| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 516670 | 招商中证畜牧养殖交易型开放式指数证券投资基金 | 招商中证畜牧养殖ETF | 场内基金 |
| 516760 | 平安中证畜牧养殖交易型开放式指数证券投资基金 | 平安中证畜牧养殖ETF | 场内基金 |
| 159865 | 国泰中证畜牧养殖交易型开放式指数证券投资基金 | 国泰中证畜牧养殖ETF | 场内基金 |
| 159867 | 鹏华中证畜牧养殖交易型开放式指数证券投资基金 | 畜牧ETF | 场内基金 |
| 012724 | 国泰中证畜牧养殖交易型开放式指数证券投资基金发起式联接基金 | 国泰中证畜牧养殖ETF联接A | 场外基金 |
| 012725 | 国泰中证畜牧养殖交易型开放式指数证券投资基金发起式联接基金 | 国泰中证畜牧养殖ETF联接C | 场外基金 |
| 014414 | 招商中证畜牧养殖交易型开放式指数证券投资基金联接基金 | 招商中证畜牧养殖ETF联接A | 场外基金 |
| 014415 | 招商中证畜牧养殖交易型开放式指数证券投资基金联接基金 | 招商中证畜牧养殖ETF联接C | 场外基金 |
| 022475 | 国泰中证畜牧养殖交易型开放式指数证券投资基金发起式联接基金 | 国泰中证畜牧养殖ETF联接E | 场外基金 |
当前指数为中证畜牧，属于农业/畜牧业，行业具有较强周期性，通常适合采用估值策略捕捉长期投资机会。当前策略基于valuation模型，专注于长线估值，利用2年内的估值指标进行决策，这符合中长线操作偏好，减少频繁交易。回测数据显示，策略持续天数2286天，持仓天数468天，持仓占比20.47%，表明策略交易频率较低，有助于降低操作成本。在绩效指标方面，年化收益率为4.42%，虽不高，但夏普比率达14.66%，Sortino比率为21.82%，这些风险调整指标表现优秀，说明策略在控制风险方面有效。最大回撤58.12%较高，反映出行业周期性带来的潜在波动，但Calmar比率为25.63%，显示策略在回撤后恢复能力较强，波动率25.61%属于行业中等水平。综合考虑，当前策略的估值方法能较好适应畜牧指数的长期趋势，尽管最大回撤存在，但高夏普比率和低操作频率弥补了短期风险，整体更适合稳健的中长线投资风格。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-02-06 | 1876.4 | buy | 53.293540822852265 | 100000.0 |
| 2019-05-20 | 2970.98 | sell | 53.293540822852265 | 158334.04391387763 |
| 2020-02-03 | 2685.49 | buy | 58.9590889982378 | 158334.04391387763 |
当前策略针对中证畜牧指数，该指数属于周期性较强的畜牧行业，通常具有较高的波动性和受供需影响的特性，适合采用中线估值模型进行投资。在评估所有布林线策略后，当前策略展现出最高的年化收益率，同时持仓占比较高，这意味着较少的交易频率和更长的持有期，非常符合中长线操作的个人风格偏好。其他策略虽然在夏普比率或波动率等风险调整指标上可能略有优势，但持仓占比普遍较低，暗示频繁交易，不适合追求稳定持有的投资者；而一些持仓占比高的策略则在收益率或最大回撤等关键数据上表现不佳。考虑到畜牧行业的周期性风险，当前策略的最大回撤控制在中等水平，夏普比率和Calmar比率也处于可接受范围，整体在收益、风险和操作频率之间达到了最佳平衡，因此被选为最适合操作的策略。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-02-01 | 2009.09 | buy | 49.77377817818017 | 100000.0 |
| 2018-03-09 | 1988.12 | sell | 49.77377817818017 | 98956.24387160355 |
| 2018-03-28 | 1903.17 | buy | 51.99548325772451 | 98956.24387160355 |
| 2018-04-03 | 1970.85 | sell | 51.99548325772451 | 102475.29817848634 |
| 2018-04-17 | 1894.67 | buy | 54.08609318693299 | 102475.29817848634 |
| 2018-05-07 | 1961.65 | sell | 54.08609318693299 | 106097.9847001471 |
| 2018-06-04 | 1978.07 | buy | 53.63712340824496 | 106097.9847001471 |
| 2018-07-23 | 1805.04 | sell | 53.63712340824496 | 96817.15323681849 |
| 2018-08-06 | 1689.68 | buy | 57.299105887989725 | 96817.15323681849 |
| 2018-09-25 | 1673.07 | sell | 57.299105887989725 | 95865.41508801897 |
| 2018-10-11 | 1584.22 | buy | 60.51269084345543 | 95865.41508801897 |
| 2018-11-02 | 1649.49 | sell | 60.51269084345543 | 99815.0784193713 |
| 2018-11-26 | 1675.16 | buy | 59.58539985396696 | 99815.0784193713 |
| 2018-12-03 | 1791.41 | sell | 59.58539985396696 | 106741.88115239496 |
| 2018-12-14 | 1743.68 | buy | 61.21643945700757 | 106741.88115239496 |
| 2019-01-07 | 1798.49 | sell | 61.21643945700757 | 110097.15419903354 |
| 2019-05-08 | 2889.29 | buy | 38.10526260743419 | 110097.15419903354 |
| 2019-07-15 | 2983.14 | sell | 38.10526260743419 | 113673.33309474123 |
| 2019-08-09 | 2977.65 | buy | 38.175518645489305 | 113673.33309474123 |
| 2019-08-27 | 3201.68 | sell | 38.175518645489305 | 122225.79453689019 |
| 2019-09-11 | 3077.79 | buy | 39.71219431374141 | 122225.79453689019 |
| 2019-10-21 | 3092.78 | sell | 39.71219431374141 | 122821.08032965318 |
| 2019-11-15 | 3086.61 | buy | 39.79157727398446 | 122821.08032965318 |
| 2019-12-31 | 3138.11 | sell | 39.79157727398446 | 124870.34655926337 |
