| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 159391 | 博时国证大盘价值交易型开放式指数证券投资基金 | 博时国证大盘价值ETF | 场内基金 |
| 024713 | 博时国证大盘价值交易型开放式指数证券投资基金联接基金 | 博时国证大盘价值ETF联接A | 场外基金 |
| 024714 | 博时国证大盘价值交易型开放式指数证券投资基金联接基金 | 博时国证大盘价值ETF联接C | 场外基金 |
当前策略针对大盘价值指数采用了长线估值模型，专注于高股息策略，通过综合估值指标进行投资决策。在回测数据中，该策略展现出较高的年化收益率和卓越的夏普比率，表明在风险调整后具有优异的回报能力。最大回撤控制在合理水平，Calmar比率较高，进一步证实了其收益与风险的平衡性。与其他策略相比，尽管某些策略在最大回撤或波动率上略有优势，但当前策略在整体收益和风险调整指标上更为全面，更适合长线持有。此外，该策略的参数设置倾向于较少操作频率，符合中长线投资风格，能够减少交易成本并适应市场波动。大盘价值指数的特性与估值策略的长期视角相契合，使得当前策略成为操作优选。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-06 | 5376.04 | buy | 18.60105207550539 | 100000.0 |
| 2018-03-23 | 7376.17 | sell | 18.60105207550539 | 137204.5222877806 |
| 2018-05-29 | 6995.84 | buy | 19.612301351629053 | 137204.5222877806 |
| 2020-12-02 | 8388.23 | sell | 19.612301351629053 | 164512.49456677536 |
| 2020-12-22 | 7883.49 | buy | 20.867977833012457 | 164512.49456677536 |
| 2021-02-24 | 8677.69 | sell | 20.867977833012457 | 181085.84256175387 |
| 2021-06-15 | 7960.42 | buy | 22.748277422768382 | 181085.84256175387 |
当前策略针对大盘价值指数（股票代码399373），采用布林线模型进行中线估值，表现出卓越的综合性能，最适合中长线操作。在年化收益率上达到8.97%，显著高于其他策略，同时夏普比率为40.87%，为最高水平，这表明该策略在风险调整后收益方面具有明显优势，能够有效捕捉市场趋势并管理风险。尽管最大回撤为20.98%，略高于部分策略的约19.35%，但其高收益和高夏普比率有效补偿了回撤风险，且回撤控制在合理范围内，适合稳健投资。持仓占比为64.30%，较高，意味着较少的交易频率和更长的持仓时间，这符合中长线操作风格，减少交易成本和市场冲击，增强策略的可持续性。其他策略虽然在最大回撤或波动率上可能稍低，但年化收益率和夏普比率普遍较低，导致整体效益不如当前策略，难以在大盘价值指数的稳健特性下实现长期增值。考虑到指数行业偏向价值股，当前策略的配置能够较好地平衡收益与风险，提供稳定的回报，因此选择此策略作为最优操作方案。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-06 | 5376.04 | buy | 18.60105207550539 | 100000.0 |
| 2016-07-13 | 5542.45 | sell | 18.60105207550539 | 103095.40107588485 |
| 2016-09-14 | 5670.45 | buy | 18.181167469228164 | 103095.40107588485 |
| 2016-10-26 | 5791.83 | sell | 18.181167469228164 | 105302.23118329975 |
| 2016-12-16 | 5886.37 | buy | 17.889162791890374 | 105302.23118329974 |
| 2017-02-03 | 6027.76 | sell | 17.889162791890374 | 107831.57991044513 |
| 2017-03-22 | 6124.03 | buy | 17.607944427190123 | 107831.57991044513 |
| 2017-04-07 | 6197.73 | sell | 17.607944427190123 | 109129.28541472903 |
| 2017-04-18 | 6079.09 | buy | 17.95158245966568 | 109129.28541472903 |
| 2017-06-02 | 6405.77 | sell | 17.95158245966568 | 114993.70837265263 |
| 2017-08-11 | 6759.69 | buy | 17.01168372701302 | 114993.70837265262 |
| 2017-10-20 | 7196.4 | sell | 17.01168372701302 | 122422.88077307648 |
| 2017-12-15 | 7482.54 | buy | 16.361139502505363 | 122422.88077307648 |
| 2018-01-24 | 8465.36 | sell | 16.361139502505363 | 138502.93589892882 |
| 2018-02-09 | 7572.53 | buy | 18.29017988689762 | 138502.93589892882 |
| 2018-09-27 | 6970.32 | sell | 18.29017988689762 | 127488.4066692402 |
| 2018-10-11 | 6579.95 | buy | 19.375285020287418 | 127488.4066692402 |
| 2019-02-12 | 6894.02 | sell | 19.375285020287418 | 133573.6024355619 |
