基金代码 基金全名 基金简称 基金类型
159597 易方达创业板成长交易型开放式指数证券投资基金 易方达创业板成长ETF 场内基金
021749 易方达创业板成长交易型开放式指数证券投资基金发起式联接基金 易方达创业板成长ETF联接发起式A 场外基金
021750 易方达创业板成长交易型开放式指数证券投资基金发起式联接基金 易方达创业板成长ETF联接发起式C 场外基金

策略参数

参数编号
930c38120f486db06e0f83ac923b70d7
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.5
回测天数
2919
持仓天数
785
持仓率
26.89 %
年化收益率（不含分红）
7.13 %
夏普比率
0.28
最大回撤
16.94 %
卡玛比率
0.82
索提诺比率
0.25
波动率
15.50 %

策略说明

当前策略针对创业成长指数，该指数属于高成长型行业，通常伴随较高波动性，因此策略选择需兼顾收益潜力和风险控制。当前策略展现出较高的年化收益率，同时夏普比率卓越，表明在承担单位风险时能获得更优回报；最大回撤保持在较低水平，有效管理了下行风险，波动率也相对适中，适合成长型指数的特性。与其它策略相比，当前策略在风险调整后指标如Calmar比率上表现突出，回撤控制更佳，尽管持仓占比不算最高，但结合布林线模型的中线操作特点，能在市场波动中灵活把握机会，同时避免频繁交易，符合中长线投资的稳健偏好。其它策略或年化收益率较低，或最大回撤过大导致风险过高，不利于长期持有和资产保值。因此，当前策略在收益性、安全性和操作风格上取得了最佳平衡，最适合当前指数的量化投资需求。


