基金代码 基金全名 基金简称 基金类型
516330 华泰柏瑞中证物联网主题交易型开放式指数证券投资基金 物联网 场内基金
516260 华夏中证物联网主题交易型开放式指数证券投资基金 华夏中证物联网主题ETF 场内基金
159896 南方中证物联网主题交易型开放式指数证券投资基金 南方中证物联网主题ETF 场内基金
159895 易方达中证物联网主题交易型开放式指数证券投资基金 易方达中证物联网主题ETF 场内基金
159701 招商中证物联网主题交易型开放式指数证券投资基金 招商中证物联网主题ETF 场内基金
019167 易方达中证物联网主题交易型开放式指数证券投资基金发起式联接基金 易方达中证物联网主题ETF联接发起式A 场外基金
019168 易方达中证物联网主题交易型开放式指数证券投资基金发起式联接基金 易方达中证物联网主题ETF联接发起式C 场外基金
019975 华夏中证物联网主题交易型开放式指数证券投资基金发起式联接基金 华夏物联网ETF联接A 场外基金
019976 华夏中证物联网主题交易型开放式指数证券投资基金发起式联接基金 华夏中证物联网主题ETF发起式联接C 场外基金
023196 南方中证物联网主题交易型开放式指数证券投资基金发起式联接基金 南方中证物联网主题ETF发起联接A 场外基金
023197 南方中证物联网主题交易型开放式指数证券投资基金发起式联接基金 南方中证物联网主题ETF发起联接C 场外基金

策略参数

参数编号
613708474973c4ec8bbd156f5693fa95
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
884
持仓率
38.67 %
年化收益率（不含分红）
6.91 %
夏普比率
0.25
最大回撤
25.71 %
卡玛比率
0.64
索提诺比率
0.25
波动率
18.24 %

策略说明

当前策略针对CS物联网指数，采用了长线估值模型，侧重于高股息权重配置。在回测中，该策略展现出最高的年化收益率和夏普比率，表明其在风险调整后提供了卓越的回报。尽管波动率略高于某些其他策略，但高夏普比率和Calmar比率显示其能有效管理下行风险。持仓占比相对较高，意味着较少的交易频率，这符合中长线投资风格，减少交易成本并增强策略稳定性。物联网行业作为成长性板块，估值策略有助于捕捉低估机会，而高股息侧重可能增加收益的防御性。综合比较所有策略的收益率、风险和操作频率，当前策略在收益潜力和风险控制之间取得了最佳平衡，因此被选为最适合的操作策略。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-06-21 2059.5 buy 48.555474629764504 100000.0
2019-09-09 2444.28 sell 48.555474629764504 118683.1755280408
2022-04-07 2699.2817 buy 43.9684289076019 118683.1755280408
2023-06-20 2901.88 sell 43.9684289076019 127591.1044783918
2024-02-02 2045.48 buy 62.37709705222823 127591.1044783918

策略参数

参数编号
e5b19bdbcdbd895702b8aef4c5c3c69f
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
2235
持仓天数
1315
持仓率
58.84 %
年化收益率（不含分红）
7.41 %
夏普比率
0.27
最大回撤
28.61 %
卡玛比率
0.60
索提诺比率
0.31
波动率
21.19 %

策略说明

当前策略针对CS物联网指数，采用布林线模型进行中线估值，回测显示年化收益率达7.41%，为所有策略中最高，同时最大回撤控制在28.61%，低于多数其他策略，夏普比率26.80%和Calmar比率60.19%均表现优异，表明风险调整后收益良好。物联网行业作为科技板块，通常具有较高波动性，该策略通过适中的持仓占比58.84%和波动率21.19%，平衡了交易频率与长期持有，适合中长线操作偏好。相比其他策略，当前策略在收益率、风险控制和风险调整收益方面综合优势明显，更符合稳健投资目标，同时适应行业特性。