| 2019-05-06 | 7391.53 | buy | 18.07117098023845 | 133573.6024355619 |
| 2019-06-25 | 7494.82 | sell | 18.07117098023845 | 135440.17368611073 |
| 2019-08-02 | 7236.93 | buy | 18.715142150899723 | 135440.17368611073 |
| 2019-09-16 | 7426.28 | sell | 18.715142150899723 | 138983.8858523836 |
| 2019-09-30 | 7356.79 | buy | 18.891919689481906 | 138983.8858523836 |
| 2019-11-06 | 7678.03 | sell | 18.891919689481906 | 145052.72613343276 |
| 2019-11-20 | 7384.44 | buy | 19.643023185703015 | 145052.72613343276 |
| 2019-12-20 | 7662.61 | sell | 19.643023185703015 | 150516.82589299977 |
| 2020-01-23 | 6936.57 | buy | 21.699027890297334 | 150516.82589299977 |
| 2020-05-12 | 6918.09 | sell | 21.699027890297334 | 150115.82785758708 |
| 2020-05-22 | 6696.28 | buy | 22.41779433619668 | 150115.82785758708 |
| 2020-07-10 | 7631.7 | sell | 22.41779433619668 | 171085.8810355522 |
| 2020-09-24 | 7360.96 | buy | 23.242332662526653 | 171085.8810355522 |
| 2020-11-11 | 8023.88 | sell | 23.242332662526653 | 186493.68820419436 |
| 2020-12-15 | 7970.84 | buy | 23.39699306524712 | 186493.68820419436 |
| 2021-02-26 | 8475.84 | sell | 23.39699306524712 | 198309.16970214417 |
| 2021-03-09 | 8197.44 | buy | 24.191597584385388 | 198309.16970214417 |
| 2021-05-27 | 8219.1 | sell | 24.191597584385388 | 198833.15970582195 |
| 2021-06-15 | 7960.42 | buy | 24.977722244030083 | 198833.15970582195 |
| 2021-09-08 | 7663.96 | sell | 24.977722244030083 | 191428.2641693568 |
| 2021-10-28 | 7283.84 | buy | 26.281228605976626 | 191428.2641693568 |
| 2021-12-10 | 7436.91 | sell | 26.281228605976626 | 195451.13183207362 |
| 2022-01-28 | 7629.49 | buy | 25.617850188161153 | 195451.13183207362 |
| 2022-02-14 | 7609.97 | sell | 25.617850188161153 | 194951.07139640074 |
| 2022-02-24 | 7432.45 | buy | 26.229718517635604 | 194951.07139640074 |
| 2022-06-16 | 6939.51 | sell | 26.229718517635604 | 182021.39395031746 |
| 2022-07-13 | 6685.24 | buy | 27.227353685180706 | 182021.39395031746 |
| 2022-09-14 | 6699.61 | sell | 27.227353685180706 | 182412.6510227735 |
| 2022-09-26 | 6359.14 | buy | 28.685113242163798 | 182412.6510227735 |
| 2022-11-30 | 6542.65 | sell | 28.685113242163798 | 187676.65615384295 |
| 2023-02-17 | 6798.76 | buy | 27.604542027346596 | 187676.65615384295 |
| 2023-03-06 | 6827.4 | sell | 27.604542027346596 | 188467.25023750614 |
| 2023-03-10 | 6765.03 | buy | 27.85904131060855 | 188467.25023750614 |
| 2023-04-13 | 6981.12 | sell | 27.85904131060855 | 194487.31047431557 |
| 2023-05-24 | 6862.15 | buy | 28.342037185767666 | 194487.31047431557 |
| 2023-08-02 | 7178.1 | sell | 28.342037185767666 | 203441.9771231589 |
| 2023-08-18 | 6767.96 | buy | 30.059571440014256 | 203441.9771231589 |
| 2024-01-31 | 6611.69 | sell | 30.059571440014256 | 198744.56789422783 |