回测报告 — 600809
- 生成时间: 2026-10-22 10:16:27 Asia/Shanghai
- 策略:
gp_swing_mom_ma20slope_s5_sp000_h20_cuf_v1 v1.3.1-slope-s5-sp0.0-h20-cusoft
- 数据区间: 2020-01-02 → 2026-10-22 (1647 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
- 数据备注: bakeoff promote gp_swing_mom_ma20slope_s5_sp000_h20_cuf_v1
策略参数
{
"strategy_version": "1.3.1-slope-s5-sp0.0-h20-cusoft",
"entry_mode": "ma20slope",
"base": "gp_policy_v1_3@1.3.0",
"touch_n": 5,
"touch_tol": 0.03,
"classic_mode": "soft",
"slope_n": 5,
"slope_min_pct": 0.0,
"max_hold": 20,
"allow_add": false,
"risk_pct": 0.015,
"name_cap": 0.15,
"extend_block_pct": 0.12,
"scale_profit": 0.2,
"vol_mult": 1.2,
"role": "bakeoff"
}
核心指标
| 指标 | 数值 |
|---|
| 总收益 | 25.71% |
| 年化收益 | 3.57% |
| Sharpe (rf=0, √252) | 1.3110 |
| Sortino | 0.7966 |
| 最大回撤 | -2.05% |
| 胜率 | 70.00% |
| 盈亏比 | 1.6912 |
| Profit Factor | 3.9462 |
| 年化换手 | 0.45 |
| 平均持仓天数 | 18.8 |
| 暴露度 | 9.96% |
| 完成回合数 | 10 |
| 期末净值 | 6285677.88 |
最大回撤区间
- 峰值日: 2020-11-16
- 谷底日: 2020-11-30
- 恢复日: 2020-12-11
- 最大回撤: -2.05%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2020-10-29 | BUY | 137.5174 | 6300 | 866619.4018 | 259.9078 | | ma20_slope_mom |
| 2020-11-17 | SELL | 171.1787 | 2100 | 359187.5849 | 287.5801 | 70401.0869 | scale_20pct |
| 2020-11-26 | SELL | 159.4104 | 4200 | 668988.1870 | 535.6190 | 91415.1910 | max_hold |
| 2020-11-27 | BUY | 160.9408 | 5600 | 901538.7485 | 270.3805 | | ma20_slope_mom |
| 2020-12-01 | SELL | 150.4494 | 5600 | 841842.6267 | 674.0133 | -59425.7413 | stop_or_ma50_2bar |
| 2020-12-04 | BUY | 160.9808 | 5500 | 885660.1284 | 265.6184 | | ma20_slope_mom |
| 2020-12-18 | SELL | 208.0517 | 1800 | 374193.5375 | 299.5945 | 84428.0615 | scale_20pct |
| 2021-01-04 | SELL | 245.5642 | 3700 | 907860.6330 | 726.8700 | 312231.5990 | max_hold |
| 2021-01-14 | BUY | 260.8606 | 3600 | 939379.8894 | 281.7294 | | ma20_slope_mom |
| 2021-01-18 | SELL | 239.6501 | 3600 | 862050.2037 | 690.1923 | -77047.9563 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【维持跟踪】状态「健康」：Sharpe 1.31、回撤 -2.05%、收益 25.71%。无需改策略；继续日更与样本外核对。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_