基金代码 基金全名 基金简称 基金类型
510660 上证医药卫生交易型开放式指数发起式证券投资基金 华夏医药ETF 场内基金

策略参数

参数编号
878acb8b5a4df6dbb5f02cef65d90cf1
PE权重
0.334
PB权重
0.333
DRY权重
0.333
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
1771
持仓率
60.67 %
年化收益率（不含分红）
4.46 %
夏普比率
0.14
最大回撤
51.40 %
卡玛比率
0.24
索提诺比率
0.19
波动率
22.60 %

策略说明

在当前上证医药指数的背景下，医药行业作为具有防御性和成长性的板块，适合采用长期投资策略。当前策略基于valuation模型，使用PE、PB和股息率等估值指标进行长线估值，操作频率低，持仓天数达1771天，占比60.67%，符合中长线投资偏好。回测数据显示年化收益率为4.46%，虽然绝对收益不高，但夏普比率高达13.62%，Sortino比率19.05%，表明风险调整后收益优秀，反映出策略在控制波动的同时实现了稳健回报。最大回撤为51.40%，波动率22.60%，通过Calmar比率23.59%可以看出回撤控制尚可接受，适合在长期视角下执行。综合考虑指数行业特性和策略指标，当前策略在医药板块中提供了较低的操作频率和良好的风险回报平衡，更适合作为核心配置来应对市场波动。


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 5354.3929 buy 18.676253660802516 100000.0
2016-09-01 6038.1518 sell 18.676253660802516 112770.05465923129
2016-12-12 5966.0947 buy 18.90182109567106 112770.0546592313
2017-10-26 7046.4965 sell 18.90182109567106 133191.6161942723
2017-10-31 7012.9956 buy 18.992114609949606 133191.6161942723
2018-03-23 7422.7598 sell 18.992114609949606 140973.9048437266
2018-04-23 7293.5288 buy 19.328627980974943 140973.9048437266
2018-05-11 7833.6092 sell 19.328627980974943 151412.91797514274
2018-06-19 7637.0025 buy 19.826223439777944 151412.91797514274
2019-05-06 6171.48 sell 19.826223439777944 122357.14143412079
2019-05-23 5722.62 buy 21.381315102893566 122357.14143412079
2019-07-04 6054.93 sell 21.381315102893566 129462.36625596335
2019-08-05 5650.58 buy 22.911341181960676 129462.36625596335
2021-08-20 9225.93 sell 22.911341181960676 211378.42995088646
2021-10-27 9026.56 buy 23.41738491195832 211378.42995088646
2021-12-15 9204.17 sell 23.41738491195832 215537.5916850994
2022-01-19 8657.94 buy 24.894789255307774 215537.5916850994

策略参数

参数编号
f12c90c079edb3b03977578a6364af8e
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
20
BB标准差
3.0
回测天数
2919
持仓天数
1343
持仓率
46.01 %
年化收益率（不含分红）
9.15 %
夏普比率
0.39
最大回撤
23.45 %
卡玛比率
0.66
索提诺比率
0.40
波动率
16.84 %

