基金代码 基金全名 基金简称 基金类型
159912 深证300交易型开放式指数证券投资基金 汇添富深证300ETF 场内基金
470068 汇添富深证300交易型开放式指数证券投资基金联接基金 汇添富深证300ETF联接A 场外基金
233010 摩根士丹利深证300指数增强型证券投资基金 大摩深证300指数增强 场外基金
700002 平安深证300指数增强型证券投资基金 平安深证300指数增强 场外基金
018058 汇添富深证300交易型开放式指数证券投资基金联接基金 汇添富深证300ETF联接C 场外基金

策略参数

参数编号
aacae77d4c3b8c5bb8571079648a8b62
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
1.5
回测天数
2919
持仓天数
1346
持仓率
46.11 %
年化收益率（不含分红）
5.50 %
夏普比率
0.18
最大回撤
26.97 %
卡玛比率
0.47
索提诺比率
0.18
波动率
17.41 %

策略说明

当前策略针对深证300指数，该指数作为深圳市场的大中盘宽基指数，具有良好的行业多样性和市场代表性，适合中长期投资布局。策略基于布林线模型进行中线估值，回测周期长达2919天，展现了稳定的历史表现。当前策略的持仓天数高达1346天，持仓占比46.11%，这意味着操作频率显著较低，符合减少交易次数和降低成本的偏好，适合追求稳健持有的投资者。年化收益率为5.50%，虽然略低于某些高频策略，但夏普比率为17.60%和Sortino比率为18.12%显示风险调整后收益合理，最大回撤26.97%在深证300这类波动性较高的指数背景下处于可控范围。其他策略虽在短期指标如夏普比率和最大回撤上表现更优，但持仓占比仅约24%，操作更频繁，可能增加交易风险和市场噪音，不适合注重长期资产配置的风格。因此，当前策略在收益潜力和操作频率之间取得了较好平衡，更适合深证300指数的中长期投资目标。


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 4022.79 buy 24.858369440114945 100000.0
2016-05-03 4158.75 sell 24.858369440114945 103379.74390907802
2016-05-06 3914.7 buy 26.40808846375917 103379.74390907802
2016-05-23 3926.97 sell 26.40808846375917 103703.77115452835
2016-06-13 3950.21 buy 26.25272356521004 103703.77115452835
2016-06-22 4075.74 sell 26.25272356521004 106999.27554366917
2016-07-25 4309.6 buy 24.828122225651835 106999.27554366917
2016-08-08 4216.52 sell 24.828122225651835 104688.27392690549
2016-08-25 4264.9 buy 24.5464779776561 104688.27392690549
2016-09-06 4319.05 sell 24.5464779776561 106017.46570939558
2016-09-12 4189.16 buy 25.3075713769337 106017.46570939558
2016-10-10 4289.22 sell 25.3075713769337 108549.74130137157
2016-10-28 4268.62 buy 25.42970358133813 108549.74130137157
2016-11-01 4263.16 sell 25.42970358133813 108410.89511981746
2016-11-04 4265.19 buy 25.417600416351316 108410.89511981746
2016-11-08 4267.5 sell 25.417600416351316 108469.60977677924
2016-12-02 4315.58 buy 25.134422204380233 108469.60977677924
2017-01-03 4147.8 sell 25.134422204380233 104252.55641932834
2017-01-12 4009.5 buy 26.001385813524962 104252.55641932834
2017-01-25 4036.62 sell 26.001385813524962 104957.71400259114
2017-03-30 4210.14 buy 24.92974437966223 104957.71400259114
2017-04-05 4297.17 sell 24.92974437966223 107127.34965595313
2017-04-17 4217.77 buy 25.399049653241672 107127.34965595313
2017-05-16 4073.48 sell 25.399049653241672 103462.52078148689
2017-06-01 4011.7 buy 25.790193878277762 103462.52078148689
2017-06-06 4134.19 sell 25.790193878277762 106621.56162963713
2017-07-10 4300.24 buy 24.79432813741492 106621.56162963713
2017-07-24 4274.16 sell 24.79432813741492 105974.92555181334
2017-08-04 4299.49 buy 24.64825492135424 105974.92555181334
2017-08-08 4336.39 sell 24.64825492135424 106884.44615841133
2017-08-11 4319.09 buy 24.746982850186342 106884.44615841133
2017-08-25 4444.72 sell 24.746982850186342 109993.40961388024
2017-09-25 4499.05 buy 24.448141188446503 109993.40961388024
2017-10-09 4657.41 sell 24.448141188446503 113865.01725248262
2017-11-03 4732.49 buy 24.06027635610062 113865.01725248262
2017-11-21 4853.23 sell 24.06027635610062 116770.0550197182
2017-11-23 4677.68 buy 24.963241397384643 116770.0550197182
2017-12-11 4609.53 sell 24.963241397384643 115068.81011848642
