基金代码 基金全名 基金简称 基金类型
159625 嘉实国证绿色电力交易型开放式指数证券投资基金 嘉实国证绿色电力ETF 场内基金
017056 嘉实国证绿色电力交易型开放式指数证券投资基金发起式联接基金 嘉实国证绿色电力ETF发起联接A 场外基金
017057 嘉实国证绿色电力交易型开放式指数证券投资基金发起式联接基金 嘉实国证绿色电力ETF发起联接C 场外基金
159669 国泰国证绿色电力交易型开放式指数证券投资基金 国泰国证绿色电力ETF 场内基金
018034 国泰国证绿色电力交易型开放式指数证券投资基金发起式联接基金 国泰国证绿色电力ETF发起联接A 场外基金
018035 国泰国证绿色电力交易型开放式指数证券投资基金发起式联接基金 国泰国证绿色电力ETF发起联接C 场外基金
017174 天弘国证绿色电力指数型发起式证券投资基金 天弘国证绿色电力指数发起A 场外基金
017175 天弘国证绿色电力指数型发起式证券投资基金 天弘国证绿色电力指数发起C 场外基金

策略参数

参数编号
97b72d6f9f982f0c0511505c65657d00
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
2654
持仓天数
1061
持仓率
39.98 %
年化收益率（不含分红）
6.51 %
夏普比率
0.29
最大回撤
16.43 %
卡玛比率
0.88
索提诺比率
0.31
波动率
10.63 %

策略说明

当前策略在绿色电力指数上展现出卓越的风险调整后收益，年化收益率达到6.51%，为所有策略中最高，同时夏普比率为29.25%，表明每单位风险带来的回报最优。波动率维持在10.63%的适中水平，最大回撤与其他策略一致为16.43%，显示策略的稳健性。持仓天数长达1061天，持仓占比约40%，意味着交易频率较低，符合中长线操作风格，减少不必要的交易成本和操作复杂性。绿色电力行业作为成长性领域，其估值指标如市盈率、市净率和股息率能有效识别低估时机，该策略通过高股息权重配置，优化了买入和卖出阈值（buy=0.3, sell=0.75），在长期回测中表现突出。与其他策略相比，虽然某些策略如编号5有较高的夏普但收益略低，或编号6和8波动更低但收益不足，当前策略在收益、风险和操作频率的平衡上最为出色，适合长期投资并最大化复利效应。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-12-28 2048.18 buy 48.82383384272867 100000.0
2017-04-11 2193.82 sell 48.82383384272867 107110.70316085502
2018-10-11 1653.93 buy 64.76132796482017 107110.70316085503
2019-03-06 1947.0 sell 64.76132796482017 126090.30554750486
2019-04-26 1857.08 buy 67.89707796514143 126090.30554750485
2021-03-12 1964.32 sell 67.89707796514143 133371.5881884866
2021-04-30 1890.23 buy 70.55839140659423 133371.5881884866
2021-09-02 2168.55 sell 70.55839140659423 153009.39968476992
2023-08-21 1875.8 buy 81.57020987566368 153009.39968476992

策略参数

参数编号
99d5f1d618e0532e408b86af9c35a7b0
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
30
BB标准差
2.0
回测天数
2580
持仓天数
1168
持仓率
45.27 %
年化收益率（不含分红）
10.35 %
夏普比率
0.59
最大回撤
14.64 %
卡玛比率
1.20
索提诺比率
0.55
波动率
11.54 %

