基金代码 基金全名 基金简称 基金类型
159886 富国中证细分机械设备产业主题交易型开放式指数证券投资基金 富国中证细分机械设备产业主题ETF 场内基金
516960 国泰中证细分机械设备产业主题交易型开放式指数证券投资基金 国泰中证细分机械设备产业主题ETF 场内基金
021327 富国中证细分机械设备产业主题交易型开放式指数证券投资基金发起式联接基金 富国中证细分机械设备产业主题ETF发起式联接A 场外基金
021328 富国中证细分机械设备产业主题交易型开放式指数证券投资基金发起式联接基金 富国中证细分机械设备产业主题ETF发起式联接C 场外基金

策略参数

参数编号
1aca5d833e237506a6bf221b36bf4e53
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
15
BB标准差
1.5
回测天数
2919
持仓天数
1860
持仓率
63.72 %
年化收益率（不含分红）
8.15 %
夏普比率
0.30
最大回撤
36.31 %
卡玛比率
0.40
索提诺比率
0.36
波动率
20.50 %

策略说明

当前策略在细分机械指数的回测中表现出色，年化收益率达到8.15%，夏普比率高达30.38%，显示出优秀的风险调整后收益，这对于机械这种周期性行业尤为重要，因为行业波动性通常较高，需要策略能有效平衡收益与风险。尽管最大回撤为36.31%略高，但波动率控制在20.50%，且Calmar比率为40.36%，表明回撤管理相对合理。持仓占比为63.72%，反映了中长线的操作风格，减少了频繁交易，符合偏好较少操作频率的要求。相比之下，其他策略要么收益率较低如策略3虽最大回撤低至24.03%但年化收益仅5.14%，牺牲了过多收益潜力，要么夏普比率和收益综合表现不足如策略2和4。综合来看，当前策略在收益性、风险调整指标和操作频率之间达到了最佳平衡，适合机械行业的特性，提供了稳健的中线投资机会。


