基金代码 基金全名 基金简称 基金类型
004854 广发中证全指汽车指数型发起式证券投资基金 广发中证全指汽车指数A 场外基金
004855 广发中证全指汽车指数型发起式证券投资基金 广发中证全指汽车指数C 场外基金
159512 广发中证全指汽车交易型开放式指数证券投资基金 广发中证全指汽车ETF 场内基金
021770 南方中证全指汽车指数发起式证券投资基金 南方中证全指汽车指数发起A 场外基金
021771 南方中证全指汽车指数发起式证券投资基金 南方中证全指汽车指数发起C 场外基金

策略参数

参数编号
4751cfe529846edcef8281592f7e3359
PE权重
0.4
PB权重
0.3
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
1718
持仓天数
216
持仓率
12.57 %
年化收益率（不含分红）
21.11 %
夏普比率
0.92
最大回撤
26.75 %
卡玛比率
1.18
索提诺比率
1.17
波动率
19.25 %

策略说明

在当前策略中，针对汽车指数，该策略表现出优秀的风险调整后收益，夏普比率高达92.04%，同时年化收益率达到21.11%，在保持低波动率19.25%的情况下实现了稳健增长。最大回撤与其他策略一致为26.75%，但通过高夏普比率有效管理了风险。汽车行业作为周期性行业，适合采用长线估值策略，当前策略的持仓天数仅为216天，持仓占比12.57%，表明操作频率较低，符合中长线投资偏好，减少了交易成本和市场噪音的影响。与其他策略相比，一些策略虽然收益率稍高，但波动率较大或持仓占比过高，增加了操作频率和潜在风险。因此，当前策略在收益、风险和操作风格之间达到了最佳平衡，最适合长期稳健操作。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2020-03-23 4570.7012 buy 21.87848113983036 100000.0
2020-07-13 6055.3442 sell 21.87848113983036 132481.73387488115
2022-03-15 7481.3926 buy 17.70816490433628 132481.73387488115
2022-06-27 11391.0479 sell 17.70816490433628 201714.55464639346
2022-10-28 7638.4689 buy 26.407720877988186 201714.55464639346

策略参数

参数编号
0a965b02c2a683ae7bd6a9ed3894c721
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
15
BB标准差
1.5
回测天数
1675
持仓天数
1041
持仓率
62.15 %
年化收益率（不含分红）
13.92 %
夏普比率
0.50
最大回撤
31.01 %
卡玛比率
0.85
索提诺比率
0.61
波动率
26.11 %

