| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 516910 | 富国中证现代物流交易型开放式指数证券投资基金 | 富国中证现代物流ETF | 场内基金 |
| 516530 | 银华中证现代物流交易型开放式指数证券投资基金 | 物流快递 | 场内基金 |
当前策略针对CS物流指数，该指数代表物流行业，具有周期性波动特点，适合中线投资模型。策略采用布林线中线方法，参数设置侧重于30天周期，买卖阈值适中，在回测期间持仓占比达到29.95%，表明操作频率较低，符合中长线投资偏好，减少了频繁交易带来的成本和风险。从数据指标看，年化收益率为12.43%，处于较高水平，夏普比率为66.22%，显示风险调整后收益良好，同时波动率13.73%相对较低，有助于平滑投资体验。尽管最大回撤为22.72%，但在物流行业周期性波动背景下属于可控范围，Calmar比率为92.00%也表明回撤恢复能力尚可。相比于其他布林线策略，当前策略在收益与操作便利性之间取得了较好平衡，既避免了高回撤的极端风险，又通过较低操作频率适应了投资者偏好，适合追求稳健增长且偏好较少操作的量化产品需求。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-06-15 | 1376.98 | buy | 72.62269604496797 | 99999.99999999999 |
| 2018-09-27 | 1216.38 | sell | 72.62269604496797 | 88336.79501517814 |
| 2018-10-11 | 1074.86 | buy | 82.18446589805012 | 88336.79501517814 |
| 2018-11-20 | 1158.68 | sell | 82.18446589805012 | 95225.49694675273 |
| 2019-01-31 | 1005.12 | buy | 94.74042596580779 | 95225.49694675273 |
| 2019-03-08 | 1271.29 | sell | 94.74042596580779 | 120442.55612607178 |
| 2019-08-06 | 1011.37 | buy | 119.08851965756526 | 120442.55612607178 |
| 2019-09-17 | 1111.12 | sell | 119.08851965756526 | 132321.63596191388 |
| 2020-02-03 | 925.69 | buy | 142.94378891628284 | 132321.63596191388 |
| 2020-04-28 | 992.46 | sell | 142.94378891628284 | 141865.99274785406 |
| 2020-12-11 | 1158.15 | buy | 122.49362582381734 | 141865.99274785406 |
| 2021-02-24 | 1179.33 | sell | 122.49362582381734 | 144460.4077428025 |
| 2021-04-13 | 1121.61 | buy | 128.7973607071999 | 144460.4077428025 |
| 2021-06-08 | 1170.7549 | sell | 128.7973607071999 | 150790.14115502176 |
| 2021-07-27 | 1104.8288 | buy | 136.4828117759256 | 150790.14115502176 |
| 2021-08-31 | 1247.0378 | sell | 136.4828117759256 | 170199.22533486437 |
| 2022-01-25 | 1286.7902 | buy | 132.26649172092263 | 170199.22533486437 |
| 2022-04-15 | 1272.2299 | sell | 132.26649172092263 | 168273.38553546023 |
| 2022-04-25 | 1122.0432 | buy | 149.97050517792917 | 168273.38553546023 |
| 2022-06-06 | 1317.5116 | sell | 149.97050517792917 | 197587.88022978176 |
| 2023-12-20 | 984.67 | buy | 200.6640602737788 | 197587.88022978176 |
| 2024-02-26 | 1014.26 | sell | 200.6640602737788 | 203525.52977328288 |