基金代码 基金全名 基金简称 基金类型
561320 国泰中证内地运输主题交易型开放式指数证券投资基金 国泰中证内地运输主题ETF 场内基金
018905 国泰中证内地运输主题交易型开放式指数证券投资基金发起式联接基金 国泰中证内地运输主题ETF发起联接A 场外基金
018906 国泰中证内地运输主题交易型开放式指数证券投资基金发起式联接基金 国泰中证内地运输主题ETF发起联接C 场外基金

策略参数

参数编号
c95837a0c9be7a7f61af35ae521d993e
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
20
BB标准差
2.5
回测天数
2919
持仓天数
836
持仓率
28.64 %
年化收益率（不含分红）
7.74 %
夏普比率
0.37
最大回撤
14.79 %
卡玛比率
0.97
索提诺比率
0.30
波动率
11.89 %

策略说明

在分析内地运输指数的量化策略时，考虑到运输行业通常具有周期性特征和受宏观经济因素影响较大，适合采用中长线操作以平滑短期波动。当前策略采用布林线模型，基于20-30天的技术指标进行估值，其持仓占比为28.64%，是所有策略中最低的，表明操作频率较少、空仓期较长，这符合中长线投资偏好，减少了频繁交易带来的成本和市场噪音干扰。从风险收益指标看，当前策略的年化收益率为7.74%，虽然不是最高，但最大回撤仅为14.79%，低于其他高收益策略的20%以上回撤，提供了更好的下行风险控制；夏普比率为37.35%和波动率11.89%表明风险调整后收益稳健，波动性相对较低，适合运输行业可能的高波动环境。与其他策略相比，如那些高收益策略虽然年化收益率可达11.5%左右，但持仓占比超过40%，最大回撤较高，可能导致更频繁的操作和较大回撤风险，不利于长期稳健投资。因此，当前策略在平衡收益、风险控制和操作频率方面表现更优，更适合在内地运输指数中进行中长线布局。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-09-14 1578.1 buy 63.367340472720365 100000.0
2016-10-14 1591.84 sell 63.367340472720365 100870.66725809519
2016-12-12 1607.42 buy 62.753149306401056 100870.66725809519
2017-01-05 1658.38 sell 62.753149306401056 104068.5677467494
2017-09-21 1807.66 buy 57.57087491383855 104068.5677467494
2017-10-20 1851.26 sell 57.57087491383855 106578.65789299275
2017-11-23 1830.16 buy 58.23461221586787 106578.65789299275
2017-12-20 1851.09 sell 58.23461221586787 107797.50832667085
2018-02-07 1811.91 buy 59.493853627757915 107797.50832667085
2018-03-12 1861.66 sell 59.493853627757915 110757.32754465181
2018-03-22 1753.37 buy 63.168257438334074 110757.32754465181
2018-05-03 1751.39 sell 63.168257438334074 110632.25439492392
2018-05-30 1753.25 buy 63.10124305998798 110632.25439492392
2018-06-06 1792.14 sell 63.10124305998798 113086.26173752686
2018-06-19 1686.0 buy 67.07370209817726 113086.26173752687
2018-07-24 1567.46 sell 67.07370209817726 105135.34509080894
2018-08-02 1477.2 buy 71.1720451467702 105135.34509080894
2018-09-21 1448.39 sell 71.1720451467702 103084.8784701305
2018-10-11 1333.01 buy 77.33241196249878 103084.8784701305
2018-11-02 1394.55 sell 77.33241196249878 107843.91510230268
2019-05-06 1581.07 buy 68.20944999418285 107843.91510230266
2019-06-19 1606.2 sell 68.20944999418285 109558.0185806565
2019-08-02 1513.84 buy 72.37093654590743 109558.0185806565
2019-08-27 1556.05 sell 72.37093654590743 112612.79581225925
2019-09-30 1522.08 buy 73.98612149969729 112612.79581225925
2019-10-11 1595.59 sell 73.98612149969729 118051.51560370199
2020-01-21 1498.29 buy 78.79083195089201 118051.51560370199
2020-03-05 1432.61 sell 78.79083195089201 112876.5337611674
2020-03-16 1338.08 buy 84.35708908373745 112876.5337611674
2020-04-14 1332.0 sell 84.35708908373745 112363.64265953828
2020-05-22 1310.84 buy 85.7188082905147 112363.64265953828
2020-06-01 1393.1 sell 85.7188082905147 119414.87182951602
2020-09-22 1525.85 buy 78.26121298261037 119414.87182951604
2020-10-13 1579.78 sell 78.26121298261037 123635.49904566821
2020-11-02 1493.61 buy 82.77629303879073 123635.49904566821
2020-11-09 1585.18 sell 82.77629303879073 131215.3241992303
2020-12-11 1553.14 buy 84.4838998411156 131215.3241992303
2020-12-31 1642.87 sell 84.4838998411156 138796.0645319736
2021-02-03 1562.7 buy 88.81811258205259 138796.0645319736
2021-02-18 1689.94 sell 88.81811258205259 150097.28117691397
2021-07-15 1635.39 buy 91.7807258066357 150097.28117691397
2021-08-23 1540.87 sell 91.7807258066357 141422.16697367074
2022-01-25 1640.1 buy 86.22777085157658 141422.16697367074
2022-02-08 1710.12 sell 86.22777085157658 147459.83548869813
2022-03-08 1553.21 buy 94.93876261979908 147459.83548869813
2022-04-01 1576.7 sell 94.93876261979908 149689.9470226372
2022-04-25 1447.13 buy 103.43918447039118 149689.9470226372
2022-05-20 1554.61 sell 103.43918447039118 160807.59056951484
2022-08-02 1510.05 buy 106.49156688157004 160807.59056951484
2022-08-17 1567.56 sell 106.49156688157004 166931.92058087394
2022-10-31 1527.85 buy 109.25936484659746 166931.92058087394
2022-11-04 1590.33 sell 109.25936484659746 173758.44569648933
2023-02-17 1611.32 buy 107.83608823603588 173758.44569648933
2023-03-01 1646.98 sell 107.83608823603588 177603.88060298638
2023-05-24 1529.24 buy 116.13865750502627 177603.88060298638
2023-06-16 1529.82 sell 116.13865750502627 177671.24102433928
2023-06-26 1495.64 buy 118.79278504475627 177671.24102433928
2023-07-25 1522.29 sell 118.79278504475627 180837.06874578202
2023-08-21 1454.77 buy 124.30629497843785 180837.06874578202
2023-11-20 1382.39 sell 124.30629497843785 171839.7791152427
2023-12-14 1340.59 buy 128.18220269824684 171839.7791152427
2024-01-15 1346.69 sell 128.18220269824684 172621.69055170205
2024-01-22 1292.14 buy 133.59364353065615 172621.69055170205
2024-01-25 1359.2 sell 133.59364353065615 181580.48028686785