| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 159913 | 深证300价值交易型开放式指数证券投资基金 | 交银深证300价值ETF基金 | 场内基金 |
| 519706 | 交银施罗德深证300价值交易型开放式指数证券投资基金联接基金 | 交银深证300价值ETF联接基金 | 场外基金 |
选择当前策略基于深证价值指数（399348）作为价值指数的特性，估值策略能有效捕捉其长期价值回归。在回测数据中，当前策略展现出最高年化收益率6.60%，领先的夏普比率23.80%和Sortino比率28.20%，表明卓越的风险调整后收益，同时波动率17.40%相对较低，最大回撤36.52%与其他策略相同但通过更高的Calmar比率37.12%体现出更好的回撤恢复能力。持仓占比69.37%较高，意味着交易频率较低，操作稳定，符合中长线投资风格，减少市场噪音和成本影响。相比之下，其他策略或收益率、夏普比率偏低，如一些策略年化收益率不足6%，或持仓占比过低如约45%，可能导致频繁操作，增加风险和不稳定性。综合考虑指数数据指标和偏好稳健、低频操作，当前策略在收益性、风险控制和操作便利性上达到最优平衡。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-25 | 4213.53 | buy | 23.733069421601368 | 100000.0 |
| 2017-10-09 | 5803.54 | sell | 23.733069421601368 | 137735.8177110404 |
| 2018-06-19 | 5640.99 | buy | 24.416958319557455 | 137735.8177110404 |
| 2020-07-08 | 7383.15 | sell | 24.416958319557455 | 180274.06581704062 |
| 2021-06-15 | 7311.65 | buy | 24.655729666633473 | 180274.06581704062 |
| 2023-07-28 | 6045.75 | sell | 24.655729666633473 | 149062.37763204932 |
| 2024-01-22 | 4920.13 | buy | 30.29643071058068 | 149062.37763204932 |
当前策略针对深证价值指数，该指数代表价值股，通常具有低估值和稳定增长特性，适合中长期投资。策略基于布林线模型，专注于中线估值调整。回测数据显示，当前策略在年化收益率上达到8.07%，在所有策略中最高，夏普比率为35.90%，也处于领先水平，表明风险调整后收益优秀，适合在价值股环境中捕捉增长机会。持仓占比为32.51%，意味着相对较低的换手频率和较长的持有期，符合中长线操作偏好，减少了频繁交易带来的成本和不确定性。虽然最大回撤为18.80%，相对较高，但高夏普比率和收益率补偿了这一风险，且价值股指数通常能承受适度波动以实现长期回报。其他策略中，有的虽然最大回撤较低或波动率较小，但年化收益率和夏普比率明显不足，未能有效平衡收益与风险；有的持仓占比过低，操作频率过高，不符合稳健投资风格。综合考虑指数的行业特性和投资目标，当前策略在收益潜力、风险管理和操作节奏上最为匹配，提供了较优的整体表现和适应性。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-04-20 | 4321.09 | buy | 23.14230900073824 | 100000.00000000001 |
| 2016-05-31 | 4351.99 | sell | 23.14230900073824 | 100715.09734812281 |
| 2016-09-12 | 4622.95 | buy | 21.78589371464602 | 100715.09734812281 |
| 2016-10-10 | 4750.99 | sell | 21.78589371464602 | 103504.56317934608 |
| 2016-12-12 | 4806.69 | buy | 21.533438432548405 | 103504.56317934608 |
| 2017-01-04 | 4795.82 | sell | 21.533438432548405 | 103270.49470358428 |
| 2017-01-16 | 4639.56 | buy | 22.258682871562016 | 103270.49470358428 |
| 2017-02-08 | 4812.03 | sell | 22.258682871562016 | 107109.44973844256 |
| 2017-04-24 | 5083.34 | buy | 21.070683790272255 | 107109.44973844256 |
| 2017-05-25 | 5026.7 | sell | 21.070683790272255 | 105916.00620856154 |
| 2017-07-17 | 5342.8 | buy | 19.824063451478914 | 105916.00620856155 |
| 2017-07-20 | 5483.48 | sell | 19.824063451478914 | 108704.85545491558 |
| 2017-08-11 | 5399.31 | buy | 20.13310135089772 | 108704.85545491558 |
| 2017-08-28 | 5536.36 | sell | 20.13310135089772 | 111464.0969950561 |
| 2018-02-06 | 6094.82 | buy | 18.288332878584782 | 111464.0969950561 |
| 2018-03-09 | 6444.56 | sell | 18.288332878584782 | 117860.25853601235 |
| 2018-03-23 | 5954.14 | buy | 19.79467371207468 | 117860.25853601233 |
| 2018-05-08 | 5954.11 | sell | 19.79467371207468 | 117859.66469580097 |
| 2018-05-25 | 5883.76 | buy | 20.031351499007602 | 117859.66469580098 |
| 2018-06-12 | 5915.06 | sell | 20.031351499007602 | 118486.64599771991 |
| 2018-06-19 | 5640.99 | buy | 21.004583592192137 | 118486.64599771993 |
| 2018-07-24 | 5411.41 | sell | 21.004583592192137 | 113664.41369662446 |
| 2018-08-02 | 4936.95 | buy | 23.02320535890063 | 113664.41369662446 |
| 2018-09-21 | 4867.29 | sell | 23.02320535890063 | 112060.61721132344 |
| 2018-10-11 | 4562.19 | buy | 24.562900100899665 | 112060.61721132344 |
| 2018-11-02 | 4645.32 | sell | 24.562900100899665 | 114102.53109671122 |
