基金代码 基金全名 基金简称 基金类型
165524 中信保诚中证智能家居指数型证券投资基金（LOF） 中信保诚中证智能家居指数（LOF）A 场外基金
013084 中信保诚中证智能家居指数型证券投资基金（LOF） 中信保诚中证智能家居指数（LOF）C 场外基金
023595 中信保诚中证智能家居指数型证券投资基金（LOF） 中信保诚中证智能家居指数（LOF）E 场外基金

策略参数

参数编号
c132f3e875e324ceb261975e69e318ae
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
2760
持仓天数
1631
持仓率
59.09 %
年化收益率（不含分红）
5.79 %
夏普比率
0.19
最大回撤
39.52 %
卡玛比率
0.34
索提诺比率
0.22
波动率
21.15 %

策略说明

当前策略在智能家居指数上展现出卓越的表现，通过长线估值模型，它实现了最高的年化收益率达到5.79%，同时夏普比率和Sortino比率分别为19.31%和22.19%，显著优于其他策略，表明在风险调整后收益方面具有优势。该策略的波动率为21.15%，与其他策略相比处于中等水平，但考虑到高收益，这一波动是可接受的，而最大回撤为39.52%，在所有策略中相同，是行业固有风险。智能家居行业作为成长型领域，估值策略能有效捕捉长期价值，当前策略通过均衡的买卖阈值（buy=0.3, sell=0.8）和成长型权重配置（PE权重0.5, PB权重0.3, DYR权重0.2），优化了持仓管理，持仓占比59.09%表明适中的操作频率，符合中长线投资风格。其他策略虽然在波动率或特定指标上略有优势，例如某些策略波动率较低或夏普比率稍高，但综合收益和风险调整后表现不及当前策略。因此，在当前市场环境下，选择该策略能够最大化长期回报同时控制下行风险，适合稳健的量化操作。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-04-12 2900.9466 buy 34.47150664545152 100000.0
2017-10-12 3052.0227 sell 34.47150664545152 105207.82078511889
2018-02-06 2395.52 buy 43.91857333068348 105207.82078511889
2018-03-09 2825.96 sell 43.91857333068348 124112.13148957829
2018-03-23 2613.24 buy 47.49358324898528 124112.13148957829
2020-01-02 2890.22 sell 47.49358324898528 137266.90417788224
2021-05-13 2979.53 buy 46.06998559433274 137266.90417788224
2023-06-19 3072.28 sell 46.06998559433274 141539.8953417566
2024-01-22 2277.99 buy 62.13367720743138 141539.8953417566

策略参数

参数编号
d230ac719971fd15336a484e117bccb1
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
1.5
回测天数
2713
持仓天数
1739
持仓率
64.10 %
年化收益率（不含分红）
8.18 %
夏普比率
0.30
最大回撤
33.87 %
卡玛比率
0.45
索提诺比率
0.33
波动率
22.86 %

