基金代码 基金全名 基金简称 基金类型
167301 方正富邦中证保险主题指数型证券投资基金 方正富邦中证保险A 场内基金
018099 方正富邦中证保险主题指数型证券投资基金 方正富邦中证保险C 场外基金

策略参数

参数编号
9b1402bbcd0ec0eb06f07692d395324f
PE权重
0.3
PB权重
0.4
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
2601
持仓天数
1727
持仓率
66.40 %
年化收益率（不含分红）
6.53 %
夏普比率
0.23
最大回撤
29.69 %
卡玛比率
0.49
索提诺比率
0.34
波动率
20.86 %

策略说明

当前策略针对保险主题指数，采用长线估值模型，专注于价值防御策略，适合保险行业的稳健特性。该策略在年化收益率上达到6.53%，是所有策略中最高的，同时夏普比率为22.52%和Sortino比率为33.81%，也领先于其他选项，表明优秀的风险调整回报。尽管波动率为20.86%略高于最低的18.30%，但最大回撤相同为29.69%，且Calmar比率为49.46%最高，显示了良好的下行保护。持仓占比为66.40%，意味着操作频率较低，符合中长线投资偏好。相比之下，其他策略如那些波动率较低但收益率或风险调整指标较弱的选项，或持仓占比更低导致更频繁交易的策略，整体表现不如当前策略均衡。综合考虑指数行业特点、策略类型和回测指标，当前策略在提供高回报的同时保持稳健操作，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
2018-08-02 1916.77 buy 52.171100340677285 100000.0
2020-01-02 2481.44 sell 52.171100340677285 129459.45522937024
2020-03-16 1978.4 buy 65.43644117942289 129459.45522937024
2021-01-12 2529.02 sell 65.43644117942289 165490.06847158406
2021-04-15 2237.57 buy 73.95972795111842 165490.06847158406
2021-12-13 1881.98 sell 73.95972795111842 139190.72880944586
2022-04-25 1473.53 buy 94.46073633346174 139190.72880944586
2024-02-19 1661.08 sell 94.46073633346174 156906.8399087866

策略参数

参数编号
c8e96f4f19eb634af8c24888269e94a9
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
30
BB标准差
3.0
回测天数
2535
持仓天数
1689
持仓率
66.63 %
年化收益率（不含分红）
14.22 %
夏普比率
0.55
最大回撤
25.76 %
卡玛比率
0.80
索提诺比率
0.76
波动率
22.35 %

