基金代码 基金全名 基金简称 基金类型
513700 鹏华中证港股通医药卫生综合交易型开放式指数证券投资基金 香港医药 场内基金
159718 平安中证港股通医药卫生综合交易型开放式指数证券投资基金 平安中证港股医药ETF 场内基金
159776 银华中证港股通医药卫生综合交易型开放式指数证券投资基金 港股通医药ETF 场内基金
513200 易方达中证港股通医药卫生综合交易型开放式指数证券投资基金 易方达中证港股通医药卫生综合ETF 场内基金
018557 易方达中证港股通医药卫生综合交易型开放式指数证券投资基金发起式联接基金 易方达中证港股通医药卫生综合ETF联接发起式A 场外基金
018558 易方达中证港股通医药卫生综合交易型开放式指数证券投资基金发起式联接基金 易方达中证港股通医药卫生综合ETF联接发起式C 场外基金
019598 平安中证港股通医药卫生综合交易型开放式指数证券投资基金联接基金 平安中证港股医药ETF联接A 场外基金
019599 平安中证港股通医药卫生综合交易型开放式指数证券投资基金联接基金 平安中证港股医药ETF联接C 场外基金
021088 鹏华中证港股通医药卫生综合交易型开放式指数证券投资基金发起式联接基金 鹏华中证港股通医药卫生ETF发起式联接A 场外基金
021089 鹏华中证港股通医药卫生综合交易型开放式指数证券投资基金发起式联接基金 鹏华中证港股通医药卫生ETF发起式联接C 场外基金
024544 平安中证港股通医药卫生综合交易型开放式指数证券投资基金联接基金 平安中证港股医药ETF联接E 场外基金

策略参数

参数编号
38c8514113d1b06c00f0341c25dbb3fb
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
1.5
回测天数
1715
持仓天数
790
持仓率
46.06 %
年化收益率（不含分红）
14.01 %
夏普比率
0.45
最大回撤
42.89 %
卡玛比率
0.59
索提诺比率
0.53
波动率
31.19 %

策略说明

当前策略在回测中表现出卓越的年化收益率（14.01%）和夏普比率（45.42%），这在医药行业指数如HKC医药C中尤为重要，因为该行业通常具有高增长潜力但波动性较大，需要策略在收益和风险调整之间取得平衡。最大回撤为42.89%，虽非最低，但在医药行业的常见波动范围内可接受，且Calmar比率（59.37%）较高，表明收益对回撤的补偿较好。持仓天数为790天，持仓占比46.06%，显示策略倾向于中长线持有，减少频繁交易，符合稳健操作风格，有助于平滑短期市场波动对投资的影响。相比之下，其他策略如风险指标优秀的策略收益过低（如年化收益率仅6.32%），无法充分利用医药行业的长期增长机会；而高持仓策略则伴随着过高风险（如最大回撤超过49%），可能不适合追求稳健回报的投资者。因此，当前策略在收益性、风险控制和操作频率上综合表现最佳，适合在医药行业进行中长期投资。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2019-08-02 3312.11 buy 30.19223395358246 100000.0
2019-08-19 3553.44 sell 30.19223395358246 107286.29182001806
2019-09-09 3690.85 buy 29.068179909781772 107286.29182001806
2019-10-08 3603.77 sell 29.068179909781772 104755.03471347426
2019-11-15 3986.94 buy 26.274545068015637 104755.03471347426
2019-11-19 4065.28 sell 26.274545068015637 106813.38257410261
2019-11-25 3941.25 buy 27.101397418104057 106813.38257410261
2019-12-12 3817.95 sell 27.101397418104057 103471.78027245039
2020-01-06 3945.65 buy 26.224267300052052 103471.78027245039
2020-01-09 3957.32 sell 26.224267300052052 103777.81747184199
2020-01-30 3888.32 buy 26.689628804173008 103777.81747184199
2020-02-06 4205.45 sell 26.689628804173008 112241.89945450937
2020-02-24 4245.21 buy 26.439657744730972 112241.89945450937
2020-03-04 4389.86 sell 26.439657744730972 116066.39594728469
2020-03-10 4104.18 buy 28.28004520934381 116066.39594728469
2020-03-25 3775.62 sell 28.28004520934381 106774.70429330268
2020-05-04 4093.7 buy 26.08268908158944 106774.70429330268
2020-05-07 4283.05 sell 26.08268908158944 111713.46147090166
2020-05-22 4292.56 buy 26.02490389671936 111713.46147090166
2020-06-01 4538.86 sell 26.02490389671936 118123.39530066361
2020-06-15 4693.13 buy 25.169427503747738 118123.39530066363
2020-07-21 5289.26 sell 25.169427503747738 133127.64611847277
2020-08-11 4986.36 buy 26.698362356202274 133127.64611847277
2020-08-24 5038.4 sell 26.698362356202274 134517.02889548952
2020-09-07 4949.14 buy 27.17987951350932 134517.02889548952