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 4141.9192 buy 24.143397099586103 100000.0
2016-06-13 3915.7116 sell 24.143397099586103 94538.58008625566
2016-06-24 4015.4126 buy 23.543926740244743 94538.58008625566
2016-07-20 4210.522 sell 23.543926740244743 99132.22150618877
2016-07-27 4129.0141 buy 24.008690477997824 99132.22150618877
2016-08-25 4155.9401 sell 24.008690477997824 99778.67950599932
2016-09-01 4127.3558 buy 24.174964393910336 99778.67950599932
2016-09-12 4120.5217 sell 24.174964393910336 99613.46538183489
2016-09-26 4060.8944 buy 24.529932465575783 99613.46538183489
2016-10-28 4176.5176 sell 24.529932465575783 102449.69466928866
2016-11-02 4207.9629 buy 24.346624983145322 102449.69466928866
2016-12-05 4428.1255 sell 24.346624983145322 107809.91092680287
2016-12-12 4283.399 buy 25.16924314704347 107809.91092680287
2017-01-12 4255.0512 sell 25.16924314704347 107096.4182559191
2017-01-16 4212.6508 buy 25.42257199574175 107096.4182559191
2017-02-17 4411.7802 sell 25.42257199574175 112158.79976388795
2017-03-10 4452.0471 buy 25.192635487591303 112158.79976388795
2017-03-15 4469.0512 sell 25.192635487591303 112587.1778569825
2017-03-30 4436.76 buy 25.37599010471211 112587.1778569825
2017-04-14 4494.0945 sell 25.37599010471211 114042.09756164112
2017-04-18 4418.52 buy 25.81002180857869 114042.09756164112
2017-07-11 4258.2703 sell 25.81002180857869 109906.04930982292
2017-07-17 4199.8671 buy 26.168935038402264 109906.04930982292
2017-07-25 4282.7082 sell 26.168935038402264 112073.91267423269
2017-08-11 4315.4606 buy 25.97032462171771 112073.91267423269
2017-08-18 4384.0233 sell 25.97032462171771 113854.50825017413
2017-09-25 4461.9306 buy 25.516871161145836 113854.50825017413
2017-10-11 4535.1764 sell 25.516871161145836 115723.5118918692
2017-11-17 4672.3157 buy 24.76791366899056 115723.51189186919
2017-11-23 4597.0564 sell 24.76791366899056 113859.49604668054
2017-12-05 4482.0136 buy 25.403648049323305 113859.49604668054
2018-01-10 4614.0966 sell 25.403648049323305 117214.8860919793
2018-01-15 4502.0464 buy 26.03591248903594 117214.8860919793
2018-01-29 4557.7717 sell 26.03591248903594 118665.74512620458
2018-02-01 4424.5533 buy 26.819824981248296 118665.74512620458
2018-03-16 4395.9526 sell 26.819824981248296 117898.67935786338
2018-03-23 4223.1341 buy 27.917342089104718 117898.67935786338
2018-05-17 4237.4968 sell 27.917342089104718 118299.64776708656
2018-05-24 4132.1232 buy 28.629264434101714 118299.64776708656
2018-07-31 3486.9499 sell 28.629264434101714 99828.81075556453
2018-08-02 3360.0376 buy 29.710623105992777 99828.81075556453
2018-09-05 3267.1981 sell 29.710623105992777 97070.4913617157
2018-09-10 3241.6391 buy 29.94487923153312 97070.4913617157
2018-10-08 3281.8594 sell 29.94487923153312 98274.88338787174
2018-10-11 3081.2103 buy 31.89489642685919 98274.88338787174
2018-11-20 3268.6469 sell 31.89489642685919 104253.15433147438
2018-11-23 3166.6327 buy 32.9224018723341 104253.15433147439
2018-12-17 3311.282 sell 32.9224018723341 109015.35671662621
2018-12-19 3258.3956 buy 33.45675912299483 109015.35671662621
2019-01-31 3483.6669 sell 33.45675912299483 116552.20433805013
2019-03-26 4053.7614 buy 28.751619258610074 116552.20433805013
2019-04-15 4365.9145 sell 28.751619258610074 125527.11141964496
2019-04-23 4287.9612 buy 29.27431139527218 125527.11141964496
2019-05-29 3755.2749 sell 29.27431139527218 109933.08679744959
2019-06-04 3678.0541 buy 29.888925994168925 109933.08679744959
2019-06-14 3749.035 sell 29.888925994168925 112054.6296645491
2019-07-10 3819.8099 buy 29.33513253226269 112054.6296645491
2019-08-01 3921.718 sell 29.33513253226269 115044.11728416017
2019-08-05 3777.7279 buy 30.45325664777502 115044.11728416017
2019-08-26 3872.3887 sell 30.45325664777502 117926.84692104386
2019-09-25 3934.4297 buy 29.973047153706638 117926.84692104386
2019-10-15 3950.8599 sell 29.973047153706638 118419.31008038869
2019-10-18 3864.9273 buy 30.639466382818817 118419.31008038869
