基金代码 基金全名 基金简称 基金类型
159695 嘉实国证通信交易型开放式指数证券投资基金 嘉实国证通信ETF 场内基金
159507 广发国证通信交易型开放式指数证券投资基金 广发国证通信ETF 场内基金
019071 嘉实国证通信交易型开放式指数证券投资基金发起式联接基金 嘉实国证通信ETF发起联接A 场外基金
019072 嘉实国证通信交易型开放式指数证券投资基金发起式联接基金 嘉实国证通信ETF发起联接C 场外基金
019236 广发国证通信交易型开放式指数证券投资基金发起式联接基金 广发国证通信ETF发起式联接A 场外基金
019237 广发国证通信交易型开放式指数证券投资基金发起式联接基金 广发国证通信ETF发起式联接C 场外基金

策略参数

参数编号
12d2d022410e3ff5f969153757d85f34
PE权重
0.2
PB权重
0.3
DRY权重
0.5
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
1956
持仓率
67.01 %
年化收益率（不含分红）
8.24 %
夏普比率
0.30
最大回撤
37.06 %
卡玛比率
0.40
索提诺比率
0.39
波动率
22.32 %

策略说明

当前策略针对国证通信指数，采用估值模型中的高股息策略，注重股息率权重（0.5），结合PE和PB指标进行长线估值。年化收益率达到8.24%，在所有策略中最高，同时夏普比率为30.02%，表明风险调整后收益表现优秀。波动率为22.32%，相对较低，有助于控制投资风险，而最大回撤为37.06%，与其他多数策略持平，但在高收益和夏普比率优势下可接受。持仓天数1956天，占总回测天数的67.01%，表明操作频率较低，适合中长线投资风格，减少交易成本和换手率。通信行业通常具有稳定的现金流和股息支付特点，高股息策略能有效捕捉这一优势，通过估值指标优化实现稳健增长。与其他策略相比，如均衡型或等权重策略，当前策略在关键指标上显著领先，例如夏普比率远高于其他选项，同时保持合理波动性和持仓时间。尽管编号2策略有更高持仓占比（77.53%），但其收益率和夏普比率较低，综合表现不如当前策略。整体上，当前策略在收益率、风险调整收益和操作频率之间达到最佳平衡，符合量化投资的目标和通信行业特性。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-06 3819.39 buy 26.18219139705555 100000.0
2016-07-14 4386.4 sell 26.18219139705555 114845.56434404445
2016-09-14 4339.88 buy 26.462843291529826 114845.56434404447
2016-12-01 4521.9 sell 26.462843291529826 119662.3310799687
2016-12-12 4299.62 buy 27.830908564005355 119662.3310799687
2017-03-16 4384.54 sell 27.830908564005355 122025.73183522404
2018-02-09 3728.1 buy 32.73134621797271 122025.73183522404
2019-03-12 4087.57 sell 32.73134621797271 133791.6688601987
2019-03-26 3883.32 buy 34.45290855767711 133791.6688601987
2019-04-19 4371.38 sell 34.45290855767711 150606.75541085858
2019-05-06 3533.79 buy 42.61904510762059 150606.75541085858
2019-09-06 4160.71 sell 42.61904510762059 177325.4871697281
2020-12-22 3665.8 buy 48.37293010249552 177325.4871697281
2024-03-08 3895.19 sell 48.37293010249552 188421.75360593954

策略参数

参数编号
3ecf7b32b68f35cb4674ec78bfde8baf
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
20
BB标准差
1.5
回测天数
2919
持仓天数
1952
持仓率
66.87 %
年化收益率（不含分红）
13.04 %
夏普比率
0.50
最大回撤
29.59 %
卡玛比率
0.62
索提诺比率
0.61
波动率
22.68 %

