# 回测报告 — 600600

- 生成时间: 2026-10-18 08:00:43 Asia/Shanghai
- 策略: `gp_policy_v1_1` v1.1.0
- 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": "1.1.0",
  "ma_fast": 20,
  "ma_slow": 50,
  "vol_mult": 1.5,
  "pullback_tol": 0.025,
  "risk_pct": 0.015,
  "name_cap": 0.15,
  "sector_cap": 0.3,
  "extend_block_pct": 0.12,
  "scale_profit": 0.2,
  "timeframe": "daily",
  "stop": "ATR14x1.5 clipped [3%,6%]",
  "changelog": "v1.1 loosen entries + ATR stop + lot floor + 2-bar MA50 exit"
}
```

## 核心指标

| 指标 | 数值 |
|---|---|
| 总收益 | 7.86% |
| 年化收益 | 1.17% |
| Sharpe (rf=0, √252) | 0.6492 |
| Sortino | 0.2645 |
| 最大回撤 | -3.25% |
| 胜率 | 50.00% |
| 盈亏比 | 2.1749 |
| Profit Factor | 2.1749 |
| 年化换手 | 0.19 |
| 平均持仓天数 | 22.8 |
| 暴露度 | 5.36% |
| 完成回合数 | 4 |
| 期末净值 | 5392937.48 |

## 最大回撤区间

- 峰值日: 2020-08-28
- 谷底日: 2020-09-09
- 恢复日: 尚未恢复
- 最大回撤: -3.25%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-03-31 | BUY | 35.3353 | 21200 | 749333.0925 | 224.7325 |  | pullback |
| 2020-05-07 | SELL | 44.5654 | 7000 | 311708.1638 | 249.5662 | 64361.0638 | scale_20pct |
| 2020-05-25 | SELL | 47.8821 | 14200 | 679381.4537 | 543.9403 | 177620.1937 | trail_ma10 |
| 2020-06-03 | BUY | 51.5915 | 15200 | 784426.6654 | 235.2574 |  | wrong_sell_try |
| 2020-06-24 | SELL | 61.8581 | 5000 | 309042.9677 | 247.4323 | 51085.2677 | scale_20pct |
| 2020-07-17 | SELL | 66.7332 | 10200 | 680134.0971 | 544.5429 | 153900.3891 | trail_ma10 |
| 2020-07-27 | BUY | 70.1000 | 11600 | 813404.2961 | 243.9481 |  | wrong_sell_try |
| 2020-08-10 | SELL | 68.2317 | 11600 | 790854.5298 | 633.1902 | -22305.8182 | stop_or_ma50_2bar |
| 2020-08-21 | BUY | 68.1481 | 11900 | 811205.4406 | 243.2886 |  | wrong_sell_try |
| 2020-09-09 | SELL | 65.6143 | 11900 | 780185.7597 | 624.6483 | -30776.3923 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.65、回撤 -3.25%、收益 7.86%。无需改策略；继续日更与样本外核对。

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