| 2019-04-26 | 6093.68 | buy | 18.724733017931893 | 114102.53109671122 |
| 2019-06-11 | 5793.41 | sell | 18.724733017931893 | 108480.05551341681 |
| 2019-08-01 | 5871.56 | buy | 18.47550829990953 | 108480.05551341681 |
| 2019-08-21 | 5939.81 | sell | 18.47550829990953 | 109741.00895488565 |
| 2019-09-26 | 5987.11 | buy | 18.32954613409235 | 109741.00895488565 |
| 2019-10-14 | 6143.18 | sell | 18.32954613409235 | 112601.70122003344 |
| 2020-01-23 | 5850.85 | buy | 19.24535772067878 | 112601.70122003344 |
| 2020-02-20 | 6624.07 | sell | 19.24535772067878 | 127482.59671681667 |
| 2020-03-16 | 5854.99 | buy | 21.77332441504028 | 127482.59671681667 |
| 2020-04-07 | 5824.38 | sell | 21.77332441504028 | 126816.1152564723 |
| 2020-12-09 | 7543.89 | buy | 16.810440668736195 | 126816.1152564723 |
| 2020-12-30 | 7779.99 | sell | 16.810440668736195 | 130785.06029836091 |
| 2021-01-28 | 7838.84 | buy | 16.68423648120907 | 130785.0602983609 |
| 2021-02-09 | 8375.02 | sell | 16.68423648120907 | 139730.81421485558 |
| 2021-03-08 | 7673.14 | buy | 18.21038247899238 | 139730.81421485558 |
| 2021-04-29 | 7795.9 | sell | 18.21038247899238 | 141966.3207679767 |
| 2021-05-13 | 7656.23 | buy | 18.542588293190864 | 141966.3207679767 |
| 2021-05-25 | 7827.13 | sell | 18.542588293190864 | 145135.24910728302 |
| 2021-07-23 | 6808.59 | buy | 21.31649124228115 | 145135.24910728302 |
| 2021-08-10 | 7090.73 | sell | 21.31649124228115 | 151149.4839463802 |
| 2021-08-30 | 6811.9 | buy | 22.18903447589956 | 151149.4839463802 |
| 2021-09-06 | 7209.86 | sell | 22.18903447589956 | 159979.83210640922 |
| 2021-10-27 | 6519.52 | buy | 24.53859058740662 | 159979.83210640922 |
| 2021-12-07 | 6778.86 | sell | 24.53859058740662 | 166343.67018934723 |
| 2022-01-25 | 6711.89 | buy | 24.783432116638863 | 166343.67018934723 |
| 2022-04-01 | 6214.76 | sell | 24.783432116638863 | 154023.08258120256 |
| 2022-04-21 | 5824.87 | buy | 26.442321044281258 | 154023.08258120256 |
| 2022-05-20 | 5599.8 | sell | 26.442321044281258 | 148071.7093837662 |
| 2022-07-15 | 5667.66 | buy | 26.125721970578017 | 148071.7093837662 |
| 2022-09-09 | 5625.18 | sell | 26.125721970578017 | 146961.88871445606 |
| 2022-10-24 | 4862.31 | buy | 30.22470568813096 | 146961.88871445606 |
| 2022-11-11 | 5251.18 | sell | 30.22470568813096 | 158715.37001539956 |
| 2022-12-20 | 5329.44 | buy | 29.78087191438492 | 158715.37001539956 |
| 2023-01-05 | 5492.43 | sell | 29.78087191438492 | 163569.35432872517 |
| 2023-03-10 | 5729.85 | buy | 28.54688243649051 | 163569.35432872517 |
| 2023-03-24 | 5815.27 | sell | 28.54688243649051 | 166007.82902645017 |
| 2023-05-24 | 5582.78 | buy | 29.73569243754011 | 166007.82902645017 |
| 2023-06-09 | 5783.59 | sell | 29.73569243754011 | 171979.05342483261 |
| 2023-07-24 | 5921.66 | buy | 29.04237214308701 | 171979.05342483261 |
| 2023-07-28 | 6045.75 | sell | 29.04237214308701 | 175582.9213840683 |
| 2023-10-19 | 5322.57 | buy | 32.98837241860009 | 175582.9213840683 |
| 2023-11-07 | 5416.31 | sell | 32.98837241860009 | 178675.2514145879 |
| 2023-11-29 | 5268.63 | buy | 33.91303838276514 | 178675.2514145879 |
| 2023-12-29 | 5162.82 | sell | 33.91303838276514 | 175086.9128233075 |
| 2024-01-22 | 4920.13 | buy | 35.58583062303384 | 175086.9128233075 |
| 2024-02-07 | 5201.98 | sell | 35.58583062303384 | 185116.77918440956 |
| 2024-03-27 | 5476.92 | buy | 33.79943091818204 | 185116.7791844096 |