# 回测报告 — 600600

- 生成时间: 2026-10-18 08:03:07 Asia/Shanghai
- 策略: `gp_policy_v1_2` v1.2.0
- 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": "1.2.0",
  "risk_pct": 0.015,
  "name_cap": 0.15,
  "sector_cap": 0.3,
  "extend_block_pct": 0.12,
  "scale_profit": 0.2,
  "vol_mult": 1.4,
  "timeframe": "daily",
  "changelog": "v1.2 entry-first: 3-bar MA20 touch, breakout day entry, no vol AND"
}
```

## 核心指标

| 指标 | 数值 |
|---|---|
| 总收益 | 6.89% |
| 年化收益 | 1.03% |
| Sharpe (rf=0, √252) | 0.5693 |
| Sortino | 0.2096 |
| 最大回撤 | -3.82% |
| 胜率 | 50.00% |
| 盈亏比 | 1.0073 |
| Profit Factor | 1.0073 |
| 年化换手 | 0.19 |
| 平均持仓天数 | 21.0 |
| 暴露度 | 5.23% |
| 完成回合数 | 4 |
| 期末净值 | 5344672.27 |

## 最大回撤区间

- 峰值日: 2020-07-15
- 谷底日: 2020-09-09
- 恢复日: 尚未恢复
- 最大回撤: -3.82%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-04-17 | BUY | 36.0760 | 20700 | 746998.0602 | 224.0322 |  | pullback_ma20_3bar |
| 2020-05-07 | SELL | 44.5654 | 6900 | 307255.1900 | 246.0010 | 58330.5140 | scale_20pct |
| 2020-05-25 | SELL | 47.8821 | 13800 | 660243.9479 | 528.6181 | 162394.5959 | trail_ma10 |
| 2020-05-26 | BUY | 49.4694 | 15800 | 781851.3211 | 234.4851 |  | pullback_ma20_3bar |
| 2020-06-22 | SELL | 59.3906 | 5200 | 308583.7953 | 247.0647 | 51342.8113 | scale_20pct |
| 2020-07-17 | SELL | 66.7332 | 10600 | 706806.0225 | 565.8975 | 182430.1705 | trail_ma10 |
| 2020-07-20 | BUY | 71.3813 | 11400 | 813991.0581 | 244.1241 |  | pullback_ma20_3bar |
| 2020-08-10 | SELL | 68.2317 | 11400 | 777219.1069 | 622.2731 | -36527.8271 | stop_or_ma50_2bar |
| 2020-08-24 | BUY | 72.0219 | 11200 | 806887.8338 | 241.9938 |  | pullback_ma20_3bar |
| 2020-09-09 | SELL | 65.6143 | 11200 | 734292.4797 | 587.9043 | -72353.3603 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.57、回撤 -3.82%、收益 6.89%。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`_