# 回测报告 — 603198

- 生成时间: 2026-10-18 07:57:08 Asia/Shanghai
- 策略: `gp_policy_v1` v1.0.0
- 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: 1,000,000

## 策略参数

```json
{
  "strategy_version": "1.0.0",
  "ma_fast": 20,
  "ma_slow": 50,
  "breakout_lookback": 20,
  "vol_mult": 1.5,
  "pullback_tol": 0.02,
  "risk_pct": 0.015,
  "name_cap": 0.12,
  "sector_cap": 0.3,
  "extend_block_pct": 0.08,
  "scale_profit": 0.15,
  "timeframe": "daily"
}
```

## 核心指标

| 指标 | 数值 |
|---|---|
| 总收益 | 7.06% |
| 年化收益 | 1.05% |
| Sharpe (rf=0, √252) | 0.4351 |
| Sortino | 0.1528 |
| 最大回撤 | -3.31% |
| 胜率 | 50.00% |
| 盈亏比 | 1.4806 |
| Profit Factor | 1.4806 |
| 年化换手 | 0.18 |
| 平均持仓天数 | 11.8 |
| 暴露度 | 4.81% |
| 完成回合数 | 6 |
| 期末净值 | 1070609.68 |

## 最大回撤区间

- 峰值日: 2020-11-12
- 谷底日: 2020-11-25
- 恢复日: 尚未恢复
- 最大回撤: -3.31%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-06-23 | SELL | 14.3356 | 3100 | 44404.9626 | 35.5524 | 5740.3366 | scale_15pct |
| 2020-07-17 | SELL | 16.1239 | 6300 | 101499.0537 | 81.2643 | 22922.5557 | trail_ma |
| 2020-10-20 | BUY | 15.1151 | 8000 | 120957.0762 | 36.2762 |  | pullback |
| 2020-11-03 | SELL | 20.2497 | 2600 | 52607.1786 | 42.1194 | 13307.9186 | scale_15pct |
| 2020-11-19 | SELL | 23.0269 | 5400 | 124246.0536 | 99.4764 | 42624.5136 | trail_ma |
| 2020-11-25 | BUY | 25.2853 | 2000 | 50585.6912 | 15.1712 |  | wrong_sell_try |
| 2020-12-01 | SELL | 24.0759 | 2000 | 48113.2786 | 38.5214 | -2457.2414 | trail_ma |
| 2020-12-16 | BUY | 28.0580 | 2100 | 58939.5396 | 17.6766 |  | wrong_sell_try |
| 2020-12-23 | SELL | 32.4675 | 700 | 22709.0682 | 18.1818 | 3068.4472 | scale_15pct |
| 2020-12-25 | SELL | 26.6933 | 1400 | 37340.6955 | 29.8965 | -1940.5465 | stop_or_ma50 |

## 给交易员的迭代建议

1. 【观察，不强制改版】状态「观察中」：Sharpe 0.44（验收线 0.50）、回撤 -3.31%、收益 7.06%。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. 暴露 4.81% 偏低（相对 v1.0 约 8–9% 量级）：仅观察，不作为卡死验收项；若需抬暴露再议触达/回踩条件，勿牺牲 Sharpe。

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