2017-12-27 4598.99 buy 25.020452342467895 115068.81011848642
2017-12-29 4683.72 sell 25.020452342467895 117188.79304546374
2018-01-17 4769.74 buy 24.569220344392722 117188.79304546374
2018-01-22 4879.56 sell 24.569220344392722 119886.98482368496
2018-01-29 4744.22 buy 25.27011496593433 119886.98482368496
2018-02-22 4502.29 sell 25.27011496593433 113773.38590997647
2018-03-21 4562.19 buy 24.938326967964173 113773.38590997647
2018-04-11 4485.26 sell 24.938326967964173 111854.880416331
2018-04-13 4429.6 buy 25.251688734046187 111854.880416331
2018-05-07 4470.95 sell 25.251688734046187 112899.0377454838
2018-05-23 4412.68 buy 25.585140491828955 112899.0377454838
2018-06-12 4270.82 sell 25.585140491828955 109269.52971531294
2018-07-02 3856.55 buy 28.333492296304453 109269.52971531294
2018-07-10 3785.98 sell 28.333492296304453 107270.03516396273
2018-07-30 3850.61 buy 27.85793294152426 107270.03516396273
2018-08-27 3660.11 sell 27.85793294152426 101963.09893860237
2018-09-03 3587.3 buy 28.42335431622735 101963.09893860237
2018-09-19 3458.48 sell 28.42335431622735 98301.60243558597
2018-10-08 3383.18 buy 29.055977641031802 98301.60243558597
2018-10-22 3198.03 sell 29.055977641031802 92921.88817534894
2018-10-29 3109.22 buy 29.885916138243335 92921.88817534894
2018-11-01 3323.38 sell 29.885916138243335 99322.25597551513
2018-11-23 3199.69 buy 31.04121210977161 99322.25597551513
2018-12-03 3343.53 sell 31.04121210977161 103787.22392538468
2018-12-10 3221.18 buy 32.22024969898754 103787.22392538466
2019-01-07 3098.69 sell 32.22024969898754 99840.5655397557
2019-01-30 3167.55 buy 31.519807276840364 99840.5655397557
2019-02-01 3352.92 sell 31.519807276840364 105683.39221466359
2019-03-14 4015.34 buy 26.319911194236003 105683.39221466359
2019-03-18 4138.45 sell 26.319911194236003 108923.63648178599
2019-03-26 4033.43 buy 27.005213052361388 108923.63648178599
2019-03-29 4320.54 sell 27.005213052361388 116677.10320124947
2019-04-12 4237.68 buy 27.533250080527427 116677.10320124947
2019-04-19 4308.34 sell 27.533250080527427 118622.60265193954
2019-04-23 4317.73 buy 27.473372038534034 118622.60265193954
2019-05-16 3806.66 sell 27.473372038534034 104581.78640420597
2019-05-20 3840.95 buy 27.228104089927225 104581.78640420597
2019-06-11 3795.28 sell 27.228104089927225 103338.27889041901
2019-07-10 3903.23 buy 26.475067800365085 103338.27889041901
2019-07-17 3906.18 sell 26.475067800365085 103416.38034043009
2019-07-22 3921.8 buy 26.3696211791601 103416.38034043009
2019-07-24 3996.75 sell 26.3696211791601 105392.78344780812
2019-08-02 3838.28 buy 27.458336402713744 105392.78344780812
2019-08-15 3873.37 sell 27.458336402713744 106356.29647217934
2019-09-17 4157.94 buy 25.57908398682505 106356.29647217934
2019-10-11 4180.84 sell 25.57908398682505 106942.05749547765
2019-10-23 4096.01 buy 26.108837013453982 106942.05749547765
2019-10-25 4196.39 sell 26.108837013453982 109562.86255488817
2019-11-11 4158.86 buy 26.34444596713719 109562.86255488817
2019-11-19 4211.84 sell 26.34444596713719 110958.59130222711
2019-11-22 4136.71 buy 26.82290789110842 110958.59130222711
2019-12-04 4206.05 sell 26.82290789110842 112818.49173539659
2020-01-23 4182.61 buy 26.97322765818391 112818.49173539659
