基金代码 基金全名 基金简称 基金类型
006363 建信深证基本面60交易型开放式指数证券投资基金联接基金 建信深证基本面60ETF联接C 场外基金
159916 深证基本面60交易型开放式指数证券投资基金 建信深证基本面60ETF 场内基金
530015 建信深证基本面60交易型开放式指数证券投资基金联接基金 建信深证基本面60ETF联接A 场外基金

策略参数

参数编号
39f6ae89fe4431fdf9a404f2d6544ff3
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
303
持仓率
10.38 %
年化收益率（不含分红）
7.12 %
夏普比率
0.40
最大回撤
11.38 %
卡玛比率
1.22
索提诺比率
0.25
波动率
8.80 %

策略说明

当前策略针对深证F60指数设计为成长型估值策略，由于该指数可能代表深圳市场的成长性股票，策略侧重于市盈率等成长指标，更契合指数特性。在回测数据中，当前策略展现出最高夏普比率达40.00%，表明风险调整后收益优异；年化收益率7.12%在同类中领先，同时最大回撤仅为11.38%，波动率低至8.80%，风险控制能力突出。从操作风格看，持仓占比仅10.38%，意味着策略闲置时间长、交易频率低，符合中长线投资和较少操作频率的偏好。与其他策略相比，高股息型策略虽然收益率略高，但最大回撤超过30%、波动率较高，且持仓占比达30%以上，操作频繁且风险较大；均衡型或等权重型策略风险较低，但夏普比率和收益率均不及当前策略。因此，当前策略在收益潜力、风险管理和操作简洁性方面达到最佳平衡，是最适合该指数的量化选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-09-06 5815.49 buy 17.195455584997998 100000.0
2019-04-09 8243.7 sell 17.195455584997998 141754.177206048
2022-10-24 6902.49 buy 20.53667259294081 141754.177206048
2023-01-20 8124.06 sell 20.53667259294081 166841.16034540674
2023-12-05 6826.36 buy 24.440721020486283 166841.16034540674

策略参数

参数编号
ca20325b588b7c6b438d2f97e0593bbc
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
30
BB标准差
1.5
回测天数
2919
持仓天数
1764
持仓率
60.43 %
年化收益率（不含分红）
11.06 %
夏普比率
0.50
最大回撤
24.77 %
卡玛比率
0.68
索提诺比率
0.61
波动率
16.25 %

