基金代码 基金全名 基金简称 基金类型
164905 交银施罗德国证新能源指数证券投资基金（LOF） 交银国证新能源指数（LOF）A 场外基金
013453 交银施罗德国证新能源指数证券投资基金（LOF） 交银国证新能源指数（LOF）C 场外基金

策略参数

参数编号
87c5d3f7cfe549eb20ec66094093c8c8
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.0
回测天数
2844
持仓天数
1524
持仓率
53.59 %
年化收益率（不含分红）
6.42 %
夏普比率
0.22
最大回撤
31.98 %
卡玛比率
0.43
索提诺比率
0.24
波动率
20.86 %

策略说明

当前策略针对国证新能指数，该指数属于新能源行业，通常具有高增长潜力和一定波动性，适合中长线投资框架。在比较所有布林线中线策略时，当前策略展现出最高的年化收益率和夏普比率，表明其在风险调整后收益上表现卓越，能有效捕捉行业成长机会。同时，该策略的持仓占比超过50%，意味着相对较少的交易频率和更稳定的持仓周期，这与偏好中长线操作、减少频繁交易的投资风格高度契合。其他策略虽然在最大回撤或波动率方面略有优势，但年化收益显著较低，且持仓占比普遍偏低，可能导致更活跃的交易行为，不符合简化操作的需求。综合考虑指数特性、回测指标和操作风格，当前策略在收益潜力、风险管理和操作简洁性之间取得了最优平衡，是实施于该指数的最合适选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-07-27 2205.44 buy 45.34242600116077 100000.0
2016-08-11 2193.41 sell 45.34242600116077 99454.53061520604
2016-09-02 2218.21 buy 44.83548925268845 99454.53061520604
2016-09-09 2176.91 sell 44.83548925268845 97602.82490907
2016-09-26 2135.41 buy 45.70683143240409 97602.82490907001
2016-10-17 2218.78 sell 45.70683143240409 101413.40344558955
2016-10-31 2200.01 buy 46.096792035304176 101413.40344558955
2016-11-18 2210.94 sell 46.096792035304176 101917.24138253542
2016-11-30 2212.82 buy 46.057628448104865 101917.24138253542
2017-01-10 2118.33 sell 46.057628448104865 97565.25607047397
2017-01-13 2031.67 buy 48.02219655282303 97565.25607047397
2017-02-15 2104.84 sell 48.02219655282303 101079.04019224404
2017-03-29 2159.69 buy 46.802568976216044 101079.04019224404
2017-04-10 2227.34 sell 46.802568976216044 104245.23398348506
2017-04-18 2117.29 buy 49.23521765251102 104245.23398348506
2017-06-12 1969.88 sell 49.23521765251102 96987.47054932841
2017-07-17 2020.39 buy 48.00433111890695 96987.47054932841
2017-07-25 2102.39 sell 48.00433111890695 100923.82570107876
2017-08-11 2136.15 buy 47.24566425629228 100923.82570107876
2017-08-18 2155.8 sell 47.24566425629228 101852.20300371491
2017-09-25 2327.98 buy 43.75132217790312 101852.20300371491
2017-10-10 2353.76 sell 43.75132217790312 102980.11208946125
2017-10-16 2301.99 buy 44.735256056482115 102980.11208946125
2017-11-15 2302.65 sell 44.735256056482115 103009.63735845855
2017-11-17 2279.72 buy 45.185214569534224 103009.63735845855
2018-01-09 2170.34 sell 45.185214569534224 98067.27858884292
2018-01-15 2079.95 buy 47.14886347693114 98067.27858884292
2018-03-07 2061.09 sell 47.14886347693114 97178.05102366801
2018-03-23 2011.05 buy 48.32204620654286 97178.05102366801
2018-05-16 1999.92 sell 48.32204620654286 96640.2266493892
2018-05-25 1948.53 buy 49.59647870414579 96640.2266493892
2018-07-16 1670.45 sell 49.59647870414579 82848.43785134034
2018-08-02 1572.04 buy 52.70122760956486 82848.43785134034
2018-08-30 1508.38 sell 52.70122760956486 79493.47770171546
2018-09-10 1478.33 buy 53.772484967304635 79493.47770171546
2018-09-27 1555.71 sell 53.772484967304635 83654.3925884855
2018-10-11 1370.42 buy 61.0428865519224 83654.3925884855
2018-11-09 1496.56 sell 61.0428865519224 91354.34229814498
2018-11-23 1446.95 buy 63.135797572925796 91354.34229814498
2018-12-06 1523.67 sell 63.135797572925796 96198.12068793985
2018-12-19 1476.03 buy 65.17355384913576 96198.12068793985
2019-01-14 1501.18 sell 65.17355384913576 97837.23556724562
2019-01-31 1508.49 buy 64.85772896555206 97837.23556724562
2019-03-08 1872.88 sell 64.85772896555206 121470.74342500314
2019-03-26 1789.14 buy 67.89336967761223 121470.74342500315
2019-04-09 1913.68 sell 67.89336967761223 129926.18368465298
2019-04-15 1908.24 buy 68.08691971903585 129926.18368465296
2019-04-22 1866.66 sell 68.08691971903585 127095.12956273546
2019-04-25 1786.02 buy 71.16108977656211 127095.12956273546
2019-06-12 1591.53 sell 71.16108977656211 113255.00921209189
2019-07-22 1568.74 buy 72.19488838946663 113255.00921209187
2019-07-31 1591.49 sell 72.19488838946663 114897.44292295224
2019-08-05 1518.68 buy 75.65612434676972 114897.44292295224
2019-08-26 1589.38 sell 75.65612434676972 120246.33091426885
2019-09-26 1598.58 buy 75.2207152061635 120246.33091426885
2019-10-29 1536.72 sell 75.2207152061635 115593.17747161558
