基金代码 基金全名 基金简称 基金类型
290010 泰信中证200指数证券投资基金 泰信中证200指数 场外基金

策略参数

参数编号
f7944c37758cbfb3a3de324abd904572
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
15
BB标准差
3.0
回测天数
2919
持仓天数
1145
持仓率
39.23 %
年化收益率（不含分红）
7.12 %
夏普比率
0.30
最大回撤
18.55 %
卡玛比率
0.75
索提诺比率
0.29
波动率
13.42 %

策略说明

当前策略针对中证200指数，该指数代表中小盘股票，通常具有较高的成长潜力和市场波动性，需要策略在收益与风险间取得平衡。在评估所有布林线策略时，当前策略展现出优秀的综合表现：年化收益率达到7.12%，同时最大回撤控制在18.55%的较低水平，夏普比率为30.00%，表明风险调整后收益突出；波动率13.42%相对适中，有助于减少市场噪音影响。持仓占比39.23%意味着操作频率合理，符合中长线投资风格，避免过度交易带来的成本。其他策略中，有些虽然收益率或夏普比率略高，但最大回撤超过29%，波动率也显著上升，增加了下行风险和不确定性；另一些策略回撤较低但收益率和夏普比率不足，难以满足收益目标。因此，当前策略在收益稳定性、风险控制和操作频率方面均表现均衡，最适合在该指数上进行稳健的中长线投资。


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 3934.7257 buy 25.414732213734748 100000.0
2016-05-31 3946.8969 sell 25.414732213734748 100309.32778871982
2016-08-01 4040.5861 buy 24.825439999588134 100309.32778871982
2016-08-15 4262.1272 sell 24.825439999588134 105809.18307421257
2016-09-12 4117.3115 buy 25.698610142616747 105809.18307421257
2016-10-11 4175.2046 sell 25.698610142616747 107296.9552810601
2016-12-12 4144.5306 buy 25.888807596464627 107296.9552810601
2017-01-04 4154.0319 sell 25.888807596464627 107542.93260867639
2017-01-16 4020.4136 buy 26.74922117681534 107542.93260867639
2017-02-08 4141.0271 sell 26.74922117681534 110769.24979708622
2017-03-30 4224.12 buy 26.22303575587015 110769.24979708622
2017-04-05 4312.8553 sell 26.22303575587015 113096.15874179409
2017-04-24 4153.9036 buy 27.22647649834582 113096.15874179409
2017-06-07 4074.2989 sell 27.22647649834582 110928.80324808623
2017-07-17 4093.5677 buy 27.098318967116686 110928.80324808623
2017-07-31 4295.9398 sell 27.098318967116686 116412.74696393147
2017-09-25 4375.6388 buy 26.60474328089683 116412.74696393147
2017-10-25 4522.921 sell 26.60474328089683 120331.15208477718
2017-11-27 4400.9712 buy 27.341953995240228 120331.15208477718
2018-01-02 4469.9769 sell 27.341953995240228 122217.90275958652
2018-02-01 4335.3537 buy 28.190987683331702 122217.90275958652
2018-03-12 4359.7711 sell 28.190987683331702 122906.2533822455
2018-03-23 4140.3908 buy 29.68469869613407 122906.2533822455
2018-05-07 4196.2016 sell 29.68469869613407 124562.9801642357
2018-05-30 4099.4912 buy 30.384985376779365 124562.9801642357
2018-07-24 3760.4943 sell 30.384985376779365 114262.56431496215
2018-08-02 3436.8822 buy 33.24599380070756 114262.56431496216
2018-09-26 3364.25 sell 33.24599380070756 111847.8346440304
2018-10-11 3039.4 buy 36.79931389222557 111847.8346440304
2018-11-02 3181.53 sell 36.79931389222557 117078.12112753242
2019-04-25 3872.56 buy 30.23274555527414 117078.12112753242
2019-06-20 3685.76 sell 30.23274555527414 111430.64425780722
2019-08-05 3482.33 buy 31.998875539597687 111430.64425780722
2019-08-27 3693.64 sell 31.998875539597687 118192.3266480796
2019-09-26 3731.89 buy 31.670903120960052 118192.3266480796
2019-10-28 3787.89 sell 31.670903120960052 119965.89722285337
2020-02-03 3891.8 buy 30.825298633756454 119965.89722285337
2020-02-20 4476.96 sell 30.825298633756454 138003.6289713823
2020-03-16 3965.72 buy 34.7991358369684 138003.6289713823
2020-04-07 4039.19 sell 34.7991358369684 140560.32148132438
2020-05-25 4136.72 buy 33.97868878757188 140560.32148132438
2020-06-18 4424.46 sell 33.97868878757188 150337.34939306029
2020-09-09 4963.52 buy 30.28845444222251 150337.34939306029
2020-10-09 5305.89 sell 30.28845444222251 160707.207540444
2021-06-16 5574.2977 buy 28.830036748924265 160707.207540444
2021-06-25 5854.9753 sell 28.830036748924265 168799.15306304386
2021-07-27 5601.3003 buy 30.135708500228755 168799.15306304386
2021-09-07 6050.8619 sell 30.135708500228755 182347.01039354032
2022-01-25 5413.8088 buy 33.68183420026587 182347.01039354032
2022-02-23 5286.4927 sell 33.68183420026587 178058.77062231585
2022-03-07 4972.9168 buy 35.80570071518507 178058.77062231585
2022-05-20 4682.8595 sell 35.80570071518507 167673.06574826117
2022-08-02 4771.8968 buy 35.137613568730394 167673.06574826117
2022-11-04 4529.6529 sell 35.137613568730394 159161.19320067897
2022-12-19 4449.58 buy 35.76993630874801 159161.19320067897
2023-01-05 4589.49 sell 35.76993630874801 164165.76498963588
2023-02-17 4846.99 buy 33.86963145986187 164165.76498963588
2023-03-31 4972.44 sell 33.86963145986187 168414.71025627555
2023-04-21 4816.27 buy 34.96787145576879 168414.71025627555
2023-06-13 4671.78 sell 34.96787145576879 163362.2025096315
2023-07-20 4598.04 buy 35.52866058355984 163362.2025096315
2023-07-28 4790.94 sell 35.52866058355984 170215.68113620018
2023-10-18 4210.4 buy 40.42743709296033 170215.68113620018
2023-11-06 4320.9 sell 40.42743709296033 174682.9129349723
2023-12-05 4098.21 buy 42.62419762163781 174682.9129349723
2024-02-22 4042.19 sell 42.62419762163781 172295.10538420815
2024-03-27 4102.0 buy 42.00270730965581 172295.10538420815