策略说明

当前策略针对保险主题指数（399809），基于布林线模型进行中线估值，在回测中展现出全面的优秀表现。年化收益率达到14.22%，是所有策略中最高的，同时夏普比率为54.88%和Calmar比率为80.14%，也显著优于其他策略，表明其在风险调整后收益和收益与回撤平衡方面表现卓越。最大回撤为25.76%，虽然略高于某些策略的最低值，但结合高收益率和低波动率（22.35%），整体风险可控。持仓占比为66.63%，意味着策略持有时间较长，交易频率相对较低，这符合中长线操作偏好，减少了频繁交易带来的潜在成本和不确定性。保险行业具有周期性和稳定性特点，当前策略的高收益与稳健性使其更适合该主题投资。相比之下，其他策略在关键指标如年化收益率、夏普比率等方面均有所不足，未能达到类似的全面优秀水平，因此当前策略是综合评估下的最佳选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-08-11 2073.946 buy 48.21726313028401 100000.0
2017-09-07 2219.653 sell 48.21726313028401 107025.59275892428
2017-09-27 2141.229 buy 49.98325389714238 107025.59275892428
2017-11-27 2552.5226 sell 49.98325389714238 127583.38519399399
2017-12-15 2454.04 buy 51.98912209825186 127583.38519399399
2018-01-24 2518.2 sell 51.98912209825186 130919.00726781783
2018-01-29 2460.29 buy 53.21283558760058 130919.00726781783
2018-02-06 2473.89 sell 53.21283558760058 131642.7018318092
2018-02-08 2236.15 buy 58.870246554036704 131642.7018318092
2018-05-16 2105.39 sell 58.870246554036704 123944.82839240333
2018-05-30 2062.8 buy 60.0857225094063 123944.82839240333
2018-07-26 2025.48 sell 60.0857225094063 121702.42922835228
2018-08-15 1912.89 buy 63.62228315708288 121702.42922835228
2018-08-28 2011.49 sell 63.62228315708288 127975.58634764065
2018-09-12 1970.18 buy 64.9562914797839 127975.58634764065
2018-10-08 2040.8 sell 64.9562914797839 132562.79965194297
2018-10-11 2007.68 buy 66.02785287094704 132562.79965194297
2018-10-23 2097.92 sell 66.02785287094704 138521.15309501722
2018-11-22 1956.97 buy 70.78348318830498 138521.15309501722
2019-03-08 2202.88 sell 70.78348318830498 155927.51944585328
2019-05-08 2192.58 buy 71.11600007564297 155927.51944585325
2019-07-08 2364.42 sell 71.11600007564297 168148.09289885176
2019-08-02 2354.56 buy 71.41380678294533 168148.09289885176
2019-09-17 2414.96 sell 71.41380678294533 172461.48682854165
2019-09-24 2358.43 buy 73.12554827938148 172461.48682854165
2019-11-11 2414.24 sell 73.12554827938148 176542.62367801392
2019-11-14 2354.76 buy 74.97266119605136 176542.62367801392
2019-12-23 2376.29 sell 74.97266119605136 178156.78507356488
2020-01-23 2130.26 buy 83.63147459632386 178156.78507356488
2020-05-14 1998.09 sell 83.63147459632386 167103.21307616873
2020-05-22 1927.71 buy 86.68482970787552 167103.21307616873
2020-06-04 2044.07 sell 86.68482970787552 177189.8598609771
2020-06-15 1997.88 buy 88.68894020710808 177189.8598609771
2020-07-16 2216.77 sell 88.68894020710808 196602.98198291098
2020-09-07 2306.83 buy 85.22647181756392 196602.98198291098
2020-09-22 2342.39 sell 85.22647181756392 199633.63532074355
2020-11-02 2366.41 buy 84.36138932845262 199633.63532074355
2020-12-08 2503.58 sell 84.36138932845262 211205.4870949274
2020-12-22 2391.16 buy 88.32762638005295 211205.4870949274
2021-01-13 2518.55 sell 88.32762638005295 222457.54341948236
2021-01-28 2320.63 buy 95.86084098692267 222457.54341948236
2021-02-22 2578.66 sell 95.86084098692267 247192.516219338
2021-03-19 2373.3 buy 104.15561295215016 247192.516219338
2021-05-21 2249.49 sell 104.15561295215016 234297.00977973224
2021-06-15 2183.68 buy 107.29457144807493 234297.00977973224
2021-09-14 1933.98 sell 107.29457144807493 207505.55528914797
2021-10-29 1880.14 buy 110.36707654171921 207505.55528914797
2021-12-15 1890.63 sell 110.36707654171921 208663.3059220706
2021-12-24 1836.15 buy 113.64175362692079 208663.3059220706
2022-01-11 1880.91 sell 113.64175362692079 213749.9108144116
2022-01-14 1842.12 buy 116.03473759277985 213749.9108144116
2022-01-25 1852.43 sell 116.03473759277985 214946.2289589932
2022-01-27 1795.34 buy 119.72452513673912 214946.2289589932
2022-02-15 1894.12 sell 119.72452513673912 226772.61755200027
2022-02-24 1817.56 buy 124.76761017628044 226772.61755200027
2022-07-06 1638.37 sell 124.76761017628044 204415.5094845126
2022-07-14 1514.08 buy 135.00971513031848 204415.5094845126
2022-09-16 1533.52 sell 135.00971513031848 207040.098346646
2022-09-29 1505.66 buy 137.50786920463185 207040.098346646
2022-12-15 1685.83 sell 137.50786920463185 231814.8911412445
2023-03-09 1690.66 buy 137.1150267595167 231814.8911412445
2023-05-17 1986.55 sell 137.1150267595167 272385.85640911787
2023-05-31 1826.47 buy 149.1324009751695 272385.85640911787
2023-08-11 1841.0 sell 149.1324009751695 274552.75019528705
2023-08-21 1811.44 buy 151.5660194073704 274552.75019528705
2023-09-05 1906.39 sell 151.5660194073704 288943.9437380169
2023-10-09 1793.14 buy 161.13853003001265 288943.9437380169
2024-02-02 1578.61 sell 161.13853003001265 254374.89489067826
2024-03-19 1611.57 buy 157.8429077797913 254374.89489067823