# 回测报告 — 600690

- 生成时间: 2026-10-21 10:04:18 Asia/Shanghai
- 策略: `gp_policy_v1_3` v1.3.0
- 数据区间: 2020-01-02 → 2026-10-21 (1644 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 | 10.75% |
| 年化收益 | 1.58% |
| Sharpe (rf=0, √252) | 0.6353 |
| Sortino | 0.2844 |
| 最大回撤 | -4.62% |
| 胜率 | 66.67% |
| 盈亏比 | 1.9388 |
| Profit Factor | 3.8776 |
| 年化换手 | 0.28 |
| 平均持仓天数 | 23.0 |
| 暴露度 | 7.60% |
| 完成回合数 | 6 |
| 期末净值 | 5537600.14 |

## 最大回撤区间

- 峰值日: 2020-11-23
- 谷底日: 2020-12-14
- 恢复日: 尚未恢复
- 最大回撤: -4.62%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-07-27 | SELL | 12.2577 | 57000 | 698131.6575 | 558.9525 | -69855.5625 | stop_or_ma50_2bar |
| 2020-08-03 | BUY | 14.6346 | 51800 | 758300.7380 | 227.4220 |  | pullback_ma20_5bar |
| 2020-08-06 | SELL | 17.2028 | 17200 | 295651.1057 | 236.7103 | 43935.6417 | scale_20pct |
| 2020-09-01 | SELL | 17.8022 | 34600 | 615462.6637 | 492.7643 | 109104.8117 | trail_ma20 |
| 2020-09-04 | BUY | 16.6366 | 46900 | 780491.5552 | 234.0772 |  | wrong_sell_try |
| 2020-10-30 | SELL | 22.2977 | 15600 | 347565.5330 | 278.2750 | 88034.2610 | scale_20pct |
| 2020-11-02 | BUY | 20.9309 | 38900 | 814456.6627 | 244.2637 |  | add_on_confirm |
| 2020-11-27 | SELL | 23.2068 | 70200 | 1627811.96 | 1303.2922 | 292873.3568 | trail_ma20 |
| 2020-12-01 | BUY | 23.3333 | 35900 | 837917.1287 | 251.2997 |  | wrong_sell_try |
| 2020-12-16 | SELL | 21.8981 | 35900 | 785512.1591 | 628.9129 | -52153.6699 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.64、回撤 -4.62%、收益 10.75%。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`_