2020-02-11 4675.59 sell 26.97322765818391 126115.75350632811
2020-02-28 4856.55 buy 25.96817772005397 126115.75350632811
2020-03-05 4940.64 sell 25.96817772005397 128299.41757080745
2020-03-09 4865.33 buy 26.370136778144023 128299.41757080746
2020-04-02 4309.52 sell 26.370136778144023 113642.63184814724
2020-05-21 4539.13 buy 25.036214395302014 113642.63184814724
2020-06-01 4750.92 sell 25.036214395302014 118945.05169492825
2020-07-16 5644.56 buy 21.07251082368302 118945.05169492825
2020-07-29 5789.26 sell 21.07251082368302 121994.24401111518
2020-08-11 5715.04 buy 21.346175006844252 121994.24401111517
2020-08-17 5903.64 sell 21.346175006844252 126020.13261740601
2020-08-20 5787.52 buy 21.774461706811554 126020.13261740601
2020-08-24 5874.96 sell 21.774461706811554 127924.09154904961
2020-09-07 5705.66 buy 22.420559856186596 127924.09154904961
2020-09-18 5652.48 sell 22.420559856186596 126731.7661758976
2020-09-24 5520.44 buy 22.956823401014702 126731.76617589759
2020-10-09 5910.06 sell 22.956823401014702 135676.20370940096
2020-10-22 5687.28 buy 23.856079480771292 135676.20370940096
2020-10-29 5754.66 sell 23.856079480771292 137283.62634481533
2020-11-18 6002.91 buy 22.869512677154137 137283.62634481533
2020-11-23 6046.86 sell 22.869512677154137 138288.74142697625
2020-11-25 5917.7 buy 23.368663742159328 138288.74142697625
2020-12-01 6086.44 sell 23.368663742159328 142231.9697468282
2020-12-09 5981.16 buy 23.77999748323539 142231.9697468282
2020-12-17 6059.79 sell 23.77999748323539 144101.790948935
2021-01-19 6740.01 buy 21.38005595673226 144101.790948935
2021-01-21 6935.67 sell 21.38005595673226 148285.01269742922
2021-01-28 6583.23 buy 22.524659277805764 148285.01269742922
2021-02-08 6985.91 sell 22.524659277805764 157355.24249541605
2021-02-23 6567.37 buy 23.960160992210895 157355.24249541605
2021-03-18 5965.69 sell 23.960160992210895 142938.8928296226
2021-03-23 5877.22 buy 24.3208341409072 142938.8928296226
2021-03-26 6038.53 sell 24.3208341409072 146862.08658489233
2021-04-09 5910.05 buy 24.849550610382707 146862.08658489233
2021-04-19 6194.59 sell 24.849550610382707 153932.7777155706
2021-05-07 6118.46 buy 25.158745454831873 153932.7777155706
2021-05-17 6377.67 sell 25.158745454831873 160454.1761249176
2021-06-08 6472.85 buy 24.788798771007762 160454.1761249176
2021-06-23 6488.01 sell 24.788798771007762 160829.97431428608
2021-07-02 6458.56 buy 24.90183172631145 160829.97431428608
2021-07-12 6654.49 sell 24.90183172631145 165708.99020442227
2021-07-23 6372.53 buy 26.003642227564605 165708.99020442227
2021-08-04 6477.9 sell 26.003642227564605 168448.99398594073
2021-08-13 6371.9 buy 26.436226868899503 168448.99398594073
2021-08-25 6238.29 sell 26.436226868899503 164916.8497139871
2021-08-31 6187.39 buy 26.65370208019651 164916.8497139871
2021-09-06 6347.43 sell 26.65370208019651 169182.50819490175
2021-09-16 6182.43 buy 27.365050343457465 169182.50819490175
2021-09-30 6249.5 sell 27.365050343457465 171017.88212143743
2021-10-12 6241.02 buy 27.402232667326402 171017.88212143743
2021-10-19 6263.18 sell 27.402232667326402 171625.11559734537
2021-10-27 6191.43 buy 27.719786155596584 171625.11559734537
2021-11-04 6274.98 sell 27.719786155596584 173941.10373064544