策略说明

智能家居指数作为科技驱动的高成长行业，通常伴随较高波动性，要求策略在收益捕获和风险控制间取得平衡。当前策略在回测中展现全面优势，年化收益率8.18%为所有策略最高，表明其能有效利用市场上涨趋势；夏普比率29.62%显著领先，反映卓越的风险调整后收益和投资效率；最大回撤33.87%相对较低，结合22.86%的波动率处于行业合理水平，有助于在波动市场中保护资本。持仓占比64.10%适中，暗示操作频率较低，符合中长线投资偏好，避免过度交易带来的成本和不确定性。其他策略虽在个别指标如波动率或持仓占比上有亮点，但整体表现不足：例如高持仓占比策略牺牲了过多收益潜力，而低波动策略收益率偏低，无法匹配智能家居的成长特性。因此，当前策略在收益、风险和操作风格上达到最佳协同，适合在成长型行业中实施稳健的中线布局。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-10-28 3154.4942 buy 31.70080325397333 100000.0
2016-11-17 3158.4403 sell 31.70080325397333 100125.0945397205
2016-12-02 3116.3024 buy 32.12945397716233 100125.0945397205
2017-01-06 2924.8487 sell 32.12945397716233 93973.79169681306
2017-01-12 2825.2183 buy 33.26248867098626 93973.79169681306
2017-02-15 2833.6963 sell 33.26248867098626 94255.79107576568
2017-03-28 2928.1561 buy 32.189469364616755 94255.79107576568
2017-05-17 2733.6929 sell 32.189469364616755 87996.12385682034
2017-05-23 2648.107 buy 33.22982185267451 87996.12385682034
2017-06-12 2727.576 sell 33.22982185267451 90636.86456963053
2017-07-11 2776.3247 buy 32.646348811300975 90636.86456963053
2017-08-02 2694.9132 sell 32.646348811300975 87979.0763433793
2017-08-11 2772.2041 buy 31.7361468238862 87979.0763433793
2017-08-23 2817.6838 sell 31.7361468238862 89422.4267800856
2017-09-15 2976.3556 buy 30.044268494021885 89422.4267800856
2017-09-21 2967.0826 sell 30.044268494021885 89143.82627834055
2017-09-25 2922.4715 buy 30.502889858238326 89143.82627834055
2017-10-16 2982.2188 sell 30.502889858238326 90966.29158956767
2017-10-19 2947.4173 buy 30.863051387249328 90966.29158956767
2017-11-15 3055.0387 sell 30.863051387249328 94287.81638813538
2017-11-17 3007.2959 buy 31.353022623458962 94287.81638813538
2017-12-12 2885.0809 sell 31.353022623458962 90456.00672820934
2017-12-22 2781.6 buy 32.51941570614371 90456.00672820934
2018-01-05 2810.74 sell 32.51941570614371 91403.62250188636
2018-01-15 2724.85 buy 33.544460246210384 91403.62250188636
2018-01-29 2674.28 sell 33.544460246210384 89707.27914723552
2018-02-09 2455.7 buy 36.530227286409385 89707.27914723552
2018-03-08 2768.23 sell 36.530227286409385 101124.07108105706
2018-03-21 2704.5 buy 37.39104125755484 101124.07108105706
2018-04-04 2732.11 sell 37.39104125755484 102156.43773017815
2018-04-17 2778.84 buy 36.76225969475686 102156.43773017815
2018-04-20 2674.96 sell 36.76225969475686 98337.57419308681
2018-04-26 2678.82 buy 36.70928774351648 98337.57419308681
2018-05-09 2723.5 sell 36.70928774351648 99977.74516946712
2018-05-17 2665.39 buy 37.50961216537434 99977.74516946712
2018-05-23 2687.86 sell 37.50961216537434 100820.58615482309
2018-05-25 2619.67 buy 38.485987225422704 100820.5861548231
2018-07-04 2207.14 sell 38.485987225422704 84943.96184471947
2018-08-01 2189.6 buy 38.794282903141884 84943.96184471947
2018-08-14 2179.78 sell 38.794282903141884 84563.00198661063
2018-08-17 2147.72 buy 39.37338293008895 84563.00198661063
2018-08-30 2128.02 sell 39.37338293008895 83787.34634288789
2018-09-07 2042.17 buy 41.02858544728788 83787.34634288789
2018-09-27 2064.54 sell 41.02858544728788 84705.15579934372
2018-10-08 1960.22 buy 43.2120658902285 84705.15579934372
2018-11-08 1871.28 sell 43.2120658902285 80861.87465906679
