回测报告 — 000333
- 生成时间: 2026-10-20 10:09:03 Asia/Shanghai
- 策略:
gp_policy_v1_3 v1.3.0
- 数据区间: 2020-01-02 → 2026-10-20 (1645 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
{
"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 | 4.68% |
| 年化收益 | 0.70% |
| Sharpe (rf=0, √252) | 0.3758 |
| Sortino | 0.1777 |
| 最大回撤 | -2.48% |
| 胜率 | 80.00% |
| 盈亏比 | 0.5196 |
| Profit Factor | 2.0785 |
| 年化换手 | 0.23 |
| 平均持仓天数 | 30.4 |
| 暴露度 | 7.60% |
| 完成回合数 | 5 |
| 期末净值 | 5234066.05 |
最大回撤区间
- 峰值日: 2020-11-19
- 谷底日: 2020-12-10
- 恢复日: 尚未恢复
- 最大回撤: -2.48%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2020-07-10 | SELL | 47.9820 | 6200 | 297250.2234 | 237.9906 | 47574.7974 | scale_20pct |
| 2020-07-13 | BUY | 46.4964 | 16500 | 767421.5824 | 230.1574 | | add_on_confirm |
| 2020-07-17 | SELL | 44.2857 | 28900 | 1278831.98 | 1023.8847 | 12289.7013 | trail_ma20 |
| 2020-07-20 | BUY | 47.4774 | 15900 | 755117.6043 | 226.4673 | | pullback_ma20_5bar |
| 2020-09-09 | SELL | 49.4805 | 15900 | 786110.0814 | 629.3916 | 31218.9444 | stop_or_ma50_2bar |
| 2020-09-16 | BUY | 53.8738 | 14100 | 759848.7483 | 227.8863 | | pullback_ma20_5bar |
| 2020-10-30 | SELL | 65.5144 | 4700 | 307671.4398 | 246.3342 | 54464.4858 | scale_20pct |
| 2020-11-27 | SELL | 70.9190 | 9400 | 666105.3830 | 533.3110 | 159691.4750 | trail_ma20 |
| 2020-12-03 | BUY | 73.3933 | 10800 | 792885.6504 | 237.7944 | | pullback_ma20_5bar |
| 2020-12-10 | SELL | 66.9630 | 10800 | 722621.5159 | 578.5601 | -70026.3401 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【观察，不强制改版】状态「观察中」：Sharpe 0.38（验收线 0.50）、回撤 -2.48%、收益 4.68%。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。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_