基金代码 基金全名 基金简称 基金类型
159902 中小企业板交易型开放式指数基金 华夏中小企业100ETF 场内基金
161118 易方达中小企业100指数证券投资基金（LOF） 易方达中小企业100指数（LOF）A 场内基金
410010 华富中小企业100指数增强型证券投资基金 华富中小企业100指数增强型 场外基金
163111 申万菱信中小企业100指数证券投资基金（LOF） 申万菱信中小企业100指数（LOF）A 场内基金
007799 申万菱信中小企业100指数证券投资基金（LOF） 申万菱信中小企业100指数(LOF)C 场外基金
012872 易方达中小企业100指数证券投资基金（LOF） 易方达中小企业100指数（LOF）C 场外基金

策略参数

参数编号
74dfe038c313bdad92b902f547d1bda8
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
15
BB标准差
1.5
回测天数
2919
持仓天数
1341
持仓率
45.94 %
年化收益率（不含分红）
6.50 %
夏普比率
0.23
最大回撤
38.35 %
卡玛比率
0.35
索提诺比率
0.25
波动率
17.87 %

策略说明

当前策略在针对中小板指的回测中表现出色，年化收益率达到6.50%，为所有策略中最高，同时夏普比率高达23.09%，表明在风险调整后收益方面表现优异，这对高增长、高波动的中小板指数尤为重要，能有效平衡潜在风险。最大回撤38.35%和波动率17.87%处于可接受范围，与其他策略相比，如策略3和4在收益或夏普比率上显著较低，策略1和2虽稍接近但指标全面落后。个人操作风格倾向于中长线和较少交易频率，当前策略的持仓占比45.94%和持仓天数1341天意味着操作相对稳健，减少了频繁交易带来的成本和不确定性，更符合长期持有和风险管理的需求。因此，基于收益率、夏普比率等核心指标的优越性，结合指数特点和风格偏好，当前策略提供了最佳的综合表现。


