基金代码 基金全名 基金简称 基金类型
515920 博时中证智能消费主题交易型开放式指数证券投资基金 博时智能消费ETF 场内基金

策略参数

参数编号
b1382dff26100b7009cf6be48ee5a95e
PE权重
0.4
PB权重
0.3
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
2493
持仓天数
1480
持仓率
59.37 %
年化收益率（不含分红）
8.70 %
夏普比率
0.33
最大回撤
32.71 %
卡玛比率
0.51
索提诺比率
0.36
波动率
21.17 %

策略说明

当前策略在回测期间表现出最佳的风险调整后回报，年化收益率高达8.70%，同时最大回撤控制在相对较低的32.71%，夏普比率达到32.57%，表明每单位风险获得的超额回报较高，并且Calmar比率也为51.04%，凸显了良好的收益回撤平衡。与其他策略相比，当前策略在波动率相似的情况下，实现了更高的收益和更低的回撤，显示出更优的稳定性和盈利能力。消费行业指数如CS智消费通常受益于长期消费升级趋势，具有防御性和增长潜力，采用估值策略可以捕捉行业低估时的投资机会，而当前策略的均衡型参数设置有效平衡了持仓时间和估值敏感性，减少了不必要的交易频率，符合中长线投资风格。考虑到指数的特性和投资目标，选择当前策略能够最大化收益同时有效管理风险，提供稳健的长期回报，适合在消费行业中进行持久布局。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-09-10 2077.77 buy 48.12852240623361 100000.0
2021-04-30 3408.25 sell 48.12852240623361 164034.0364910457
2022-03-08 2803.67 buy 58.506898633236325 164034.0364910457
2023-08-07 2640.12 sell 58.506898633236325 154465.23321957988
2024-01-31 2026.77 buy 76.21251213486478 154465.23321957988

策略参数

参数编号
81251a51855d399eb91daa468397787d
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
2457
持仓天数
1607
持仓率
65.40 %
年化收益率（不含分红）
8.85 %
夏普比率
0.33
最大回撤
34.74 %
卡玛比率
0.49
索提诺比率
0.39
波动率
21.49 %

