回测报告 — 600519
- 生成时间: 2026-10-18 08:05:40 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 | 6.42% |
| 年化收益 | 0.96% |
| Sharpe (rf=0, √252) | 0.7987 |
| Sortino | 0.3236 |
| 最大回撤 | -1.84% |
| 胜率 | 50.00% |
| 盈亏比 | 3.7272 |
| Profit Factor | 3.7272 |
| 年化换手 | 0.18 |
| 平均持仓天数 | 28.2 |
| 暴露度 | 7.06% |
| 完成回合数 | 4 |
| 期末净值 | 5320795.11 |
最大回撤区间
- 峰值日: 2020-07-13
- 谷底日: 2020-08-12
- 恢复日: 尚未恢复
- 最大回撤: -1.84%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2020-04-01 | BUY | 858.5977 | 800 | 687084.2555 | 206.0635 | | pullback_ma20_5bar |
| 2020-05-07 | SELL | 1039.0999 | 200 | 207653.7160 | 166.2560 | 35934.1680 | scale_20pct |
| 2020-06-16 | SELL | 1138.1008 | 600 | 682314.1676 | 546.2884 | 167155.5236 | trail_ma20 |
| 2020-06-17 | BUY | 1153.7526 | 600 | 692459.2355 | 207.6755 | | pullback_ma20_5bar |
| 2020-07-08 | SELL | 1436.3322 | 200 | 287036.6328 | 229.8132 | 56286.1128 | scale_20pct |
| 2020-07-27 | SELL | 1372.4062 | 400 | 548523.3180 | 439.1700 | 87022.2780 | trail_ma20 |
| 2020-07-29 | BUY | 1449.2178 | 500 | 724826.2677 | 217.3827 | | pullback_ma20_5bar |
| 2020-09-21 | SELL | 1449.0795 | 500 | 723960.1032 | 579.6318 | -648.7818 | stop_or_ma50_2bar |
| 2020-11-24 | BUY | 1529.2878 | 500 | 764873.2732 | 229.3932 | | pullback_ma20_5bar |
| 2020-11-26 | SELL | 1482.2862 | 500 | 740550.2005 | 592.9145 | -24093.6795 | 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 -1.84%、收益 6.42%。无需改策略；继续日更与样本外核对。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_