基金代码 基金全名 基金简称 基金类型
004410 招商央视财经50指数证券投资基金 招商央视财经50指数C 场外基金
165312 建信央视财经50指数证券投资基金（LOF） 建信央视财经50指数 场外基金
217027 招商央视财经50指数证券投资基金 招商央视财经50指数A 场外基金
006743 国联央视财经50交易型开放式指数证券投资基金联接基金 国联央视财经50ETF联接A 场外基金
006744 国联央视财经50交易型开放式指数证券投资基金联接基金 国联央视财经50ETF联接C 场外基金
159965 国联央视财经50交易型开放式指数证券投资基金 国联央视50ETF 场内基金

策略参数

参数编号
6cc8b641975618c799a57f6fa3f58724
PE权重
0.5
PB权重
0.3
DRY权重
0.2
BB周期
20
BB标准差
2
回测天数
2919
持仓天数
1140
持仓率
39.05 %
年化收益率（不含分红）
6.75 %
夏普比率
0.26
最大回撤
27.51 %
卡玛比率
0.50
索提诺比率
0.30
波动率
15.55 %

策略说明

当前策略针对央视50指数，该指数涵盖了多个行业的龙头企业，适合使用估值模型进行长期价值投资。该策略采用成长型估值方法，专注于PE、PB和DYR等指标，在长期回测中展现出卓越表现。年化收益率达到6.75%，为所有策略中最高，夏普比率25.59%也最优，表明风险调整后回报极为突出。最大回撤保持在27.51%的较低水平，与多个其他策略相当，但收益显著更高。波动率15.55%虽略高于部分策略，但高夏普比率有效补偿了风险。此外，策略持仓占比39.05%，操作频率较低，符合中长线投资风格，有助于减少交易成本和市场噪音。相比于其他均衡型或价值防御型策略，当前策略在收益率、夏普比率和回撤控制上综合领先，更适合在央视50这样的指数环境中捕捉增长机会，实现稳健的长期回报。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-12-20 4935.8 buy 20.260140200170184 100000.0
2018-03-26 7189.69 sell 20.260140200170184 145664.12739576158
2018-09-06 5920.17 buy 24.604720370489627 145664.12739576158
2020-07-16 7963.53 sell 24.604720370489627 195940.42881200527
2021-07-26 7730.0 buy 25.348050299095117 195940.42881200527

策略参数

参数编号
51d5c6aa9967a6fcf5ef2891af3bbfa9
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
2919
持仓天数
940
持仓率
32.20 %
年化收益率（不含分红）
12.65 %
夏普比率
0.71
最大回撤
15.01 %
卡玛比率
1.20
索提诺比率
0.61
波动率
12.88 %

策略说明

当前策略在回测中展现出最高的年化收益率12.65%和夏普比率71.26%，这些指标在央视50指数的大盘特性下尤为突出，表明策略能有效平衡收益与风险。央视50指数作为涵盖多元行业的代表性指数，其波动性适中，当前策略的波动率为12.88%和最大回撤15.01%，在可接受范围内，相比其他策略，其夏普比率显著领先，反映了更好的风险调整后表现。个人操作风格虽更倾向于中长线以减少频繁交易，但当前策略的持仓天数占比32.20%和持仓天数940天表明操作频率相对合理，未过度频繁，且其高收益率和夏普比率弥补了中线策略的潜在局限性。综合考虑指数数据如收益率、波动率和回撤，当前策略在关键指标上全面优于其他布林线策略，例如其他策略在收益率或夏普比率上普遍较低，最大回撤虽部分略优但不足以抵消收益劣势，因此当前策略最适合在央视50指数上操作。


