基金代码 基金全名 基金简称 基金类型
159766 富国中证旅游主题交易型开放式指数证券投资基金 富国中证旅游主题ETF 场内基金
562510 华夏中证旅游主题交易型开放式指数证券投资基金 华夏中证旅游主题ETF 场内基金

策略参数

参数编号
386c124d39cbad8f110307f1f0b4b12a
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
440
持仓率
19.25 %
年化收益率（不含分红）
7.50 %
夏普比率
0.33
最大回撤
30.49 %
卡玛比率
0.56
索提诺比率
0.22
波动率
13.38 %

策略说明

当前策略在回测中表现出优异的综合性能，年化收益率达到7.50%，同时夏普比率高达32.93%，表明其在风险调整后的收益非常出色，最大回撤为30.49%，在同组策略中处于较低水平，波动率仅为13.38%，显示策略的稳定性。相比其他策略，有的虽然收益率相近，但风险指标如夏普比率和波动率不如当前策略；有的收益率更高但伴随更大的最大回撤和更高波动率，不符合稳健投资的要求。中证旅游指数作为行业主题指数，受经济周期和消费趋势影响较大，当前策略采用高股息权重配置，强调股息收益，这在估值模型中能够更好地捕捉低估机会并提供防御性，适合中长线操作。策略的持仓天数440天，持仓占比19.25%，操作频率相对较低，与个人偏好中较少的操作频率相契合。因此，综合考虑收益率、风险控制和行业适应性，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
2018-06-26 3820.11 buy 26.17725667585488 100000.0
2019-04-08 4015.8662 sell 26.17725667585488 105124.36029328997
2020-03-30 3030.4976 buy 34.68881159757063 105124.36029328995
2020-08-31 4534.1908 sell 34.68881159757063 157285.69040863804
2024-03-28 2938.4 buy 53.52766485455964 157285.69040863804

策略参数

参数编号
3dec40016ec83a1caf2189d0e673eaba
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
20
BB标准差
2.0
回测天数
2235
持仓天数
1302
持仓率
58.26 %
年化收益率（不含分红）
10.00 %
夏普比率
0.38
最大回撤
25.56 %
卡玛比率
0.75
索提诺比率
0.43
波动率
21.47 %

