| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 257060 | 国联安上证大宗商品股票交易型开放式指数证券投资基金联接基金 | 国联安上证商品ETF联接A | 场外基金 |
| 510170 | 上证大宗商品股票交易型开放式指数证券投资基金 | 国联安上证商品ETF | 场内基金 |
| 015577 | 国联安上证大宗商品股票交易型开放式指数证券投资基金联接基金 | 国联安上证商品ETF联接C | 场外基金 |
当前策略针对上证商品指数，采用估值模型进行长线投资，基于pe、pb和dyr的加权估值，适用于商品类行业的周期性特点。该策略在回测中表现出色，年化收益率达到5.80%，与最高收益率持平，同时夏普比率高达19.78%，为所有策略中最高，表明在单位风险下获得超额收益的能力最强。最大回撤为27.38%，与其他策略一致，但波动率相对较低，为14.98%，有助于控制风险。持仓占比为45.91%，表明持有时间较长，符合中长线操作偏好，减少交易频率和成本。相比之下，其他策略如持仓占比较低的策略可能导致更频繁买卖，增加操作复杂性，而收益率和夏普比率较低的策略在风险调整后收益不足。商品指数通常波动较大，该策略通过稳健的估值权重配置，在长期内实现稳定回报，适合投资者寻求在商品领域进行中长期布局的需求。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-10-18 | 1475.77 | buy | 67.76123650704378 | 99999.99999999999 |
| 2021-02-18 | 2373.76 | sell | 67.76123650704378 | 160848.91277096025 |
| 2022-10-24 | 2557.78 | buy | 62.88614062623065 | 160848.91277096025 |
| 2024-02-22 | 2495.48 | sell | 62.88614062623065 | 156931.10620994607 |
当前策略针对上证商品指数，该指数属于商品类行业，通常具有较高的波动性和周期性，适合采用中长线操作以减少频繁交易带来的风险。该策略基于布林线模型，参数设置为period=25、std=2.5、buy=0.1、sell=0.75，在回测中展现出51.52%的持仓占比，意味着较少的买卖操作，符合中长线投资风格中减少交易频率的倾向。年化收益率为14.65%，夏普比率为75.60%，最大回撤为18.24%，波动率为14.94%，这些指标表明在控制风险的同时获得了稳健的回报，夏普比率较高反映了较好的风险调整后收益。相比其他策略，有的虽然年化收益率或夏普比率略高，但持仓占比较低，可能导致更频繁的交易，不符合较少的操作频率偏好；有的持仓占比更高但最大回撤较大，如超过21%，增加了下行风险，不适合商品指数的波动环境。当前策略在收益、风险和操作频率之间取得了良好平衡，特别适合商品指数的特性，能够在市场波动中保持相对稳定的持仓，优化长期投资表现，同时避免了过度交易可能带来的成本和不稳定性。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-06 | 1492.0617 | buy | 67.0213570926725 | 99999.99999999999 |
| 2016-06-21 | 1574.0635 | sell | 67.0213570926725 | 105495.8719200419 |
| 2016-09-12 | 1639.454 | buy | 64.34817440443094 | 105495.87192004191 |
| 2016-10-28 | 1700.8818 | sell | 64.34817440443094 | 109448.63870772242 |
| 2016-12-12 | 1731.4527 | buy | 63.21202924441564 | 109448.63870772242 |
| 2017-02-15 | 1812.9705 | sell | 63.21202924441564 | 114601.54426526284 |
| 2017-03-30 | 1750.46 | buy | 65.46938762683114 | 114601.54426526283 |
| 2017-04-10 | 1797.8991 | sell | 65.46938762683114 | 117707.35309183084 |
| 2017-04-19 | 1730.2578 | buy | 68.02879495288553 | 117707.35309183084 |
| 2017-07-17 | 1865.0839 | sell | 68.02879495288553 | 126879.41020302808 |
| 2017-11-17 | 1950.8507 | buy | 65.03799096621186 | 126879.41020302809 |
| 2018-01-15 | 2094.1327 | sell | 65.03799096621186 | 136198.18362464887 |
| 2018-02-07 | 1994.0511 | buy | 68.30225345009909 | 136198.18362464887 |
| 2018-05-23 | 1890.5049 | sell | 68.30225345009909 | 129125.74482845422 |
| 2018-05-30 | 1823.7967 | buy | 70.80051456856688 | 129125.7448284542 |
| 2018-07-27 | 1723.3614 | sell | 70.80051456856688 | 122014.87390760581 |
| 2018-08-06 | 1651.87 | buy | 73.86469510772991 | 122014.87390760581 |
| 2018-09-25 | 1662.39 | sell | 73.86469510772991 | 122791.93050013915 |
| 2018-10-16 | 1514.71 | buy | 81.06629684899363 | 122791.93050013915 |
| 2018-11-20 | 1514.85 | sell | 81.06629684899363 | 122803.27978169799 |
