基金代码 基金全名 基金简称 基金类型
011667 西藏东财中证高端装备制造指数增强型发起式证券投资基金 东财高端制造增强A 场外基金
011668 西藏东财中证高端装备制造指数增强型发起式证券投资基金 东财高端制造增强C 场外基金
012212 天弘中证高端装备制造指数增强型证券投资基金 天弘中证高端装备制造指数增强A 场外基金
012213 天弘中证高端装备制造指数增强型证券投资基金 天弘中证高端装备制造指数增强C 场外基金
020987 西藏东财中证高端装备制造指数增强型发起式证券投资基金 东财高端制造增强E 场外基金
022559 天弘中证高端装备制造指数增强型证券投资基金 天弘中证高端装备制造指数增强E 场外基金

策略参数

参数编号
e41a963d9912673cc5f8fdcf0a8c3f71
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
15
BB标准差
2.0
回测天数
2548
持仓天数
1730
持仓率
67.90 %
年化收益率（不含分红）
7.04 %
夏普比率
0.25
最大回撤
38.67 %
卡玛比率
0.40
索提诺比率
0.31
波动率
21.48 %

策略说明

当前策略针对中证高装指数（代码930599），属于高端装备行业，该行业通常具有成长性和一定波动性。策略展现出最高的年化收益率（7.04%）和夏普比率（24.96%），表明其在风险调整后能提供卓越回报，同时Sortino比率（30.83%）也较高，进一步强化了下跌风险控制能力。持仓天数长达1730天，持仓占比67.90%，体现了中长线操作风格，减少了交易频率，符合稳健投资偏好。尽管最大回撤（38.67%）相对较高，但考虑到行业特性和追求高收益的目标，这一回撤在可接受范围内，且Calmar比率（39.54%）显示了一定风险调整后的韧性。相比其他策略，当前策略在收益指标和持仓长期性上更为优秀，而其他策略要么收益率较低（如编号0年化4.80%），要么最大回撤改善有限但收益不足（如编号5年化5.73%），或持仓天数较短（如编号0仅146天），不适合中长线操作。因此，基于指数数据表现（如收益率、夏普比率）和个人操作风格（中长线、低频率）的综合评估，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
2017-04-14 5071.707 buy 19.717227355602365 100000.00000000001
2017-07-11 4925.8647 sell 19.717227355602365 97124.39421283604
2017-07-17 4761.2754 buy 20.398818814983066 97124.39421283604
2017-08-02 4905.6898 sell 20.398818814983066 100070.27739271052
2017-08-11 4983.4802 buy 20.080400317976686 100070.27739271052
2017-08-23 4978.619 sell 20.080400317976686 99972.66255068476
2017-09-25 5186.94 buy 19.273919218399435 99972.66255068476
2017-10-19 5307.04 sell 19.273919218399435 102287.46024881453
2017-11-17 5471.231 buy 18.695511165369282 102287.46024881455
2017-12-14 5190.462 sell 18.695511165369282 97038.34027442499
2017-12-18 5194.57 buy 18.68072627270881 97038.340274425
2018-01-08 5219.7512 sell 18.68072627270881 97508.74337884333
2018-01-11 5137.7367 buy 18.978929647921294 97508.74337884333
2018-03-16 4934.36 sell 18.978929647921294 93648.87129751692
2018-03-22 4660.124 buy 20.095789575023524 93648.87129751692
2018-05-11 4715.5984 sell 20.095789575023524 94763.6731667176
2018-05-24 4621.1066 buy 20.506705724277733 94763.67316671762
2018-07-19 3965.4315 sell 20.506705724277733 81317.93684028124
2018-08-01 3805.8507 buy 21.3665598706437 81317.93684028124
2018-08-30 3727.9567 sell 21.3665598706437 79653.61002571732
2018-09-07 3613.2899 buy 22.04462200105154 79653.61002571732
2018-09-27 3712.1699 sell 22.04462200105154 81833.38224918129
2018-10-08 3551.7014 buy 23.040614351527775 81833.38224918129
2018-11-20 3516.1219 sell 23.040614351527775 81013.60871086111
2018-11-23 3387.5052 buy 23.915419734517634 81013.60871086111
2018-12-05 3440.2247 sell 23.915419734517634 82274.41768155502
2018-12-14 3404.8265 buy 24.16405584294971 82274.41768155502
2019-01-17 3426.73 sell 24.16405584294971 82803.69507871107
2019-01-29 3387.38 buy 24.444761166066716 82803.69507871107
2019-03-08 4420.71 sell 24.444761166066716 108063.20013444278
2019-03-26 4241.71 buy 25.476329153676886 108063.20013444278
2019-04-11 4425.02 sell 25.476329153676886 112733.2660316033
2019-04-23 4498.21 buy 25.06180592537994 112733.2660316033
2019-06-14 3775.74 sell 25.06180592537994 94626.86310469404
2019-07-09 3918.76 buy 24.147144276427756 94626.86310469404
2019-08-02 3930.88 sell 24.147144276427756 94919.52649332435
2019-08-13 3923.82 buy 24.19059143725358 94919.52649332435
2019-08-30 4197.56 sell 24.19059143725358 101541.45899335814
2019-09-25 4250.07 buy 23.891714487845647 101541.45899335814
2019-10-29 4244.28 sell 23.891714487845647 101403.12596647351
2019-10-31 4255.48 buy 23.82883387220091 101403.12596647351
2019-11-11 4226.58 sell 23.82883387220091 100714.47266756692
2019-11-15 4263.33 buy 23.623428791007715 100714.47266756692
2019-11-20 4288.67 sell 23.623428791007715 101313.09035313106
2019-11-22 4227.83 buy 23.96337845966632 101313.09035313106
2019-12-23 4615.22 sell 23.96337845966632 110596.2635346212
2020-02-03 4689.21 buy 23.585265649143714 110596.2635346212
2020-02-13 5032.23 sell 23.585265649143714 118686.48135759047
2020-02-28 5358.55 buy 22.148992051504692 118686.48135759047