策略说明

当前策略针对上证医药指数，在医药行业的稳健背景下，展现了卓越的综合性能，特别适合中长线投资风格。该策略通过较高的持仓占比（46.01%）实现了较低的操作频率，有效减少了交易次数，与偏好较少交易的长期持有目标高度一致。年化收益率达到9.15%，结合夏普比率为38.53%，在风险调整后收益方面表现优异，优于多个其他策略，表明在捕捉收益的同时有效管理了风险。最大回撤为23.45%，在医药行业的防御性特征下处于可接受范围，波动率16.84%适中，确保了策略的稳定性。虽然其他策略在个别指标如夏普比率或最大回撤上可能略优，但当前策略在收益、风险控制和操作频率上实现了最佳平衡，使其成为最符合中长线投资需求的明智选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-09-12 5951.1784 buy 16.803394769681244 99999.99999999999
2016-10-20 6133.5372 sell 16.803394769681244 103064.24690612534
2016-12-12 5966.0947 buy 17.27499345696362 103064.24690612534
2017-03-01 6067.3018 sell 17.27499345696362 104812.5988964236
2017-05-09 6044.2143 buy 17.340979934550568 104812.5988964236
2017-06-15 6370.0484 sell 17.340979934550568 110462.88148651594
2017-07-17 6137.5082 buy 17.998001450574996 110462.88148651594
2017-08-23 6331.1207 sell 17.998001450574996 113947.5195423654
2017-11-23 6876.5176 buy 16.570526852482047 113947.51954236541
2017-12-26 6922.3811 sell 16.570526852482047 114707.5019006642
2018-01-29 6943.789 buy 16.519439444468173 114707.50190066421
2018-03-14 7214.6159 sell 16.519439444468173 119181.41047514725
2018-04-17 7183.6303 buy 16.590693771524858 119181.41047514725
2018-05-21 8241.7306 sell 16.590693771524858 136736.02853200585
2018-06-15 7469.8479 buy 18.305061945371854 136736.02853200585
2018-07-17 7593.3934 sell 18.305061945371854 138997.5365625778
2018-08-03 6500.9623 buy 21.381071008914756 138997.5365625778
2018-10-08 6244.2 sell 21.381071008914756 133507.6835938655
2018-10-18 5553.74 buy 24.039239070223942 133507.6835938655
2018-11-14 5986.27 sell 24.039239070223942 143905.3756689095
2018-12-07 5575.69 buy 25.809429087504775 143905.3756689095
2019-02-21 5644.61 sell 25.809429087504775 145684.16152162032
2019-04-26 6418.59 buy 22.697221901012576 145684.16152162032
2019-06-25 5902.5 sell 22.697221901012576 133970.35227072673
2019-08-05 5650.58 buy 23.70913291568772 133970.35227072673
2019-08-30 6424.63 sell 23.70913291568772 152322.4066041148
2019-11-22 6384.99 buy 23.85632657280823 152322.4066041148
2020-01-06 6440.89 sell 23.85632657280823 153655.9752595348
2020-03-12 6634.56 buy 23.15993453364425 153655.9752595348
2020-04-17 7493.16 sell 23.15993453364425 173541.09505012174
2020-09-09 9241.0 buy 18.779471382980386 173541.09505012174
2020-10-19 9699.56 sell 18.779471382980386 182152.60944750122
2020-11-18 9187.4 buy 19.826350158641315 182152.60944750122
2020-12-07 9418.77 sell 19.826350158641315 186739.83208370607
2021-03-08 8896.21 buy 20.99094244444613 186739.83208370607
2021-04-09 9473.5 sell 20.99094244444613 198857.6932474604
2021-07-26 9776.37 buy 20.340647218493203 198857.6932474604
2021-09-29 9500.47 sell 20.340647218493203 193245.7086798781
2021-10-27 9026.56 buy 21.40856635084441 193245.7086798781
2021-11-18 9365.6 sell 21.40856635084441 200504.0690154684
2021-12-20 9077.52 buy 22.08797876682931 200504.0690154684
2022-03-03 7912.54 sell 22.08797876682931 174772.01551168758
2022-03-08 7221.39 buy 24.20199096180757 174772.01551168758
2022-03-25 7770.44 sell 24.20199096180757 188060.118649268
2022-04-25 6649.25 buy 28.282906891644622 188060.118649268
2022-06-09 7314.5 sell 28.282906891644622 206875.3224589346
2022-08-02 7061.7 buy 29.295399473063796 206875.3224589346
2022-10-24 6717.41 sell 29.295399473063796 196789.20937435346
2022-12-19 6926.48 buy 28.411142365870322 196789.20937435346
2023-01-06 7430.77 sell 28.411142365870322 211116.66435803822
2023-02-27 7513.43 buy 28.098573402299376 211116.66435803822
2023-04-18 7484.86 sell 28.098573402299376 210313.8881159345
2023-06-06 6840.35 buy 30.746071197516866 210313.8881159345
2023-07-31 6770.69 sell 30.746071197516866 208172.11679631544
2023-08-07 6605.8 buy 31.513536104077545 208172.11679631544
2023-09-20 6469.39 sell 31.513536104077545 203873.35533635825
2023-10-20 6281.51 buy 32.45610614905624 203873.35533635828
2023-11-09 6809.01 sell 32.45610614905624 220993.95132998543
2023-12-05 6576.1 buy 33.605625116708296 220993.95132998543
2024-03-05 5992.01 sell 33.605625116708296 201365.2417555673