| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 515590 | 前海开源中证500等权重交易型开放式指数证券投资基金 | 前海开源中证500等权ETF | 场内基金 |
| 009726 | 招商中证500等权重指数增强型证券投资基金 | 招商中证500等权重指数增强A | 场外基金 |
| 009727 | 招商中证500等权重指数增强型证券投资基金 | 招商中证500等权重指数增强C | 场外基金 |
| 023444 | 前海开源中证500等权重交易型开放式指数证券投资基金联接基金 | 前海开源中证500等权ETF联接A | 场外基金 |
| 023445 | 前海开源中证500等权重交易型开放式指数证券投资基金联接基金 | 前海开源中证500等权ETF联接C | 场外基金 |
当前策略在500等权指数上表现出色，年化收益率高达9.34%，为所有策略中最高，同时夏普比率达到41.30%，显著优于其他策略，表明其在风险调整后收益方面的优越性。尽管最大回撤为26.87%相对较高，但Calmar比率为57.75%仍属可接受范围，且持仓占比52.66%意味着操作频率较低，符合中长线投资偏好。该指数代表中型股票，行业分散，布林线策略能够有效捕捉市场波动，当前策略通过20天布林线和适中参数设置，平衡了收益与风险。相比之下，其他策略如低回撤选项虽能控制下行风险，但持仓占比普遍较低（如29%至33%），可能导致频繁操作，不适合长期持有；而高持仓策略如编号6在收益和夏普比率上稍逊。因此，综合考虑指数特性、风险调整收益和操作风格，当前策略在提供高回报的同时保持较低交易频率，是最适合该基金的量化选择。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-09 | 6945.9207 | buy | 14.396939487086284 | 100000.0 |
| 2016-06-08 | 6961.1617 | sell | 14.396939487086284 | 100219.42375472268 |
| 2016-08-01 | 7498.0761 | buy | 13.366018485024803 | 100219.42375472268 |
| 2016-08-18 | 7905.9398 | sell | 13.366018485024803 | 105670.9375082933 |
| 2016-09-12 | 7707.698 | buy | 13.709792146538861 | 105670.9375082933 |
| 2016-10-19 | 7951.2304 | sell | 13.709792146538861 | 109009.71609324105 |
| 2016-12-12 | 7704.8005 | buy | 14.148285357062917 | 109009.71609324105 |
| 2017-01-10 | 7790.7273 | sell | 14.148285357062917 | 110225.43297946031 |
| 2017-01-13 | 7397.4307 | buy | 14.90050227566989 | 110225.43297946031 |
| 2017-02-15 | 7825.3979 | sell | 14.90050227566989 | 116602.35921697237 |
| 2017-03-30 | 7839.01 | buy | 14.874628201389253 | 116602.35921697237 |
| 2017-04-12 | 8114.3675 | sell | 14.874628201389253 | 120698.19965193642 |
| 2017-04-19 | 7760.6459 | buy | 15.552597194511401 | 120698.19965193642 |
| 2017-06-21 | 7289.2258 | sell | 15.552597194511401 | 113366.39272724012 |
| 2017-07-17 | 7194.6709 | buy | 15.756994906777475 | 113366.39272724012 |
| 2017-08-01 | 7556.5475 | sell | 15.756994906777475 | 119068.48047032206 |
| 2017-11-03 | 7796.0888 | buy | 15.272848158210056 | 119068.48047032206 |
| 2018-01-10 | 7644.8023 | sell | 15.272848158210056 | 116757.904727435 |
| 2018-01-31 | 7105.3989 | buy | 16.43228006909436 | 116757.904727435 |
| 2018-03-13 | 7329.3683 | sell | 16.43228006909436 | 120438.23263514202 |
| 2018-03-23 | 6979.7433 | buy | 17.255395715647882 | 120438.23263514202 |
| 2018-05-23 | 7085.909 | sell | 17.255395715647882 | 122270.16380007076 |
| 2018-05-30 | 6816.9965 | buy | 17.936075484279733 | 122270.16380007075 |
| 2018-07-27 | 6136.8895 | sell | 17.936075484279733 | 110071.71331068371 |
| 2018-08-03 | 5721.895 | buy | 19.236933447867134 | 110071.71331068373 |
| 2018-11-20 | 5468.69 | sell | 19.236933447867134 | 105200.82557701651 |
