回测报告 — 603565
- 生成时间: 2026-10-28 10:12:00 Asia/Shanghai
- 策略:
gp_policy_v1_3 v1.3.0
- 数据区间: 2020-09-25 → 2026-10-28 (1472 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 | 3.79% |
| 年化收益 | 0.64% |
| Sharpe (rf=0, √252) | 0.2084 |
| Sortino | 0.0607 |
| 最大回撤 | -4.97% |
| 胜率 | 60.00% |
| 盈亏比 | 1.9963 |
| Profit Factor | 2.9944 |
| 年化换手 | 0.26 |
| 平均持仓天数 | 15.8 |
| 暴露度 | 3.60% |
| 完成回合数 | 5 |
| 期末净值 | 5189569.07 |
最大回撤区间
- 峰值日: 2021-03-03
- 谷底日: 2021-03-09
- 恢复日: 尚未恢复
- 最大回撤: -4.97%
最近 10 笔交易
| date | side | price | shares | amount | fee | pnl | reason |
|---|
| 2021-01-15 | BUY | 5.9860 | 125200 | 749669.5294 | 224.8334 | | wrong_sell_try |
| 2021-01-25 | SELL | 7.0829 | 41700 | 295121.0611 | 236.2859 | 45505.6951 | scale_20pct |
| 2021-01-26 | BUY | 6.6166 | 115500 | 764447.7205 | 229.2655 | | add_on_confirm |
| 2021-01-29 | SELL | 5.9241 | 199000 | 1177946.82 | 943.1119 | -86100.9669 | stop_or_ma50_2bar |
| 2021-02-01 | BUY | 5.3253 | 139600 | 743637.6964 | 223.0244 | | wrong_sell_try |
| 2021-02-19 | SELL | 6.4236 | 46500 | 298457.0482 | 238.9568 | 50829.6682 | scale_20pct |
| 2021-02-22 | BUY | 6.6466 | 115700 | 769246.9529 | 230.7049 | | add_on_confirm |
| 2021-03-10 | SELL | 6.9730 | 208800 | 1454801.80 | 1164.7733 | 189998.2627 | trail_ma20 |
| 2021-03-11 | BUY | 6.3563 | 122600 | 779522.2966 | 233.7866 | | wrong_sell_try |
| 2021-04-12 | SELL | 6.2837 | 122600 | 769766.5397 | 616.3063 | -9521.9703 | stop_or_ma50_2bar |
给交易员的迭代建议
- 【必须更新】状态「需关注」：Sharpe 0.21 / 回撤 -4.97% / 收益 3.79%。请单票迭代参数或过滤条件；暂不宜当主力配置。
- 暴露 3.60% 偏低（相对 v1.0 约 8–9% 量级）：仅观察，不作为卡死验收项；若需抬暴露再议触达/回踩条件，勿牺牲 Sharpe。
- 参数敏感度（仅「必须更新」时）：围绕
risk_pct, name_cap, sector_cap, extend_block_pct, scale_profit 做小幅扰动，以 Sharpe≥0.50 且收益不低于前一生产版为主验收。
_artifacts: equity.csv / trades.csv / positions.csv / summary.json_