回测报告 — 002812
- 生成时间: 2026-10-29 08:25:24 Asia/Shanghai
- 策略:
gp_policy_v1_3 v1.3.0
- 数据区间: 2020-01-02 → 2026-10-28 (1636 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 | 11.66% |
| 年化收益 | 1.71% |
| Sharpe (rf=0, √252) | 0.5203 |
| Sortino | 0.2104 |
| 最大回撤 | -7.95% |
| 胜率 | 62.50% |
| 盈亏比 | 1.8438 |
| Profit Factor | 3.0729 |
| 年化换手 | 0.37 |
| 平均持仓天数 | 26.0 |
| 暴露度 | 10.70% |
| 完成回合数 | 8 |
| 期末净值 | 5582882.62 |
最大回撤区间
- 峰值日: 2021-01-05
- 谷底日: 2021-02-19
- 恢复日: 尚未恢复
- 最大回撤: -7.95%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2020-10-12 | SELL | 97.3026 | 3300 | 320841.7011 | 256.8789 | 65859.9741 | scale_20pct |
| 2020-11-05 | SELL | 95.6043 | 6800 | 649589.1526 | 520.0874 | 124172.2606 | trail_ma20 |
| 2020-11-06 | BUY | 103.3032 | 7800 | 806006.6895 | 241.7295 | | pullback_ma20_5bar |
| 2020-11-27 | SELL | 93.6363 | 7800 | 729778.6157 | 584.2903 | -75986.3443 | stop_or_ma50_2bar |
| 2020-12-03 | BUY | 94.9148 | 8400 | 797523.6733 | 239.1853 | | bounce_ma50 |
| 2020-12-16 | SELL | 116.9929 | 2800 | 327318.0279 | 262.0641 | 61556.5319 | scale_20pct |
| 2020-12-17 | BUY | 122.3222 | 6800 | 832040.4973 | 249.5373 | | add_on_confirm |
| 2021-01-12 | SELL | 130.0698 | 12400 | 1611575.23 | 1290.2924 | 248261.2756 | trail_ma20 |
| 2021-01-13 | BUY | 132.2221 | 6400 | 846475.2424 | 253.8664 | | wrong_sell_try |
| 2021-02-22 | SELL | 121.3785 | 6400 | 776200.9421 | 621.4579 | -70020.4339 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【维持跟踪】状态「健康」：Sharpe 0.52、回撤 -7.95%、收益 11.66%。无需改策略；继续日更与样本外核对。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_