# 回测报告 — 603198

- 生成时间: 2026-10-18 08:03:21 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 | 12.48% |
| 年化收益 | 1.82% |
| Sharpe (rf=0, √252) | 0.4344 |
| Sortino | 0.1315 |
| 最大回撤 | -8.46% |
| 胜率 | 60.00% |
| 盈亏比 | 1.7313 |
| Profit Factor | 2.5970 |
| 年化换手 | 0.24 |
| 平均持仓天数 | 10.4 |
| 暴露度 | 4.38% |
| 完成回合数 | 5 |
| 期末净值 | 5624245.61 |

## 最大回撤区间

- 峰值日: 2020-11-12
- 谷底日: 2020-12-03
- 恢复日: 尚未恢复
- 最大回撤: -8.46%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-05-29 | SELL | 11.8282 | 27300 | 322650.4410 | 258.3270 | 72878.9190 | scale_20pct |
| 2020-07-17 | SELL | 16.1239 | 54600 | 879658.4658 | 704.2902 | 380115.4218 | trail_ma10 |
| 2020-07-20 | BUY | 15.5956 | 52400 | 817453.5545 | 245.1625 |  | wrong_sell_try |
| 2020-07-27 | SELL | 14.1758 | 52400 | 742218.1940 | 594.2500 | -74990.1980 | stop_or_ma50_2bar |
| 2020-11-02 | BUY | 16.7467 | 48100 | 805759.3683 | 241.6553 |  | wrong_sell_try |
| 2020-11-04 | SELL | 22.3177 | 16000 | 356796.8940 | 285.6660 | 88849.2140 | scale_20pct |
| 2020-11-05 | BUY | 22.0620 | 38300 | 845229.6248 | 253.4928 |  | add_on_confirm |
| 2020-11-19 | SELL | 23.0269 | 70400 | 1619800.40 | 1296.8778 | 237254.2372 | trail_ma10 |
| 2020-11-25 | BUY | 25.2853 | 33800 | 854898.1805 | 256.3925 |  | wrong_sell_try |
| 2020-12-03 | SELL | 22.9770 | 33800 | 776001.3019 | 621.2981 | -78640.4861 | 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 0.43（验收线 0.50）、回撤 -8.46%、收益 12.48%。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 4.38% 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`_