策略说明

当前策略针对汽车指数（代码931008），在年化收益率上表现最佳，达到13.92%，同时持仓占比高达62.15%，表明操作频率较低，更符合中长线投资风格。汽车行业作为周期性行业，通常具有较高的波动性，该策略通过较长的持仓期有效平滑了短期市场波动，夏普比率49.64%显示了较好的风险调整后收益，尽管最大回撤31.01%和波动率26.11%相对较高，但在行业背景下属于可接受范围，且高收益率补偿了风险。其他策略如那些夏普比率更高的，持仓占比较低，可能导致频繁交易，增加操作成本和市场风险，不符合偏好稳定、较少操作的风格。综合评估指数数据和个人偏好，当前策略在收益潜力、风险控制和风格匹配方面最为均衡，是适合汽车指数长期操作的优选。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2019-09-17 4928.3297 buy 20.2908502651517 100000.0
2019-11-11 4635.0367 sell 20.2908502651517 94048.83565318286
2019-11-13 4578.2879 buy 20.5423594381609 94048.83565318286
2019-11-27 4601.6366 sell 20.5423594381609 94528.47304099663
2020-01-23 4538.3682 buy 20.828735985105094 94528.47304099663
2020-02-28 5297.9522 sell 20.828735985105094 110349.6476355067
2020-03-09 5188.1108 buy 21.26971683710122 110349.6476355067
2020-05-12 4755.6249 sell 21.26971683710122 101150.7950064678
2020-05-21 4566.4032 buy 22.151087097711347 101150.7950064678
2020-06-10 4999.2338 sell 22.151087097711347 110738.46332562246
2020-06-30 4994.7021 buy 22.171184809124544 110738.46332562246
2020-07-15 5480.3366 sell 22.171184809124544 121505.55557480924
2020-07-24 5677.5963 buy 21.400879730531255 121505.55557480926
2020-08-07 5891.4305 sell 21.400879730531255 126081.79557128363
2020-08-20 5875.165 buy 21.46012845107901 126081.79557128363
2020-09-09 6089.2375 sell 21.46012845107901 130675.81891912724
2020-09-24 6232.9307 buy 20.965389350330373 130675.81891912724
2020-10-16 6885.6349 sell 20.965389350330373 144360.01660272313
2020-12-07 8679.0035 buy 16.63324788412899 144360.01660272313
2020-12-22 8967.0622 sell 16.63324788412899 149151.36836500306
2020-12-29 8767.7126 buy 17.01143447208831 149151.36836500306
2021-01-14 8970.542 sell 17.01143447208831 152601.787412116
2021-01-18 8701.4416 buy 17.537529345955274 152601.787412116
2021-02-22 8402.6467 sell 17.537529345955274 147361.66308494424
2021-03-23 7410.1422 buy 19.886482486792797 147361.66308494424
2021-04-09 7654.2506 sell 19.886482486792797 152216.12050642326
2021-05-07 8153.9393 buy 18.667801525873912 152216.12050642326
2021-05-13 8511.1888 sell 18.667801525873912 158885.18326764094
2021-06-16 9164.0359 buy 17.33790493636553 158885.18326764094
2021-06-29 9891.9944 sell 17.33790493636553 171506.45853826017
2021-07-02 9794.4537 buy 17.510569123243716 171506.45853826017
2021-07-14 9818.4907 sell 17.510569123243716 171927.36008827557
2021-07-27 9460.4816 buy 18.173214362393093 171927.36008827557
2021-08-03 10657.198 sell 18.173214362393093 193675.54375646694
2021-08-18 10544.4093 buy 18.367604883894913 193675.54375646694
2021-08-26 10896.9301 sell 18.367604883894913 200150.50652422148
2021-09-15 10323.5882 buy 19.387687947899884 200150.50652422148
2021-10-28 11079.628 sell 19.387687947899884 214808.37024281413
2021-11-03 11150.6858 buy 19.264139811276372 214808.37024281413
2021-11-10 11058.686 sell 19.264139811276372 213036.07323300466
2021-11-15 10466.7623 buy 20.353578989082866 213036.07323300466
2021-12-14 10572.0038 sell 20.353578989082866 215178.11441618422
2022-01-19 9180.4667 buy 23.43869015027136 215178.11441618422
2022-05-27 8717.5271 sell 23.43869015027136 204327.41657349363
2022-07-05 10233.5362 buy 19.966452708057417 204327.41657349363
2022-08-02 10005.58 sell 19.966452708057417 199775.93988668514
2022-08-04 9829.8182 buy 20.32346232880331 199775.93988668514
2022-11-03 8579.1112 sell 20.32346232880331 174357.24328781455
2022-11-18 8092.977 buy 21.544265267010466 174357.24328781455
2022-12-09 8378.396 sell 21.544265267010466 180506.38593605944
2022-12-19 8205.81 buy 21.997387940503064 180506.38593605944
2023-01-16 8253.3 sell 21.997387940503064 181551.04188935392
2023-02-16 8464.71 buy 21.447993125500336 181551.04188935392
2023-02-24 8562.3 sell 21.447993125500336 183644.15153847152
2023-03-07 8475.59 buy 21.667418024995488 183644.15153847152
2023-04-04 7852.1 sell 21.667418024995488 170134.73307406707
2023-04-10 7822.93 buy 21.74821110173133 170134.73307406707
2023-05-12 7888.69 sell 21.74821110173133 171564.8954361169
2023-05-19 7729.93 buy 22.194883451223607 171564.8954361169
2023-06-27 8101.81 sell 22.194883451223607 179818.72869395794
2023-07-20 8266.32 buy 21.75317779785418 179818.72869395794
2023-08-07 8842.97 sell 21.75317779785418 192362.69867109056
2023-08-11 8236.49 buy 23.35493622539341 192362.69867109056
2023-09-07 8128.06 sell 23.35493622539341 189830.32293617117
2023-09-21 8290.73 buy 22.89669582005097 189830.32293617117
2023-10-19 8891.15 sell 22.89669582005097 203577.95704044617
2023-11-13 9250.78 buy 22.006572098833413 203577.95704044617
2023-11-29 9429.09 sell 22.006572098833413 207501.94891138916
2023-12-01 9253.42 buy 22.42435217588623 207501.94891138916
2024-02-20 8174.81 sell 22.42435217588623 183314.81841095653
2024-03-27 9400.55 buy 19.500435443772602 183314.81841095653