# 回测报告 — 601689

- 生成时间: 2026-10-26 09:49:28 Asia/Shanghai
- 策略: `gp_policy_v1_3` v1.3.0
- 数据区间: 2020-01-02 → 2026-10-19 (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 | 5.77% |
| 年化收益 | 0.86% |
| Sharpe (rf=0, √252) | 0.3955 |
| Sortino | 0.1560 |
| 最大回撤 | -3.12% |
| 胜率 | 50.00% |
| 盈亏比 | 1.0107 |
| Profit Factor | 1.0107 |
| 年化换手 | 0.19 |
| 平均持仓天数 | 21.2 |
| 暴露度 | 5.41% |
| 完成回合数 | 4 |
| 期末净值 | 5288453.75 |

## 最大回撤区间

- 峰值日: 2020-08-14
- 谷底日: 2020-10-22
- 恢复日: 尚未恢复
- 最大回撤: -3.12%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-05-19 | BUY | 13.8438 | 54100 | 749175.8884 | 224.6854 |  | pullback_ma20_5bar |
| 2020-05-22 | SELL | 13.1468 | 54100 | 710675.0488 | 568.9952 | -38276.1542 | stop_or_ma50_2bar |
| 2020-05-27 | BUY | 14.1541 | 52500 | 743315.2777 | 222.9277 |  | pullback_ma20_5bar |
| 2020-07-01 | SELL | 17.7422 | 17500 | 310240.8086 | 248.3914 | 62543.3586 | scale_20pct |
| 2020-07-28 | SELL | 20.0299 | 35000 | 700487.4114 | 560.8386 | 205092.5114 | trail_ma20 |
| 2020-07-30 | BUY | 21.4514 | 36500 | 783212.0882 | 234.8932 |  | pullback_ma20_5bar |
| 2020-08-12 | SELL | 25.9540 | 12100 | 313792.4071 | 251.2349 | 54230.1041 | scale_20pct |
| 2020-09-04 | SELL | 24.8751 | 24400 | 606466.8780 | 485.5620 | 83051.9860 | trail_ma20 |
| 2020-09-18 | BUY | 26.0961 | 30800 | 804000.0837 | 241.1277 |  | pullback_ma20_5bar |
| 2020-10-22 | SELL | 23.6064 | 30800 | 726494.5350 | 581.6610 | -77264.4210 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【观察，不强制改版】状态「观察中」：Sharpe 0.40（验收线 0.50）、回撤 -3.12%、收益 5.77%。维持 `gp_policy_v1_3` 跟踪；若连续劣于组合均值或升至「需关注/预警」再单票开刀。
2. 完成回合 4 偏少：样本偏薄，观察项而非强制改版依据。

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