diff --git a/strategies/rotation/strategy.py b/strategies/rotation/strategy.py
index 1e9ae13..f60b56f 100644
--- a/strategies/rotation/strategy.py
+++ b/strategies/rotation/strategy.py
@@ -420,10 +420,11 @@ class RotationStrategy(StrategyBase):
                 # 提取原始收盘价序列
                 if 'close' in df.columns:
                     close_series = df['close'].dropna()
-                    # 先在原始交易日历计算收益率
-                    returns_series = close_series.pct_change(fill_method=None)
-                    # 然后对齐到A股交易日历（用ffill填充非共同交易日）
-                    returns_aligned = returns_series.reindex(a_share_dates, method='ffill')
+                    # 修复：先ffill价格对齐到A股日历，再计算收益率
+                    # 原因：若先pct_change再ffill，休市日会复制前一天的非零收益率
+                    # 正确做法：休市日价格不变 → 收益率应为0%
+                    close_aligned = close_series.reindex(a_share_dates, method='ffill')
+                    returns_aligned = close_aligned.pct_change(fill_method=None)
                     returns_data[f'日收益率_{code}'] = returns_aligned
         
         returns_df = pd.DataFrame(returns_data)