# 回测报告 — 000596

- 生成时间: 2026-11-02 10:06:37 Asia/Shanghai
- 策略: `gp_policy_v1_3` v1.3.0
- 数据区间: 2020-01-02 → 2026-11-02 (1654 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 | 12.11% |
| 年化收益 | 1.76% |
| Sharpe (rf=0, √252) | 0.5584 |
| Sortino | 0.1948 |
| 最大回撤 | -5.75% |
| 胜率 | 66.67% |
| 盈亏比 | 2.7347 |
| Profit Factor | 5.4694 |
| 年化换手 | 0.28 |
| 平均持仓天数 | 24.5 |
| 暴露度 | 7.68% |
| 完成回合数 | 6 |
| 期末净值 | 5605749.00 |

## 最大回撤区间

- 峰值日: 2020-07-15
- 谷底日: 2020-07-27
- 恢复日: 2020-08-28
- 最大回撤: -5.75%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-07-29 | BUY | 168.9888 | 4700 | 794485.7282 | 238.2742 |  | pullback_ma20_5bar |
| 2020-08-19 | SELL | 206.1936 | 1500 | 309042.9677 | 247.4323 | 55559.7377 | scale_20pct |
| 2020-09-08 | SELL | 211.2885 | 3200 | 675582.3014 | 540.8986 | 134818.0774 | trail_ma20 |
| 2020-09-09 | BUY | 202.6024 | 4100 | 830919.0410 | 249.2010 |  | wrong_sell_try |
| 2020-09-28 | SELL | 196.2036 | 4100 | 803791.2122 | 643.5478 | -26878.6278 | stop_or_ma50_2bar |
| 2020-12-04 | BUY | 199.8096 | 4100 | 819465.1668 | 245.7658 |  | pullback_ma20_5bar |
| 2020-12-17 | SELL | 243.1566 | 1300 | 315850.6971 | 252.8829 | 56098.2041 | scale_20pct |
| 2021-01-12 | SELL | 225.8739 | 2800 | 631940.9625 | 505.9575 | 72474.0545 | trail_ma20 |
| 2021-04-30 | BUY | 218.5183 | 3800 | 830618.6509 | 249.1109 |  | pullback_ma20_5bar |
| 2021-05-06 | SELL | 202.2076 | 3800 | 767774.1309 | 614.7111 | -62595.4091 | 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 -5.75%、收益 12.11%。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`_