2019-11-15 1528.73 buy 75.61386083325085 115593.17747161558
2019-11-20 1557.92 sell 75.61386083325085 117800.34606933818
2020-02-03 1757.93 buy 67.01082868449721 117800.3460693382
2020-02-26 2020.41 sell 67.01082868449721 135389.34838244502
2020-02-28 1954.56 buy 69.26845345369036 135389.34838244502
2020-04-10 1693.61 sell 69.26845345369036 117313.74545370451
2020-05-21 1785.36 buy 65.70873406691341 117313.74545370451
2020-06-15 1948.23 sell 65.70873406691341 128015.72697118271
2020-08-20 2323.26 buy 55.10176517961085 128015.72697118272
2020-09-03 2315.5 sell 55.10176517961085 127588.13727338893
2020-09-09 2202.58 buy 57.92667565917648 127588.13727338893
2020-09-22 2390.06 sell 57.92667565917648 138448.23042597133
2020-10-23 2494.05 buy 55.51140932458103 138448.23042597133
2020-10-30 2609.25 sell 55.51140932458103 144843.14478016304
2021-02-05 3004.72 buy 48.20520540355276 144843.14478016304
2021-02-22 3128.97 sell 48.20520540355276 150832.64155155446
2021-02-26 3073.14 buy 49.080953536628485 150832.64155155446
2021-03-31 2772.76 sell 49.080953536628485 136089.70472822202
2021-04-12 2626.11 buy 51.82178382787546 136089.70472822202
2021-04-26 2823.24 sell 51.82178382787546 146305.33297421108
2021-05-13 2845.84 buy 51.41024547206135 146305.33297421108
2021-05-26 3054.72 sell 51.41024547206135 157043.90504841524
2021-08-16 4030.24 buy 38.966390351049874 157043.90504841524
2021-09-01 4324.22 sell 38.966390351049874 168499.2444838169
2021-09-16 4171.74 buy 40.390639034028226 168499.2444838169
2021-10-22 4582.44 sell 40.390639034028226 185087.67993509228
2021-11-15 4423.04 buy 41.84625957149207 185087.67993509228
2021-11-24 4555.81 sell 41.84625957149207 190643.6078183993
2021-12-06 4421.07 buy 43.12159902883223 190643.6078183993
2022-01-04 3980.47 sell 43.12159902883223 171644.2312862958
2022-01-27 3784.07 buy 45.35968713218725 171644.2312862958
2022-03-02 3837.94 sell 45.35968713218725 174087.75763210672
2022-03-07 3575.5 buy 48.68906660106467 174087.75763210672
2022-03-18 3765.57 sell 48.68906660106467 183342.0885209711
2022-04-11 3300.63 buy 55.54760410011758 183342.0885209711
2022-05-24 3376.15 sell 55.54760410011758 187537.04358261198
2022-07-12 4137.37 buy 45.32759786594189 187537.04358261198
2022-07-15 4250.35 sell 45.32759786594189 192658.15558950612
2022-08-03 3941.56 buy 48.87865606244891 192658.15558950612
2022-08-19 4141.83 sell 48.87865606244891 202447.08403913278
2022-08-25 3919.29 buy 51.65401999829887 202447.08403913278
2022-10-19 3413.58 sell 51.65401999829887 176325.12958579307
2022-10-28 3260.22 buy 54.08381323523967 176325.12958579307
2022-11-03 3591.16 sell 54.08381323523967 194223.62673786326
2022-12-13 3227.47 buy 60.178290344407 194223.62673786326
2023-02-03 3417.02 sell 60.178290344407 205630.4216726456
2023-02-16 3232.3 buy 63.6173689548141 205630.4216726456
2023-03-28 3061.1 sell 63.6173689548141 194739.12810758143
2023-04-20 2978.07 buy 65.39105128743832 194739.12810758143
2023-05-12 3012.27 sell 65.39105128743832 196975.50206161183
2023-05-26 2830.55 buy 69.58912651661755 196975.50206161183
2023-06-21 2848.51 sell 69.58912651661755 198225.3227738503
2023-07-07 2894.69 buy 68.47894689028887 198225.3227738503
2023-07-14 2861.71 sell 68.47894689028887 195966.88710540856
2023-07-21 2757.55 buy 71.06557890352254 195966.8871054086
2023-08-02 2892.7 sell 71.06557890352254 205571.40009421963
2023-08-11 2782.0 buy 73.89338608706673 205571.40009421966
2023-09-06 2571.58 sell 73.89338608706673 190022.75379377906
2023-09-08 2553.37 buy 74.42037534465396 190022.7537937791
2023-10-13 2367.95 sell 74.42037534465396 176223.72779737334
2023-10-19 2332.09 buy 75.56471997108746 176223.72779737334
2023-10-31 2297.56 sell 75.56471997108746 173614.4780167717
2023-11-17 2311.9 buy 75.09601540584441 173614.4780167717
2023-12-27 2156.14 sell 75.09601540584441 161917.52265715736
2024-01-22 2038.1 buy 79.4453278333533 161917.52265715736
2024-02-26 2039.95 sell 79.4453278333533 162064.49651364906
2024-03-22 2119.99 buy 76.44587781718266 162064.49651364906