基金代码 基金全名 基金简称 基金类型
510270 上证国有企业100交易型开放式指数证券投资基金 国企ETF 场内基金

策略参数

参数编号
88982125a7add29e25c2637f10f2f1c8
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
1631
持仓率
55.88 %
年化收益率（不含分红）
9.58 %
夏普比率
0.48
最大回撤
19.77 %
卡玛比率
0.79
索提诺比率
0.56
波动率
13.43 %

策略说明

当前策略选择了基于估值模型的简易高股息策略，其年化收益率为9.58%，夏普比率达47.53%，在回测期间表现出优秀的风险调整后回报。上证国企指数作为国有企业代表，通常涉及稳定的大盘蓝筹股，适合采用长线估值策略以减少频繁操作，符合中长线投资风格。该策略的持仓占比约为55.88%，操作频率适中，在保持合理波动率（13.43%）的同时，最大回撤控制在19.77%，与大多数其他策略相近，但收益和风险指标更优。其他策略虽然在波动率或特定阈值上略有调整，但年化收益率或夏普比率普遍较低，例如一些策略收益率低于8%或夏普比率低于40%，显示出较差的效率。当前策略的高股息权重设置（侧重于股息率）更适合国企指数的稳健特性，能有效捕捉长期估值机会，兼顾收益与风险平衡，因此是最适合的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-06 845.8495 buy 118.22434132786033 100000.0
2016-11-23 971.9668 sell 118.22434132786033 114910.13472254816
2017-05-03 950.2373 buy 120.92783005102848 114910.13472254816
2017-05-25 982.56 sell 120.92783005102848 118818.84869493854
2018-04-16 1000.3359 buy 118.77895084534958 118818.84869493854
2019-04-04 1111.56 sell 118.77895084534958 132029.9306016568
2019-05-06 1024.03 buy 128.93170180722908 132029.9306016568
2019-12-30 1095.07 sell 128.93170180722908 141189.23869804235
2020-02-03 977.33 buy 144.46424308886697 141189.23869804235
2020-07-06 1185.63 sell 144.46424308886697 171281.14053345335
2021-07-27 1146.66 buy 149.37395612775657 171281.14053345335
2021-09-07 1255.43 sell 149.37395612775657 187528.54574146945
2021-11-01 1197.61 buy 156.58565454652972 187528.54574146945
2021-12-13 1249.71 sell 156.58565454652972 195686.65834334368
2022-03-08 1139.38 buy 171.7483704675733 195686.65834334368
2023-05-08 1164.05 sell 171.7483704675733 199923.69064277867
2023-05-24 1080.06 buy 185.10424480378745 199923.69064277867
2023-07-28 1131.82 sell 185.10424480378745 209504.6863538227
2023-10-30 1040.8 buy 201.29197382188963 209504.6863538227
2024-01-26 1032.51 sell 201.29197382188963 207835.97589083927

策略参数

参数编号
a2c28bf4bbb46511d9eb7c60b3dd79ae
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
25
BB标准差
2.0
回测天数
2919
持仓天数
1502
持仓率
51.46 %
年化收益率（不含分红）
7.93 %
夏普比率
0.37
最大回撤
16.58 %
卡玛比率
0.87
索提诺比率
0.38
波动率
12.88 %