2020-04-10 4524.7 sell 22.148992051504692 100217.54433544328
2020-04-27 4655.39 buy 21.527207030011077 100217.54433544328
2020-05-18 4984.94 sell 21.527207030011077 107311.83541218341
2020-05-22 4702.59 buy 22.81973027888534 107311.83541218343
2020-06-15 5112.63 sell 22.81973027888534 116668.83761573756
2020-07-24 5800.19 buy 20.11465790185107 116668.83761573756
2020-08-10 6127.86 sell 20.11465790185107 123259.8075704371
2020-08-19 6046.36 buy 20.38578708023292 123259.80757043711
2020-08-25 6049.24 sell 20.38578708023292 123318.51863722818
2020-09-07 6018.12 buy 20.491203006458523 123318.51863722816
2020-10-16 6200.8 sell 20.491203006458523 127061.85160244802
2020-10-23 6092.19 buy 20.856514915399558 127061.85160244802
2020-11-11 6334.28 sell 20.856514915399558 132111.00529831712
2020-11-18 6261.82 buy 21.097860573813545 132111.00529831712
2020-11-25 6288.77 sell 21.097860573813545 132679.59264078143
2020-12-11 6380.56 buy 20.794349185773886 132679.59264078143
2021-01-15 7612.94 sell 20.794349185773886 158306.13269034543
2021-01-28 7203.91 buy 21.97502921196204 158306.13269034543
2021-02-18 7489.52 sell 21.97502921196204 164582.42078357394
2021-02-24 7072.77 buy 23.269867503619363 164582.42078357394
2021-03-31 6520.5 sell 23.269867503619363 151731.17105735006
2021-04-12 6291.5805 buy 24.116542903225994 151731.17105735006
2021-04-26 6557.1733 sell 24.116542903225994 158136.35121333797
2021-05-07 6367.0244 buy 24.83677480697859 158136.35121333797
2021-05-21 6587.7706 sell 24.83677480697859 163618.97487223422
2021-06-16 6822.6993 buy 23.981560329389602 163618.97487223422
2021-07-02 7293.4908 sell 23.981560329389602 174909.28963204802
2021-07-27 7442.6959 buy 23.50079755805259 174909.28963204802
2021-08-12 7981.4976 sell 23.50079755805259 187571.5593076826
2021-08-17 7717.6342 buy 24.304282173374137 187571.5593076826
2021-09-01 8021.6764 sell 24.304282173374137 194961.08672909602
2021-09-13 7868.7227 buy 24.776713344987492 194961.08672909602
2021-11-15 8247.857 sell 24.776713344987492 204354.7885994485
2021-12-06 8298.8374 buy 24.62450807861936 204354.7885994485
2021-12-15 8529.0165 sell 24.62450807861936 210022.8357069278
2021-12-17 8089.9219 buy 25.96104613901499 210022.8357069278
2022-03-03 7070.4807 sell 25.96104613901499 183557.075677715
2022-03-25 6485.2233 buy 28.30389443609675 183557.075677715
2022-05-24 6037.7194 sell 28.30389443609675 170890.97253237342
2022-07-11 6824.3528 buy 25.041344951036738 170890.97253237342
2022-08-02 6822.0744 sell 25.041344951036738 170833.918332037
2022-08-24 6747.4676 buy 25.318227290492953 170833.918332037
2022-10-19 5966.8458 sell 25.318227290492953 151069.95817172326
2022-10-28 5811.1289 buy 25.9966627433997 151069.95817172326
2022-11-09 5961.2689 sell 25.9966627433997 154973.0971160173
2022-11-22 5988.2673 buy 25.879455500594855 154973.0971160173
2022-12-12 5900.4856 sell 25.879455500594855 152701.35451710073
2022-12-16 5830.82 buy 26.188658630707298 152701.35451710073
2023-02-06 6200.88 sell 26.188658630707298 162392.72952998028
2023-02-16 6022.65 buy 26.963667078442263 162392.72952998028
2023-03-28 6037.65 sell 26.963667078442263 162797.1845361569
2023-04-21 5924.74 buy 27.477523829932945 162797.1845361569
2023-06-26 5860.15 sell 27.477523829932945 161022.41127198155
2023-07-07 5935.33 buy 27.129479114384804 161022.41127198155
2023-07-12 6014.38 sell 27.129479114384804 163166.99659597367
2023-07-19 5810.49 buy 28.081452097150787 163166.99659597367
2023-08-08 5860.6 sell 28.081452097150787 164574.15816056193
2023-08-11 5686.45 buy 28.9414587590785 164574.15816056193
2023-09-07 5401.88 sell 28.9414587590785 156338.28724149097
2023-09-13 5305.89 buy 29.465044929595404 156338.28724149097
2023-10-13 5173.77 sell 29.465044929595404 152445.36550539284
2023-11-22 5114.76 buy 29.80498899369527 152445.36550539284
2024-01-03 4727.67 sell 29.80498899369527 140908.15231582333
2024-01-26 4378.78 buy 32.179774347152254 140908.15231582333
2024-03-21 5034.77 sell 32.179774347152254 162017.76248981178
2024-03-25 4981.63 buy 32.52304215483923 162017.76248981175