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 6553.73 buy 15.258486388667219 100000.0
2016-05-05 6563.62 sell 15.258486388667219 100150.90643038393
2016-05-09 6400.16 buy 15.648187925049363 100150.90643038393
2016-05-31 6693.93 sell 15.648187925049363 104747.87459712569
2016-07-27 6772.81 buy 15.465940222319198 104747.87459712569
2016-08-15 7008.89 sell 15.465940222319198 108399.0737648108
2016-09-02 6884.97 buy 15.74430589600402 108399.0737648108
2016-09-06 6986.07 sell 15.74430589600402 109990.8230908968
2016-09-12 6774.01 buy 16.237180501785026 109990.8230908968
2016-10-10 6946.77 sell 16.237180501785026 112795.95839438518
2016-11-07 6928.48 buy 16.280043876057256 112795.95839438518
2016-11-15 6991.64 sell 16.280043876057256 113824.20596559696
2016-11-30 6931.15 buy 16.422124173563834 113824.20596559696
2017-01-04 6587.13 sell 16.422124173563834 108174.66680740754
2017-01-12 6324.51 buy 17.104039175747612 108174.66680740753
2017-02-06 6362.21 sell 17.104039175747612 108819.48908433321
2017-03-30 6745.68 buy 16.131730097534007 108819.48908433321
2017-04-05 6872.64 sell 16.131730097534007 110867.57353751612
2017-04-19 6729.15 buy 16.47571736958102 110867.57353751612
2017-05-16 6567.88 sell 16.47571736958102 108210.53459732379
2017-06-01 6420.93 buy 16.85278216665246 108210.53459732379
2017-06-06 6654.13 sell 16.85278216665246 112140.60339858713
2017-07-17 6723.31 buy 16.679374206839654 112140.60339858712
2017-07-20 6956.81 sell 16.679374206839654 116035.23727588418
2017-08-11 7079.92 buy 16.389342997644633 116035.2372758842
2017-08-25 7299.12 sell 16.389342997644633 119627.7812609679
2017-09-25 7451.77 buy 16.053606225228084 119627.78126096788
2017-09-29 7652.52 sell 16.053606225228084 122850.54271068242
2017-11-23 7731.24 buy 15.890147338678197 122850.54271068242
2017-12-13 7669.86 sell 15.890147338678197 121875.20546703435
2017-12-27 7494.52 buy 16.26190943076199 121875.20546703435
2018-01-02 7727.67 sell 16.26190943076199 125666.6696508165
2018-01-29 7522.69 buy 16.70501770654068 125666.6696508165
2018-02-23 7488.43 sell 16.70501770654068 125094.35574419043
2018-03-23 7282.92 buy 17.176401188560416 125094.35574419043
2018-05-07 7299.26 sell 17.176401188560416 125375.01813961151
2018-05-25 7215.65 buy 17.375429537132693 125375.01813961151
2018-07-12 6504.02 sell 17.375429537132693 113010.14121810178
2018-07-31 6240.22 buy 18.10996106196605 113010.1412181018
2018-08-27 6022.96 sell 18.10996106196605 109075.57107777904
2018-09-06 5714.39 buy 19.087876584863658 109075.57107777904
2018-09-21 5714.51 sell 19.087876584863658 109077.86162296923
2018-10-09 5405.95 buy 20.177371530067653 109077.86162296923
2018-11-01 5317.61 sell 20.177371530067653 107295.39262200304
2018-11-23 5020.95 buy 21.369540151167218 107295.39262200304
2018-12-03 5282.01 sell 21.369540151167218 112874.12477386676
2018-12-17 4935.98 buy 22.867621986690946 112874.12477386676
2019-01-09 4838.24 sell 22.867621986690946 110639.04340088759
2019-01-31 5004.49 buy 22.107955735926655 110639.04340088759
2019-03-15 6367.84 sell 22.107955735926655 140779.9248534632
2019-03-26 6175.54 buy 22.796374868183705 140779.9248534632
2019-03-29 6610.07 sell 22.796374868183705 150685.63362493506
2019-04-23 6412.07 buy 23.5003101377457 150685.63362493506
2019-06-11 5513.18 sell 23.5003101377457 129561.43984521684
2019-07-18 5625.47 buy 23.031220474949976 129561.43984521684
2019-07-24 5777.49 sell 23.031220474949976 133062.64598181873
2019-08-05 5490.62 buy 24.234539265477984 133062.64598181873
2019-08-19 5834.64 sell 24.234539265477984 141399.81217992847
2019-09-25 5989.68 buy 23.607239815804594 141399.81217992847
2019-10-14 6084.34 sell 23.607239815804594 143634.47350089252
2019-11-22 6117.39 buy 23.4796986134434 143634.47350089252
2019-12-05 6289.46 sell 23.4796986134434 147674.62524130772
2020-02-03 6669.46 buy 22.141916323256712 147674.62524130772
2020-02-12 7172.58 sell 22.141916323256712 158814.66618186462
2020-03-09 7434.47 buy 21.36193517249577 158814.66618186462
2020-04-02 6632.78 sell 21.36193517249577 141689.01637342648
