# 回测报告 — 000568

- 生成时间: 2026-10-18 08:06:02 Asia/Shanghai
- 策略: `gp_policy_v1_3` v1.3.0
- 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": "1.3.0",
  "risk_pct": 0.015,
  "name_cap": 0.15,
  "sector_cap": 0.3,
  "extend_block_pct": 0.12,
  "scale_profit": 0.2,
  "vol_mult": 1.2,
  "timeframe": "daily",
  "changelog": "v1.3 exposure: 5-bar touch, MA50 bounce, slower trail, easier breakout"
}
```

## 核心指标

| 指标 | 数值 |
|---|---|
| 总收益 | 7.19% |
| 年化收益 | 1.07% |
| Sharpe (rf=0, √252) | 0.5608 |
| Sortino | 0.1550 |
| 最大回撤 | -2.84% |
| 胜率 | 50.00% |
| 盈亏比 | 1.4103 |
| Profit Factor | 1.4103 |
| 年化换手 | 0.19 |
| 平均持仓天数 | 12.2 |
| 暴露度 | 3.83% |
| 完成回合数 | 4 |
| 期末净值 | 5359519.46 |

## 最大回撤区间

- 峰值日: 2020-07-15
- 谷底日: 2020-08-07
- 恢复日: 尚未恢复
- 最大回撤: -2.84%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-04-29 | BUY | 52.8128 | 14100 | 744883.3140 | 223.3980 |  | pullback_ma20_5bar |
| 2020-04-30 | SELL | 50.8591 | 14100 | 716539.4785 | 573.6905 | -28120.4375 | stop_or_ma50_2bar |
| 2020-05-06 | BUY | 50.7107 | 14700 | 745670.3360 | 223.6340 |  | pullback_ma20_5bar |
| 2020-05-19 | SELL | 62.2976 | 4900 | 305014.2293 | 244.2067 | 56531.9953 | scale_20pct |
| 2020-05-28 | SELL | 55.7042 | 9800 | 545464.8308 | 436.7212 | 48500.3628 | trail_ma20 |
| 2020-06-01 | BUY | 57.7277 | 13100 | 756459.3467 | 226.8697 |  | pullback_ma20_5bar |
| 2020-07-02 | SELL | 73.1668 | 4300 | 314365.3743 | 251.6937 | 66136.3933 | scale_20pct |
| 2020-08-04 | SELL | 89.1907 | 8800 | 784250.4333 | 627.9027 | 276246.9373 | trail_ma20 |
| 2020-08-06 | BUY | 89.8498 | 9000 | 808890.4344 | 242.5944 |  | pullback_ma20_5bar |
| 2020-08-10 | SELL | 83.3765 | 9000 | 749788.5489 | 600.3111 | -58859.2911 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.56、回撤 -2.84%、收益 7.19%。无需改策略；继续日更与样本外核对。
2. 暴露 3.83% 偏低（相对 v1.0 约 8–9% 量级）：仅观察，不作为卡死验收项；若需抬暴露再议触达/回踩条件，勿牺牲 Sharpe。

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