回测报告 — 000858
- 生成时间: 2026-10-18 08:03:01 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
{
"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 | 10.98% |
| 年化收益 | 1.61% |
| Sharpe (rf=0, √252) | 0.7963 |
| Sortino | 0.3656 |
| 最大回撤 | -2.62% |
| 胜率 | 71.43% |
| 盈亏比 | 0.9941 |
| Profit Factor | 2.4854 |
| 年化换手 | 0.32 |
| 平均持仓天数 | 27.7 |
| 暴露度 | 9.92% |
| 完成回合数 | 7 |
| 期末净值 | 5549077.25 |
最大回撤区间
- 峰值日: 2021-01-07
- 谷底日: 2021-01-15
- 恢复日: 尚未恢复
- 最大回撤: -2.62%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2020-07-21 | BUY | 176.2160 | 4500 | 793210.0717 | 237.8917 | | pullback_ma20_3bar |
| 2020-08-27 | SELL | 213.8060 | 1500 | 320452.4028 | 256.5672 | 56128.3428 | scale_20pct |
| 2020-09-07 | SELL | 204.1856 | 3000 | 612066.7845 | 490.0455 | 83418.6645 | trail_ma10 |
| 2020-09-08 | BUY | 202.3822 | 4000 | 809771.5786 | 242.8586 | | pullback_ma20_3bar |
| 2020-09-25 | SELL | 191.8580 | 4000 | 766817.8546 | 613.9454 | -42710.8654 | stop_or_ma50_2bar |
| 2020-10-13 | BUY | 217.0068 | 3700 | 803166.0005 | 240.8775 | | pullback_ma20_3bar |
| 2020-12-29 | SELL | 260.8589 | 1200 | 312780.2315 | 250.4245 | 52372.0835 | scale_20pct |
| 2021-01-12 | SELL | 273.7160 | 2500 | 683742.5930 | 547.4320 | 141225.6180 | trail_ma10 |
| 2021-01-13 | BUY | 286.8566 | 2900 | 832133.6182 | 249.5652 | | pullback_ma20_3bar |
| 2021-01-15 | SELL | 262.7770 | 2900 | 761443.5415 | 609.6425 | -70440.5115 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【维持跟踪】状态「健康」：Sharpe 0.80、回撤 -2.62%、收益 10.98%。无需改策略；继续日更与样本外核对。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_