回测报告 — 600809
- 生成时间: 2026-10-19 08:01:08 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 | 40.24% |
| 年化收益 | 5.33% |
| Sharpe (rf=0, √252) | 1.0955 |
| Sortino | 0.5982 |
| 最大回撤 | -5.67% |
| 胜率 | 80.00% |
| 盈亏比 | 4.7299 |
| Profit Factor | 18.9194 |
| 年化换手 | 0.46 |
| 平均持仓天数 | 26.0 |
| 暴露度 | 15.40% |
| 完成回合数 | 10 |
| 期末净值 | 7011779.21 |
最大回撤区间
- 峰值日: 2020-07-15
- 谷底日: 2020-07-20
- 恢复日: 2020-07-28
- 最大回撤: -5.67%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2021-01-22 | BUY | 248.2580 | 4000 | 993329.9496 | 297.9096 | | pullback_ma20_5bar |
| 2021-02-19 | SELL | 298.8808 | 1300 | 388234.2299 | 310.8361 | 65498.8169 | scale_20pct |
| 2021-02-23 | SELL | 238.9408 | 2700 | 644624.1018 | 516.1122 | -25672.5252 | trail_ma20 |
| 2021-04-21 | BUY | 232.1619 | 4300 | 998595.7879 | 299.4889 | | pullback_ma20_5bar |
| 2021-04-29 | SELL | 283.1765 | 1400 | 396129.9983 | 317.1577 | 71103.2963 | scale_20pct |
| 2021-06-24 | SELL | 284.6051 | 2900 | 824694.5351 | 660.2839 | 151424.9381 | trail_ma20 |
| 2021-06-25 | BUY | 297.1268 | 3500 | 1040255.89 | 311.9832 | | bounce_ma50 |
| 2021-07-13 | SELL | 312.5771 | 3500 | 1093144.67 | 875.2159 | 53200.7641 | stop_or_ma50_2bar |
| 2021-07-14 | BUY | 317.4071 | 3300 | 1047757.63 | 314.2330 | | pullback_ma20_5bar |
| 2021-07-27 | SELL | 295.9538 | 3300 | 975866.0571 | 781.3179 | -71577.3399 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【维持跟踪】状态「健康」：Sharpe 1.10、回撤 -5.67%、收益 40.24%。无需改策略；继续日更与样本外核对。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_