2020-09-15 5177.38 sell 27.17987951350932 140720.5645956529
2020-09-24 4900.94 buy 28.712974367295438 140720.5645956529
2020-10-06 5178.09 sell 28.712974367295438 148678.36544154884
2020-10-19 5093.99 buy 29.187015569631832 148678.36544154884
2020-11-05 5161.72 sell 29.187015569631832 150655.20200608
2020-11-11 5065.99 buy 29.738551005051335 150655.20200608
2020-11-13 5209.08 sell 29.738551005051335 154910.4912693928
2020-11-24 4870.97 buy 31.8028013453979 154910.4912693928
2020-12-07 5007.79 sell 31.8028013453979 159261.75054947013
2021-01-29 6258.01 buy 25.44926431077453 159261.75054947013
2021-02-02 6569.22 sell 25.44926431077453 167181.81609562627
2021-02-22 6293.13 buy 26.565765540458607 167181.81609562627
2021-03-16 5785.16 sell 26.565765540458607 153687.2041740395
2021-03-24 5390.44 buy 28.51106851649207 153687.2041740395
2021-03-30 5678.01 sell 28.51106851649207 161886.13214732715
2021-05-05 5993.2206 buy 27.01154236627418 161886.13214732715
2021-05-17 6303.5064 sell 27.01154236627418 170267.43017968046
2021-06-16 6399.6586 buy 26.605705213662564 170267.43017968046
2021-06-22 6774.297 sell 26.605705213662564 180234.94901179866
2021-07-05 6301.6632 buy 28.601171356126848 180234.94901179866
2021-07-14 6535.3425 sell 28.601171356126848 186918.4507134784
2021-07-22 6115.772 buy 30.563345185771873 186918.4507134784
2021-08-04 5819.4039 sell 30.563345185771873 177860.45017112707
2021-08-11 5467.57 buy 32.530072805858374 177860.45017112707
2021-08-31 5263.5585 sell 32.530072805858374 171223.9412228947
2021-09-15 5177.1706 buy 33.072879851186414 171223.9412228947
2021-09-17 5371.41 sell 33.072879851186414 177647.9975614612
2021-09-29 5266.8011 buy 33.72977148528757 177647.9975614612
2021-10-18 5173.8912 sell 33.72977148528757 174514.1678657403
2021-10-27 4851.5942 buy 35.97047911916053 174514.1678657403
2021-11-10 4778.9725 sell 35.97047911916053 171901.9305222924
2021-11-23 4766.7335 buy 36.06283643134074 171901.9305222924
2021-12-31 4003.37 sell 36.06283643134074 144372.87748413658
2022-01-04 3755.3813 buy 38.444265961524756 144372.87748413658
2022-01-10 4007.6972 sell 38.444265961524756 154072.97705005808
2022-01-24 3769.6767 buy 40.87166866327239 154072.97705005808
2022-02-16 3572.0684 sell 40.87166866327239 145996.39608734555
2022-03-03 3253.2117 buy 44.87761927308498 145996.39608734555
2022-03-17 3059.6064 sell 44.87761927308498 137307.85114469417
2022-04-11 3013.7181 buy 45.560947171765726 137307.85114469417
2022-04-29 2841.93 sell 45.560947171765726 129481.02259585616
2022-05-04 2704.0483 buy 47.88413823667875 129481.02259585618
2022-05-17 2717.2657 sell 47.88413823667875 130113.92640458565
2022-05-26 2664.5002 buy 48.83239506027647 130113.92640458565
2022-05-30 2838.5487 sell 48.83239506027647 138613.1315162342
2022-07-12 3252.2508 buy 42.62067719876776 138613.1315162342