| 2018-11-23 | 1442.54 | buy | 85.12989572677222 | 122803.27978169799 |
| 2019-01-22 | 1445.63 | sell | 85.12989572677222 | 123066.33115949373 |
| 2019-05-06 | 1552.79 | buy | 79.2549740528299 | 123066.33115949373 |
| 2019-06-14 | 1591.5 | sell | 79.2549740528299 | 126134.29120507877 |
| 2019-08-06 | 1556.98 | buy | 81.0121460809251 | 126134.29120507877 |
| 2019-09-17 | 1602.51 | sell | 81.0121460809251 | 129822.7742161433 |
| 2019-09-30 | 1532.01 | buy | 84.74016110609153 | 129822.77421614328 |
| 2019-12-12 | 1540.58 | sell | 84.74016110609153 | 130548.9973968225 |
| 2020-02-03 | 1459.36 | buy | 89.45633524066886 | 130548.99739682251 |
| 2020-05-11 | 1450.7 | sell | 89.45633524066886 | 129774.30553363833 |
| 2020-09-09 | 1763.49 | buy | 73.58947628488868 | 129774.30553363833 |
| 2020-11-27 | 2037.96 | sell | 73.58947628488868 | 149972.40908955171 |
| 2021-02-05 | 2078.06 | buy | 72.16943162832243 | 149972.40908955171 |
| 2021-02-26 | 2350.33 | sell | 72.16943162832243 | 169621.98023899505 |
| 2021-11-05 | 2751.95 | buy | 61.637013840729324 | 169621.98023899505 |
| 2021-12-02 | 2893.74 | sell | 61.637013840729324 | 178361.49243147206 |
| 2021-12-24 | 2785.78 | buy | 64.02569206163876 | 178361.49243147206 |
| 2022-03-08 | 2837.87 | sell | 64.02569206163876 | 181696.59073096278 |
| 2022-03-15 | 2653.27 | buy | 68.48024917590851 | 181696.59073096278 |
| 2022-04-15 | 2878.7 | sell | 68.48024917590851 | 197134.09330268783 |
| 2022-04-25 | 2403.35 | buy | 82.02471271462244 | 197134.09330268783 |
| 2022-06-02 | 2902.72 | sell | 82.02471271462244 | 238094.77409098882 |
| 2022-07-11 | 2801.43 | buy | 84.99044205673133 | 238094.77409098882 |
| 2022-08-17 | 2869.84 | sell | 84.99044205673133 | 243908.97023208984 |
| 2022-09-16 | 2745.99 | buy | 88.82369208631125 | 243908.97023208984 |
| 2022-11-14 | 2683.75 | sell | 88.82369208631125 | 238380.58363663784 |
| 2022-12-22 | 2498.81 | buy | 95.39764273259586 | 238380.58363663784 |
| 2023-02-06 | 2719.75 | sell | 95.39764273259586 | 259457.73882197757 |
| 2023-03-16 | 2636.28 | buy | 98.41812661097363 | 259457.73882197757 |
| 2023-04-20 | 2670.84 | sell | 98.41812661097363 | 262859.06927765283 |
| 2023-05-12 | 2604.86 | buy | 100.91101605370454 | 262859.06927765283 |
| 2023-07-07 | 2488.38 | sell | 100.91101605370454 | 251104.95412771733 |
| 2023-08-16 | 2439.07 | buy | 102.95110600668177 | 251104.95412771733 |
| 2023-09-07 | 2496.93 | sell | 102.95110600668177 | 257061.7051212639 |
| 2023-10-19 | 2388.75 | buy | 107.61348199738939 | 257061.7051212639 |
| 2023-12-01 | 2447.79 | sell | 107.61348199738939 | 263415.20509838976 |
| 2023-12-13 | 2353.46 | buy | 111.926782311316 | 263415.20509838976 |
| 2024-01-05 | 2387.61 | sell | 111.926782311316 | 267237.5047143212 |
| 2024-01-22 | 2230.22 | buy | 119.8256246981559 | 267237.5047143212 |
| 2024-02-28 | 2490.74 | sell | 119.8256246981559 | 298454.4764606848 |