回测报告 — 000858
- 生成时间: 2026-10-18 08:05:46 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
{
"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 | 17.17% |
| 年化收益 | 2.46% |
| Sharpe (rf=0, √252) | 0.7002 |
| Sortino | 0.2902 |
| 最大回撤 | -4.95% |
| 胜率 | 71.43% |
| 盈亏比 | 3.6609 |
| Profit Factor | 9.1521 |
| 年化换手 | 0.33 |
| 平均持仓天数 | 44.0 |
| 暴露度 | 13.57% |
| 完成回合数 | 7 |
| 期末净值 | 5858398.74 |
最大回撤区间
- 峰值日: 2021-02-19
- 谷底日: 2021-05-10
- 恢复日: 尚未恢复
- 最大回撤: -4.95%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2020-09-25 | SELL | 191.8580 | 4400 | 843499.6400 | 675.3400 | 8689.6640 | stop_or_ma50_2bar |
| 2020-10-13 | BUY | 217.0068 | 3900 | 846580.3789 | 253.8979 | | pullback_ma20_5bar |
| 2020-12-29 | SELL | 260.8589 | 1300 | 338845.2508 | 271.2932 | 56736.4238 | scale_20pct |
| 2021-01-15 | SELL | 262.7770 | 2600 | 682673.5199 | 546.5761 | 118455.8659 | trail_ma20 |
| 2021-01-21 | BUY | 261.1008 | 3300 | 861891.2618 | 258.4898 | | bounce_ma50 |
| 2021-02-18 | SELL | 329.2005 | 1100 | 361830.8206 | 289.6964 | 74619.8966 | scale_20pct |
| 2021-02-19 | BUY | 308.9486 | 2900 | 896219.8413 | 268.7853 | | add_on_confirm |
| 2021-02-25 | SELL | 271.2685 | 5100 | 1382362.37 | 1106.7753 | -88010.5333 | trail_ma20 |
| 2021-05-07 | BUY | 255.3050 | 3400 | 868297.5812 | 260.4112 | | pullback_ma20_5bar |
| 2021-07-06 | SELL | 254.6351 | 3400 | 865066.7665 | 692.6075 | -2970.4035 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【维持跟踪】状态「健康」：Sharpe 0.70、回撤 -4.95%、收益 17.17%。无需改策略；继续日更与样本外核对。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_