2018-11-23 1870.33 buy 43.2340146707088 80861.87465906679
2018-12-06 1903.64 sell 43.2340146707088 82301.9996877481
2018-12-14 1854.39 buy 44.3822495201916 82301.9996877481
2019-01-14 1892.93 sell 44.3822495201916 84012.49158425629
2019-01-29 1823.78 buy 46.06503612511174 84012.49158425629
2019-03-13 2422.0 sell 46.06503612511174 111569.51749502063
2019-04-12 2528.64 buy 44.1223414543077 111569.51749502063
2019-04-22 2526.73 sell 44.1223414543077 111485.2438228429
2019-04-25 2453.55 buy 45.43834192204882 111485.2438228429
2019-05-23 2165.24 sell 45.43834192204882 98384.91546329697
2019-06-04 2174.64 buy 45.241932210985254 98384.91546329697
2019-06-25 2226.49 sell 45.241932210985254 100730.70964843655
2019-07-08 2199.76 buy 45.79168166001588 100730.70964843655
2019-08-01 2234.65 sell 45.79168166001588 102328.3814215545
2019-08-05 2151.88 buy 47.553014769203905 102328.3814215545
2019-08-26 2387.51 sell 47.553014769203905 113533.29829162202
2019-08-30 2419.56 buy 46.9231175468358 113533.29829162202
2019-09-17 2570.89 sell 46.9231175468358 120634.17366998468
2019-09-26 2532.91 buy 47.626711438615935 120634.17366998468
2019-10-30 2501.94 sell 47.626711438615935 119159.17441673075
2019-11-11 2498.85 buy 47.68560514505903 119159.17441673075
2019-11-21 2511.45 sell 47.68560514505903 119760.01304155849
2019-11-25 2476.96 buy 48.34959508492607 119760.01304155849
2019-12-20 2710.34 sell 48.34959508492607 131043.84154247853
2020-02-03 2808.45 buy 46.660557083971064 131043.84154247852
2020-02-26 3495.25 sell 46.660557083971064 163090.31214774985
2020-02-28 3385.47 buy 48.17361020707608 163090.31214774985
2020-04-10 2780.3 sell 48.17361020707608 133937.08845873363
2020-04-24 2795.26 buy 47.915789035271715 133937.08845873363
2020-05-18 3056.78 sell 47.915789035271715 146468.02560723788
2020-05-21 2915.3 buy 50.24115034721568 146468.02560723788
2020-06-08 3095.87 sell 50.24115034721568 155540.0701254346
2020-06-12 3033.48 buy 51.27446699020089 155540.0701254346
2020-06-29 3265.25 sell 51.27446699020089 167423.95333975347
2020-07-16 3417.42 buy 48.99133069384315 167423.95333975347
2020-08-07 3611.11 sell 48.99133069384315 176913.08418184397
2020-08-12 3503.6 buy 50.494658117891305 176913.08418184397
2020-08-25 3482.56 sell 50.494658117891305 175850.67657504353
2020-09-07 3481.92 buy 50.50393937110661 175850.67657504353
2020-10-15 3358.56 sell 50.50393937110661 169620.5106142238
2020-10-22 3262.62 buy 51.989048866930204 169620.5106142238
2020-11-11 3341.34 sell 51.989048866930204 173713.08854102858
2020-11-25 3273.91 buy 53.05982404556894 173713.08854102858
2020-12-07 3332.31 sell 53.05982404556894 176811.78226528983
2020-12-09 3251.81 buy 54.37334354260853 176811.78226528983
2021-01-07 3235.5 sell 54.37334354260853 175924.95303210992
2021-01-25 3180.91 buy 55.30648557554597 175924.95303210992
2021-02-22 3053.56 sell 55.30648557554597 168881.67209406415
2021-03-08 2904.52 buy 58.144434224609974 168881.67209406415
2021-03-24 2871.83 sell 58.144434224609974 166980.93053926167
2021-04-12 2901.53 buy 57.549269019883184 166980.93053926167
2021-04-23 3016.67 sell 57.549269019883184 173607.15337421102
