# 回测报告 — 000858

- 生成时间: 2026-10-18 07:56:11 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 | 4.20% |
| 年化收益 | 0.63% |
| Sharpe (rf=0, √252) | 0.5685 |
| Sortino | 0.2138 |
| 最大回撤 | -2.81% |
| 胜率 | 50.00% |
| 盈亏比 | 1.1207 |
| Profit Factor | 1.1207 |
| 年化换手 | 0.29 |
| 平均持仓天数 | 11.1 |
| 暴露度 | 6.33% |
| 完成回合数 | 10 |
| 期末净值 | 1041973.29 |

## 最大回撤区间

- 峰值日: 2021-01-07
- 谷底日: 2021-04-26
- 恢复日: 尚未恢复
- 最大回撤: -2.81%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2021-01-06 | SELL | 294.8948 | 100 | 29465.8894 | 23.5916 | 5216.6644 | scale_15pct |
| 2021-01-12 | SELL | 273.7160 | 400 | 109398.8149 | 87.5891 | 12401.9149 | trail_ma |
| 2021-01-15 | BUY | 263.3030 | 400 | 105352.8124 | 31.5964 |  | wrong_sell_try |
| 2021-01-18 | SELL | 259.7800 | 400 | 103828.8544 | 83.1296 | -1492.3616 | trail_ma |
| 2021-01-26 | BUY | 291.0207 | 300 | 87332.4109 | 26.1919 |  | pullback |
| 2021-01-28 | SELL | 263.0067 | 300 | 78838.8974 | 63.1216 | -8467.3216 | trail_ma |
| 2021-02-23 | BUY | 281.3210 | 400 | 112562.1745 | 33.7585 |  | wrong_sell_try |
| 2021-02-25 | SELL | 271.2685 | 400 | 108420.5781 | 86.8059 | -4107.8379 | stop_or_ma50 |
| 2021-04-26 | BUY | 258.2980 | 400 | 103350.2118 | 30.9958 |  | pullback |
| 2021-04-27 | SELL | 251.7880 | 400 | 100634.6119 | 80.5721 | -2684.6041 | stop_or_ma50 |

## 给交易员的迭代建议

1. 【观察，不强制改版】状态「观察中」：Sharpe 0.57（验收线 0.50）、回撤 -2.81%、收益 4.20%。维持 `gp_policy_v1_3` 跟踪；若连续劣于组合均值或升至「需关注/预警」再单票开刀。

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