2022-08-05 3178.448 sell 42.62067719876776 135467.606201069
2022-08-17 3036.6218 buy 44.61128685866281 135467.606201069
2022-08-26 2988.0237 sell 44.61128685866281 133299.58242118303
2022-09-05 2826.2227 buy 47.16527909183627 133299.58242118303
2022-10-05 2464.05 sell 47.16527909183627 116217.60594623917
2022-10-10 2294.8047 buy 50.64378940231348 116217.60594623917
2022-10-14 2506.4612 sell 50.64378940231348 126936.69315786994
2022-10-31 2561.8675 buy 49.54850052076072 126936.69315786996
2022-11-11 3074.0668 sell 49.54850052076072 152315.40044065323
2022-11-25 2859.7111 buy 53.26251327997896 152315.40044065323
2022-11-30 3013.4887 sell 53.26251327997896 160505.98190281654
2022-12-19 3050.9042 buy 52.60931559333018 160505.98190281654
2022-12-28 3299.6871 sell 52.60931559333018 173594.28000314045
2023-01-31 3671.056 buy 47.287287364491426 173594.28000314045
2023-02-02 3675.8322 sell 47.287287364491426 173820.13354505072
2023-02-06 3529.8666 buy 49.24269193205509 173820.13354505072
2023-03-01 3333.0268 sell 49.24269193205509 164127.2119136834
2023-03-08 3134.0655 buy 52.368788052988485 164127.2119136834
2023-03-21 3137.6826 sell 52.368788052988485 164316.63505694986
2023-03-31 3031.8519 buy 54.19678812706843 164316.63505694986
2023-04-06 3235.267 sell 54.19678812706843 175341.0801334963
2023-04-25 3139.3633 buy 55.85243355985473 175341.0801334963
2023-06-16 2839.3432 sell 55.85243355985473 158584.2274316253
2023-06-20 2635.3096 buy 60.17669704979836 158584.2274316253
2023-07-04 2682.9406 sell 60.17669704979836 161450.50368880425
2023-08-07 2564.4008 buy 62.958373624280675 161450.50368880425
2023-08-28 2601.0729 sell 62.958373624280675 163759.31946219126
2023-09-06 2456.2532 buy 66.6703739916517 163759.31946219128
2023-09-15 2560.3225 sell 66.6703739916517 170697.65861424067
2023-09-21 2506.3317 buy 68.10657129470958 170697.65861424067
2023-09-27 2516.3636 sell 68.10657129470958 171380.89692681207
2023-10-03 2397.45 buy 71.4846595035609 171380.89692681207
2023-10-11 2646.2533 sell 71.4846595035609 189166.5161106744
2023-10-19 2433.7212 buy 77.72727464044542 189166.5161106744
2023-10-27 2699.4656 sell 77.72727464044542 209822.10407363478
2023-11-22 2760.1737 buy 76.01771731744086 209822.10407363478
2023-11-28 2680.4971 sell 76.01771731744086 203765.27081801998
2023-12-01 2527.1741 buy 80.62969259538548 203765.27081801998
2023-12-15 2422.4125 sell 80.62969259538548 195318.3752142192
2023-12-19 2380.1671 buy 82.06078271320497 195318.3752142192
2023-12-28 2478.7229 sell 82.06078271320497 203405.94130314532
2024-01-05 2237.6233 buy 90.90267396802012 203405.94130314532
2024-02-16 1954.1998 sell 90.90267396802012 177641.98728777014
2024-03-05 2058.4757 buy 86.29783061698039 177641.98728777014
2024-03-12 2159.2721 sell 86.29783061698039 186340.49794177155
2024-03-22 1972.4807 buy 94.4701248239192 186340.49794177155