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 3055.73 buy 32.72540440418492 99999.99999999999
2016-05-03 3211.52 sell 32.72540440418492 105098.29075212796
2016-07-27 3131.8 buy 33.558429897224585 105098.29075212796
2016-08-09 3129.68 sell 33.558429897224585 105027.14688074583
2016-10-31 3170.52 buy 33.126158132024344 105027.14688074581
2016-11-14 3175.58 sell 33.126158132024344 105194.76524089386
2016-12-06 3113.75 buy 33.783947086597784 105194.76524089384
2017-01-04 2909.83 sell 33.783947086597784 98305.54275099483
2017-01-13 2685.09 buy 36.61163787843046 98305.54275099483
2017-02-06 2766.85 sell 36.61163787843046 101298.91026393531
2017-03-29 2765.6 buy 36.62818566095434 101298.91026393531
2017-06-07 2601.09 sell 36.62818566095434 95273.20744085172
2017-07-10 2561.62 buy 37.19256073923991 95273.20744085174
2017-07-27 2458.09 sell 37.19256073923991 91422.66162751823
2017-09-25 2585.27 buy 35.36290663161613 91422.66162751823
2017-10-10 2664.36 sell 35.36290663161613 94219.51391301275
2017-12-25 2438.68 buy 38.63545603072677 94219.51391301276
2018-01-03 2484.58 sell 38.63545603072677 95992.88134482312
2018-01-15 2391.38 buy 40.14120773144507 95992.88134482312
2018-01-24 2498.7 sell 40.14120773144507 100300.83575856179
2018-03-23 2423.52 buy 41.3864279059227 100300.83575856178
2018-03-30 2582.38 sell 41.3864279059227 106875.48369569668
2018-04-23 2449.76 buy 43.62692006388245 106875.48369569669
2018-05-07 2500.29 sell 43.62692006388245 109079.95196652465
2018-05-25 2375.43 buy 45.920086875439246 109079.95196652463
2018-06-29 2099.61 sell 45.920086875439246 96414.273604541
2018-10-11 1670.72 buy 57.70821777709072 96414.273604541
2018-11-02 1788.34 sell 57.70821777709072 103201.91417948241
2018-11-23 1729.85 buy 59.65945843829373 103201.91417948241
2018-12-03 1823.14 sell 59.65945843829373 108767.54505719084
2019-04-29 2198.35 buy 49.47690088347663 108767.54505719084
2019-06-20 2103.39 sell 49.47690088347663 104069.21854929591
2019-07-22 2080.16 buy 50.029429731028344 104069.21854929591
2019-07-24 2128.12 sell 50.029429731028344 106468.62999919604
2019-08-06 2020.37 buy 52.6975900449898 106468.62999919604
2019-08-15 2143.89 sell 52.6975900449898 112977.83632155319
2019-09-26 2313.0 buy 48.84471955103899 112977.83632155319
2019-10-28 2313.72 sell 48.84471955103899 113013.00451962993
2020-02-03 2793.05 buy 40.46222033963944 113013.00451962993
2020-02-06 2992.59 sell 40.46222033963944 121086.83596620159
2020-03-16 2824.84 buy 42.865024555798406 121086.83596620157
2020-04-07 2896.62 sell 42.865024555798406 124163.68742881677
2020-05-22 3011.81 buy 41.22560434715894 124163.68742881677
2020-06-01 3188.74 sell 41.22560434715894 131457.7336059596
2020-09-09 3638.75 buy 36.12716828745025 131457.7336059596
2020-09-23 3761.99 sell 36.12716828745025 135910.04582570496
2020-10-23 3973.71 buy 34.20230611335627 135910.04582570496
2020-11-02 4194.98 sell 34.20230611335627 143477.99009940727
2021-03-08 3917.48 buy 36.625072776225345 143477.99009940727
2021-03-26 4166.34 sell 36.625072776225345 152592.50571049872
2021-07-27 5220.0 buy 29.232280787451863 152592.50571049872
2021-08-04 5614.27 sell 29.232280787451863 164117.91705656738
2021-10-12 5072.51 buy 32.354380189800985 164117.9170565674
2021-10-15 5219.01 sell 32.354380189800985 168857.83375437325
2021-12-06 5333.51 buy 31.659795098232355 168857.83375437325
2021-12-14 5511.18 sell 31.659795098232355 174482.82954947618
2022-01-05 4886.9 buy 35.70419479618494 174482.82954947618
2022-01-17 4957.0 sell 35.70419479618494 176985.69360468877
2022-03-07 3999.39 buy 44.25317200990371 176985.69360468877
2022-03-17 4252.19 sell 44.25317200990371 188172.89548879242
2022-04-11 3975.98 buy 47.327425059681495 188172.89548879242
2022-05-11 3704.44 sell 47.327425059681495 175321.60648808652
2022-07-11 4218.81 buy 41.557123095869805 175321.60648808652
2022-08-11 4215.54 sell 41.557123095869805 175185.714695563
2022-09-15 3679.96 buy 47.60533122522065 175185.714695563
2022-10-14 3768.13 sell 47.60533122522065 179383.0767496907
2022-12-20 3595.81 buy 49.88669500048409 179383.0767496907
2023-01-05 3752.43 sell 49.88669500048409 187196.3309206665
2023-02-17 3835.19 buy 48.81018435088392 187196.3309206665
2023-03-27 3631.95 sell 48.81018435088392 177276.14905319284
2023-04-20 3557.87 buy 49.82648299493597 177276.14905319284
2023-05-17 3464.13 sell 49.82648299493597 172605.41453724756
2023-06-07 3211.21 buy 53.75089593556559 172605.41453724756
2023-06-15 3433.34 sell 53.75089593556559 184545.10105141476
2023-08-14 3293.01 buy 56.04146390427443 184545.10105141476
2023-09-04 3226.32 sell 56.04146390427443 180807.6958236387
2023-10-16 2948.38 buy 61.32442080859275 180807.6958236387
2023-10-30 2949.96 sell 61.32442080859275 180904.58840851625
2023-11-22 2940.42 buy 61.52338387322772 180904.58840851625
2023-12-28 2821.21 sell 61.52338387322772 173570.3858169888
2024-01-17 2584.66 buy 67.15404959143129 173570.3858169888
2024-02-07 2618.72 sell 67.15404959143129 175857.65274607294
2024-03-25 2780.73 buy 63.24154187787845 175857.65274607294