策略说明

当前策略在回测期间表现出色，年化收益率达到10.35%，夏普比率高达59.47%，为所有策略中最高，表明其风险调整后收益优异。同时，波动率控制在11.54%，较低的水平减少了投资组合的波动风险。最大回撤与其他策略相同，为14.64%，但高夏普比率补偿了回撤风险。绿色电力指数作为新能源领域的重要组成部分，具有增长潜力但也伴随波动，当前策略基于布林线模型，通过参数优化实现了稳健的买入卖出点，持仓占比45.27%，虽非最高，但减少了频繁交易，符合中长线操作偏好。相比之下，其他策略在夏普比率或收益率上略有不足，或持仓占比过高导致操作频率增加。因此，综合指数数据表现和个人操作风格，当前策略提供了最佳的平衡点。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-03-29 2113.03 buy 47.32540475052412 100000.0
2017-04-05 2144.62 sell 47.32540475052412 101495.00953606903
2017-05-03 2066.13 buy 49.1232446826042 101495.00953606903
2017-06-05 2087.6 sell 49.1232446826042 102549.68559940453
2017-07-14 2036.18 buy 50.363762338989936 102549.68559940453
2017-08-17 2101.78 sell 50.363762338989936 105853.54840884228
2017-09-21 2062.19 buy 51.33064771376172 105853.54840884228
2017-10-24 2089.88 sell 51.33064771376172 107274.89404403635
2017-11-16 2054.48 buy 52.21510749388475 107274.89404403635
2018-01-22 1996.96 sell 52.21510749388475 104271.4810609881
2018-01-31 1936.86 buy 53.83532163449506 104271.4810609881
2018-03-08 1984.88 sell 53.83532163449506 106856.65320587656
2018-04-16 1849.68 buy 57.77034579271904 106856.65320587656
2018-05-15 1886.74 sell 57.77034579271904 108997.62222095473
2018-06-19 1808.78 buy 60.26029822363954 108997.62222095473
2018-07-20 1830.78 sell 60.26029822363954 110323.3487818748
2018-09-10 1721.53 buy 64.08447647259983 110323.34878187478
2018-09-20 1782.12 sell 64.08447647259983 114206.2272113496
2018-10-11 1653.93 buy 69.0514273345 114206.2272113496
2018-11-15 1711.57 sell 69.0514273345 118186.35148291016
2019-04-26 1857.08 buy 63.640958646321195 118186.35148291016
2019-06-11 1853.47 sell 63.640958646321195 117956.60762219694
2019-07-18 1829.17 buy 64.48641056992895 117956.60762219694
2019-07-26 1871.05 sell 64.48641056992895 120657.29849686555
2019-08-06 1816.43 buy 66.42551515712995 120657.29849686557
2019-08-16 1892.28 sell 66.42551515712995 125695.67382153386
2019-09-25 1821.03 buy 69.0244937324118 125695.67382153386
2019-12-09 1768.44 sell 69.0244937324118 122065.67569614633
2020-01-17 1771.37 buy 68.91032121812289 122065.67569614634
2020-03-05 1717.24 sell 68.91032121812289 118335.56000860935
2020-03-16 1630.87 buy 72.55977484938062 118335.56000860936
2020-04-30 1631.34 sell 72.55977484938062 118369.66310278857
2020-05-18 1616.04 buy 73.24674086210031 118369.66310278859
2020-06-01 1652.02 sell 73.24674086210031 121005.08083900696
2020-09-24 1772.86 buy 68.25416605880157 121005.08083900694
2020-11-05 1837.37 sell 68.25416605880157 125408.15709146023
2020-12-11 1785.85 buy 70.2232310056613 125408.15709146023
2020-12-25 1847.23 sell 70.2232310056613 129718.45901058773
2021-02-03 1733.09 buy 74.8480800250349 129718.45901058773
2021-03-02 1837.53 sell 74.8480800250349 137535.59248840238
2021-04-23 1901.63 buy 72.3251066129596 137535.59248840238
2021-05-31 1930.73 sell 72.3251066129596 139640.25309083948
2021-06-18 1910.51 buy 73.09056382371172 139640.25309083948
2021-06-23 1946.65 sell 73.09056382371172 142281.74606742844
2021-07-02 1895.79 buy 75.05142767259477 142281.74606742844
2021-07-13 1928.1 sell 75.05142767259477 144706.65769552998
2021-07-19 1853.56 buy 78.06958377151534 144706.65769552998
2021-08-11 1903.02 sell 78.06958377151534 148567.9793088691
2021-11-16 2069.9 buy 71.77543809308136 148567.9793088691
2021-12-01 2200.27 sell 71.77543809308136 157925.34317306412
2022-01-10 2173.31 buy 72.66581535678947 157925.34317306412
2022-02-25 2201.72 sell 72.66581535678947 159989.7789873505
2022-03-15 2035.29 buy 78.60785391140844 159989.7789873505
2022-05-19 1991.58 sell 78.60785391140844 156553.8296928828
2022-08-02 1976.34 buy 79.21401666357146 156553.8296928828
2022-08-19 2179.05 sell 79.21401666357146 172611.3030107554
2022-09-16 1949.96 buy 88.52043273234086 172611.3030107554
2022-11-23 1956.41 sell 88.52043273234086 173182.259801879
2022-12-14 1889.01 buy 91.67884754547568 173182.259801879
2023-01-06 1937.03 sell 91.67884754547568 177584.67806101276
2023-02-17 1920.77 buy 92.45494153959754 177584.67806101276
2023-03-01 1948.11 sell 92.45494153959754 180112.39616270535
2023-03-27 1888.97 buy 95.34952707703422 180112.39616270535
2023-04-14 1957.45 sell 95.34952707703422 186641.93177694065
2023-06-13 1923.32 buy 97.04153847354608 186641.93177694065
2023-07-13 1959.94 sell 97.04153847354608 190195.5929158419
2023-07-21 1921.65 buy 98.97514787596175 190195.5929158419
2023-12-11 1822.38 sell 98.97514787596175 180370.3299861952
2024-01-19 1715.36 buy 105.15013174272177 180370.3299861952
2024-01-26 1826.7 sell 105.15013174272177 192077.74565442986
2024-02-05 1786.55 buy 107.51322137887541 192077.74565442986
2024-02-08 1865.53 sell 107.51322137887541 200569.13987893343