# 回测报告 — 002293

- 生成时间: 2026-10-28 08:39:12 Asia/Shanghai
- 策略: `gp_policy_v1_3` v1.3.0
- 数据区间: 2020-01-02 → 2026-10-27 (1650 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 | 11.41% |
| 年化收益 | 1.67% |
| Sharpe (rf=0, √252) | 0.6125 |
| Sortino | 0.3162 |
| 最大回撤 | -2.57% |
| 胜率 | 83.33% |
| 盈亏比 | 2.2901 |
| Profit Factor | 11.4505 |
| 年化换手 | 0.28 |
| 平均持仓天数 | 24.5 |
| 暴露度 | 8.12% |
| 完成回合数 | 6 |
| 期末净值 | 5570693.70 |

## 最大回撤区间

- 峰值日: 2020-11-03
- 谷底日: 2020-12-07
- 恢复日: 尚未恢复
- 最大回撤: -2.57%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-07-10 | SELL | 6.1938 | 52800 | 326771.0139 | 261.6261 | 65678.1819 | scale_20pct |
| 2020-07-13 | BUY | 6.2763 | 129700 | 814276.4287 | 244.2097 |  | add_on_confirm |
| 2020-08-07 | SELL | 6.4036 | 235400 | 1506199.16 | 1205.9241 | 169486.7849 | trail_ma20 |
| 2020-08-12 | BUY | 6.7968 | 120400 | 818579.0161 | 245.5001 |  | pullback_ma20_5bar |
| 2020-09-01 | SELL | 8.5115 | 40100 | 341037.2997 | 273.0483 | 68486.0207 | scale_20pct |
| 2020-09-10 | SELL | 7.3526 | 80300 | 589944.6584 | 472.3336 | 44162.4214 | trail_ma20 |
| 2020-09-18 | BUY | 7.1071 | 117600 | 836045.6985 | 250.7385 |  | bounce_ma50 |
| 2020-09-23 | SELL | 6.8132 | 117600 | 800588.9840 | 640.9840 | -35205.9760 | stop_or_ma50_2bar |
| 2020-10-27 | BUY | 7.8578 | 105600 | 830037.8967 | 248.9367 |  | wrong_sell_try |
| 2020-12-09 | SELL | 8.1718 | 105600 | 862253.8366 | 690.3554 | 32464.8766 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.61、回撤 -2.57%、收益 11.41%。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`_