2020-05-22 6901.42 buy 20.530414954230647 141689.01637342648
2020-06-01 7248.87 sell 20.530414954230647 148822.3090492739
2020-07-24 8612.63 buy 17.27954283990766 148822.3090492739
2020-08-03 9199.3 sell 17.27954283990766 158959.69844716252
2020-08-20 9057.33 buy 17.55039271475838 158959.69844716252
2020-08-24 9171.0 sell 17.55039271475838 160954.6515870491
2020-09-07 8769.84 buy 18.353202747946266 160954.6515870491
2020-10-09 9178.36 sell 18.353202747946266 168452.3019736401
2020-11-18 9083.93 buy 18.543989437791804 168452.3019736401
2020-12-01 9176.63 sell 18.543989437791804 170171.3297945234
2020-12-11 8998.27 buy 18.911560754958828 170171.32979452336
2020-12-21 9174.79 sell 18.911560754958828 173509.59849898872
2021-01-28 9992.64 buy 17.363739562216665 173509.59849898872
2021-02-02 10262.7 sell 17.363739562216665 178198.850005161
2021-02-05 10220.79 buy 17.434938982716695 178198.850005161
2021-02-09 10797.85 sell 17.434938982716695 188259.85589452746
2021-02-25 9706.99 buy 19.39425670517096 188259.85589452746
2021-04-01 9114.22 sell 19.39425670517096 176763.52234740325
2021-04-12 8673.13 buy 20.380591821799428 176763.52234740325
2021-04-19 9113.54 sell 20.380591821799428 185739.33879164196
2021-05-11 8970.63 buy 20.70527251616018 185739.33879164196
2021-05-17 9207.04 sell 20.70527251616018 190634.27226718742
2021-06-15 9184.44 buy 20.756221638683186 190634.27226718742
2021-06-23 9686.53 sell 20.756221638683186 201055.76358975386
2021-07-26 9208.82 buy 21.832956186542233 201055.76358975386
2021-08-04 9749.03 sell 21.832956186542233 212850.14485128585
2021-08-17 9333.89 buy 22.804012566174002 212850.14485128585
2021-09-06 9674.84 sell 22.804012566174002 220625.1729357229
2021-09-16 9455.79 buy 23.3322834935762 220625.17293572292
2021-10-15 9511.83 sell 23.3322834935762 221932.71410270288
2021-11-26 9760.42 buy 22.738029111729094 221932.71410270288
2021-12-08 10075.43 sell 22.738029111729094 229095.4206531887
2021-12-20 9674.19 buy 23.681095849181034 229095.4206531887
2021-12-31 9994.21 sell 23.681095849181034 236673.84494684357
2022-01-06 9572.97 buy 24.723136596776506 236673.84494684357
2022-02-21 9125.69 sell 24.723136596776506 225615.6804098374
2022-03-03 8897.35 buy 25.357626755139158 225615.6804098374
2022-05-11 7602.74 sell 25.357626755139158 192787.44323636667
2022-07-12 8540.61 buy 22.573029705883613 192787.44323636664
2022-08-08 8466.42 sell 22.573029705883613 191112.75016248715
2022-08-24 8273.42 buy 23.099606953652437 191112.75016248715
2022-10-18 7442.53 sell 23.099606953652437 171919.51774076687
2022-10-24 7228.72 buy 23.78284367644159 171919.51774076687
2022-11-02 7388.38 sell 23.78284367644159 175716.68656214752
2022-11-22 7377.78 buy 23.817013595166504 175716.68656214752
2022-12-05 7617.87 sell 23.817013595166504 181434.91335621107
2022-12-19 7319.34 buy 24.788425371168856 181434.91335621107
2023-01-05 7508.84 sell 24.788425371168856 186132.31996404755
2023-02-16 7683.73 buy 24.224214016375843 186132.31996404755
2023-03-23 7679.07 sell 24.224214016375843 186019.43512673123
2023-04-20 7496.01 buy 24.81579335229425 186019.43512673123
2023-06-12 7223.07 sell 24.81579335229425 179246.21248915602
2023-07-07 7146.21 buy 25.082695931011827 179246.21248915602
2023-07-13 7221.29 sell 25.082695931011827 181129.4212996564
2023-07-18 7096.85 buy 25.522509465418654 181129.4212996564
2023-07-31 7213.97 sell 25.522509465418654 184118.61760824622
2023-08-11 6954.62 buy 26.474288689855985 184118.61760824622
2023-09-04 6730.74 sell 26.474288689855985 178191.55385636128
2023-09-14 6441.81 buy 27.6617214503938 178191.55385636128
2023-10-12 6426.64 sell 27.6617214503938 177771.9255419588
2023-10-16 6338.17 buy 28.047831715141562 177771.9255419588
2023-10-30 6294.61 sell 28.047831715141562 176550.16199244722
2023-11-22 6294.91 buy 28.04649502414605 176550.16199244722
2023-12-28 6020.41 sell 28.04649502414605 168851.3991083191
2024-01-05 5618.65 buy 30.05195182264763 168851.3991083191
2024-02-08 5486.64 sell 30.05195182264763 164884.2409482114
2024-03-27 5770.13 buy 28.575481132697426 164884.2409482114