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 2433.77 buy 41.0885169921562 100000.0
2018-04-03 2514.62 sell 41.0885169921562 103322.00659881582
2018-04-17 2502.15 buy 41.29329040977392 103322.00659881582
2018-05-23 2458.36 sell 41.29329040977392 101513.7734117718
2018-07-11 2073.77 buy 48.95131736488222 101513.7734117718
2018-07-19 2093.89 sell 48.95131736488222 102498.67391715322
2018-08-01 1982.47 buy 51.7025094539404 102498.67391715322
2018-08-30 1957.54 sell 51.7025094539404 101209.73035646649
2018-09-07 1895.55 buy 53.39333193873361 101209.73035646649
2018-11-23 1773.38 sell 53.39333193873361 94686.66699351142
2018-11-29 1767.62 buy 53.56732046113498 94686.66699351142
2018-12-05 1779.61 sell 53.56732046113498 95328.93916584042
2018-12-14 1758.94 buy 54.1968112419073 95328.93916584042
2019-01-28 1786.15 sell 54.1968112419073 96803.63439973272
2019-01-30 1753.59 buy 55.20311726214949 96803.63439973272
2019-03-26 2306.84 sell 55.20311726214949 127344.75902501695
2019-03-28 2366.98 buy 53.80052177247672 127344.75902501695
2019-04-11 2424.85 sell 53.80052177247672 130458.19521999017
2019-04-25 2342.84 buy 55.68378345085032 130458.19521999017
2019-06-12 2130.5 sell 55.68378345085032 118634.30064203661
2019-06-14 2068.24 buy 57.36002622618102 118634.30064203661
2019-07-08 2144.04 sell 57.36002622618102 122982.19062998115
2019-07-11 2132.78 buy 57.662858161639335 122982.19062998115
2019-08-02 2131.28 sell 57.662858161639335 122895.6963427387
2019-09-26 2338.8 buy 52.54647526198849 122895.6963427387
2019-10-29 2292.99 sell 52.54647526198849 120488.54231098697
2019-11-15 2289.28 buy 52.631631915268976 120488.54231098697
2019-11-20 2306.12 sell 52.631631915268976 121374.85899244009
2019-11-22 2242.01 buy 54.136626951904795 121374.85899244009
2019-12-23 2426.16 sell 54.136626951904795 131344.11884563332
2020-02-03 2460.29 buy 53.38562480261812 131344.11884563332
2020-02-28 2966.78 sell 53.38562480261812 158383.4039519114
2020-03-09 2940.04 buy 53.871173164960815 158383.4039519114
2020-04-23 2472.3 sell 53.871173164960815 133185.70141573262
2020-04-27 2502.32 buy 53.22488787034936 133185.70141573262
2020-05-18 2698.26 sell 53.22488787034936 143614.5859450489
2020-05-22 2518.13 buy 57.03223659820934 143614.5859450489
2020-06-15 2735.44 sell 57.03223659820934 156008.26128020574
2020-07-24 3094.62 buy 50.41273606459137 156008.26128020574
2020-08-10 3266.22 sell 50.41273606459137 164659.08678888963
2020-08-26 3278.95 buy 50.217016663532426 164659.08678888963
2020-10-21 3145.51 sell 50.217016663532426 157958.1280853079
2020-10-23 3139.24 buy 50.317315046096475 157958.1280853079
2020-10-30 3272.06 sell 50.317315046096475 164641.27386973042
2020-11-25 3274.45 buy 50.28058876138906 164641.27386973042
2020-12-24 3288.1 sell 50.28058876138906 165327.60390632338
2020-12-28 3269.6 buy 50.56508560873605 165327.60390632338
2021-01-26 3473.73 sell 50.56508560873605 175649.45483163468
2021-01-28 3299.06 buy 53.24227350567576 175649.45483163468
2021-04-09 2917.6522 sell 53.24227350567576 155342.4364268366
2021-05-07 2996.4971 buy 51.84134382337182 155342.4364268366
2021-06-16 3430.4756 sell 51.84134382337182 177840.46505728774
2021-07-16 3646.9491 buy 48.764175254677326 177840.46505728774
2021-07-23 3683.0339 sell 48.764175254677326 179600.11056851773
2021-07-27 3586.2345 buy 50.08041458764555 179600.11056851773
2021-08-03 3803.4371 sell 50.08041458764555 190477.70682603228
2021-08-13 3625.0561 buy 52.544761121360935 190477.70682603228
2021-10-20 3361.0754 sell 52.544761121360935 176606.90400388266
2021-12-20 3649.5118 buy 48.39192573754184 176606.90400388266
2022-01-05 3607.1444 sell 48.39192573754184 174556.66392938994
2022-01-19 3601.4427 buy 48.468538435830155 174556.66392938994
2022-03-02 3222.9356 sell 48.468538435830155 156210.9780048053
2022-05-09 2559.7181 buy 61.026633364355746 156210.9780048053
2022-05-16 2643.3259 sell 61.026633364355746 161313.28056180567
2022-07-11 2742.4479 buy 58.82090980171608 161313.28056180567
2022-07-29 2803.1578 sell 58.82090980171608 164884.29211377687
2022-08-24 2754.8163 buy 59.85309877605155 164884.29211377687
2022-11-10 2462.7433 sell 59.85309877605155 147402.81799495916
2022-11-25 2422.8284 buy 60.839148985936916 147402.81799495916
2022-12-08 2526.0155 sell 60.839148985936916 153680.63334528593
2022-12-19 2440.92 buy 62.96012706081556 153680.63334528593
2023-01-11 2471.59 sell 62.96012706081556 155611.62044224114
2023-02-17 2695.72 buy 57.72543900784991 155611.62044224114
2023-03-07 2660.05 sell 57.72543900784991 153552.55403283116
2023-03-14 2666.71 buy 57.5812720666406 153552.55403283116
2023-04-13 2955.27 sell 57.5812720666406 170168.20590038097
2023-04-21 2766.01 buy 61.521182461517114 170168.20590038097
2023-06-06 2697.54 sell 61.521182461517114 165955.85053724088
2023-07-20 2802.67 buy 59.213482335501816 165955.85053724088
2023-09-07 2620.84 sell 59.213482335501816 155189.06304417658
2023-09-13 2575.36 buy 60.25917271533944 155189.06304417658
2023-10-16 2599.11 sell 60.25917271533944 156620.2183961659
2023-10-18 2537.84 buy 61.71398448923726 156620.2183961659
2023-11-21 2548.75 sell 61.71398448923726 157293.51796694347
2023-12-15 2487.89 buy 63.223662608452734 157293.51796694347
2024-01-02 2450.5 sell 63.223662608452734 154929.58522201344
2024-03-25 2437.19 buy 63.56894014090548 154929.58522201344