策略说明

当前策略在CS智消费指数（股票代码930648）的回测中展现出卓越的综合表现，年化收益率达到8.85%，为所有策略中最高，同时夏普比率为33.08%，远高于其他策略，这表明该策略在风险调整后收益方面具有显著优势。最大回撤为34.74%，虽然略高于一些策略，但整体风险可控，波动率21.49%处于中等水平，确保了操作的稳定性。消费行业通常具有周期性波动，该策略通过布林线模型的中线聚焦，在持仓占比65.40%的情况下实现了较高的收益效率，减少了频繁交易频率，符合中长线投资偏好。相比于其他策略，它在收益性、风险管理和操作简洁性方面取得了更优平衡，特别适合追求稳健增长的投资者。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-08-03 2470.04 buy 40.485174329160664 100000.0
2017-08-23 2575.34 sell 40.485174329160664 104263.08885686063
2017-09-14 2621.34 buy 39.77472928229861 104263.08885686065
2017-10-16 2706.99 sell 39.77472928229861 107669.7944198895
2017-11-03 2790.22 buy 38.58828136128675 107669.7944198895
2017-11-15 2870.61 sell 38.58828136128675 110771.90635852335
2017-11-23 2747.92 buy 40.31118313434283 110771.90635852337
2017-12-12 2744.35 sell 40.31118313434283 110627.99543473375
2017-12-25 2686.45 buy 41.179994206009326 110627.99543473375
2018-01-15 2744.39 sell 41.179994206009326 113013.96429902993
2018-01-17 2714.29 buy 41.636657947024794 113013.96429902993
2018-03-07 2679.69 sell 41.636657947024794 111573.33593406287
2018-03-22 2569.53 buy 43.421690322379135 111573.33593406287
2018-04-26 2565.68 sell 43.421690322379135 111406.1624263217
2018-05-25 2666.28 buy 41.783369498447904 111406.16242632168
2018-06-07 2630.04 sell 41.783369498447904 109891.93311569792
2018-06-13 2588.45 buy 42.45472507318972 109891.93311569793
2018-07-17 2359.24 sell 42.45472507318972 100160.8855816721
2018-07-27 2330.2 buy 42.98381494364094 100160.8855816721
2018-08-30 2161.42 sell 42.98381494364094 92906.0772954844
2018-09-05 2140.13 buy 43.41141766877919 92906.0772954844
2018-09-27 2129.81 sell 43.41141766877919 92458.0714651426
2018-10-08 2028.93 buy 45.56986759776956 92458.0714651426
2018-11-07 1885.9 sell 45.56986759776956 85940.21330263361
2018-11-23 1866.75 buy 46.03734474494903 85940.21330263361
2018-12-05 1870.31 sell 46.03734474494903 86104.10624992562
2018-12-10 1860.17 buy 46.28829959085762 86104.10624992562
2019-01-14 1852.98 sell 46.28829959085762 85771.29337586735
2019-01-30 1834.26 buy 46.7607064297686 85771.29337586735
2019-02-28 2264.95 sell 46.7607064297686 105910.66202810437
2019-03-14 2336.51 buy 45.328572113153534 105910.66202810437
2019-03-25 2338.24 sell 45.328572113153534 105989.08045786011
2019-03-28 2406.18 buy 44.04869147688873 105989.08045786011
2019-04-08 2508.16 sell 44.04869147688873 110481.16601467322
2019-04-12 2443.87 buy 45.207464396499496 110481.16601467322
2019-04-18 2548.92 sell 45.207464396499496 115230.2101495255
2019-04-23 2499.96 buy 46.09282154495492 115230.2101495255
2019-06-12 2095.49 sell 46.09282154495492 96587.04661923758
2019-06-17 2052.47 buy 47.05893222275482 96587.04661923758
2019-06-25 2144.53 sell 47.05893222275482 100919.2919196644
2019-07-08 2150.71 buy 46.92370980730289 100919.2919196644
2019-07-31 2224.9 sell 46.92370980730289 104400.56195026821
2019-08-05 2097.38 buy 49.77665561332148 104400.56195026821
2019-08-26 2293.42 sell 49.77665561332148 114158.77751670375
2019-08-30 2318.91 buy 49.229498995952305 114158.77751670375
2019-09-11 2448.15 sell 49.229498995952305 120521.19796694064
2019-09-25 2357.14 buy 51.130267174177455 120521.19796694064
2019-10-30 2380.61 sell 51.130267174177455 121721.2253375186
2019-11-22 2389.01 buy 50.9504880002673 121721.2253375186
2019-12-12 2562.48 sell 50.9504880002673 130559.60649092495
2019-12-27 2611.61 buy 49.991999759123665 130559.60649092495
2020-01-21 2956.48 sell 49.991999759123665 147800.34744785394
2020-02-03 2705.39 buy 54.63180814886355 147800.34744785394
2020-02-14 3027.96 sell 54.63180814886355 165422.92980243286
2020-02-28 3100.26 buy 53.35776025315065 165422.92980243286
2020-04-10 2537.83 sell 53.35776025315065 135412.92470325332
2020-04-24 2569.89 buy 52.69210927442549 135412.92470325332
2020-05-14 2787.79 sell 52.69210927442549 146894.53531415065
2020-05-18 2775.46 buy 52.92619432964289 146894.53531415065
2020-06-11 2834.56 sell 52.92619432964289 150022.47339903255
2020-06-15 2866.18 buy 52.34230697270672 150022.47339903255
2020-07-15 3212.41 sell 52.34230697270672 168144.9503421928
2020-07-24 3203.02 buy 52.49575411399017 168144.9503421928
2020-07-30 3371.68 sell 52.49575411399017 176998.8842310584
2020-08-11 3311.51 buy 53.44959979920289 176998.8842310584
2020-08-25 3336.13 sell 53.44959979920289 178314.81337811475
2020-09-07 3278.64 buy 54.38682300530548 178314.81337811475
2020-09-21 3220.63 sell 54.38682300530548 175159.833775577
2020-09-24 3167.96 buy 55.291049689887814 175159.833775577
2020-10-15 3337.87 sell 55.291049689887814 184554.33602838582