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 4493.53 buy 22.254218843537267 100000.00000000001
2016-04-29 4653.82 sell 22.254218843537267 103567.12873843059
2016-05-09 4487.56 buy 23.078717329335003 103567.12873843059
2016-05-31 4618.77 sell 23.078717329335003 106595.28723921264
2016-08-29 4980.95 buy 21.40059370987716 106595.28723921264
2016-09-06 5078.0 sell 21.40059370987716 108672.21485875623
2016-12-12 5068.11 buy 21.44235520909298 108672.21485875621
2016-12-30 4984.01 sell 21.44235520909298 106868.9127856715
2017-05-08 5354.75 buy 19.957778194252114 106868.9127856715
2017-05-12 5504.54 sell 19.957778194252114 109858.38838138853
2017-07-18 6103.81 buy 17.998330285737683 109858.38838138853
2017-07-20 6132.87 sell 17.998330285737683 110381.41985949206
2017-08-04 6067.53 buy 18.192150654301184 110381.41985949206
2017-08-14 6191.2 sell 18.192150654301184 112631.24313090948
2017-12-07 7020.46 buy 16.0432853589237 112631.24313090948
2017-12-11 7090.79 sell 16.0432853589237 113759.56739020259
2018-02-06 7108.28 buy 16.003810681374762 113759.56739020259
2018-02-23 7505.76 sell 16.003810681374762 120120.76205983544
2018-03-22 7163.1 buy 16.7693822590548 120120.76205983546
2018-04-10 7193.17 sell 16.7693822590548 120625.01738436523
2018-04-16 6819.34 buy 17.688664501896845 120625.01738436523
2018-05-08 7037.32 sell 17.688664501896845 124480.7924724887
2018-05-23 6935.22 buy 17.949076232980165 124480.7924724887
2018-06-04 7198.85 sell 17.949076232980165 129212.70743978927
2018-06-15 6778.02 buy 19.063488664800232 129212.70743978927
2018-07-12 6574.39 sell 19.063488664800232 125330.809242976
2018-08-01 6134.34 buy 20.431017720402846 125330.809242976
2018-08-27 6205.74 sell 20.431017720402846 126789.58390821275
2018-09-06 5920.17 buy 21.41654444183406 126789.58390821275
2018-09-19 5936.27 sell 21.41654444183406 127134.39027372628
2018-10-11 5669.55 buy 22.42407074172135 127134.3902737263
2018-10-22 5676.83 sell 22.42407074172135 127297.63750872602
2018-10-29 5428.36 buy 23.450478138650723 127297.63750872604
2018-11-02 5765.62 sell 23.450478138650723 135206.54576576737
2018-11-23 5546.25 buy 24.378011406944758 135206.54576576737
2018-12-03 5778.52 sell 24.378011406944758 140868.82647525842
2018-12-19 5387.94 buy 26.14521068817738 140868.82647525842
2019-01-07 5375.66 sell 26.14521068817738 140547.7632880076
2019-04-26 6892.31 buy 20.391967756529755 140547.7632880076
2019-06-11 6443.62 sell 20.391967756529755 131398.09127533025
2019-07-18 6531.26 buy 20.118337238960056 131398.09127533025
2019-07-25 6726.03 sell 20.118337238960056 135316.5398193625
2019-08-05 6336.73 buy 21.354316787895726 135316.5398193625
2019-08-15 6538.29 sell 21.354316787895726 139620.71591113074
2019-09-25 6812.78 buy 20.493941667150672 139620.71591113074
2019-10-11 6991.73 sell 20.493941667150672 143288.10677246735
2019-11-22 7045.02 buy 20.338921219878344 143288.10677246735
2019-12-06 7058.66 sell 20.338921219878344 143565.52965790647
2020-01-23 6806.82 buy 21.091424432834494 143565.52965790647
2020-02-17 7340.96 sell 21.091424432834494 154831.3031044607
2020-02-28 7293.49 buy 21.228698895105182 154831.3031044607
2020-03-05 7421.03 sell 21.228698895105182 157538.8113615424
2020-03-13 6685.33 buy 23.56485190133358 157538.8113615424
2020-03-27 6664.31 sell 23.56485190133358 157043.4781745764
2020-05-22 6998.36 buy 22.440039977162705 157043.4781745764
2020-06-01 7228.68 sell 22.440039977162705 162211.8681821165
2020-06-15 7278.67 buy 22.285921491442323 162211.8681821165
2020-06-19 7386.73 sell 22.285921491442323 164620.08485848174
2020-07-24 7858.36 buy 20.948402065886743 164620.08485848174
2020-08-03 8354.05 sell 20.948402065886743 175003.99827852112
2020-09-09 8019.0 buy 21.82366857195674 175003.99827852112
2020-09-18 8127.42 sell 21.82366857195674 177370.12042509267
2020-09-24 7947.45 buy 22.317865532352222 177370.12042509267
