基金代码 基金全名 基金简称 基金类型
510630 上证主要消费交易型开放式指数发起式证券投资基金 华夏消费ETF 场内基金

策略参数

参数编号
5f941e0dc5bf45b7fa8f709c1d7c58b9
PE权重
0.2
PB权重
0.3
DRY权重
0.5
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
1154
持仓率
39.53 %
年化收益率（不含分红）
6.08 %
夏普比率
0.21
最大回撤
37.08 %
卡玛比率
0.36
索提诺比率
0.26
波动率
17.98 %

策略说明

当前策略在年化收益率和夏普比率上均表现最优，分别为6.08%和20.78%，显著高于其他策略，同时最大回撤保持在37.08%的相同水平，显示出优秀的风险调整后收益能力。考虑到上证消费指数属于消费行业，该行业通常具有稳定增长和较高分红特性，当前策略采用高股息估值方法，能够有效利用估值指标在长期内捕捉投资机会，提供更佳回报。持仓天数较长、操作频率较低，符合中长线投资风格，减少频繁交易带来的成本和风险。虽然波动率略高于某些其他策略，但夏普比率、Sortino比率和Calmar比率均领先，表明在控制风险的同时实现了更高收益。其他策略在年化收益率或夏普比率上均不及当前策略，例如一些成长型策略虽然波动率较低但收益有限，均衡型策略在夏普比率上表现一般。因此，选择当前策略可以基于其综合指标优势和行业适配性，为长期投资提供更稳健和高效的解决方案。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-04-26 5442.8494 buy 18.37272954860739 100000.0
2017-11-23 8617.8808 sell 18.37272954860739 158333.9932205363
2018-08-06 8208.24 buy 19.289639827848152 158333.9932205363
2020-03-06 10648.22 sell 19.289639827848152 205400.32860768924
2022-03-07 15473.96 buy 13.273934313368345 205400.32860768924

策略参数

参数编号
930c38120f486db06e0f83ac923b70d7
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.5
回测天数
2919
持仓天数
612
持仓率
20.97 %
年化收益率（不含分红）
12.22 %
夏普比率
0.66
最大回撤
13.75 %
卡玛比率
1.29
索提诺比率
0.57
波动率
13.43 %