2021-04-30 2970.24 buy 58.44886385417038 173607.15337421102
2021-05-21 3045.95 sell 58.44886385417038 178032.31685661027
2021-07-02 3346.63 buy 53.19749026830282 178032.31685661027
2021-07-14 3375.31 sell 53.19749026830282 179558.0208775052
2021-07-28 3436.81 buy 52.24554772521763 179558.0208775052
2021-08-03 3506.12 sell 52.24554772521763 183179.15979034003
2021-08-17 3361.85 buy 54.48760646380416 183179.15979034003
2021-09-13 3358.61 sell 54.48760646380416 183002.6199453973
2021-09-16 3244.19 buy 56.40934098970693 183002.6199453973
2021-10-20 3211.57 sell 56.40934098970693 181162.54724231307
2021-10-27 3145.03 buy 57.60280418384342 181162.54724231307
2021-11-18 3525.82 sell 57.60280418384342 203097.1190474788
2021-12-06 3453.32 buy 58.8121341339577 203097.1190474788
2021-12-15 3553.36 sell 58.8121341339577 208980.68494623993
2021-12-17 3411.61 buy 61.255737011627915 208980.68494623993
2022-01-05 3467.19 sell 61.255737011627915 212385.2788093462
2022-01-07 3458.27 buy 61.413735425327175 212385.2788093462
2022-01-19 3371.92 sell 61.413735425327175 207082.20275536922
2022-02-11 3045.13 buy 68.00438823806182 207082.2027553692
2022-02-22 3181.6 sell 68.00438823806182 216362.76161821748
2022-03-03 3033.16 buy 71.33245909158023 216362.76161821748
2022-05-24 2442.37 sell 71.33245909158023 174220.2581115028
2022-07-11 2615.96 buy 66.59897632666508 174220.2581115028
2022-07-22 2661.4 sell 66.59897632666508 177246.51559578645
2022-08-24 2750.23 buy 64.44788821145374 177246.51559578642
2022-10-19 2409.75 sell 64.44788821145374 155303.29861755067
2022-10-28 2354.76 buy 65.95292030506322 155303.29861755067
2022-11-09 2445.65 sell 65.95292030506322 161297.75954407785
2022-11-25 2443.72 buy 66.00500857057186 161297.75954407785
2022-12-08 2527.09 sell 66.00500857057186 166800.59710860645
2022-12-16 2447.2 buy 68.1597732545793 166800.59710860645
2023-02-08 2798.36 sell 68.1597732545793 190735.58308468456
2023-02-27 2776.54 buy 68.6954205899013 190735.58308468456
2023-03-07 2772.06 sell 68.6954205899013 190427.82760044181
2023-03-10 2768.71 buy 68.77853859755692 190427.82760044181
2023-03-28 2970.3 sell 68.77853859755692 204292.89319632333
2023-04-18 3093.78 buy 66.03342616356797 204292.8931963233
2023-05-23 2788.73 sell 66.03342616356797 184149.3965451269
2023-06-26 2940.12 buy 62.63329270408245 184149.3965451269
2023-07-12 2988.81 sell 62.63329270408245 187199.01156688866
2023-07-20 2892.4 buy 64.72099694609621 187199.0115668887
2023-08-07 2906.58 sell 64.72099694609621 188116.7553035843
2023-08-09 2863.08 buy 65.70433075694159 188116.7553035843
2023-09-07 2756.25 sell 65.70433075694159 181097.56164882024
2023-09-13 2699.9 buy 67.07565526457284 181097.56164882024
2023-10-16 2750.49 sell 67.07565526457284 184490.91904865496
2023-10-19 2638.6 buy 69.9200026713617 184490.91904865496
2023-11-02 2745.94 sell 69.9200026713617 191996.13213539895
2023-11-21 2750.67 buy 69.79976955992501 191996.13213539895
2024-01-02 2583.22 sell 69.79976955992501 180308.16072258947
2024-01-05 2454.89 buy 73.44857029137333 180308.16072258947
2024-02-28 2456.27 sell 73.44857029137333 180409.51974959156
2024-03-25 2476.23 buy 72.85652776583417 180409.51974959156