# 真数据回测审计报告

- 生成时间: 2026-06-05T20:04:30.418254
- 区间: 2023-01-01 ~ 2026-06-04
- 数据源: 郑商所/上期所/能源中心公开历史行情，AKShare 仅作为接口适配器
- 价格: 交易所结算价
- 成本: 未计手续费和滑点

## 结果状态

- 完全通过: AG, AU, CF, MA, OI, PK, RM, SA, SC, SF, SM, SR, TA
- 有缺口但可展示: 无
- 阻塞: FU

## 关键产物

- 标准化期货: `normalized/futures.csv.gz`
- 标准化期权: `normalized/{symbol}_options.csv.gz`
- 策略汇总: `results/strategy_summary.csv`
- 数据质量: `results/data_quality.json`
- 网页: `web/index.html`

## 抽样复核建议

每个通过品种至少抽取：起始日、首个换月日、普通交易日，按 `results/daily/` 与 `results/rollovers/` 重算累计盈亏、净值和回撤。

## 三档汇总

| 品种 | 档位 | 起始 | 结束 | 累计收益 | 全样本回撤 | 区间回撤 | 换月 | 状态 |
|---|---:|---:|---:|---:|---:|---:|---:|---|
| SR | ATM | 2023-01-03 | 2026-06-04 | 18.66% | 5.61% | 5.61% | 20 | passed |
| SR | ITM | 2023-01-03 | 2026-06-04 | 9.33% | 1.94% | 1.94% | 20 | passed |
| SR | OTM | 2023-01-03 | 2026-06-04 | 21.03% | 9.21% | 7.85% | 20 | passed |
| CF | ATM | 2023-01-03 | 2026-06-04 | -1.31% | 20.09% | 9.55% | 20 | passed |
| CF | ITM | 2023-01-03 | 2026-06-04 | 0.86% | 9.24% | 6.56% | 20 | passed |
| CF | OTM | 2023-01-03 | 2026-06-04 | 13.99% | 25.47% | 11.12% | 20 | passed |
| MA | ATM | 2023-01-03 | 2026-06-04 | 22.45% | 15.37% | 8.95% | 41 | passed |
| MA | ITM | 2023-01-03 | 2026-06-04 | 18.73% | 5.15% | 5.08% | 41 | passed |
| MA | OTM | 2023-01-03 | 2026-06-04 | 21.45% | 20.61% | 11.08% | 41 | passed |
| TA | ATM | 2023-01-03 | 2026-06-04 | 14.21% | 29.04% | 13.31% | 41 | passed |
| TA | ITM | 2023-01-03 | 2026-06-04 | 8.79% | 16.31% | 9.27% | 41 | passed |
| TA | OTM | 2023-01-03 | 2026-06-04 | 23.30% | 31.65% | 13.83% | 41 | passed |
| RM | ATM | 2023-01-03 | 2026-06-04 | -6.54% | 24.69% | 11.46% | 23 | passed |
| RM | ITM | 2023-01-03 | 2026-06-04 | -12.12% | 18.07% | 8.77% | 23 | passed |
| RM | OTM | 2023-01-03 | 2026-06-04 | -7.20% | 30.42% | 12.93% | 23 | passed |
| OI | ATM | 2023-01-03 | 2026-06-04 | -7.44% | 22.02% | 13.53% | 20 | passed |
| OI | ITM | 2023-01-03 | 2026-06-04 | 2.55% | 10.99% | 9.29% | 20 | passed |
| OI | OTM | 2023-01-03 | 2026-06-04 | -6.46% | 27.71% | 15.74% | 20 | passed |
| PK | ATM | 2023-01-03 | 2026-06-04 | 5.98% | 9.43% | 7.09% | 22 | passed |
| PK | ITM | 2023-01-03 | 2026-06-04 | 6.00% | 5.29% | 5.24% | 22 | passed |
| PK | OTM | 2023-01-03 | 2026-06-04 | 1.65% | 15.96% | 7.83% | 22 | passed |
| SA | ATM | 2023-10-20 | 2026-06-04 | -31.10% | 36.99% | 19.24% | 30 | passed |
| SA | ITM | 2023-10-20 | 2026-06-04 | -18.15% | 27.86% | 15.33% | 30 | passed |
| SA | OTM | 2023-10-20 | 2026-06-04 | -43.74% | 51.72% | 21.80% | 30 | passed |
| SF | ATM | 2023-10-20 | 2026-06-04 | -1.15% | 14.51% | 5.05% | 30 | passed |
| SF | ITM | 2023-10-20 | 2026-06-04 | 6.44% | 2.89% | 2.84% | 30 | passed |
| SF | OTM | 2023-10-20 | 2026-06-04 | -4.60% | 25.90% | 7.59% | 30 | passed |
| SM | ATM | 2023-10-20 | 2026-06-04 | -19.35% | 33.39% | 12.59% | 30 | passed |
| SM | ITM | 2023-10-20 | 2026-06-04 | -6.63% | 18.29% | 8.33% | 30 | passed |
| SM | OTM | 2023-10-20 | 2026-06-04 | -25.46% | 46.06% | 15.52% | 30 | passed |
| AG | ATM | 2024-05-31 | 2026-06-04 | 49.36% | 41.15% | 39.01% | 24 | passed |
| AG | ITM | 2024-05-31 | 2026-06-04 | 29.47% | 38.85% | 38.85% | 24 | passed |
| AG | OTM | 2024-05-31 | 2026-06-04 | 56.29% | 44.40% | 39.78% | 24 | passed |
| AU | ATM | 2023-01-03 | 2026-06-04 | 112.11% | 12.73% | 12.73% | 41 | passed |
| AU | ITM | 2023-01-03 | 2026-06-04 | 44.93% | 12.28% | 12.28% | 41 | passed |
| AU | OTM | 2023-01-03 | 2026-06-04 | 129.18% | 14.94% | 14.94% | 41 | passed |
| SC | ATM | 2023-01-03 | 2026-06-04 | 21.09% | 15.73% | 11.82% | 40 | passed |
| SC | ITM | 2023-01-03 | 2026-06-04 | 24.06% | 8.85% | 8.43% | 40 | passed |
| SC | OTM | 2023-01-03 | 2026-06-04 | 25.29% | 18.87% | 14.33% | 40 | passed |