# 回测报告 — 000568

- 生成时间: 2026-10-18 08:03:13 Asia/Shanghai
- 策略: `gp_policy_v1_2` v1.2.0
- 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: 5,000,000

## 策略参数

```json
{
  "strategy_version": "1.2.0",
  "risk_pct": 0.015,
  "name_cap": 0.15,
  "sector_cap": 0.3,
  "extend_block_pct": 0.12,
  "scale_profit": 0.2,
  "vol_mult": 1.4,
  "timeframe": "daily",
  "changelog": "v1.2 entry-first: 3-bar MA20 touch, breakout day entry, no vol AND"
}
```

## 核心指标

| 指标 | 数值 |
|---|---|
| 总收益 | 23.67% |
| 年化收益 | 3.31% |
| Sharpe (rf=0, √252) | 0.9239 |
| Sortino | 0.4184 |
| 最大回撤 | -6.66% |
| 胜率 | 77.78% |
| 盈亏比 | 1.0198 |
| Profit Factor | 3.5693 |
| 年化换手 | 0.41 |
| 平均持仓天数 | 23.4 |
| 暴露度 | 11.63% |
| 完成回合数 | 9 |
| 期末净值 | 6183552.95 |

## 最大回撤区间

- 峰值日: 2021-02-10
- 谷底日: 2021-02-24
- 恢复日: 尚未恢复
- 最大回撤: -6.66%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-11-26 | SELL | 164.1856 | 4900 | 803866.0773 | 643.6077 | 240538.3123 | trail_ma10 |
| 2020-11-27 | BUY | 166.2661 | 5300 | 881474.6931 | 264.3631 |  | pullback_ma20_3bar |
| 2021-01-05 | SELL | 213.9858 | 1700 | 363484.8393 | 291.0207 | 80832.4693 | scale_20pct |
| 2021-01-18 | SELL | 213.2665 | 3600 | 767145.2644 | 614.2076 | 168587.3044 | trail_ma10 |
| 2021-01-19 | BUY | 209.5593 | 4400 | 922337.7583 | 276.6183 |  | wrong_sell_try |
| 2021-02-03 | SELL | 250.0897 | 1400 | 349845.4236 | 280.1004 | 56462.3336 | scale_20pct |
| 2021-02-04 | BUY | 250.6003 | 3800 | 952567.0144 | 285.6844 |  | add_on_confirm |
| 2021-02-23 | SELL | 238.1116 | 6800 | 1617863.89 | 1295.3274 | 36904.5126 | trail_ma10 |
| 2021-02-24 | BUY | 247.9977 | 3800 | 942674.1674 | 282.7174 |  | pullback_ma20_3bar |
| 2021-02-25 | SELL | 221.2285 | 3800 | 839995.9552 | 672.5348 | -102395.4948 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.92、回撤 -6.66%、收益 23.67%。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`_