基金代码 基金全名 基金简称 基金类型
004407 招商上证消费80交易型开放式指数证券投资基金联接基金 招商上证消费80ETF联接C 场外基金
217017 招商上证消费80交易型开放式指数证券投资基金联接基金 招商上证消费80ETF联接A 场外基金
510150 上证消费80交易型开放式指数证券投资基金 招商上证消费80ETF 场内基金

策略参数

参数编号
4eec556eedde2adf27c65ac2c633b301
PE权重
0.4
PB权重
0.3
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
979
持仓率
33.54 %
年化收益率（不含分红）
4.69 %
夏普比率
0.13
最大回撤
36.94 %
卡玛比率
0.33
索提诺比率
0.15
波动率
15.25 %

策略说明

当前策略在消费80指数上表现出色，年化收益率达到4.69%，夏普比率为12.52%，在所有策略中最高，表明其风险调整后收益优异，同时Sortino比率（15.14%）和Calmar比率（33.22%）也领先，反映了良好的下行风险管理和收益回撤平衡。最大回撤为36.94%，与其他策略相同，但通过更高的收益率和风险调整指标，实现了更优的整体性能。该策略采用均衡型估值方法，结合PE、PB和DYR权重（0.4、0.3、0.3），适合消费行业的长期投资，因为消费股通常具有稳定的现金流和估值可预测性，有助于中长线操作。持仓天数979天，占比33.54%，操作频率适中，符合较少交易频次的偏好，避免过度频繁调整。其他策略虽然在波动率或个别指标上略有优势，如编号1波动率较低但夏普比率不足（9.22%），编号0和4收益率和夏普比率次优，无法在风险调整收益上匹配当前策略。综合考虑消费行业特性、策略指标表现以及投资风格，当前策略在收益率、风险管理和长期适应性方面均优于其他选项，因此是最适合操作的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-18 3298.0812 buy 30.320660388834575 100000.0
2017-11-10 4956.4578 sell 30.320660388834575 150283.07368539018
2018-08-03 4216.3911 buy 35.64258393520235 150283.07368539018
2019-10-15 4879.14 sell 35.64258393520235 173905.1569816032
2022-03-14 5689.73 buy 30.564746830096194 173905.1569816032

策略参数

参数编号
8d1fb60565bf7757c2ff8ab34d9ba056
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
3.0
回测天数
2919
持仓天数
976
持仓率
33.44 %
年化收益率（不含分红）
8.22 %
夏普比率
0.36
最大回撤
20.76 %
卡玛比率
0.71
索提诺比率
0.35
波动率
14.90 %

策略说明

当前策略在消费80指数（股票代码000069，代表消费行业，通常具有稳定增长特性）的回测中展现出适合中长期操作的优异表现。考虑到个人投资风格倾向于较少交易频率和较长持仓周期，该策略的持仓天数高达976天（占总天数的33.44%），显著高于其他多数策略，这表明操作频率较低，符合长期持有偏好。从指标数据来看，年化收益率8.22%处于中高水平，最大回撤20.76%相对较低，夏普比率35.53%和Calmar比率70.80%显示良好的风险调整后收益，波动率14.90%也保持在可控范围内。与其他策略相比，虽然某些策略如编号5有更高年化收益率，但其最大回撤达29.30%，风险较高，且持仓天数虽高但风险调整指标较弱；编号0有更高夏普比率但持仓天数仅716天，交易更频繁，不符合减少操作的目标。因此，当前策略在平衡长期持仓、稳健收益和风险控制方面最为出色，适合在消费行业指数中实施中长线量化投资。


