# 回测报告 — 603919

- 生成时间: 2026-10-18 07:57:27 Asia/Shanghai
- 策略: `gp_policy_v1` v1.0.0
- 数据区间: 2020-01-02 → 2026-10-16 (1640 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 | 9.57% |
| 年化收益 | 1.42% |
| Sharpe (rf=0, √252) | 0.5810 |
| Sortino | 0.2817 |
| 最大回撤 | -4.30% |
| 胜率 | 55.56% |
| 盈亏比 | 1.4995 |
| Profit Factor | 1.8744 |
| 年化换手 | 0.27 |
| 平均持仓天数 | 11.7 |
| 暴露度 | 7.20% |
| 完成回合数 | 9 |
| 期末净值 | 1095699.08 |

## 最大回撤区间

- 峰值日: 2020-11-12
- 谷底日: 2021-04-09
- 恢复日: 尚未恢复
- 最大回撤: -4.30%

## 最近 10 笔交易

| date | side | price | shares | amount | fee | pnl | reason |
|---|---|---|---|---|---|---|---|
| 2021-04-27 | SELL | 37.3326 | 2600 | 96987.1861 | 77.6519 | 8056.3441 | trail_ma |
| 2021-04-30 | BUY | 37.7577 | 2100 | 79314.9994 | 23.7874 |  | wrong_sell_try |
| 2021-05-11 | SELL | 36.4335 | 2100 | 76449.2047 | 61.2083 | -2842.0073 | trail_ma |
| 2021-05-21 | BUY | 40.9109 | 1900 | 77753.9722 | 23.3192 |  | pullback |
| 2021-06-03 | SELL | 46.8631 | 600 | 28095.3597 | 22.4943 | 3548.8377 | scale_15pct |
| 2021-06-10 | SELL | 42.7572 | 1300 | 55539.8925 | 44.4675 | 2355.7615 | trail_ma |
| 2021-07-21 | BUY | 40.9609 | 3200 | 131114.2665 | 39.3225 |  | pullback |
| 2021-07-22 | SELL | 40.4695 | 3200 | 129398.7661 | 103.6019 | -1676.1779 | stop_or_ma50 |
| 2021-10-11 | BUY | 34.7647 | 3700 | 128668.0899 | 38.5889 |  | pullback |
| 2021-10-12 | SELL | 33.6363 | 3700 | 124354.8575 | 99.5635 | -4274.6435 | stop_or_ma50 |

## 给交易员的迭代建议

1. 【维持跟踪】状态「健康」：Sharpe 0.58、回撤 -4.30%、收益 9.57%。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`_