout_lookback": 20,
  "vol_mult": 1.5,
  "pullback_tol": 0.02,
  "risk_pct": 0.015,
  "name_cap": 0.12,
  "sector_cap": 0.3,
  "extend_block_pct": 0.08,
  "scale_profit": 0.15,
  "timeframe": "daily"
}
```

## 核心指标

| 指标 | 数值 |
|---|---|
| 总收益 | 9.12% |
| 年化收益 | 1.35% |
| Sharpe (rf=0, √252) | 0.6534 |
| Sortino | 0.3733 |
| 最大回撤 | -2.12% |
| 胜率 | 61.90% |
| 盈亏比 | 0.9612 |
| Profit Factor | 1.5620 |
| 年化换手 | 0.65 |
| 平均持仓天数 | 14.0 |
| 暴露度 | 14.91% |
| 完成回合数 | 21 |
| 期末净值 | 1091206.43 |

## 最大回撤区间

- 峰值日: 2022-06-30
- 谷底日: 2022-10-11
- 恢复日: 2023-01-09
- 最大回撤: -2.12%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2022-07-19 | SELL | 207.4523 | 600 | 124371.8269 | 99.5771 | -3814.2311 | trail_ma |
| 2022-09-27 | BUY | 206.9968 | 600 | 124235.3334 | 37.2594 |  | pullback |
| 2022-10-11 | SELL | 188.6312 | 600 | 113088.1650 | 90.5430 | -11109.9090 | stop_or_ma50 |
| 2022-12-08 | BUY | 182.6324 | 700 | 127881.0678 | 38.3528 |  | breakout_retest |
| 2023-01-06 | SELL | 213.0268 | 200 | 42571.2677 | 34.0843 | 6044.7777 | scale_15pct |
| 2023-02-01 | SELL | 214.9349 | 500 | 107381.4511 | 85.9739 | 16065.2261 | trail_ma |
| 2023-02-10 | BUY | 220.5804 | 500 | 110323.2671 | 33.0871 |  | pullback |
| 2023-03-08 | SELL | 224.4254 | 500 | 112122.9049 | 89.7701 | 1832.7249 | trail_ma |
| 2023-04-11 | BUY | 223.8736 | 500 | 111970.4060 | 33.5810 |  | pullback |
| 2023-04-12 | SELL | 217.4324 | 500 | 108629.2021 | 86.9729 | -3307.6229 | stop_or_ma50 |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.65、回撤 -2.12%、收益 9.12%。无需改策略；继续日更与样本外核对。

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_artifacts: `equity.csv` / `trades.csv` / `positions.csv` / `summary.json`_