策略说明

当前策略在国证通信指数的回测中表现出色，年化收益率达到13.04%，是所有策略中最高的，同时夏普比率高达49.75%，表明在风险调整后的收益方面具有显著优势。通信行业通常具有较高的增长潜力和波动性，该策略通过布林线模型有效捕捉市场机会，持仓占比为66.87%，意味着较少的操作频率，符合中长线投资偏好。尽管最大回撤为29.59%相对较高，但高夏普比率显示风险管理能力较强，综合收益和风险指标，该策略在保持较高收益的同时提供了较好的稳定性。与其他策略相比，其他策略在收益率或夏普比率上普遍较低，或者持仓占比不足，无法同时满足高收益和低操作频率的需求，因此当前策略是最适合操作的选择。


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 3910.33 buy 25.573289210885015 100000.0
2016-06-13 3913.46 sell 25.573289210885015 100080.04439523007
2016-07-29 4161.38 buy 24.049724945866533 100080.04439523007
2016-08-22 4329.05 sell 24.049724945866533 104112.46177690352
2016-09-12 4321.5 buy 24.09174170470983 104112.46177690352
2016-10-26 4471.55 sell 24.09174170470983 107727.42761969524
2016-11-02 4426.85 buy 24.335007425075446 107727.42761969524
2016-11-24 4520.46 sell 24.335007425075446 110005.42766475656
2016-12-09 4251.66 buy 25.87352414462976 110005.42766475656
2017-01-06 4355.91 sell 25.87352414462976 112702.74255683422
2017-01-11 4216.16 buy 26.73113509848635 112702.74255683422
2017-02-15 4164.78 sell 26.73113509848635 111329.29683547399
2017-03-29 4213.62 buy 26.42129495195912 111329.29683547399
2017-06-12 3935.52 sell 26.42129495195912 103981.53470933416
2017-07-14 3868.18 buy 26.881255450711745 103981.53470933416
2017-09-15 4286.49 sell 26.881255450711745 115226.23267692138
2017-11-02 4467.41 buy 25.792625408664392 115226.23267692138
2017-11-17 4807.33 sell 25.792625408664392 123993.6619058346
2017-11-27 4555.51 buy 27.218393090089712 123993.6619058346
2018-03-16 4102.71 sell 27.218393090089712 111669.17351464197
2018-03-23 3843.98 buy 29.050404402375133 111669.17351464197
2018-05-25 3885.05 sell 29.050404402375133 112862.27362344752
2018-05-29 3698.72 buy 30.51387334630562 112862.27362344752
2018-07-27 3231.1 sell 30.51387334630562 98593.37616924808
2018-08-02 3047.68 buy 32.350304549443536 98593.37616924806
2018-08-22 3277.83 sell 32.350304549443536 106038.7987613025
2018-09-10 3187.28 buy 33.26937036008838 106038.7987613025
2018-11-22 2946.35 sell 33.26937036008838 98023.2093604464
2018-12-06 3010.57 buy 32.55968449843265 98023.2093604464
2019-01-17 3125.23 sell 32.55968449843265 101756.50278503668
2019-01-29 2991.3 buy 34.01748496808634 101756.50278503669
2019-03-14 3983.72 sell 34.01748496808634 135516.13521706493
2019-03-26 3883.32 buy 34.896978672132335 135516.13521706493
2019-04-08 4132.35 sell 34.896978672132335 144206.52981578605
2019-04-29 3896.05 buy 37.01352133976362 144206.52981578605
2019-06-06 3592.94 sell 37.01352133976362 132987.3613624903
2019-07-08 3531.86 buy 37.65363331572891 132987.3613624903
2019-08-02 3481.67 sell 37.65363331572891 131097.52550637387
2019-08-13 3430.91 buy 38.210715380576545 131097.52550637387
2019-08-26 3621.92 sell 38.210715380576545 138396.1542512178
2019-09-30 3744.59 buy 36.9589605941419 138396.1542512178
2019-11-06 3797.0 sell 36.9589605941419 140333.1733759568
2019-11-11 3691.21 buy 38.018203617772166 140333.1733759568
2019-12-23 3854.52 sell 38.018203617772166 146541.92620877517
2020-02-03 3744.64 buy 39.13378220837655 146541.92620877517
2020-02-28 4714.55 sell 39.13378220837655 184498.1729105017
