基金代码 基金全名 基金简称 基金类型
161816 银华中证等权重90指数证券投资基金(LOF) 银华中证等权重90指数 场内基金

策略参数

参数编号
df38385ea5ed5859349c1d240ffe4757
PE权重
0.3
PB权重
0.4
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
1589
持仓率
54.44 %
年化收益率（不含分红）
5.56 %
夏普比率
0.18
最大回撤
36.61 %
卡玛比率
0.35
索提诺比率
0.24
波动率
17.59 %

策略说明

当前策略基于valuation模型，专注于长线估值投资，使用PE、PB和股息率等指标进行防御性配置，适合等权90指数这种等权重设计的广泛市场指数，其分散化特性有助于降低行业集中风险。在回测结果中，当前策略展现出最高的年化收益率5.56%和夏普比率17.90%，表明其优异的收益能力和风险调整后回报；最大回撤36.61%和波动率17.59%处于可接受范围，与其他策略相比，Sortino比率24.43%和Calmar比率35.08%也领先，体现了有效的下行风险管理和整体稳定性。持仓占比54.44%反映了适中的操作频率，符合中长线投资风格，避免过度交易带来的成本。尽管其他策略如编号3和4在最大回撤和波动率上略优（35.60%和15.28%-15.37%），但它们的年化收益率（4.25%-4.46%）和夏普比率（9.65%-11.08%）显著较低，未能提供足够的回报以补偿风险。综合考虑指数类型、策略模型和回测指标，当前策略在收益与风险间实现了最佳平衡，因此最适合作为操作选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-06 2521.51 buy 39.65877589222331 100000.00000000001
2016-12-05 2872.26 sell 39.65877589222331 113910.31564419734
2017-05-05 2751.27 buy 41.4028123899862 113910.31564419734
2018-03-28 2967.68 sell 41.4028123899862 122870.29827351424
2018-05-30 2791.88 buy 44.009878029684025 122870.29827351424
2019-04-22 2836.8 sell 44.009878029684025 124847.22199460765
2019-05-06 2580.49 buy 48.38120744300798 124847.22199460765
2019-10-18 2687.51 sell 48.38120744300798 130024.97881515839
2020-02-03 2736.16 buy 47.52097056281738 130024.9788151584
2020-02-28 3004.05 sell 47.52097056281738 142755.37161923156
2020-03-16 2700.09 buy 52.87059750572446 142755.37161923156
2021-08-30 3558.6 sell 52.87059750572446 188145.30828387107
2022-03-14 2921.49 buy 64.40046287472182 188145.30828387104

策略参数

参数编号
20c8c929eb98b6592546191b67f5a0f7
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
744
持仓率
25.49 %
年化收益率（不含分红）
8.35 %
夏普比率
0.43
最大回撤
16.10 %
卡玛比率
0.92
索提诺比率
0.34
波动率
11.68 %