2020-10-09 8331.21 sell 22.317865532352222 185934.82450178813
2020-10-23 8256.11 buy 22.520875388262525 185934.82450178813
2020-10-29 8259.14 sell 22.520875388262525 186003.06275421454
2020-12-11 8673.1 buy 21.44597234601406 186003.06275421454
2020-12-17 8779.5 sell 21.44597234601406 188284.91421183044
2021-01-28 9113.0 buy 20.661134007662728 188284.91421183044
2021-02-08 9603.34 sell 20.661134007662728 198415.8946611478
2021-03-08 8699.88 buy 22.806739249408935 198415.8946611478
2021-03-30 8828.4 sell 22.806739249408935 201347.01678948183
2021-04-09 8599.48 buy 23.41385953446974 201347.01678948183
2021-04-21 8723.38 sell 23.41385953446974 204247.99398580263
2021-05-06 8512.11 buy 23.99498995969303 204247.99398580263
2021-05-17 8774.95 sell 23.99498995969303 210554.83714680836
2021-06-15 8575.21 buy 24.553898638844807 210554.83714680836
2021-06-25 8720.9 sell 24.553898638844807 214132.09463950165
2021-07-23 7998.76 buy 26.770661282436482 214132.09463950165
2021-08-09 8108.18 sell 26.770661282436482 217061.34039702584
2021-08-17 7910.61 buy 27.439267059939226 217061.34039702584
2021-09-06 7923.95 sell 27.439267059939226 217427.38021960543
2021-09-15 7607.93 buy 28.579045840275267 217427.38021960543
2021-09-28 7814.52 sell 28.579045840275267 223331.52529974788
2021-11-26 7938.42 buy 28.132994386760576 223331.52529974788
2021-12-07 8210.42 sell 28.132994386760576 230983.69977294677
2022-01-13 7957.43 buy 29.027424655064106 230983.69977294677
2022-01-20 8146.15 sell 29.027424655064106 236461.75535385046
2022-01-27 7723.07 buy 30.617585410186685 236461.75535385046
2022-02-18 8017.2 sell 30.617585410186685 245467.3057505487
2022-02-24 7824.25 buy 31.37263069949819 245467.3057505487
2022-03-30 7327.8 sell 31.37263069949819 229892.36323978283
2022-04-11 7171.5 buy 32.05638475071921 229892.36323978283
2022-05-20 6962.33 sell 32.05638475071921 223187.12924147488
2022-07-11 7186.13 buy 31.05804226217378 223187.12924147488
2022-08-11 6969.81 sell 31.05804226217378 216468.65353932144
2022-08-24 6831.07 buy 31.688835502977053 216468.65353932144
2022-09-09 6920.71 sell 31.688835502977053 219309.24075380832
2022-09-22 6557.04 buy 33.446378358803415 219309.24075380835
2022-10-14 6598.38 sell 33.446378358803415 220691.9140351613
2022-10-24 6240.07 buy 35.36689717185245 220691.91403516132
2022-11-04 6355.71 sell 35.36689717185245 224781.74202411433
2022-12-19 6688.9 buy 33.60518800163171 224781.74202411433
2022-12-30 6864.24 sell 33.60518800163171 230674.07568832044
2023-02-06 7108.56 buy 32.45018339696372 230674.07568832044
2023-02-20 7253.93 sell 32.45018339696372 235391.35884873706
2023-03-10 7016.54 buy 33.54806768702766 235391.35884873706
2023-03-22 7164.19 sell 33.54806768702766 240344.7310427267
2023-04-21 7126.57 buy 33.72516246142628 240344.73104272666
2023-05-08 7300.28 sell 33.72516246142628 246203.12901390102
2023-05-24 6998.41 buy 35.17986642878897 246203.129013901
2023-06-08 7034.01 sell 35.17986642878897 247455.53225876592
2023-06-26 6971.89 buy 35.49332136031491 247455.53225876592
2023-07-13 7024.73 sell 35.49332136031491 249330.99935944492
2023-07-20 6867.92 buy 36.30371340368626 249330.99935944495
2023-07-25 7040.4 sell 36.30371340368626 255592.66384731274
2023-08-11 6855.45 buy 37.28313441820927 255592.66384731274
2023-08-30 6769.43 sell 37.28313441820927 252385.5686246584
2023-09-21 6844.01 buy 36.876855618951225 252385.5686246584
2023-10-12 6836.05 sell 36.876855618951225 252092.02885393152
2023-10-19 6540.94 buy 38.54064230124899 252092.02885393152
2023-10-31 6684.55 sell 38.54064230124899 257626.85049481393
2023-11-27 6602.68 buy 39.018527400209294 257626.8504948139
2023-12-28 6455.52 sell 39.018527400209294 251884.8840025991
2024-01-22 6133.91 buy 41.064326669709715 251884.8840025991
2024-01-24 6316.82 sell 41.064326669709715 259395.9599937557
2024-03-22 6652.81 buy 38.990435619498484 259395.95999375574