2019-11-11 3877.6452 sell 30.639466382818817 118808.97974989875
2019-11-15 3903.6108 buy 30.435662220705698 118808.97974989875
2019-12-23 4269.6005 sell 30.435662220705698 129948.11863535615
2020-02-03 4372.7197 buy 29.71791643433174 129948.11863535615
2020-02-07 4677.631 sell 29.71791643433174 139009.44716863963
2020-02-28 4780.5021 buy 29.078419852307906 139009.44716863963
2020-04-13 4369.3026 sell 29.078419852307906 127052.41546458055
2020-05-22 4527.7826 buy 28.060626290798627 127052.41546458055
2020-07-16 5555.2173 sell 28.060626290798627 155882.87661947936
2020-08-20 5786.8051 buy 26.93764070600535 155882.87661947936
2020-08-26 5932.0185 sell 26.93764070600535 159794.5830143768
2020-09-07 5789.1927 buy 27.602222156878078 159794.5830143768
2020-09-22 6108.9238 sell 27.602222156878078 168619.87186703982
2021-02-24 8630.1285 buy 19.538512302225836 168619.87186703982
2021-03-31 7955.6141 sell 19.538512302225836 155440.86396461132
2021-04-12 7516.854 buy 20.678978727618137 155440.86396461132
2021-04-27 8121.3116 sell 20.678978727618137 167940.4298167584
2021-05-11 7828.7872 buy 21.45165343321101 167940.4298167584
2021-05-18 8153.2529 sell 21.45165343321101 174900.75556412264
2021-06-16 8369.5535 buy 20.897262388504075 174900.75556412264
2021-07-06 9561.9677 sell 20.897262388504075 199818.9479773008
2021-07-27 9528.9988 buy 20.969563767528317 199818.9479773008
2021-08-12 10320.4729 sell 20.969563767528317 216415.8145875979
2021-08-18 10033.387 buy 21.569567144933004 216415.81458759794
2021-09-03 10671.6206 sell 21.569567144933004 230182.23707695023
2021-09-13 10424.9125 buy 22.080016218548618 230182.23707695023
2021-11-03 11101.2999 sell 22.080016218548618 245116.88183897216
2021-11-15 10713.8715 buy 22.878460119572292 245116.88183897216
2021-11-24 10997.1627 sell 22.878460119572292 251598.14826039798
2021-12-06 10796.8622 buy 23.302895193049512 251598.14826039795
2021-12-14 10998.9448 sell 23.302895193049512 256307.2579085369
2021-12-17 10416.8026 buy 24.6051756715191 256307.2579085369
2022-03-04 8862.8764 sell 24.6051756715191 218072.63077696075
2022-03-14 8563.5078 buy 25.465339189270168 218072.63077696075
2022-07-11 9529.9619 sell 25.465339189270168 242683.7122443216
2022-07-21 9676.3155 buy 25.08017770238285 242683.7122443216
2022-08-19 9762.2929 sell 25.08017770238285 244840.04071471043
2022-08-25 9239.5531 buy 26.49912155542571 244840.04071471043
2022-10-13 8473.0272 sell 26.49912155542571 224527.77771522835
2022-10-28 7866.2032 buy 28.54334829733719 224527.77771522835
2022-11-03 8628.7585 sell 28.54334829733719 246293.6592391088
2022-11-22 8106.6366 buy 30.381731831806647 246293.6592391088
2022-12-12 7872.0589 sell 30.381731831806647 239166.7824639868
2022-12-16 7856.17 buy 30.44317809619532 239166.7824639868
2023-02-03 8245.96 sell 30.44317809619532 251033.22885410275
2023-02-16 7898.64 buy 31.781829385071703 251033.22885410275
2023-04-04 7571.09 sell 31.781829385071703 240623.09063902253
2023-04-13 7579.18 buy 31.747905530548493 240623.09063902253
2023-04-19 7445.06 sell 31.747905530548493 236365.06154926537
2023-05-05 7331.41 buy 32.240054989322026 236365.0615492654
2023-05-18 7320.95 sell 32.240054989322026 236027.8305740771
2023-05-26 7036.21 buy 33.54473936594802 236027.83057407712
2023-07-06 7062.04 sell 33.54473936594802 236894.29119189954
2023-07-18 7063.99 buy 33.535479409214844 236894.29119189957
2023-08-01 7136.77 sell 33.535479409214844 239335.00338330225
2023-08-11 6941.61 buy 34.47831315549307 239335.00338330225
2023-09-06 6430.69 sell 34.47831315549307 221719.34362589772
2023-09-26 6204.83 buy 35.73334702576827 221719.34362589772
2023-11-14 5889.21 sell 35.73334702576827 210441.18463762474
2023-11-22 5681.59 buy 37.03913598792323 210441.18463762477
2024-01-05 5197.91 sell 37.03913598792323 192526.09534298602
2024-01-22 5230.47 buy 36.80856507024914 192526.09534298602
2024-01-26 5104.71 sell 36.80856507024914 187897.05019975148
2024-03-25 5704.43 buy 32.93879497158375 187897.05019975148