基金代码 基金全名 基金简称 基金类型
517900 招商中证银行AH价格优选交易型开放式指数证券投资基金 招商中证银行AH价格优选ETF 场内基金
016572 招商中证银行AH价格优选交易型开放式指数证券投资基金发起式联接基金 招商中证银行AH价格优选ETF发起式联接A 场外基金
016573 招商中证银行AH价格优选交易型开放式指数证券投资基金发起式联接基金 招商中证银行AH价格优选ETF发起式联接C 场外基金

策略参数

参数编号
f93ddf07ec06a815ac86a0ed412005de
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
3.0
回测天数
1570
持仓天数
932
持仓率
59.36 %
年化收益率（不含分红）
8.14 %
夏普比率
0.32
最大回撤
17.46 %
卡玛比率
1.28
索提诺比率
0.41
波动率
15.66 %

策略说明

当前策略针对银行AH指数设计，银行行业作为金融核心，通常具有较低的波动性和稳定的收益潜力，适合中长线投资。该策略采用布林线模型，专注于中线估值，通过优化参数实现了年化收益率8.14%，夏普比率31.90%，这表明在风险调整后收益方面表现突出，优于其他策略中收益率和夏普比率较低的选项。最大回撤为17.46%，波动率15.66%，在银行行业的正常范围内，考虑到市场波动，回撤控制相对合理，而其他策略如低回撤选项虽然最大回撤低至5.19%，但年化收益率仅5.38%且夏普比率20.13%，收益潜力不足。持仓占比59.36%，持仓天数多，操作频率低，符合中长线操作的偏好，减少了交易成本和心理负担；相比之下，其他策略如持仓占比仅9.25%的选项操作频繁，不适合中长线风格。综合指数特性、风险收益平衡和操作频率，当前策略在提供较高收益的同时保持了适中的风险水平和低操作频率，是银行AH指数量化投资中的优选。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2020-01-08 11257.84 buy 8.882698634906873 100000.0
2020-02-18 10538.55 sell 8.882698634906873 93610.76369889782
2020-02-28 10284.82 buy 9.101837824959292 93610.76369889782
2020-04-30 9864.63 sell 9.101837824959292 89786.26246322817
2020-05-22 9691.85 buy 9.264099471538268 89786.26246322817
2020-07-07 10851.72 sell 9.264099471538268 100531.41351728125
2020-07-24 9542.78 buy 10.534814123062802 100531.41351728125
2020-08-18 10099.13 sell 10.534814123062802 106392.45735464722
2020-09-23 9218.24 buy 11.541515230092429 106392.45735464722
2020-10-13 9418.15 sell 11.541515230092429 108699.72166429501
2020-10-30 9731.91 buy 11.169412958432106 108699.721664295
2020-11-30 10925.2 sell 11.169412958432106 122028.07045346245
2020-12-21 10035.05 buy 12.160185594836344 122028.07045346244
2021-01-13 10817.66 sell 12.160185594836344 131544.75330183734
2021-02-26 11453.77 buy 11.484843270105593 131544.75330183734
2021-05-27 12020.9 sell 11.484843270105593 138058.1524656123
2021-06-11 11410.52 buy 12.099199025602015 138058.1524656123
2021-08-12 10339.42 sell 12.099199025602015 125098.70038929
2021-08-26 10079.37 buy 12.41136106614699 125098.70038929
2021-10-12 10437.45 sell 12.41136106614699 129542.9605598559
2021-11-02 10202.49 buy 12.69719064266232 129542.9605598559
2022-01-06 10399.58 sell 12.69719064266232 132045.4498636182
2022-02-25 10562.83 buy 12.500953803442657 132045.4498636182
2022-04-04 10787.29 sell 12.500953803442657 134851.41395433896
2022-04-20 10402.85 buy 12.96292976966302 134851.41395433896
2022-05-23 9949.46 sell 12.96292976966302 128974.15122607142
2022-07-14 9172.9 buy 14.060346370948274 128974.15122607142
2022-09-14 9269.76 sell 14.060346370948274 130336.03637556147
2022-09-29 8872.37 buy 14.690103813925868 130336.03637556147
2022-11-15 8926.6 sell 14.690103813925868 131132.68070539067
2023-02-02 9685.36 buy 13.539267585860584 131132.68070539067
2023-04-19 9658.83 sell 13.539267585860584 130773.48393633778
2023-05-23 9540.14 buy 13.707711200919253 130773.48393633778
2023-06-09 9641.93 sell 13.707711200919253 132168.79185947936
2023-07-06 8902.26 buy 14.846656001900568 132168.79185947936
2023-07-26 9129.96 sell 14.846656001900568 135549.3754311121
2023-08-14 8978.53 buy 15.097056581769186 135549.3754311121
2023-09-05 9044.2 sell 15.097056581769186 136540.7991368369
2023-10-03 8908.28 buy 15.327403172872529 136540.7991368369
2023-10-13 9075.66 sell 15.327403172872529 139106.2998799123
2023-10-19 8817.72 buy 15.775767418324952 139106.2998799123
2024-01-02 8328.8 sell 15.775767418324952 131393.21167374484
2024-01-17 8264.45 buy 15.89860325535817 131393.21167374484
2024-01-29 8709.45 sell 15.89860325535817 138468.09012237922
2024-03-19 9162.5 buy 15.112479140232384 138468.09012237922
2024-03-27 9264.97 sell 15.112479140232384 140016.66585987882