策略说明

在当前的中证旅游指数量化策略中，所有策略均基于布林线模型，专注于中线估值，涉及旅游这一周期性行业，该行业易受经济波动影响，因此需要策略在收益和风险控制间取得平衡。经过综合评估，当前策略因其优秀的风险调整后收益而被选中，表现出最高的年化收益率和夏普比率，表明在给定风险下获得了最优回报，同时最大回撤处于较低水平，与部分策略相同，但波动率控制得当，Calmar比率较高，进一步验证了其风险收益效率。从操作风格来看，该策略的持仓占比适中，反映出合理的持仓周期，避免了过度交易，符合中长线投资偏好，而其他策略虽然在个别指标如波动率或持仓占比上有优势，但在综合收益和风险调整指标上均不及当前策略，特别是在周期性指数中维持稳定性的需求下。因此，当前策略在指数行业特性和个人投资风格的考量下，提供了最稳健且高效的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-03-23 4011.04 buy 24.931189915832302 100000.0
2018-05-14 4073.28 sell 24.931189915832302 101551.7172603614
2018-06-19 3952.94 buy 25.690174214726607 101551.7172603614
2018-07-19 3855.77 sell 25.690174214726607 99055.40303191642
2018-08-02 3528.03 buy 28.076689549668345 99055.40303191642
2018-11-09 3046.8044 sell 28.076689549668345 85544.18125736353
2018-12-21 2986.4229 buy 28.644362878868737 85544.18125736353
2019-01-22 2937.6844 sell 28.644362878868737 84148.09797719178
2019-01-30 2812.761 buy 29.916547469618564 84148.09797719178
2019-03-08 3411.1352 sell 29.916547469618564 102049.38813608683
2019-04-25 3688.6934 buy 27.665456862336896 102049.38813608683
2019-07-04 3429.406 sell 27.665456862336896 94876.08375643933
2019-08-05 3137.3851 buy 30.240496697851764 94876.08375643933
2019-09-17 3431.9885 sell 30.240496697851764 103785.03690131522
2019-10-08 3322.3466 buy 31.238473704494055 103785.03690131522
2019-11-11 3396.4648 sell 31.238473704494055 106100.37634303966
2019-11-15 3365.0848 buy 31.529777895356354 106100.37634303966
2020-01-08 3952.3965 sell 31.529777895356354 124618.18379938381
2020-01-20 3607.3436 buy 34.545692791610925 124618.18379938381
2020-03-06 3355.2104 sell 34.545692791610925 115908.06772961801
2020-03-16 3253.7795 buy 35.622594502675426 115908.067729618
2020-04-21 3298.1792 sell 35.622594502675426 117489.70023875844
2020-08-26 4354.841 buy 26.97910216211302 117489.70023875844
2020-09-17 4649.4276 sell 26.97910216211302 125437.38221574794
2020-10-15 4119.6648 buy 30.44844381896021 125437.38221574794
2020-11-23 4467.0499 sell 30.44844381896021 136014.71791664182
2020-12-09 4288.8897 buy 31.713270200593367 136014.71791664182
2021-02-26 4652.5042 sell 31.713270200593367 147546.1228039955
2021-05-06 4513.9697 buy 32.686555872095354 147546.1228039955
2021-05-31 4730.6295 sell 32.686555872095354 154627.98546193252
2021-06-15 4434.7378 buy 34.867447058974385 154627.98546193252
2021-09-13 3943.4042 sell 34.867447058974385 137496.43717563723
2021-11-29 3798.5895 buy 36.19670858765792 137496.43717563723
2022-01-11 4325.7207 sell 36.19670858765792 156576.85160949963
2022-03-07 4016.7677 buy 38.98080827763568 156576.85160949963
2022-04-13 4203.9999 sell 38.98080827763568 163875.31410109956
2022-04-25 3724.3736 buy 44.00077213013742 163875.31410109956
2022-06-09 3836.462 sell 44.00077213013742 168807.29024793126
2022-08-02 3976.7583 buy 42.44846619115154 168807.29024793126
2022-09-01 3894.5166 sell 42.44846619115154 165316.25622597843
2022-09-05 3968.1836 buy 41.6604353251141 165316.25622597843
2022-09-16 4129.2397 sell 41.6604353251141 172025.92346374356
2022-10-11 3843.3994 buy 44.75879437972113 172025.92346374356
2022-11-14 4186.7559 sell 44.75879437972113 187394.14644618428
2023-01-31 4483.05 buy 41.80059255332514 187394.14644618428
2023-02-15 4667.1 sell 41.80059255332514 195087.54550562377
2023-03-10 4580.16 buy 42.59404595158767 195087.54550562377
2023-04-12 4670.47 sell 42.59404595158767 198934.21379551166
2023-04-21 4236.86 buy 46.953218608949 198934.21379551166
2023-06-20 3777.93 sell 46.953218608949 177385.9731793067
2023-06-29 3633.43 buy 48.82052858574589 177385.9731793067
2023-07-26 3849.29 sell 48.82052858574589 187924.3724798258
2023-08-18 3597.91 buy 52.23153788722503 187924.3724798258
2023-09-19 3460.53 sell 52.23153788722503 180748.80380487884
2023-09-25 3377.54 buy 53.51492619032753 180748.80380487884
2023-11-22 3164.41 sell 53.51492619032753 169343.16758593434
2023-12-05 3042.18 buy 55.66507162164446 169343.16758593434
2024-01-12 2999.13 sell 55.66507162164446 166946.78625262255
2024-01-31 2730.78 buy 61.13520175650274 166946.78625262255
2024-03-22 2932.63 sell 61.13520175650274 179286.92672717263