# 回测报告 — 603198

- 生成时间: 2026-10-18 08:06:10 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 | 14.11% |
| 年化收益 | 2.05% |
| Sharpe (rf=0, √252) | 0.5024 |
| Sortino | 0.2031 |
| 最大回撤 | -6.69% |
| 胜率 | 66.67% |
| 盈亏比 | 1.0162 |
| Profit Factor | 2.0325 |
| 年化换手 | 0.29 |
| 平均持仓天数 | 13.5 |
| 暴露度 | 6.70% |
| 完成回合数 | 6 |
| 期末净值 | 5705628.71 |

## 最大回撤区间

- 峰值日: 2020-12-22
- 谷底日: 2021-01-18
- 恢复日: 尚未恢复
- 最大回撤: -6.69%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2020-08-10 | SELL | 13.7862 | 57200 | 787939.7835 | 630.8565 | -24539.8845 | stop_or_ma50_2bar |
| 2020-11-02 | BUY | 16.7467 | 48300 | 809109.7191 | 242.6601 |  | pullback_ma20_5bar |
| 2020-11-04 | SELL | 22.3177 | 16100 | 359026.8745 | 287.4515 | 89404.5215 | scale_20pct |
| 2020-12-01 | SELL | 24.0759 | 32200 | 774623.7848 | 620.1952 | 235379.0788 | trail_ma20 |
| 2020-12-03 | BUY | 23.0230 | 37200 | 856712.5367 | 256.9367 |  | wrong_sell_try |
| 2020-12-14 | SELL | 28.1218 | 12400 | 348431.9712 | 278.9688 | 62946.7712 | scale_20pct |
| 2020-12-15 | BUY | 29.3193 | 30300 | 888640.9993 | 266.5123 |  | add_on_confirm |
| 2020-12-28 | SELL | 26.7832 | 55100 | 1474573.17 | 1180.6030 | 15228.2790 | trail_ma20 |
| 2020-12-29 | BUY | 28.7387 | 30200 | 868169.4147 | 260.3727 |  | pullback_ma20_5bar |
| 2021-01-18 | SELL | 25.6543 | 30200 | 774140.6556 | 619.8084 | -93768.3864 | stop_or_ma50_2bar |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.50、回撤 -6.69%、收益 14.11%。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`_