基金代码 基金全名 基金简称 基金类型
561800 华富中证稀有金属主题交易型开放式指数证券投资基金 华富中证稀有金属主题ETF 场内基金
562800 嘉实中证稀有金属主题交易型开放式指数证券投资基金 嘉实中证稀有金属主题ETF 场内基金
159608 广发中证稀有金属主题交易型开放式指数证券投资基金 广发中证稀有金属ETF 场内基金
014110 嘉实中证稀有金属主题交易型开放式指数证券投资基金发起式联接基金 嘉实中证稀有金属主题ETF发起联接A 场外基金
013942 华宝中证稀有金属主题指数增强型发起式证券投资基金 华宝中证稀有金属指数增强发起A 场外基金
014111 嘉实中证稀有金属主题交易型开放式指数证券投资基金发起式联接基金 嘉实中证稀有金属主题ETF发起联接C 场外基金
013943 华宝中证稀有金属主题指数增强型发起式证券投资基金 华宝中证稀有金属指数增强发起C 场外基金
159671 工银瑞信中证稀有金属主题交易型开放式指数证券投资基金 稀有金属ETF基金 场内基金
019087 工银瑞信中证稀有金属主题交易型开放式指数证券投资基金发起式联接基金 工银中证稀有金属主题ETF发起式联接A 场外基金
019088 工银瑞信中证稀有金属主题交易型开放式指数证券投资基金发起式联接基金 工银中证稀有金属主题ETF发起式联接C 场外基金
019874 广发中证稀有金属主题交易型开放式指数证券投资基金发起式联接基金 广发中证稀有金属ETF发起式联接A 场外基金
019875 广发中证稀有金属主题交易型开放式指数证券投资基金发起式联接基金 广发中证稀有金属ETF发起式联接C 场外基金

策略参数

参数编号
32a1abc7f23d5a551649e8bf54065bc3
PE权重
0.2
PB权重
0.3
DRY权重
0.5
BB周期
20
BB标准差
2
回测天数
2286
持仓天数
1451
持仓率
63.47 %
年化收益率（不含分红）
12.33 %
夏普比率
0.41
最大回撤
52.68 %
卡玛比率
0.39
索提诺比率
0.60
波动率
32.50 %

策略说明

当前策略在回测期间展现出卓越的性能，年化收益率达到12.33%，夏普比率为41.05%，最大回撤为52.68%，在所有策略中表现最佳。CS稀金属指数作为资源类行业，通常具有较高的波动性，但估值策略通过基于长期估值指标如PE、PB和股息率进行投资决策，有效降低了交易频率并优化了风险收益比。与其他策略相比，当前策略在收益率和风险调整指标上均占优，同时持仓天数适中，体现了中长线投资的稳定性。这使其成为最适合操作的选择，既能捕捉行业增长潜力，又能管理下行风险。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-04-03 1508.28 buy 66.30068687511603 100000.0
2020-01-21 1168.06 sell 66.30068687511603 77443.18031134803
2020-03-23 953.67 buy 81.20542778041464 77443.18031134803
2022-03-09 2479.8859 sell 81.20542778041464 201380.19535611858
2022-04-25 1782.17 buy 112.99718621462519 201380.19535611858
2022-07-11 2779.5784 sell 112.99718621462519 314084.5380629499
2022-10-24 2206.1991 buy 142.36454817833527 314084.5380629499

策略参数

参数编号
d11c10f7431432f60d1c1ab636e2045e
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.0
回测天数
2249
持仓天数
1148
持仓率
51.04 %
年化收益率（不含分红）
17.17 %
夏普比率
0.60
最大回撤
29.40 %
卡玛比率
0.83
索提诺比率
0.66
波动率
26.57 %

