# 回测报告 — 600600

- 生成时间: 2026-10-18 08:05:54 Asia/Shanghai
- 策略: `gp_policy_v1_3` v1.3.0
- 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": "1.3.0",
  "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 | 7.85% |
| 年化收益 | 1.17% |
| Sharpe (rf=0, √252) | 0.5928 |
| Sortino | 0.2046 |
| 最大回撤 | -3.95% |
| 胜率 | 33.33% |
| 盈亏比 | 0.8962 |
| Profit Factor | 0.4481 |
| 年化换手 | 0.15 |
| 平均持仓天数 | 14.3 |
| 暴露度 | 5.48% |
| 完成回合数 | 3 |
| 期末净值 | 5392749.48 |

## 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: -3.95%

## 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_5bar |
| 2020-05-07 | SELL | 44.5654 | 6900 | 307255.1900 | 246.0010 | 58330.5140 | scale_20pct |
| 2020-08-05 | SELL | 69.8501 | 13800 | 963159.9591 | 771.1449 | 465310.6071 | trail_ma20 |
| 2020-08-07 | BUY | 69.0690 | 11900 | 822167.6763 | 246.5763 |  | wrong_sell_try |
| 2020-08-14 | SELL | 64.3156 | 11900 | 764743.5933 | 612.2847 | -57177.5067 | stop_or_ma50_2bar |
| 2020-08-24 | BUY | 72.0219 | 11300 | 814092.1894 | 244.1544 |  | pullback_ma20_5bar |
| 2020-09-09 | SELL | 65.6143 | 11300 | 740848.6625 | 593.1535 | -72999.3725 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.59、回撤 -3.95%、收益 7.85%。无需改策略；继续日更与样本外核对。
2. 胜率 33.33% 且 PF 0.45 一般：叠加成交额/波动过滤减少假突破，或略提高趋势确认门槛。

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