# 回测报告 — 600600

- 生成时间: 2026-10-18 07:58:11 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 | 7.44% |
| 年化收益 | 1.11% |
| Sharpe (rf=0, √252) | 0.5994 |
| Sortino | 0.3485 |
| 最大回撤 | -2.87% |
| 胜率 | 60.00% |
| 盈亏比 | 1.0337 |
| Profit Factor | 1.5506 |
| 年化换手 | 0.50 |
| 平均持仓天数 | 17.4 |
| 暴露度 | 13.33% |
| 完成回合数 | 15 |
| 期末净值 | 1074380.44 |

## 最大回撤区间

- 峰值日: 2020-08-28
- 谷底日: 2020-10-30
- 恢复日: 2020-12-07
- 最大回撤: -2.87%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2021-12-30 | SELL | 90.4595 | 1300 | 117503.2072 | 94.0778 | -6679.8518 | trail_ma |
| 2022-05-27 | BUY | 77.0069 | 1600 | 123248.0513 | 36.9633 |  | pullback |
| 2022-06-28 | SELL | 89.2606 | 500 | 44594.6207 | 35.7043 | 6091.1557 | scale_15pct |
| 2022-07-07 | SELL | 88.4614 | 1100 | 97229.7489 | 77.8461 | 12522.1259 | trail_ma |
| 2022-07-26 | BUY | 91.7116 | 1400 | 128434.7869 | 38.5189 |  | pullback |
| 2022-08-22 | SELL | 94.9150 | 1400 | 132774.6812 | 106.3048 | 4378.4132 | trail_ma |
| 2022-08-29 | BUY | 99.7096 | 1200 | 119687.4275 | 35.8955 |  | pullback |
| 2022-09-05 | SELL | 93.3565 | 1200 | 111938.2377 | 89.6223 | -7713.2943 | trail_ma |
| 2022-09-26 | BUY | 92.7426 | 1300 | 120601.6146 | 36.1696 |  | pullback |
| 2022-10-11 | SELL | 94.1158 | 1300 | 122252.6466 | 97.8804 | 1687.2016 | stop_or_ma50 |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.60、回撤 -2.87%、收益 7.44%。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`_