| 2020-01-22 | 2893.58 | buy | 43.15427482884986 | 124870.34655926337 |
| 2020-03-04 | 3671.68 | sell | 43.15427482884986 | 158448.68780359143 |
| 2020-03-16 | 3163.92 | buy | 50.07986542124688 | 158448.68780359143 |
| 2020-03-31 | 3438.93 | sell | 50.07986542124688 | 172221.15159308852 |
| 2020-05-14 | 3556.03 | buy | 48.43073640916655 | 172221.15159308852 |
| 2020-06-17 | 3606.67 | sell | 48.43073640916655 | 174673.68408484873 |
| 2020-09-07 | 4129.81 | buy | 42.29581605082285 | 174673.68408484873 |
| 2020-10-12 | 3950.04 | sell | 42.29581605082285 | 167070.1652333923 |
| 2020-10-23 | 3524.23 | buy | 47.40614694086149 | 167070.1652333923 |
| 2020-11-19 | 3559.98 | sell | 47.40614694086149 | 168764.9349865281 |
| 2020-12-22 | 3429.46 | buy | 49.21035235475209 | 168764.9349865281 |
| 2021-01-04 | 3832.72 | sell | 49.21035235475209 | 188609.5016771054 |
| 2021-03-08 | 3571.2985 | buy | 52.812583903895295 | 188609.5016771054 |
| 2021-06-28 | 3097.1154 | sell | 52.812583903895295 | 163566.66692254625 |
| 2021-07-16 | 2837.4962 | buy | 57.64471752333844 | 163566.66692254625 |
| 2021-08-09 | 2843.2616 | sell | 57.64471752333844 | 163899.01177695527 |
| 2021-08-30 | 2571.2072 | buy | 63.743992229391424 | 163899.01177695527 |
| 2021-09-27 | 2820.1419 | sell | 63.743992229391424 | 179767.10335938117 |
| 2021-11-23 | 2973.0908 | buy | 60.4647202027537 | 179767.10335938117 |
| 2021-12-09 | 3029.5248 | sell | 60.4647202027537 | 183179.3693793034 |
| 2022-01-25 | 3109.1566 | buy | 58.91609621056186 | 183179.3693793034 |
| 2022-02-10 | 3291.3179 | sell | 58.91609621056186 | 193911.60205594442 |
| 2022-02-24 | 3073.9574 | buy | 63.08207200787637 | 193911.60205594442 |
| 2022-04-19 | 3172.9096 | sell | 63.08207200787637 | 200153.7118616822 |
| 2022-04-25 | 2677.2405 | buy | 74.76119977330472 | 200153.7118616822 |
| 2022-05-16 | 2744.2762 | sell | 74.76119977330472 | 205165.38122132554 |
| 2022-06-29 | 2981.2439 | buy | 68.81871732176141 | 205165.38122132554 |
| 2022-07-04 | 3264.3225 | sell | 68.81871732176141 | 224646.48737456553 |
| 2022-07-15 | 3164.2823 | buy | 70.99445184602068 | 224646.48737456556 |
| 2022-08-19 | 3151.6101 | sell | 70.99445184602068 | 223746.8314818824 |
| 2022-09-08 | 3075.376 | buy | 72.75430109420194 | 223746.83148188237 |
| 2022-10-12 | 3083.6509 | sell | 72.75430109420194 | 224348.86604800678 |
| 2022-10-25 | 2787.0292 | buy | 80.49749390785242 | 224348.86604800678 |
| 2022-12-02 | 2922.2039 | sell | 80.49749390785242 | 235230.09063775258 |
| 2022-12-20 | 2763.96 | buy | 85.10618483543632 | 235230.09063775258 |
| 2023-01-13 | 2941.99 | sell | 85.10618483543632 | 250381.5447240053 |
| 2023-02-15 | 2864.22 | buy | 87.4170087227955 | 250381.5447240053 |
| 2023-03-31 | 2940.37 | sell | 87.4170087227955 | 257038.3499382462 |
| 2023-04-24 | 2718.0 | buy | 94.56892933710309 | 257038.3499382462 |
| 2023-07-19 | 2528.82 | sell | 94.56892933710309 | 239147.79988625305 |
| 2023-08-11 | 2455.2 | buy | 97.40461057602357 | 239147.79988625305 |
| 2023-10-30 | 2344.92 | sell | 97.40461057602357 | 228406.0194319292 |
| 2023-12-01 | 2391.69 | buy | 95.49984296958601 | 228406.01943192916 |
| 2023-12-06 | 2442.15 | sell | 95.49984296958601 | 233224.9415081745 |
| 2024-01-08 | 2256.19 | buy | 103.37114405620736 | 233224.94150817447 |
| 2024-03-12 | 2147.09 | sell | 103.37114405620736 | 221947.14969164226 |