| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 003318 | 景顺长城中证500行业中性低波动指数型证券投资基金 | 景顺长城中证500行业中性低波动指数A | 场外基金 |
| 512260 | 华安中证500行业中性低波动交易型开放式指数证券投资基金 | 华安中证500低波ETF | 场内基金 |
| 019359 | 景顺长城中证500行业中性低波动指数型证券投资基金 | 景顺长城中证500行业中性低波动指数C | 场外基金 |
当前策略针对500SNLV指数，该指数作为红利或价值型指数，适合基于估值的长线投资策略，强调稳健性和风险控制。在回测中，当前策略展示了优秀的风险调整后收益，年化收益率达到6.72%，高于多数策略，同时保持较低的最大回撤27.07%，表明在下行市场中的抗风险能力较强。夏普比率为24.46%，显示出较高的收益稳定性，而Calmar比率高达61.43%，进一步印证了收益与回撤之间的良好平衡。波动率17.73%适中，确保了策略的稳健性，减少了过度波动的风险。持仓占比71.47%反映了适中的操作频率，符合中长线投资偏好，降低了频繁交易带来的成本和不确定性。相比之下，其他策略在综合指标上有所不足，例如有的策略收益率略高但回撤较大，增加了潜在损失风险；有的策略夏普比率或Calmar比率较低，风险调整表现不够理想。考虑到指数类型和投资风格，当前策略在收益率、回撤控制、风险调整指标和操作频率之间取得了最佳平衡，提供了更可靠的长期增值潜力，适合追求稳健收益的投资者。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-05-30 | 13157.54 | buy | 7.600204901524145 | 100000.0 |
| 2020-07-08 | 15458.4134 | sell | 7.600204901524145 | 117487.10929246651 |
| 2021-01-29 | 13926.9546 | buy | 8.435951194417372 | 117487.10929246651 |
| 2023-04-28 | 16638.6 | sell | 8.435951194417372 | 140362.41754343288 |
| 2024-02-05 | 13813.54 | buy | 10.161219900433405 | 140362.41754343288 |
| 2024-02-27 | 14702.13 | sell | 10.161219900433405 | 149391.57593475896 |
当前策略基于布林线模型，针对500SNLV指数进行回测，显示出优异的绩效。在年化收益率方面达到10.94%，高于大多数其他策略，同时夏普比率高达56.82%，表明风险调整后的收益非常出色。最大回撤为18.45%，虽略高于某些策略，但在可接受范围内，且波动率保持在13.50%的较低水平，有助于控制下行风险。从操作风格看，持仓占比为31.24%，意味着适中的持仓时间，符合中长线操作的偏好，减少了频繁交易的成本和风险。其他策略虽然在最大回撤或波动率上略有优势，但夏普比率和收益率普遍较低，未能平衡收益与风险。考虑到指数的特性和回测结果，当前策略在收益潜力和风险控制之间取得了最佳平衡，适合作为核心操作策略。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-03-23 | 13451.87 | buy | 7.4339106756161035 | 100000.0 |
| 2018-05-11 | 13447.6 | sell | 7.4339106756161035 | 99968.25720141512 |
| 2018-05-30 | 13157.54 | buy | 7.597792383790216 | 99968.25720141512 |
| 2018-07-27 | 11706.11 | sell | 7.597792383790216 | 88940.59340181049 |
| 2018-10-11 | 10128.5336 | buy | 8.781191524290396 | 88940.59340181049 |
| 2018-11-07 | 10511.6472 | sell | 8.781191524290396 | 92304.78729897087 |
| 2019-01-29 | 10278.1521 | buy | 8.980679250599033 | 92304.78729897087 |
| 2019-03-08 | 13462.8797 | sell | 8.980679250599033 | 120905.80437510094 |
| 2019-04-25 | 13460.0427 | buy | 8.982572126246 | 120905.80437510094 |
| 2019-06-25 | 12277.055 | sell | 8.982572126246 | 110279.53203538909 |
| 2019-08-06 | 11453.7531 | buy | 9.628244215897153 | 110279.53203538909 |
| 2019-08-23 | 11947.0945 | sell | 9.628244215897153 | 115029.54351640168 |
| 2019-11-11 | 11802.0943 | buy | 9.746536554652142 | 115029.54351640168 |
| 2019-12-12 | 12167.2875 | sell | 9.746536554652142 | 118588.91238971207 |