2020-03-16 4317.16 buy 42.73600536243774 184498.1729105017
2020-05-18 4186.26 sell 42.73600536243774 178904.0298085586
2020-05-22 3885.58 buy 46.04306945386753 178904.0298085586
2020-06-29 4321.5 sell 46.04306945386753 198975.12464488854
2020-07-24 4319.59 buy 46.06342839132615 198975.12464488854
2020-08-18 4539.29 sell 46.06342839132615 209095.25986246287
2020-08-26 4506.85 buy 46.394989818268385 209095.2598624629
2020-10-14 4188.04 sell 46.394989818268385 194304.07315850072
2020-10-22 4012.72 buy 48.42203621446319 194304.07315850072
2020-11-11 4039.63 sell 48.42203621446319 195607.11015303194
2020-12-07 3957.0 buy 49.43318426915136 195607.11015303194
2021-01-22 3663.53 sell 49.43318426915136 181099.9535655641
2021-03-09 3314.09 buy 54.64545427721157 181099.9535655641
2021-04-08 3260.73 sell 54.64545427721157 178184.07212533208
2021-04-26 3174.96 buy 56.121674643249705 178184.07212533208
2021-06-24 3426.66 sell 56.121674643249705 192309.89763303802
2021-07-01 3318.98 buy 57.94246956385336 192309.89763303802
2021-07-16 3553.35 sell 57.94246956385336 205889.8742247183
2021-07-26 3435.75 buy 59.92574378948361 205889.8742247183
2021-08-11 3679.32 sell 59.92574378948361 220485.98763952285
2021-08-26 3494.31 buy 63.09857672602684 220485.98763952285
2021-09-10 3521.4 sell 63.09857672602684 222195.32808303094
2021-09-14 3475.74 buy 63.9274882709958 222195.32808303094
2021-11-26 3713.85 sell 63.9274882709958 237417.10231523775
2021-12-07 3748.48 buy 63.33689984079887 237417.10231523775
2021-12-20 3810.13 sell 63.33689984079887 241321.822190423
2022-01-07 3771.41 buy 63.98716188121234 241321.822190423
2022-02-22 3672.37 sell 63.98716188121234 234984.53367770775
2022-03-07 3357.0 buy 69.99837166449441 234984.53367770775
2022-05-24 2822.01 sell 69.99837166449441 197536.1048209199
2022-08-24 3142.66 buy 62.856339795243485 197536.1048209199
2022-10-19 2969.6 sell 62.856339795243485 186658.18665595504
2022-11-28 3009.59 buy 62.02113465819431 186658.18665595504
2022-12-08 3072.77 sell 62.02113465819431 190576.68194365973
2022-12-14 3047.87 buy 62.52782498717456 190576.68194365973
2023-02-17 3409.64 sell 62.52782498717456 213197.37318926986
2023-04-26 3703.04 buy 57.573607951647794 213197.37318926986
2023-06-26 4187.61 sell 57.573607951647794 241095.8163943998
2023-07-12 4081.22 buy 59.07444744326447 241095.8163943998
2023-09-13 3760.05 sell 59.07444744326447 222122.87610904657
2023-09-18 3630.42 buy 61.183795844295304 222122.87610904657
2023-09-25 3730.45 sell 61.183795844295304 228243.09120735142
2023-10-19 3564.73 buy 64.02815674885655 228243.0912073514
2023-11-21 3579.7 sell 64.02815674885655 229201.59271388178
2023-11-29 3519.91 buy 65.11575373060157 229201.59271388175
2023-12-13 3575.82 sell 65.11575373060157 232842.2145049597
2023-12-18 3518.63 buy 66.17411165850336 232842.2145049597
2024-01-26 3256.38 sell 66.17411165850336 215488.0537225172
2024-01-30 3100.13 buy 69.50936048569486 215488.05372251722
2024-03-25 3774.4 sell 69.50936048569486 262356.13021720666
2024-03-27 3753.26 buy 69.90086757038058 262356.13021720666