基金代码 基金全名 基金简称 基金类型
004875 融通深证成份指数证券投资基金 融通深证成份指数C 场外基金
004345 南方深证成份交易型开放式指数证券投资基金联接基金 南方深证成份ETF联接C 场外基金
159903 深证成份交易型开放式指数证券投资基金 南方深证成份ETF 场内基金
202017 南方深证成份交易型开放式指数证券投资基金联接基金 南方深证成份ETF联接A 场外基金
163109 申万菱信深证成份指数型证券投资基金 申万菱信深证成份指数A 场内基金
161612 融通深证成份指数证券投资基金 融通深证成份指数A/B 场外基金
159943 大成深证成份交易型开放式指数证券投资基金 深证ETF 场内基金
015177 申万菱信深证成份指数型证券投资基金 申万菱信深证成份指数C 场外基金

策略参数

参数编号
7eeb67ad9775f93840a9dbdd6ffccb26
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
840
持仓率
28.78 %
年化收益率（不含分红）
5.75 %
夏普比率
0.20
最大回撤
21.80 %
卡玛比率
0.60
索提诺比率
0.18
波动率
12.65 %

策略说明

在分析深证成指的量化策略时，考虑到该指数涵盖广泛的A股市场，包括科技和制造业等成长型行业，通常具有较高的波动性，因此风险控制和操作频率成为关键考量因素。当前策略在多个方面表现突出：年化收益率为5.75%，夏普比率为20.49%，显示了一定的盈利能力与风险调整后回报；最大回撤为21.80%，是所有策略中最低的，有效控制了下行风险；波动率为12.65%，同样较低，表明策略稳健性良好。更重要的是，当前策略的持仓占比仅为28.78%，显著低于其他策略，这意味着操作频率较低、交易次数较少，非常符合中长线投资的偏好，能够减少市场噪音干扰和交易成本。相比之下，其他策略虽然部分在收益率或夏普比率上略高，但往往伴随更高的最大回撤（如超过33%）和波动率，同时持仓占比普遍在30%以上，操作更频繁，可能增加风险并偏离长期投资目标。综合来看，当前策略在平衡收益与风险的同时，通过低持仓占比实现了更少操作，适合深证成指这类波动性较高的指数，能更好地满足稳健、中长线投资者的需求。


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 10058.801 buy 9.941542734566475 99999.99999999999
2016-05-31 10209.142 sell 9.941542734566475 101494.62147625745
2016-07-27 10396.305 buy 9.76256674619083 101494.62147625745
2016-08-15 10882.951 sell 9.76256674619083 106245.53553302423
2016-09-12 10514.583 buy 10.104588601661542 106245.53553302422
2016-10-10 10782.308 sell 10.104588601661542 108950.78651640406
2016-12-12 10332.2755 buy 10.544703973137771 108950.78651640406
2017-01-04 10371.4707 sell 10.544703973137771 109364.08829757199
2017-01-16 9826.7882 buy 11.129179348504934 109364.08829757199
2017-02-08 10182.7281 sell 11.129179348504934 113325.40728196088
2017-03-30 10428.72 buy 10.866665063589865 113325.40728196088
2017-04-06 10669.4803 sell 10.866665063589865 115941.66882267031
2017-05-08 9885.3443 buy 11.72864245332055 115941.66882267033
2017-06-07 10148.7215 sell 11.72864245332055 119030.725831827
2017-07-17 10103.7626 buy 11.780831611366938 119030.725831827
2017-08-01 10469.3375 sell 11.780831611366938 123337.50217006932
2018-02-01 10925.16 buy 11.289308547432652 123337.50217006932
2018-03-01 10856.25 sell 11.289308547432652 122559.55591806573
2018-03-23 10564.38 buy 11.601206688709205 122559.55591806574
2018-05-07 10707.8 sell 11.601206688709205 124223.40098136042
2018-05-25 10465.54 buy 11.869755500562839 124223.40098136042
2018-07-24 9463.76 sell 11.869755500562839 112332.51731600658
2018-08-02 8602.12 buy 13.058701496376075 112332.51731600658
2018-09-26 8334.75 sell 13.058701496376075 108841.0122969205
2018-10-11 7558.28 buy 14.400235542599706 108841.0122969205
2018-11-02 7839.08 sell 14.400235542599706 112884.5984372825
2019-05-06 9089.46 buy 12.419285462203751 112884.5984372825
2019-06-20 9214.27 sell 12.419285462203751 114434.64945582017
2019-09-26 9548.96 buy 11.983990869772224 114434.64945582017
2019-10-28 9746.03 sell 11.983990869772224 116796.3345365262
2020-02-03 10089.67 buy 11.575832959504742 116796.33453652622
2020-02-17 11306.49 sell 11.575832959504742 130882.03959831077
2020-03-16 10202.75 buy 12.828113949504866 130882.03959831077
2020-04-07 10386.55 sell 12.828113949504866 133239.84694222975
2020-09-09 12742.85 buy 10.456047661412459 133239.84694222975
2020-10-09 13708.07 sell 10.456047661412459 143332.23326597828
2021-06-16 14472.37 buy 9.903853568280681 143332.23326597828
2021-06-25 15150.17 sell 9.903853568280681 150045.0652145589
2021-07-27 14086.42 buy 10.651752909153561 150045.0652145589
2021-09-07 14688.08 sell 10.651752909153561 156453.79886988024
2022-01-25 13780.3 buy 11.353439248048318 156453.79886988024
2022-02-23 13252.24 sell 11.353439248048318 150458.50174055583
2022-03-07 12244.5 buy 12.287843663731131 150458.50174055583
2022-05-20 11447.95 sell 12.287843663731131 140670.61987021082
2022-08-02 11982.26 buy 11.739907151923829 140670.61987021082
2022-08-11 12419.39 sell 11.739907151923829 145802.48548353126
2022-09-16 11207.04 buy 13.009901408715526 145802.48548353126
2022-11-04 11207.73 sell 13.009901408715526 145811.46231550328
2022-12-20 10912.09 buy 13.36237717206358 145811.46231550328
2023-01-05 11367.73 sell 13.36237717206358 151899.8958501823
2023-04-21 11317.01 buy 13.422263994657802 151899.8958501823
2023-06-14 11182.94 sell 13.422263994657802 150100.37291641854
2023-10-18 9655.09 buy 15.546242750343968 150100.37291641854
2023-11-06 10056.49 sell 15.546242750343968 156340.6347564066