2021-11-18 6361.22 buy 27.343984916516867 173941.10373064544
2021-12-03 6349.44 sell 27.343984916516867 173618.99158832885
2021-12-17 6274.81 buy 27.66920298595955 173618.99158832885
2021-12-31 6347.9 sell 27.66920298595955 175641.33363457263
2022-01-05 6183.55 buy 28.404611207893947 175641.33363457263
2022-02-17 5772.18 sell 28.404611207893947 163956.52872198127
2022-02-24 5743.11 buy 28.548387323589708 163956.52872198127
2022-03-01 5706.88 sell 28.548387323589708 162922.22064924764
2022-03-14 4931.11 buy 33.0396646291094 162922.22064924767
2022-03-18 5293.1 sell 33.0396646291094 174882.248848339
2022-03-28 5085.94 buy 34.385432948154914 174882.248848339
2022-05-11 4782.34 sell 34.385432948154914 164442.83140527917
2022-05-24 4792.25 buy 34.31432654917401 164442.83140527917
2022-05-31 4968.4 sell 34.31432654917401 170487.30002691614
2022-07-11 5369.34 buy 31.752003044492646 170487.30002691614
2022-08-11 5314.69 sell 31.752003044492646 168752.0530605346
2022-08-24 5189.16 buy 32.52010981749158 168752.0530605346
2022-09-09 5101.1 sell 32.52010981749158 165888.3321900063
2022-09-15 4822.91 buy 34.39590043977729 165888.3321900063
2022-10-14 4777.01 sell 34.39590043977729 164309.56035982052
2022-10-24 4535.84 buy 36.22472581921331 164309.56035982052
2022-11-02 4606.83 sell 36.22472581921331 166881.15364572644
2022-11-22 4664.53 buy 35.776627794381525 166881.15364572644
2022-11-30 4798.09 sell 35.776627794381525 171659.48005394405
2022-12-16 4764.43 buy 36.029384428765674 171659.48005394405
2023-01-03 4742.33 sell 36.029384428765674 170863.23065806832
2023-02-06 5096.14 buy 33.52797031833276 170863.23065806832
2023-02-13 5162.23 sell 33.52797031833276 173079.09421640693
2023-02-16 4997.33 buy 34.634313566726014 173079.0942164069
2023-03-01 5044.5 sell 34.634313566726014 174712.79478734938
2023-03-07 4933.69 buy 35.4121954941128 174712.79478734938
2023-03-22 4925.11 sell 35.4121954941128 174408.9581500099
2023-04-13 4993.55 buy 34.92684726297121 174408.9581500099
2023-05-22 4675.11 sell 34.92684726297121 163286.85290758932
2023-06-06 4521.8 buy 36.11102943685906 163286.85290758932
2023-06-12 4636.18 sell 36.11102943685906 167417.23245457726
2023-06-26 4662.01 buy 35.910955243463064 167417.23245457726
2023-07-04 4681.03 sell 35.910955243463064 168100.2588233079
2023-07-07 4646.76 buy 36.17579965896838 168100.25882330793
2023-07-11 4642.42 sell 36.17579965896838 167943.255852788
2023-07-19 4594.36 buy 36.55422210118232 167943.255852788
2023-07-25 4664.41 sell 36.55422210118232 170503.8791109758
2023-08-09 4704.34 buy 36.24395326676554 170503.8791109758
2023-08-29 4458.98 sell 36.24395326676554 161611.06273744217
2023-09-07 4362.61 buy 37.04458173832687 161611.06273744217
2023-10-12 4249.26 sell 37.04458173832687 157412.05939740283
2023-11-16 4195.54 buy 37.51890326332315 157412.05939740283
2023-12-28 4003.69 sell 37.51890326332315 150214.05780633428
2024-01-04 3825.95 buy 39.26189777867831 150214.05780633428
2024-01-25 3696.73 sell 39.26189777867831 145140.63537537347
2024-01-29 3539.38 buy 41.007361564842846 145140.63537537347
2024-02-07 3746.97 sell 41.007361564842846 153653.3535626192
2024-03-22 3989.92 buy 38.510384559745354 153653.3535626192