基金代码 基金全名 基金简称 基金类型
001617 天弘中证电子交易型开放式指数证券投资基金联接基金 天弘中证电子ETF联接A 场外基金
001618 天弘中证电子交易型开放式指数证券投资基金联接基金 天弘中证电子ETF联接C 场外基金
159997 天弘中证电子交易型开放式指数证券投资基金 天弘中证电子ETF 场内基金

策略参数

参数编号
7e14a150afa3f80453743e99e2249ad0
PE权重
0.3
PB权重
0.4
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
2493
持仓天数
1914
持仓率
76.77 %
年化收益率（不含分红）
8.50 %
夏普比率
0.30
最大回撤
45.02 %
卡玛比率
0.37
索提诺比率
0.38
波动率
27.01 %

策略说明

在选择最适合操作CS电子指数的量化策略时，考虑到该指数属于电子行业，通常具有高成长性和一定波动性，适合采用长线估值策略来稳健捕捉价值机会。当前策略作为估值模型的一部分，专注于基于2年内的估值指标进行投资，符合中长线操作风格，操作频率较低，持仓占比高达76.77%，显示出较高的持仓天数，有利于长期持有并减少交易成本。在指标比较中，当前策略展现出优异的性能：年化收益率为8.50%，是各策略中最高的；夏普比率达到30.00%，Sortino比率为38.40%，Calmar比率为36.75%，这些风险调整后收益指标均领先于其他策略，表明在相同最大回撤45.02%下，能提供更好的回报风险平衡。虽然波动率略高于某些策略，为27.01%，但通过更高的夏普比率补偿了这一点。相比之下，其他策略在年化收益率、夏普比率等关键指标上稍显不足，例如一些策略的收益率低于8%或夏普比率低于27%，风险调整表现不够突出。因此，综合考虑指数的行业特性、策略的长线定位以及风险收益指标的均衡表现，当前策略被选为最优选项，因为它不仅契合中长线投资风格，还在收益率和风险控制方面提供了更优的整体结果。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-07-17 5489.7271 buy 18.21584173100335 100000.00000000001
2017-11-15 6909.049 sell 18.21584173100335 125854.14309574697
2018-01-29 5969.2613 buy 21.083704795390172 125854.14309574697
2021-03-12 7234.97 sell 21.083704795390172 152539.97168350403
2021-05-10 7335.113 buy 20.795858452828746 152539.97168350403
2021-06-29 8769.8122 sell 20.795858452828746 182375.77316909068
2021-09-29 7930.6129 buy 22.996428582347107 182375.77316909068
2023-04-21 6333.32 sell 22.996428582347107 145643.74106915056
2024-01-30 4416.5 buy 32.97718579625282 145643.74106915056
2024-03-06 5292.42 sell 32.97718579625282 174529.11765180435

策略参数

参数编号
a38b7bb7aad65b48ea1af2a68674f92d
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
20
BB标准差
1.5
回测天数
2443
持仓天数
1657
持仓率
67.83 %
年化收益率（不含分红）
8.14 %
夏普比率
0.29
最大回撤
33.80 %
卡玛比率
0.49
索提诺比率
0.38
波动率
24.42 %