| 2020-01-23 | 11620.2407 | buy | 10.205374867124059 | 118588.91238971209 |
| 2020-02-26 | 13196.5826 | sell | 10.205374867124059 | 134676.07239796667 |
| 2020-05-22 | 12399.4561 | buy | 10.861449995211215 | 134676.07239796667 |
| 2020-06-05 | 12947.5 | sell | 10.861449995211215 | 140628.62381299722 |
| 2021-01-26 | 14143.1415 | buy | 9.943238128035219 | 140628.62381299722 |
| 2021-02-24 | 14696.5219 | sell | 9.943238128035219 | 146131.0169055846 |
| 2021-06-15 | 15413.7157 | buy | 9.480583381045792 | 146131.0169055846 |
| 2021-07-14 | 15697.4815 | sell | 9.480583381045792 | 148821.28223317376 |
| 2021-07-27 | 15170.2858 | buy | 9.810051319743348 | 148821.28223317376 |
| 2021-08-17 | 15894.1408 | sell | 9.810051319743348 | 155922.33693122657 |
| 2022-01-25 | 16371.1999 | buy | 9.524185025144465 | 155922.33693122657 |
| 2022-02-11 | 16534.9079 | sell | 9.524185025144465 | 157481.5222133229 |
| 2022-03-08 | 15374.664 | buy | 10.242924477134778 | 157481.5222133229 |
| 2022-04-07 | 15551.8079 | sell | 10.242924477134778 | 159295.99380260802 |
| 2022-04-21 | 14543.7695 | buy | 10.952868429509145 | 159295.99380260802 |
| 2022-05-16 | 14730.135 | sell | 10.952868429509145 | 161337.2306039077 |
| 2022-08-02 | 14639.5061 | buy | 11.020674434085429 | 161337.2306039077 |
| 2022-08-16 | 15540.8963 | sell | 11.020674434085429 | 171271.15853618283 |
| 2022-08-24 | 15178.3646 | buy | 11.28390067373812 | 171271.15853618283 |
| 2022-09-07 | 15207.178 | sell | 11.28390067373812 | 171596.28607985552 |
| 2022-09-16 | 14390.6516 | buy | 11.924149847381166 | 171596.28607985552 |
| 2022-10-19 | 14515.645 | sell | 11.924149847381166 | 173086.7261113892 |
| 2022-12-19 | 14724.7 | buy | 11.754855862013432 | 173086.7261113892 |
| 2023-01-10 | 14938.38 | sell | 11.754855862013432 | 175598.5037119842 |
| 2023-06-21 | 15705.93 | buy | 11.18039515724215 | 175598.5037119842 |
| 2023-07-12 | 16211.43 | sell | 11.18039515724215 | 181250.19346397012 |
| 2023-08-11 | 16144.09 | buy | 11.227030663479336 | 181250.19346397012 |
| 2023-09-06 | 15697.58 | sell | 11.227030663479336 | 176237.21200241995 |
| 2023-10-19 | 15222.49 | buy | 11.577423404608574 | 176237.21200241995 |
| 2023-11-09 | 15579.53 | sell | 11.577423404608574 | 180370.81525480142 |
| 2023-12-05 | 15374.86 | buy | 11.7315419623204 | 180370.81525480142 |
| 2024-01-04 | 14944.25 | sell | 11.7315419623204 | 175319.09597040663 |
| 2024-01-22 | 13709.26 | buy | 12.788370486109873 | 175319.09597040663 |
| 2024-02-20 | 14654.37 | sell | 12.788370486109873 | 187405.51280053394 |