策略说明

当前策略针对上证国企指数，该指数代表国有企业板块，通常具有稳定的基本面和适度的市场波动性，适合中长线投资。在比较所有布林线策略时，当前策略展现出最高的年化收益率达7.93%，夏普比率达到36.82%，表明风险调整后收益表现优异；最大回撤为16.58%，控制在合理水平，波动率12.88%也较为适中。此外，当前策略的持仓占比为51.46%，是所有策略中最高的，这意味着更长的持仓时间和更少的交易频率，符合偏好中长线操作和较低换手率的风格。其他策略虽然在波动率或最大回撤方面略有优势，但收益率、夏普比率或持仓占比普遍较低，导致整体风险收益平衡不足或操作过于频繁。因此，综合考虑指数行业特性、风险收益指标和操作频率，当前策略在提供较高回报的同时有效管理风险并减少交易活动，是最适合的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-06 845.8495 buy 118.22434132786033 100000.0
2016-06-13 852.3452 sell 118.22434132786033 100767.94985396338
2016-09-13 889.4948 buy 113.28672169186753 100767.94985396338
2016-12-06 972.3686 sell 113.28672169186753 110156.45097011086
2016-12-16 936.7563 buy 117.59349893895654 110156.45097011086
2017-02-27 977.7489 sell 117.59349893895654 114976.91423471594
2017-04-19 965.2626 buy 119.11464738685197 114976.91423471594
2017-06-14 978.5157 sell 119.11464738685197 116555.55256799863
2017-12-15 1067.6645 buy 109.16870661897873 116555.55256799863
2018-02-06 1141.4354 sell 109.16870661897873 124609.02630711664
2018-02-09 1063.2835 buy 117.19266433375167 124609.02630711664
2018-05-17 1041.5802 sell 117.19266433375167 122065.55875528193
2018-05-30 1007.3988 buy 121.16905316472675 122065.55875528193
2018-08-01 924.8174 sell 121.16905316472675 112059.24870826436
2018-08-17 910.07 buy 123.13255981217308 112059.24870826436
2018-10-08 927.59 sell 123.13255981217308 114216.53115617363
2018-10-18 898.2 buy 127.1615800001933 114216.53115617363
2018-10-23 915.23 sell 127.1615800001933 116382.09286357691
2018-11-23 890.78 buy 130.65189257008117 116382.09286357691
2018-12-06 905.42 sell 130.65189257008117 118294.83657080289
2018-12-20 870.48 buy 135.8960993598967 118294.83657080289
2019-03-08 1031.17 sell 135.8960993598967 140131.9807769447
2019-05-06 1024.03 buy 136.84362838680966 140131.9807769447
2019-07-08 1043.64 sell 136.84362838680966 142815.48432961004
2019-08-02 1009.31 buy 141.49813667714582 142815.48432961004
2019-09-17 1053.67 sell 141.49813667714582 149092.34167260825
2019-11-15 1042.06 buy 143.07462302804853 149092.34167260825
2019-12-12 1061.47 sell 143.07462302804853 151869.42010558269
2020-01-23 960.74 buy 158.0754627740936 151869.42010558269
2020-03-09 1039.85 sell 158.0754627740936 164374.76996564123
2020-03-16 963.09 buy 170.67436061597692 164374.76996564123
2020-05-14 990.64 sell 170.67436061597692 169076.84860061138
2020-05-22 978.03 buy 172.87491038169728 169076.84860061138
2020-06-11 1003.65 sell 172.87491038169728 173505.90380459046
2020-09-24 1130.56 buy 153.46899218492646 173505.90380459046
2020-10-14 1164.39 sell 153.46899218492646 178697.75981020654
2021-03-09 1225.83 buy 145.77695097216298 178697.75981020654
2021-05-21 1254.8 sell 145.77695097216298 182920.9180798701
2021-06-18 1236.49 buy 147.935622673754 182920.9180798701
2021-08-26 1182.72 sell 147.935622673754 174966.41964870234
2021-11-02 1194.8 buy 146.43992270564308 174966.41964870234
2021-12-20 1240.02 sell 146.43992270564308 181588.43295345153
2022-01-14 1198.14 buy 151.55860997333494 181588.43295345153
2022-02-14 1223.29 sell 151.55860997333494 185400.1319942809
2022-03-07 1152.02 buy 160.93482057106726 185400.1319942809
2022-04-11 1154.09 sell 160.93482057106726 185733.267072863
2022-04-25 1067.66 buy 173.96293489768559 185733.267072863
2022-06-22 1146.84 sell 173.96293489768559 199507.65225806172
2022-07-14 1091.95 buy 182.70768099094437 199507.65225806172
2022-09-01 1075.81 sell 182.70768099094437 196558.75028686784
2022-09-16 1071.18 buy 183.4974049990364 196558.75028686784
2022-11-21 1025.62 sell 183.4974049990364 188198.6085151117
2023-05-23 1083.56 buy 173.6854521347334 188198.6085151117
2023-08-11 1094.23 sell 173.6854521347334 190051.83228938933
2023-10-09 1063.78 buy 178.65708350353395 190051.83228938933
2024-01-02 1012.12 sell 178.65708350353395 180822.40735559678
2024-01-17 985.5 buy 183.48290954398456 180822.40735559678
2024-02-01 1003.49 sell 183.48290954398456 184123.26489829307