策略说明

在当前提供的策略中，选择基于布林线模型的中线估值策略，主要考虑到CS电子指数属于电子行业，通常具有较高的波动性和成长潜力，需要策略在风险和回报之间取得良好平衡。当前策略表现出优异的综合指标，年化收益率达到8.14%，在同类策略中最高，同时最大回撤控制在33.80%，显示出较强的风险控制能力。夏普比率为29.07%，表明风险调整后的回报率较高，适合追求稳健增长的投资者。此外，波动率保持在24.42%的适中水平，Sortino比率和Calmar比率也相对优越，进一步验证了下行风险管理效果。从个人风格偏好来看，更倾向于中长线操作和较少交易频率，当前策略持仓占比为67.83%，意味着持仓时间较长、操作频率较低，符合这一偏好。其他策略虽然在波动率或持仓占比上有所差异，但普遍在收益率、夏普比率或最大回撤方面表现不足，例如部分策略年化收益率低于6%或最大回撤超过40%，可能不适合在当前高波动的电子行业环境下实现长期资本增值。总体而言，当前策略在电子指数的特定市场中提供了平衡的风险收益特征，并契合中长线投资哲学，是操作该指数的优选方案。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-07-26 5695.1466 buy 17.55881051420169 100000.0
2017-08-24 5823.107 sell 17.55881051420169 102246.83241692145
2017-09-25 6016.23 buy 16.99516680993271 102246.83241692145
2017-11-02 6579.826 sell 16.99516680993271 111825.24045033229
2017-11-23 6462.503 buy 17.30370422270323 111825.24045033229
2018-01-12 6157.4748 sell 17.30370422270323 106547.12269794874
2018-01-26 5976.6469 buy 17.827240672014394 106547.12269794874
2018-03-16 6273.4851 sell 17.827240672014394 111838.92872999629
2018-03-23 6001.1391 buy 18.636283356604128 111838.92872999629
2018-05-23 5761.3251 sell 18.636283356604128 107369.68707311561
2018-05-25 5619.2011 buy 19.107642734679064 107369.68707311561
2018-07-26 5186.6512 sell 19.107642734679064 99104.67811899446
2018-08-01 4861.682 buy 20.38485407293082 99104.67811899446
2018-08-29 4746.9377 sell 20.38485407293082 96765.63230779387
2018-08-31 4684.2949 buy 20.657459526682207 96765.63230779387
2018-11-09 4104.6755 sell 20.657459526682207 84792.16801141406
2018-11-23 3917.702 buy 21.643342962638318 84792.16801141406
2019-01-17 3823.3054 sell 21.643342962638318 82749.11002310709
2019-01-31 3911.3236 buy 21.15629349182642 82749.11002310709
2019-03-14 5174.3169 sell 21.15629349182642 109469.36695611746
2019-03-28 5294.7639 buy 20.67502329161787 109469.36695611746
2019-04-08 5367.5141 sell 20.67502329161787 110973.47903558733
2019-04-11 5204.2875 buy 21.32347204791959 110973.47903558734
2019-06-12 4478.2402 sell 21.32347204791959 95491.62972856984
2019-06-14 4347.1605 buy 21.966437569666414 95491.62972856984
2019-06-25 4541.6239 sell 21.966437569666414 99763.2978642549
2019-07-22 4657.6466 buy 21.419250199071545 99763.2978642549
2019-08-02 4676.891 sell 21.419250199071545 100175.49848278592
2019-08-06 4533.6572 buy 22.095957868800916 100175.49848278592
2019-08-30 5209.8529 sell 22.095957868800916 115116.69018105027
2019-09-30 5367.7765 buy 21.445879905962975 115116.69018105027
2019-10-29 5517.8447 sell 21.445879905962975 118335.0347759543
2019-11-22 5384.491 buy 21.977014127417856 118335.03477595431
2019-12-23 6082.3969 sell 21.977014127417856 133672.92259986256
2020-02-03 6465.5485 buy 20.67464540709308 133672.92259986256
2020-02-28 7536.5337 sell 20.67464540709308 155815.16184610722
2020-03-09 7275.3291 buy 21.416922822928687 155815.16184610722
2020-04-21 6328.9519 sell 21.416922822928687 135546.67439232787
2020-05-25 6563.386 buy 20.651943126966458 135546.67439232787
2020-06-15 6959.2039 sell 20.651943126966458 143721.0831517632
2020-07-24 7786.0371 buy 18.4588233148495 143721.0831517632
2020-08-04 8517.6904 sell 18.4588233148495 157226.54214418976
2020-08-19 8073.1279 buy 19.475294345849488 157226.54214418976
2020-10-16 7805.0032 sell 19.475294345849488 152004.73469029716
2020-10-23 7734.1561 buy 19.653693657708455 152004.73469029716
2020-11-11 8114.3242 sell 19.653693657708455 159476.44206613023
2020-11-25 7857.1771 buy 20.29691325986915 159476.44206613023
2020-12-03 8138.221 sell 20.29691325986915 165180.76572664556
2020-12-09 7966.9648 buy 20.73321143914751 165180.76572664556
2021-01-25 8588.0439 sell 20.73321143914751 178057.730027381
2021-01-28 8177.2854 buy 21.774674762774087 178057.730027381
2021-04-12 7402.0697 sell 21.774674762774087 161177.66028888474
2021-05-07 7294.5215 buy 22.095713925702288 161177.66028888474
2021-06-03 7846.9635 sell 22.095713925702288 173384.26068142755
2021-06-16 8090.8901 buy 21.429565664404162 173384.26068142755
2021-07-02 8620.6594 sell 21.429565664404162 184736.986682763
2021-08-13 8653.1725 buy 21.349047032491608 184736.986682763
2021-10-27 7856.8548 sell 21.349047032491608 167736.36265265744
2021-12-07 8702.2525 buy 19.275051218366443 167736.36265265744
2021-12-15 8755.8948 sell 19.275051218366443 168770.3207326284
2021-12-17 8375.7755 buy 20.14981427482487 168770.3207326284
2022-03-02 7406.9903 sell 20.14981427482487 149249.47888042935
2022-06-22 6154.165 buy 24.251783772523055 149249.47888042935
2022-07-04 6265.3194 sell 24.251783772523055 151945.17135459388
2022-07-11 6044.1453 buy 25.139232068857424 151945.17135459388
2022-08-19 6477.4437 sell 25.139232068857424 162837.9603872585
2022-08-24 6137.729 buy 26.530653338923646 162837.9603872585
2022-10-28 5352.8904 sell 26.530653338923646 142015.67956365235
2022-11-25 5427.7624 buy 26.164682441451813 142015.67956365235
2022-12-16 5445.76 sell 26.164682441451813 142486.58105236062
2023-01-04 5425.88 buy 26.26054779176108 142486.58105236062
2023-02-08 6023.79 sell 26.26054779176108 158188.02518253247
2023-02-23 5846.72 buy 27.05585784551551 158188.02518253247
2023-04-13 6765.92 sell 27.05585784551551 183057.76971413032
2023-04-21 6333.32 buy 28.90391922627158 183057.76971413032
2023-06-06 5989.88 sell 28.90391922627158 173131.0076950596
2023-06-26 6050.52 buy 28.614236081371452 173131.0076950596
2023-07-05 6225.29 sell 28.614236081371452 178131.9177350009
2023-07-12 6246.24 buy 28.51826342487655 178131.9177350009
2023-07-17 6242.41 sell 28.51826342487655 178022.69278608361
2023-07-20 5981.52 buy 29.762116115315774 178022.69278608361
2023-09-07 5677.84 sell 29.762116115315774 168984.53336418452
2023-09-14 5554.78 buy 30.421462841765926 168984.53336418452
2023-10-16 5648.14 sell 30.421462841765926 171824.6811350918
2023-10-20 5354.98 buy 32.0868950276363 171824.68113509184
2023-11-01 5615.08 sell 32.0868950276363 180170.48253178006
2023-11-22 5739.49 buy 31.391374936062274 180170.48253178006
2024-03-14 5421.75 sell 31.391374936062274 170196.18705959563
2024-03-25 5280.41 buy 32.231623502643856 170196.18705959563