策略说明

在评估所有基于布林线模型的策略后，当前策略因其在收益与风险控制以及操作频率上的优异表现而被选中。上证消费指数作为消费行业代表，通常展现出稳健的增长特性和较低的波动性，适合采用中线技术策略进行波段操作。当前策略在长达约8年的回测期内，实现了12.22%的年化收益率，最大回撤控制在13.75%以内，夏普比率高达65.87%，表明其风险调整后收益突出，能够在市场波动中保持良好的表现。更重要的是，持仓占比仅为20.97%，意味着策略操作频率较低，减少了不必要的交易次数和潜在成本，这符合中长线投资风格偏好，有助于避免频繁操作带来的风险和市场噪音干扰。与其他策略相比，虽然某些策略在收益率或最大回撤上略有优势，但当前策略在综合指标上更为均衡，特别是在操作频率方面显著优于高持仓策略，更适合追求稳健增长和较低交易频率的投资者。因此，选择当前策略以在收益、风险和操作效率之间取得最佳平衡。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-04-20 5396.2801 buy 18.531284171108908 100000.0
2016-04-29 5713.7911 sell 18.531284171108908 105883.88656845296
2016-09-12 6003.0592 buy 17.638321236021287 105883.88656845296
2016-10-10 6129.3976 sell 17.638321236021287 108112.28385209791
2017-07-17 6863.79 buy 15.751106000052145 108112.28385209791
2017-07-24 7147.6371 sell 15.751106000052145 112583.18961200531
2017-11-23 8617.8808 buy 13.063906571091735 112583.18961200531
2017-12-11 8743.051 sell 13.063906571091735 114218.40141029016
2018-02-06 8512.0483 buy 13.41843906246281 114218.40141029016
2018-02-22 9064.9521 sell 13.41843906246281 121637.50735799428
2018-03-23 8728.347 buy 13.935915627322595 121637.50735799428
2018-04-04 8813.8229 sell 13.935915627322595 122828.69228856375
2018-06-19 9085.8589 buy 13.518666054627346 122828.69228856375
2018-07-12 9092.3032 sell 13.518666054627346 122915.8106282196
2018-08-01 8381.6131 buy 14.664934919057476 122915.8106282196
2018-08-27 8157.43 sell 14.664934919057476 119628.18005676703
2018-10-29 6577.01 buy 18.18883961811933 119628.18005676703
2018-11-13 7128.99 sell 18.18883961811933 129668.05574917654
2018-11-23 6989.64 buy 18.551464131082078 129668.05574917654
2018-12-03 7488.23 sell 18.551464131082078 138917.63025029274
2019-05-06 10014.86 buy 13.871150495393119 138917.63025029274
2019-05-15 10426.9 sell 13.871150495393119 144633.0991004145
2019-08-01 10200.56 buy 14.178937146628664 144633.0991004145
2019-08-16 10523.96 sell 14.178937146628664 149218.56737363417
2019-09-11 10773.44 buy 13.850596223085121 149218.56737363417
2019-10-15 10737.05 sell 13.850596223085121 148714.54417707608
2019-10-24 10532.25 buy 14.119921591025287 148714.54417707608
2019-10-29 10696.66 sell 14.119921591025287 151036.00048585655
2020-01-23 9690.3 buy 15.586308007580422 151036.00048585655
2020-02-17 10686.26 sell 15.586308007580422 166559.33980908638
2020-02-28 10590.63 buy 15.727047381419839 166559.33980908638
2020-03-04 11229.08 sell 15.727047381419839 176600.27320975388
2020-03-16 10104.72 buy 17.47700809223352 176600.27320975385
2020-03-26 10689.96 sell 17.47700809223352 186828.5174256526
2020-08-12 15862.07 buy 11.778318808683393 186828.5174256526
2020-08-18 16478.72 sell 11.778318808683393 194091.6177190272
2021-05-07 18298.84 buy 10.606771670719413 194091.6177190272
2021-05-14 19754.13 sell 10.606771670719413 209527.54646370848
2021-06-08 19824.44 buy 10.569153351303164 209527.54646370848
2021-07-01 19108.85 sell 10.569153351303164 201964.36601704947
2021-07-26 16753.33 buy 12.055177449321983 201964.36601704947
2021-08-09 18039.08 sell 12.055177449321983 217464.3104225152
2021-08-20 15860.22 buy 13.711304787860144 217464.3104225152
2021-09-06 16356.47 sell 13.711304787860144 224268.54542349078
2021-11-30 18049.26 buy 12.42535956728923 224268.54542349078
2021-12-08 19236.2 sell 12.42535956728923 239016.70170828907
2022-01-28 16386.58 buy 14.586124847789414 239016.70170828907
2022-02-15 17091.49 sell 14.586124847789414 249298.6069747443
2022-03-07 15473.96 buy 16.11084731864011 249298.60697474433
2022-04-14 15217.55 sell 16.11084731864011 245167.62461377183
2022-07-29 15677.13 buy 15.638552758940689 245167.62461377183
2022-08-12 15638.05 sell 15.638552758940689 244556.46997195244
2022-10-24 13257.44 buy 18.446734058155453 244556.46997195244
2022-11-04 13938.93 sell 18.446734058155453 257127.7347652448
2022-12-20 15163.33 buy 16.957207603161365 257127.73476524482
2023-01-05 15559.11 sell 16.957207603161365 263839.058390424
2023-02-24 15997.17 buy 16.492858323717506 263839.058390424
2023-03-28 15392.62 sell 16.492858323717506 253868.30089082057
2023-04-11 14627.55 buy 17.355490214753708 253868.3008908206
2023-05-22 14216.41 sell 17.355490214753708 246732.76464392676
2023-08-11 13402.48 buy 18.409485755168205 246732.76464392676
2023-09-01 13782.9 sell 18.409485755168205 253736.10121490786
2023-09-21 13283.94 buy 19.100967123828312 253736.1012149079
2023-10-27 12796.78 sell 19.100967123828312 244430.87407086368
2023-12-04 12008.33 buy 20.355109667277937 244430.87407086368
2023-12-27 12086.17 sell 20.355109667277937 246015.3158073646
2024-01-17 11321.93 buy 21.729097053891394 246015.3158073646
2024-02-06 11692.1 sell 21.729097053891394 254058.77566380356
2024-03-25 12204.56 buy 20.816709136896666 254058.77566380356