SANDBOX RUN · NOT OFFICIAL

equal_weight_portfolio

SANDBOXLONG ONLYNO T+0CNY

success

总收益率-8.85%

年化收益率-3.16%

最大回撤-35.68%

Sharpe Ratio0.012

基准收益16.16%

超额收益-25.01%

Alpha-0.0537

Beta0.8256

信息比率-0.2996

跟踪误差21.87%

STRATEGY VS BENCHMARK

策略净值与基准净值

000300.SH

策略净值沪深300 · 000300.SH728 ALIGNED DAYS

CONTROLLED INPUT

回测参数、费用与数据版本

is_official=false

Run ID557d8cff-5f77-46cb-9f43-c062230fe895参数集BT_PARAM_EQUAL_WEIGHT_TOP10_V1策略模板EQUAL_WEIGHT_PORTFOLIO模板版本EQUAL_WEIGHT_PORTFOLIO_V0_1数据集A_DAILY_BARS_100数据版本ADJ_A_100_QFQ_20260717_V1Enginebacktest_engine_v0.1Strategyequal_weight_portfolio_v0.1Metricsmetrics_v0.1区间2023-07-17 → 2026-07-17初始资金¥100,000最终价值¥91,149.753换手率1.7178波动率26.28%费用合计142.56滑点成本91.82印花税87.47胜率30.00%

查看运行时参数快照

{
  "id": 2,
  "notes": "演示等权组合参数，不构成投资建议。",
  "allow_t0": false,
  "end_date": "2026-07-17",
  "is_active": true,
  "is_sandbox": true,
  "start_date": "2023-07-17",
  "allow_short": false,
  "price_field": "adjusted_close/adjusted_open",
  "initial_cash": 100000,
  "cash_currency": "CNY",
  "slippage_rate": 0.0005,
  "strategy_name": "equal_weight_portfolio",
  "strategy_type": "DEMO",
  "universe_name": "A_DAILY_BARS_100",
  "allow_leverage": false,
  "benchmark_code": "000300.SH",
  "stamp_tax_sell": 0.001,
  "commission_rate": 0.0003,
  "max_position_count": 10,
  "parameter_set_code": "BT_PARAM_EQUAL_WEIGHT_TOP10_V1",
  "rebalance_frequency": "NONE",
  "strategy_parameters": {
    "mode": "equal_weight",
    "weighting": "EQUAL_WEIGHT",
    "symbol_selection": "UNIVERSE_CODE_ASC_TOP10"
  },
  "execution_price_rule": "next_trade_day_adjusted_open",
  "adjusted_data_version": "ADJ_A_100_QFQ_20260717_V1"
}

策略模板仅用于系统验证，不构成投资建议，不代表未来收益，不允许用于模拟交易或实盘交易。

IMMUTABLE AUDIT TRAIL

运行审计时间线

8 EVENTS

2026/7/17 20:22:00
RUN_CREATED
Sandbox run record created
2026/7/17 20:22:00
PARAMETERS_LOADED
Active parameter set and immutable snapshot loaded
2026/7/17 20:22:00
DATA_VERSION_CHECKED
Adjusted data version validation passed
2026/7/17 20:22:00
DATA_LOADED
Adjusted sandbox price data loaded
2026/7/17 20:22:00
TRADES_GENERATED
Sandbox trades and equity curve persisted
2026/7/17 20:22:00
METRICS_CALCULATED
Sandbox metrics calculated
2026/7/17 20:22:00
RUN_COMPLETED
Sandbox run completed successfully
2026/7/17 20:22:00
BENCHMARK_ATTACHED
Default benchmark metrics attached

STATIC VALIDATION

策略静态验证摘要

PASS

规则结果9 RULES9 PASS

失败规则NONE0

WarningsNONE0

TRADE FEASIBILITY

成交可实现性摘要

PASS

成交数CHECKED TRADES20

逐规则检查140 CHECKS140 PASS

失败 / WarningNONE0 / 0

GATES REMAIN CLOSED

验证通过不代表交易授权

SANDBOX ONLY

策略模板仅用于系统验证。回测结果不构成投资建议，不代表未来收益，不允许用于模拟交易或实盘交易。strategy_gate_open=false · paper_trading_gate_open=false · live_trading_allowed=false

EQUITY / DRAWDOWN

净值与回撤曲线

ADJUSTED PRICE ONLY

组合净值回撤（独立刻度）2023-07-17 → 2026-07-17

AUDIT TRADES

交易记录 20 条

交易日	证券	方向	复权成交价	数量	金额	费用	原因
2023-07-17	000001.SZ	BUY	9.5908	1,000	9590.75	2.88	PREDECLARED_START
2023-07-17	000002.SZ	BUY	13.0416	700	9129.13	2.74	PREDECLARED_START
2023-07-17	000006.SZ	BUY	4.3722	2,200	9618.81	2.89	PREDECLARED_START
2023-07-17	000007.SZ	BUY	5.1426	1,900	9770.88	2.93	PREDECLARED_START
2023-07-17	000008.SZ	BUY	2.3512	4,200	9874.93	2.96	PREDECLARED_START
2023-07-17	000009.SZ	BUY	11.4787	800	9182.99	2.75	PREDECLARED_START
2023-07-17	000010.SZ	BUY	2.2911	4,300	9851.92	2.96	PREDECLARED_START
2023-07-17	000011.SZ	BUY	8.7794	1,100	9657.32	2.90	PREDECLARED_START
2023-07-17	000012.SZ	BUY	5.5332	1,800	9959.84	2.99	PREDECLARED_START
2023-07-17	000014.SZ	BUY	11.9242	800	9539.34	2.86	PREDECLARED_START
2026-07-17	000001.SZ	SELL	10.7746	1,000	10774.61	14.01	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000002.SZ	SELL	3.0985	700	2168.91	2.82	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000006.SZ	SELL	6.0670	2,200	13347.32	17.35	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000007.SZ	SELL	9.4053	1,900	17870.06	23.23	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000008.SZ	SELL	2.2889	4,200	9613.19	12.50	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000009.SZ	SELL	6.0470	800	4837.58	6.29	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000010.SZ	SELL	1.6792	4,300	7220.39	9.39	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000011.SZ	SELL	6.6267	1,100	7289.35	9.48	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000012.SZ	SELL	3.8081	1,800	6854.57	8.91	END_OF_SANDBOX_LIQUIDATION
2026-07-17	000014.SZ	SELL	9.3653	800	7492.25	9.74	END_OF_SANDBOX_LIQUIDATION