策略说明

当前策略在深证F60指数的回测中展现出优秀的综合表现，年化收益率为11.06%，夏普比率为50.43%，这些指标在所有策略中最高，表明其具备较强的收益能力和卓越的风险调整后回报。尽管最大回撤为24.77%，相对较高，但高夏普比率和Sortino比率（61.08%）显示风险控制有效，波动率16.25%在可接受范围内。持仓占比达60.43%，反映了中长线持有风格，操作频率较低，符合偏好较少交易的策略选择。其他策略虽然部分在最大回撤和波动率上较低，如最大回撤低于15%的策略，但其年化收益率和夏普比率显著偏低（约6-7%和30%以下），且持仓占比多在20%以下，操作频繁，不适合中长线投资。深证F60作为标的指数，当前策略通过布林线模型在近8年的回测中保持稳定，综合考虑高收益、良好风险调整和低操作频率，当前策略是最适合的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-04-28 4777.201 buy 20.93275958034841 100000.0
2016-05-04 4851.655 sell 20.93275958034841 101558.52768179525
2016-05-06 4637.115 buy 21.90123119262629 101558.52768179525
2016-06-13 4674.324 sell 21.90123119262629 102373.45059324168
2016-12-15 5361.4634 buy 19.09431118997132 102373.45059324168
2017-03-09 5681.2765 sell 19.09431118997132 108480.0614472711
2017-05-05 5609.7008 buy 19.33794070572732 108480.0614472711
2017-06-01 5849.1217 sell 19.33794070572732 113109.96861518298
2017-08-11 6374.8675 buy 17.743108953273612 113109.96861518298
2017-11-27 7330.352 sell 17.743108953273612 130063.23420184712
2017-12-07 7134.1352 buy 18.231114291448687 130063.23420184714
2017-12-22 7414.38 sell 18.231114291448687 135172.4091802313
2018-02-07 7431.56 buy 18.188968289327047 135172.4091802313
2018-05-11 7145.05 sell 18.188968289327047 129961.08787565622
2018-05-30 6976.02 buy 18.629689690633946 129961.08787565623
2018-06-08 7019.38 sell 18.629689690633946 130768.8712206421
2018-06-19 6699.9 buy 19.518033287159824 130768.8712206421
2018-10-08 5870.24 sell 19.518033287159824 114575.53972361708
2018-10-11 5658.43 buy 20.24864489330381 114575.53972361707
2018-11-05 5822.07 sell 20.24864489330381 117889.0279739573
2018-12-10 5748.75 buy 20.506897668877112 117889.0279739573
2018-12-14 5793.8 sell 20.506897668877112 118812.86371394021
2018-12-18 5675.69 buy 20.933642202787716 118812.8637139402
2019-04-25 7782.49 sell 20.933642202787716 162915.86110677337
2019-05-06 7396.0 buy 22.02756369750857 162915.86110677337
2019-07-18 7717.47 sell 22.02756369750857 169997.06200861145
2019-08-02 7311.31 buy 23.251245263654727 169997.06200861145
2019-09-23 7644.92 sell 23.251245263654727 177753.9099410193
2019-11-22 7777.66 buy 22.85442021649433 177753.9099410193
2020-01-21 8483.33 sell 22.85442021649433 193881.58865519284
2020-02-03 7670.45 buy 25.27642949959818 193881.58865519284
2020-02-26 8433.03 sell 25.27642949959818 213156.88826299645
2020-03-16 7495.3 buy 28.438740045494704 213156.88826299645
2020-05-22 7561.81 sell 28.438740045494704 215048.34886342232
2020-09-09 9044.24 buy 23.777381942918623 215048.34886342232
2020-09-22 9193.02 sell 23.777381942918623 218585.94774888977
2020-09-24 8965.43 buy 24.380977571504072 218585.94774888977
2020-12-08 10108.97 sell 24.380977571504072 246466.57084100752
2020-12-16 10188.6 buy 24.19042565622436 246466.57084100752
2021-01-28 10763.89 sell 24.19042565622436 260383.0808167768
2021-03-05 10587.68 buy 24.593025178016035 260383.0808167768
2021-04-20 10646.52 sell 24.593025178016035 261830.13441825128
2021-05-13 10535.62 buy 24.851896178701516 261830.13441825128
2021-05-19 10589.48 sell 24.851896178701516 263168.6575464361
2021-06-11 10349.76 buy 25.42751305792947 263168.6575464361
2021-08-12 9972.18 sell 25.42751305792947 253567.73716602311
2021-08-26 9582.48 buy 26.461598371822653 253567.73716602311
2021-09-15 9777.67 sell 26.461598371822653 258732.7765522192
2021-10-18 9694.88 buy 26.68756875301388 258732.7765522192
2021-12-20 9532.68 sell 26.68756875301388 254404.05290048037
2022-01-25 9506.57 buy 26.76086673747528 254404.05290048037
2022-04-07 8773.86 sell 26.76086673747528 234796.09823326487
2022-04-25 7775.08 buy 30.198544353661298 234796.09823326487
2022-06-13 8053.32 sell 30.198544353661298 243198.5412142276
2022-07-15 8172.71 buy 29.75739273927835 243198.5412142276
2022-09-16 7686.01 sell 29.75739273927835 228715.61816802082
2022-10-19 7179.98 buy 31.854631651901656 228715.61816802082
2022-12-20 7567.94 sell 31.854631651901656 241073.9410636926
2023-03-07 7950.52 buy 30.321782859950364 241073.9410636926
2023-04-21 7739.62 sell 30.321782859950364 234679.07705852904
2023-06-06 7262.0 buy 32.316039253446576 234679.07705852904
2023-06-21 7304.87 sell 32.316039253446576 236064.46566132427
2023-08-21 7478.03 buy 31.567734505120235 236064.46566132427
2023-11-27 7119.86 sell 31.567734505120235 224757.85019362535
2023-12-01 6914.38 buy 32.505857386146744 224757.85019362532
2024-01-30 6540.99 sell 32.505857386146744 212620.48810421198
2024-02-02 6487.68 buy 32.772961691114844 212620.48810421195
2024-03-22 7060.11 sell 32.772961691114844 231380.7145650568