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 3333.257 buy 30.00068701573266 100000.0
2016-05-03 3458.0553 sell 30.00068701573266 103744.03473839551
2016-09-12 3586.9673 buy 28.922492473905606 103744.03473839551
2016-10-10 3658.9987 sell 28.922492473905606 105827.3623627804
2016-12-12 3713.6273 buy 28.49703371223612 105827.3623627804
2016-12-30 3714.5234 sell 28.49703371223612 105852.89855468993
2017-05-09 3846.7552 buy 27.517451215686908 105852.89855468993
2017-05-16 3966.9001 sell 27.517451215686908 109158.9799792535
2017-07-17 4055.6116 buy 26.915540920943588 109158.9799792535
2017-07-24 4142.8843 sell 26.915540920943588 111507.97190738472
2017-08-04 4104.4808 buy 27.167375690339377 111507.97190738472
2017-08-09 4167.383 sell 27.167375690339377 113216.85960653357
2017-11-23 4705.3898 buy 24.06110108168585 113216.85960653357
2017-12-11 4739.2214 sell 24.06110108168585 114030.88515388874
2018-02-06 4619.2438 buy 24.686050377745538 114030.88515388874
2018-02-22 4854.226 sell 24.686050377745538 119831.6675809622
2018-03-23 4840.7975 buy 24.754530132888682 119831.6675809622
2018-04-10 4850.6381 sell 24.754530132888682 120075.2670101879
2018-04-16 4637.1035 buy 25.894454805718247 120075.2670101879
2018-04-25 4697.2911 sell 25.894454805718247 121633.79209825257
2018-06-15 4882.7033 buy 24.91115773883958 121633.79209825257
2018-07-12 4858.5861 sell 24.91115773883958 121033.00472483343
2018-07-30 4600.5436 buy 26.308413798063654 121033.00472483343
2018-08-27 4330.15 sell 26.308413798063654 113919.37800768533
2018-10-11 3991.59 buy 28.539849535569868 113919.37800768533
2018-11-13 3788.22 sell 28.539849535569868 108115.22880763648
2018-11-23 3699.05 buy 29.227836554692818 108115.22880763648
2018-12-03 3911.4 sell 29.227836554692818 114321.75990002548
2018-12-19 3635.84 buy 31.44301176620134 114321.75990002548
2019-01-09 3640.32 sell 31.44301176620134 114462.62459273807
2019-04-26 4737.64 buy 24.160262196523597 114462.62459273807
2019-06-11 4450.92 sell 24.160262196523597 107535.39421575081
2019-07-18 4576.05 buy 23.499610846854996 107535.39421575081
2019-07-29 4640.08 sell 23.499610846854996 109040.07429827492
2019-08-05 4364.87 buy 24.981287941742806 109040.07429827492
2019-08-14 4524.53 sell 24.981287941742806 113028.58673105357
2019-10-24 4802.67 buy 23.53453115268248 113028.58673105357
2019-10-29 4832.67 sell 23.53453115268248 113734.62266563404
2019-11-22 4843.14 buy 23.48365371755391 113734.62266563404
2019-12-13 4850.14 sell 23.48365371755391 113899.00824165693
2020-01-23 4598.01 buy 24.77137027576211 113899.00824165693
2020-02-17 5046.93 sell 24.77137027576211 125019.37178585207
2020-02-28 4956.46 buy 25.22352077608859 125019.37178585205
2020-03-05 5135.74 sell 25.22352077608859 129541.44459058922
2020-03-16 4596.23 buy 28.184282464234652 129541.44459058922
2020-03-26 4768.1 sell 28.184282464234652 134385.47721771724
2020-05-22 5196.81 buy 25.859224643140163 134385.47721771724
2020-05-29 5386.22 sell 25.859224643140163 139283.4729573744
2020-08-12 6763.3 buy 20.594010757673683 139283.4729573744
2020-08-24 7006.02 sell 20.594010757673683 144282.051248477
2020-09-09 6795.16 buy 21.233061656896524 144282.051248477
2020-10-09 7228.43 sell 21.233061656896524 153481.69987256054
2020-10-23 6927.29 buy 22.156095655380465 153481.69987256054
2020-10-29 7064.31 sell 22.156095655380465 156517.5280992608
2020-11-18 7134.08 buy 21.939413084694984 156517.5280992608
2020-12-03 7331.28 sell 21.939413084694984 160843.98035956264
2021-01-19 8344.98 buy 19.27433982580697 160843.98035956264
2021-01-22 8885.27 sell 19.27433982580697 171257.7134240479
2021-03-08 7195.16 buy 23.80179362572172 171257.7134240479
2021-03-26 7611.39 sell 23.80179362572172 181164.73398488207
2021-05-07 7709.14 buy 23.499992733934274 181164.73398488207
2021-05-14 8223.65 sell 23.499992733934274 193255.71524641858
2021-06-08 8285.21 buy 23.32538526439506 193255.71524641858
2021-06-25 8383.41 sell 23.32538526439506 195546.2680793822
2021-07-06 8008.11 buy 24.41852922592 195546.2680793822
2021-07-15 8025.53 sell 24.41852922592 195971.63885849772
2021-07-26 7225.01 buy 27.12406472219384 195971.63885849772
2021-08-10 7583.62 sell 27.12406472219384 205698.59970852363
2021-08-17 7205.53 buy 28.547324028700682 205698.59970852363
2021-09-06 7153.89 sell 28.547324028700682 204224.41589568154
2021-12-01 7288.94 buy 28.018397173756615 204224.41589568154
2021-12-08 7700.82 sell 28.018397173756615 215764.6333236084
2022-01-06 7093.62 buy 30.416717180171535 215764.6333236084
2022-02-16 6618.75 sell 30.416717180171535 201320.64683626033
2022-03-07 6026.74 buy 33.404568114148006 201320.64683626033
2022-05-11 5886.7 sell 33.404568114148006 196642.67111755506
2022-05-24 5782.29 buy 34.00774971811429 196642.6711175551
2022-05-30 6005.16 sell 34.00774971811429 204221.9782972312
2022-07-11 6374.1 buy 32.039343326466664 204221.97829723117
2022-10-18 5611.11 sell 32.039343326466664 179776.27973257034
2022-10-24 5305.05 buy 33.887763495644776 179776.2797325703
2022-11-02 5496.43 sell 33.887763495644776 186261.71991036684
2022-12-20 5800.54 buy 32.11109998558183 186261.71991036684
2023-01-05 6030.92 sell 32.11109998558183 193659.47512504517
2023-02-06 6079.09 buy 31.856655375236286 193659.47512504517
2023-02-13 6239.33 sell 31.856655375236286 198764.18558237303
2023-02-24 6108.82 buy 32.537247059558645 198764.18558237303
2023-03-29 5895.97 sell 32.537247059558645 191838.632545746
2023-04-12 5805.29 buy 33.04548653826872 191838.63254574602
2023-05-22 5525.31 sell 33.04548653826872 182586.55722476155
2023-05-31 5268.67 buy 34.6551515325047 182586.55722476155
2023-06-14 5471.64 sell 34.6551515325047 189620.51333131405
2023-08-11 5294.11 buy 35.8172598097346 189620.51333131402
2023-09-01 5328.42 sell 35.8172598097346 190849.40351538605
2023-10-16 5111.15 buy 37.33981658049286 190849.40351538605
2023-10-27 5137.98 sell 37.33981658049286 191851.2307942407
2023-12-01 4980.49 buy 38.52055335805126 191851.23079424072
2023-12-28 4870.31 sell 38.52055335805126 187607.03622525063
2024-01-08 4633.82 buy 40.48647470666764 187607.03622525063
2024-02-07 4651.73 sell 40.48647470666764 188332.14898724706
2024-03-22 4726.62 buy 39.8449947292668 188332.14898724706