| 2019-01-31 | 5107.44 | buy | 20.597564646283953 | 105200.8255770165 |
| 2019-03-08 | 6580.56 | sell | 20.597564646283953 | 135543.51000875034 |
| 2019-04-26 | 6342.61 | buy | 21.370304970469626 | 135543.51000875034 |
| 2019-06-25 | 5958.15 | sell | 21.370304970469626 | 127327.4825598036 |
| 2019-08-05 | 5516.54 | buy | 23.081040391224136 | 127327.4825598036 |
| 2019-09-16 | 6093.88 | sell | 23.081040391224136 | 140653.09041927295 |
| 2019-11-11 | 5774.71 | buy | 24.356736601365775 | 140653.09041927295 |
| 2019-12-12 | 5985.75 | sell | 24.356736601365775 | 145793.3361116252 |
| 2020-02-03 | 5782.44 | buy | 25.213116973392754 | 145793.3361116252 |
| 2020-02-25 | 6585.81 | sell | 25.213116973392754 | 166048.79789453975 |
| 2020-03-16 | 6053.65 | buy | 27.429533900132938 | 166048.79789453975 |
| 2020-04-21 | 6236.39 | sell | 27.429533900132938 | 171061.27091945006 |
| 2020-09-09 | 7255.93 | buy | 23.575375026971052 | 171061.27091945006 |
| 2020-10-14 | 7484.9 | sell | 23.575375026971052 | 176459.3245393756 |
| 2020-12-11 | 7290.77 | buy | 24.20311222811522 | 176459.3245393756 |
| 2021-01-06 | 7384.03 | sell | 24.20311222811522 | 178716.50678576963 |
| 2021-01-28 | 7124.69 | buy | 25.084109875063987 | 178716.50678576963 |
| 2021-04-09 | 7284.68 | sell | 25.084109875063987 | 182729.71352468114 |
| 2021-07-28 | 7647.52 | buy | 23.89398308532454 | 182729.71352468114 |
| 2021-08-13 | 8013.21 | sell | 23.89398308532454 | 191467.50419915345 |
| 2022-01-21 | 8225.91 | buy | 23.27614868131957 | 191467.50419915345 |
| 2022-06-09 | 7418.94 | sell | 23.27614868131957 | 172684.35049778898 |
| 2022-08-02 | 7242.03 | buy | 23.84474387675679 | 172684.35049778898 |
| 2022-08-12 | 7602.5 | sell | 23.84474387675679 | 181279.6653230435 |
| 2022-09-16 | 7022.28 | buy | 25.81492981240331 | 181279.6653230435 |
| 2022-11-09 | 7281.89 | sell | 25.81492981240331 | 187981.47925164155 |
| 2022-12-19 | 7123.87 | buy | 26.387550481920858 | 187981.47925164155 |
| 2023-02-03 | 7620.62 | sell | 26.387550481920858 | 201089.49495353573 |
| 2023-03-10 | 7609.05 | buy | 26.427674276491246 | 201089.49495353573 |
| 2023-04-10 | 7864.39 | sell | 26.427674276491246 | 207837.537303295 |
| 2023-04-25 | 7542.15 | buy | 27.556802410890132 | 207837.537303295 |
| 2023-06-19 | 7496.87 | sell | 27.556802410890132 | 206589.7652901299 |
| 2023-06-26 | 7340.11 | buy | 28.145322793545315 | 206589.7652901299 |
| 2023-08-07 | 7536.22 | sell | 28.145322793545315 | 212109.34454317208 |
| 2023-08-21 | 7151.53 | buy | 29.659295918939314 | 212109.34454317208 |
| 2024-03-19 | 6806.47 | sell | 29.659295918939314 | 201875.10789338287 |
| 2024-03-27 | 6479.76 | buy | 31.154719911444694 | 201875.10789338287 |