2020-10-22 3275.33 buy 56.346791324350775 184554.33602838582
2020-10-30 3412.75 sell 56.346791324350775 192297.5120921781
2020-11-17 3442.86 buy 55.85400280353488 192297.5120921781
2020-12-03 3493.82 sell 55.85400280353488 195143.83207504626
2020-12-09 3407.04 buy 57.27664837367517 195143.83207504626
2020-12-22 3448.06 sell 57.27664837367517 197493.3201913344
2021-01-28 3721.63 buy 53.06635001097218 197493.3201913344
2021-02-18 3855.87 sell 53.06635001097218 204616.9470168073
2021-02-22 3679.89 buy 55.60409333344402 204616.9470168073
2021-03-29 3313.31 sell 55.60409333344402 184233.5984826334
2021-04-12 3267.95 buy 56.37589267970238 184233.5984826334
2021-04-30 3408.25 sell 56.37589267970238 192143.13622559563
2021-05-13 3351.28 buy 57.33425324819043 192143.13622559563
2021-06-02 3544.27 sell 57.33425324819043 203208.07375996388
2021-06-16 3589.84 buy 56.60644311723193 203208.07375996388
2021-06-29 3825.86 sell 56.60644311723193 216568.32646449297
2021-07-06 3757.88 buy 57.630452932103466 216568.32646449297
2021-07-13 3736.65 sell 57.630452932103466 215344.83194874442
2021-07-16 3721.37 buy 57.86708442018516 215344.83194874442
2021-08-06 3732.21 sell 57.86708442018516 215972.11114385925
2021-08-13 3622.95 buy 59.612225160120694 215972.11114385925
2021-09-13 3382.77 sell 59.612225160120694 201654.44690490147
2021-09-29 3314.11 buy 60.84724010515688 201654.44690490147
2021-10-12 3345.28 sell 60.84724010515688 203551.05537897922
2021-10-27 3329.01 buy 61.14462118737379 203551.05537897922
2021-11-08 3460.68 sell 61.14462118737379 211601.9676507207
2021-11-18 3492.39 buy 60.589443805165146 211601.9676507207
2021-11-24 3509.06 sell 60.589443805165146 212611.9936789528
2021-11-26 3452.42 buy 61.583467156068146 212611.9936789528
2021-12-15 3557.17 sell 61.583467156068146 219062.86186355093
2021-12-17 3424.68 buy 63.9659360476164 219062.86186355093
2021-12-29 3557.42 sell 63.9659360476164 227553.70021451154
2022-01-05 3445.07 buy 66.0519815894921 227553.70021451157
2022-02-24 3155.97 sell 66.0519815894921 208458.07233698937
2022-03-02 3043.45 buy 68.4940026407496 208458.07233698937
2022-05-16 2515.99 sell 68.4940026407496 172330.22570409958
2022-05-24 2477.45 buy 69.55951712611741 172330.22570409958
2022-06-09 2617.36 sell 69.55951712611741 182062.2977452147
2022-07-07 2733.58 buy 66.60214727398309 182062.2977452147
2022-07-29 2699.11 sell 66.60214727398309 179766.52172868053
2022-08-02 2630.0 buy 68.352289630677 179766.52172868053
2022-08-10 2748.53 sell 68.352289630677 187868.31861860468
2022-08-19 2691.81 buy 69.79256285495806 187868.31861860465
2022-09-14 2504.05 sell 69.79256285495806 174764.06701695776
2022-09-28 2322.68 buy 75.24242126205839 174764.06701695776
2022-10-19 2325.46 sell 75.24242126205839 174973.2409480663
2022-10-24 2251.93 buy 77.69923618765517 174973.2409480663
2022-11-08 2358.22 sell 77.69923618765517 183231.89276245216
2022-11-24 2373.07 buy 77.2130163722318 183231.89276245213
2022-12-08 2472.55 sell 77.2130163722318 190913.04363116177
2022-12-16 2400.82 buy 79.51993220281477 190913.04363116177
2023-01-04 2440.16 sell 79.51993220281477 194041.35776402047
2023-02-08 2637.17 buy 73.5793891800758 194041.35776402047
2023-02-16 2570.56 sell 73.5793891800758 189140.23465073563
2023-02-24 2573.71 buy 73.48933432699707 189140.23465073563
2023-03-02 2634.12 sell 73.48933432699707 193579.7253374295
2023-03-07 2571.47 buy 75.27979145680467 193579.7253374295
2023-03-28 2718.1 sell 75.27979145680467 204618.00115874078
2023-04-18 2787.81 buy 73.3973983731821 204618.00115874078
2023-05-23 2480.57 sell 73.3973983731821 182067.38448256435
2023-06-28 2615.9 buy 69.60028459901538 182067.38448256435
2023-07-12 2694.21 sell 69.60028459901538 187517.78276951323
2023-07-20 2598.99 buy 72.15025173991175 187517.78276951323
2023-08-03 2672.35 sell 72.15025173991175 192810.72523715315
2023-08-09 2600.04 buy 74.15683037074551 192810.72523715315
2023-09-06 2458.65 sell 74.15683037074551 182325.69099103345
2023-09-08 2477.32 buy 73.5979570628879 182325.69099103345
2023-10-16 2454.91 sell 73.5979570628879 180676.36077325413
2023-10-18 2401.09 buy 75.24764201810599 180676.36077325413
2023-11-01 2405.51 sell 75.24764201810599 181008.95535097417
2023-11-21 2421.4 buy 74.75384296315113 181008.95535097414
2024-01-02 2302.65 sell 74.75384296315113 172131.93649909995
2024-01-04 2255.43 buy 76.3188999432924 172131.93649909995
2024-02-28 2321.29 sell 76.3188999432924 177158.2992493652
2024-03-22 2322.84 buy 76.26797336422878 177158.2992493652