策略说明

当前策略在年化收益率和夏普比率上表现突出，分别达到8.35%和42.74%，这表明较高的收益水平和优秀的风险调整回报，适合捕捉市场机会。最大回撤为16.10%，在可接受范围内，波动率11.68%相对稳定，有助于控制下行风险。虽然持仓占比25.49%意味着操作频率稍高，可能涉及较多的交易活动，但鉴于该策略在收益和风险指标上的全面优势，以及指数等权90的均衡特性（通常代表广泛市场覆盖和分散风险），它能在中线操作中有效平衡收益与稳定性。其他策略或在收益率、夏普比率上不足，或最大回撤过高（如超过25%），或波动率较大，增加投资不确定性；同时，一些策略持仓占比更高但伴随较低收益和较高风险，不符合中长线偏好下的稳健操作。综合考虑指数数据指标和操作风格，当前策略以优秀的收益风险比和适中的回撤，为等权90指数提供了较优的量化选择，适应市场波动并优先保障长期回报。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-09 2527.1 buy 39.571049819951725 100000.0
2016-05-31 2608.64 sell 39.571049819951725 103226.62340231886
2016-09-12 2660.45 buy 38.800437295314275 103226.62340231886
2016-10-10 2697.64 sell 38.800437295314275 104669.6116653316
2017-05-05 2751.27 buy 38.04410750865295 104669.6116653316
2017-05-16 2791.53 sell 38.04410750865295 106201.26743362998
2017-08-11 3012.07 buy 35.258565515950814 106201.26743362997
2017-08-25 3158.62 sell 35.258565515950814 111368.41020999255
2017-09-25 3113.23 buy 35.772625283063746 111368.41020999255
2017-10-09 3168.88 sell 35.772625283063746 113359.15680699504
2018-02-09 2953.19 buy 38.385324617445896 113359.15680699504
2018-03-09 3145.79 sell 38.385324617445896 120752.17032831513
2018-03-23 2924.54 buy 41.289286632535415 120752.17032831511
2018-04-10 2991.48 sell 41.289286632535415 123516.07517549704
2018-05-30 2791.88 buy 44.24118342317615 123516.07517549704
2018-07-23 2591.57 sell 44.24118342317615 114654.12372400063
2018-08-02 2375.48 buy 48.26566577028669 114654.12372400062
2018-08-27 2444.7 sell 48.26566577028669 117995.07310861985
2018-10-11 2251.19 buy 52.414533250689566 117995.07310861985
2018-11-02 2355.06 sell 52.414533250689566 123439.37067736896
2019-05-06 2580.49 buy 47.8356322548698 123439.37067736896
2019-06-11 2526.6 sell 47.8356322548698 120861.50845515403
2019-08-05 2468.98 buy 48.95199979552448 120861.50845515403
2019-08-16 2607.51 sell 48.95199979552448 127642.82898682804
2020-01-23 2665.94 buy 47.87910792697061 127642.82898682804
2020-02-17 2982.65 sell 47.87910792697061 142806.6212583789
2020-03-16 2700.09 buy 52.889578220866305 142806.6212583789
2020-04-07 2738.66 sell 52.889578220866305 144846.5722903577
2020-05-22 2736.79 buy 52.925716730314605 144846.5722903577
2020-06-01 2856.25 sell 52.925716730314605 151169.07841096108
2020-10-23 3424.6 buy 44.14211248349036 151169.07841096108
2020-10-29 3458.18 sell 44.14211248349036 152651.37054815667
2021-01-28 3818.8 buy 39.97364893373747 152651.37054815667
2021-02-09 4115.51 sell 39.97364893373747 164511.9519232859
2021-04-12 3490.14 buy 47.13620425635817 164511.9519232859
2021-04-23 3611.52 sell 47.13620425635817 170233.34439592264
2021-05-07 3543.25 buy 48.0444068005144 170233.34439592264
2021-05-17 3688.56 sell 48.0444068005144 177214.6771481054
2021-06-16 3637.53 buy 48.71840978579019 177214.6771481054
2021-06-25 3774.41 sell 48.71840978579019 183883.25307958436
2021-07-27 3487.14 buy 52.73182409641837 183883.25307958436
2021-09-06 3672.06 sell 52.73182409641837 193634.42199149405
2022-01-06 3567.13 buy 54.28297314409456 193634.42199149405
2022-02-18 3405.48 sell 54.28297314409456 184859.57938275114
2022-03-07 3129.98 buy 59.06094587912739 184859.57938275114
2022-05-20 2963.56 sell 59.06094587912739 175030.65676954677
2022-08-02 2973.28 buy 58.86786874076668 175030.65676954677
2022-08-11 3076.01 sell 58.86786874076668 181078.15292528574
2022-08-24 3009.29 buy 60.173048435107866 181078.15292528574
2022-09-09 3001.29 sell 60.173048435107866 180596.7685378049
2022-09-16 2856.25 buy 63.22862793446123 180596.7685378049
2022-10-14 2821.03 sell 63.22862793446123 178369.8562619532
2022-12-19 2795.94 buy 63.796024328831514 178369.8562619532
2023-01-05 2896.17 sell 63.796024328831514 184764.13178043198
2023-04-21 2811.08 buy 65.72709840361426 184764.13178043198
2023-06-15 2763.66 sell 65.72709840361426 181647.3527741326
2023-08-11 2664.31 buy 68.17800960628928 181647.3527741326
2023-09-04 2615.64 sell 68.17800960628928 178329.1290465945
2023-10-19 2412.84 buy 73.90839386225132 178329.12904659446
2023-11-06 2498.43 sell 73.90839386225132 184654.94847726455
2023-12-05 2339.28 buy 78.93665934700614 184654.94847726455
2023-12-28 2367.4 sell 78.93665934700614 186874.64733810234
2024-01-17 2246.89 buy 83.1703587350081 186874.64733810234
2024-01-25 2283.77 sell 83.1703587350081 189941.97016824942