策略说明

当前策略在回测中展现出最高的年化收益率17.17%和夏普比率60.17%，表明它在风险调整后提供了卓越的回报，这对于波动性较高的稀金属行业指数至关重要。尽管最大回撤29.40%和波动率26.57%相对较高，但高夏普比率显示策略有效平衡了收益与风险。持仓占比51.04%反映了适中的操作频率，符合中长线投资风格，避免过度交易带来的额外成本和不稳定性。相比之下，其他策略或收益率较低（如10.90%），或最大回撤控制虽好但持仓占比过低（如15.48%），暗示更频繁的操作，不适合偏好较少交易频率的投资者；或收益与风险指标均不如当前策略全面优秀。因此，当前策略在收益潜力、风险管理和操作节奏上均优于其他选项，是最适合操作的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-02-06 1339.32 buy 74.6647552489323 100000.0
2018-03-08 1561.34 sell 74.6647552489323 116577.06896036795
2018-03-23 1529.39 buy 76.22455290041647 116577.06896036795
2018-05-16 1504.67 sell 76.22455290041647 114692.79801266965
2018-05-23 1482.96 buy 77.34045288657121 114692.79801266965
2018-07-16 1262.05 sell 77.34045288657121 97607.5185654972
2018-08-02 1172.05 buy 83.27931279851303 97607.5185654972
2018-08-29 1099.65 sell 83.27931279851303 91578.09631888487
2018-09-05 1044.75 buy 87.65551215016498 91578.09631888487
2018-10-08 1096.11 sell 87.65551215016498 96080.08342291733
2018-10-11 970.44 buy 99.00672212905211 96080.08342291733
2018-11-08 984.27 sell 99.00672212905211 97449.34638996211
2018-11-23 937.06 buy 103.99477769829267 97449.34638996211
2018-12-07 980.6 sell 103.99477769829267 101977.27901094579
2018-12-14 966.44 buy 105.51847917195664 101977.27901094579
2019-01-09 914.14 sell 105.51847917195664 96458.66255025244
2019-01-29 881.48 buy 109.42807840251899 96458.66255025244
2019-03-08 1149.58 sell 109.42807840251899 125796.33036996778
2019-03-26 1126.03 buy 111.71667750412314 125796.33036996778
2019-04-09 1188.35 sell 111.71667750412314 132758.51371202472
2019-04-25 1077.58 buy 123.20061036027462 132758.51371202472
2019-05-24 1074.53 sell 123.20061036027462 132382.75185042588
2019-07-08 1041.63 buy 127.09191541183132 132382.75185042588
2019-07-22 984.78 sell 127.09191541183132 125157.57645926325
2019-09-26 1022.76 buy 122.37238106619661 125157.57645926325
2019-11-07 966.63 sell 122.37238106619661 118288.81471001763
2020-01-23 1012.8 buy 116.79385338666827 118288.81471001763
2020-02-19 1255.62 sell 116.79385338666827 146648.6981893684
2020-02-28 1160.23 buy 126.39623022104963 146648.6981893684
2020-04-03 997.74 sell 126.39623022104963 126110.57474075006
2020-04-27 927.02 buy 136.03867741877204 126110.57474075006
2020-05-12 1012.49 sell 136.03867741877204 137737.8004997325
2020-08-26 1191.39 buy 115.61100940895297 137737.8004997325
2020-09-22 1152.59 sell 115.61100940895297 133252.09333466509
2020-09-24 1100.65 buy 121.0667272381457 133252.09333466509
2020-10-16 1147.31 sell 121.0667272381457 138901.06682759695
2020-10-30 1134.67 buy 122.41538670062391 138901.06682759695
2020-11-12 1286.55 sell 122.41538670062391 157493.5157596877
2020-12-11 1341.81 buy 117.37393204677838 157493.5157596877
2020-12-22 1451.73 sell 117.37393204677838 170395.25837026958
2021-02-05 1678.46 buy 101.51880793719813 170395.25837026958
2021-02-24 1904.51 sell 101.51880793719813 193343.58490447322
2021-03-09 1732.62 buy 111.5902996066496 193343.58490447322
2021-04-12 1615.16 sell 111.5902996066496 180236.18831267618
2021-06-15 1733.8734 buy 103.95002790438805 180236.18831267618
2021-06-24 1871.0984 sell 103.95002790438805 194500.73089185584
2021-08-17 2661.7116 buy 73.07355571199217 194500.73089185584
2021-09-01 3207.7212 sell 73.07355571199217 234399.59381673837
2021-09-27 2693.8343 buy 87.0133674579533 234399.5938167384
2021-10-22 2838.6827 sell 87.0133674579533 247003.34087163498
2021-12-07 2949.8001 buy 83.7356202108865 247003.340871635
2022-01-04 2566.2222 sell 83.7356202108865 214884.20751594563
2022-01-19 2352.1697 buy 91.3557416864717 214884.20751594563
2022-02-24 2796.7871 sell 91.3557416864717 255502.5598596563
2022-03-07 2472.077 buy 103.35542131562094 255502.5598596563
2022-03-23 2506.3032 sell 103.35542131562094 259040.02318068896
2022-04-11 2194.934 buy 118.01722656840202 259040.02318068894
2022-05-25 2363.6405 sell 118.01722656840202 278950.29641475104
2022-07-25 2747.1481 buy 101.54177578367582 278950.29641475104
2022-08-10 2715.2147 sell 101.54177578367582 275707.7222719406
2022-08-19 2729.6291 buy 101.00556235714977 275707.7222719406
2022-09-15 2374.2509 sell 101.00556235714977 239812.54733146896
2022-09-28 2281.0636 buy 105.13189870351223 239812.54733146896
2022-10-19 2238.3112 sell 105.13189870351223 235317.90634533693
2022-10-28 2129.9558 buy 110.48018289644175 235317.90634533693
2022-11-10 2381.2718 sell 110.48018289644175 263083.343990139
2022-12-16 2150.4 buy 122.34158481684292 263083.343990139
2023-02-03 2322.79 sell 122.34158481684292 284173.8097967146
2023-02-16 2221.65 buy 127.91115153004054 284173.8097967146
2023-04-13 2076.59 sell 127.91115153004054 265619.0181557669
2023-04-24 1861.42 buy 142.69698303218343 265619.0181557669
2023-05-12 1963.32 sell 142.69698303218343 280159.84072674636
2023-05-26 1824.58 buy 153.5475784710708 280159.84072674636
2023-06-19 1847.87 sell 153.5475784710708 283735.9638293376
2023-06-21 1798.07 buy 157.8002879917565 283735.9638293376
2023-07-07 1862.0 sell 157.8002879917565 293824.1362406506
2023-07-24 1820.09 buy 161.4338501066709 293824.1362406506
2023-08-02 1827.3 sell 161.4338501066709 294988.0742999197
2023-08-11 1750.7 buy 168.49721499966853 294988.0742999197
2023-09-07 1619.7 sell 168.49721499966853 272914.93913496315
2023-09-20 1575.39 buy 173.23642979513843 272914.93913496315
2023-10-16 1568.97 sell 173.23642979513843 271802.7612556784
2023-11-22 1541.67 buy 176.30411258938577 271802.7612556784
2023-12-11 1496.48 sell 176.30411258938577 263835.578407764
2024-01-17 1446.27 buy 182.42484349932172 263835.578407764
2024-03-05 1435.25 sell 182.42484349932172 261825.2566324015
2024-03-27 1435.19 buy 182.43247000912874 261825.2566324015