基金代码 基金全名 基金简称 基金类型
513780 景顺长城中证港股通创新药交易型开放式指数证券投资基金 景顺长城中证港股通创新药ETF 场内基金
520700 万家中证港股通创新药交易型开放式指数证券投资基金 万家中证港股通创新药ETF 场内基金
021759 中欧中证港股通创新药指数发起式证券投资基金 中欧中证港股通创新药指数发起A 场外基金
021760 中欧中证港股通创新药指数发起式证券投资基金 中欧中证港股通创新药指数发起C 场外基金
023481 万家中证港股通创新药交易型开放式指数证券投资基金发起式联接基金 万家中证港股通创新药ETF发起式联接A 场外基金
023597 景顺长城中证港股通创新药交易型开放式指数证券投资基金发起式联接基金 景顺长城中证港股通创新药ETF联接A 场外基金
023598 景顺长城中证港股通创新药交易型开放式指数证券投资基金发起式联接基金 景顺长城中证港股通创新药ETF联接C 场外基金
023482 万家中证港股通创新药交易型开放式指数证券投资基金发起式联接基金 万家中证港股通创新药ETF发起式联接C 场外基金
024363 华富中证港股通创新药指数型发起式证券投资基金 华富中证港股通创新药指数型发起式A 场外基金
024364 华富中证港股通创新药指数型发起式证券投资基金 华富中证港股通创新药指数型发起式C 场外基金
024407 鑫元中证港股通创新药指数型发起式证券投资基金 鑫元中证港股通创新药指数发起式A 场外基金
520970 嘉实中证港股通创新药交易型开放式指数证券投资基金 嘉实中证港股通创新药ETF 场内基金
024408 鑫元中证港股通创新药指数型发起式证券投资基金 鑫元中证港股通创新药指数发起式C 场外基金
024700 嘉实中证港股通创新药指数型发起式证券投资基金 嘉实中证港股通创新药ETF发起联接A 场外基金
024701 嘉实中证港股通创新药指数型发起式证券投资基金 嘉实中证港股通创新药ETF发起联接C 场外基金

策略参数

参数编号
ce9984265f46f8df6e2301ae397d0de6
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
1566
持仓天数
646
持仓率
41.25 %
年化收益率（不含分红）
5.64 %
夏普比率
0.19
最大回撤
44.24 %
卡玛比率
0.46
索提诺比率
0.20
波动率
28.72 %

策略说明

当前策略针对港股通创新药指数（931250），该行业通常具有高成长性和高波动性，对风险控制要求较高。在当前策略的回测结果中，最大回撤为44.24%，波动率为28.72%，均为所有策略中最低，表明其在市场下行期能有效限制损失，提高资金安全性。年化收益率5.64%虽略低，但Calmar比率达到46.02%，反映了良好的风险调整后回报。持仓占比为41.25%，显著低于其他策略，这意味着操作频率较低，更符合中长线投资偏好，减少了交易成本和频繁调整带来的不确定性。其他策略如布林线模型虽收益率较高，但最大回撤超过50%，波动率也更高，可能在行业波动中导致更大回撤，不利于长期稳健增长。综合考虑指数行业的波动特性和投资风格，当前策略在风险控制和操作频率上表现更优，能够更好地匹配长期投资目标，确保在创新药这样的高波动市场中保持稳定。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2020-01-06 935.25 buy 106.92328254477412 100000.0
2020-01-09 951.26 sell 106.92328254477412 101711.84175354183
2020-01-29 919.97 buy 110.5599549480329 101711.84175354183
2020-02-06 987.98 sell 110.5599549480329 109231.02428955754
2020-02-21 965.24 buy 113.16462671414108 109231.02428955754
2020-03-05 1002.14 sell 113.16462671414108 113406.79901530934
2020-03-12 873.6 buy 129.81547506331196 113406.79901530934
2020-03-25 866.15 sell 129.81547506331196 112439.67372608765
2020-05-04 895.42 buy 125.57199272529948 112439.67372608765
2020-05-07 936.95 sell 125.57199272529948 117654.67858396935
2020-05-22 938.87 buy 125.31519654901035 117654.67858396935
2020-06-01 979.27 sell 125.31519654901035 122717.41252454936
2020-08-12 1104.6 buy 111.09669792191687 122717.41252454936
2020-08-24 1115.01 sell 111.09669792191687 123873.92914991653
2020-09-04 1080.92 buy 114.60045993220268 123873.92914991653
2020-09-16 1094.11 sell 114.60045993220268 125385.50921642226
2020-09-25 1058.75 buy 118.42787175104817 125385.50921642226
2020-10-06 1106.36 sell 118.42787175104817 131023.86019048965
2020-10-19 1083.38 buy 120.9398919958737 131023.86019048965
2020-11-04 1126.67 sell 120.9398919958737 136259.34811499104
2020-11-18 1097.27 buy 124.18032764496527 136259.34811499104
2020-12-04 1091.09 sell 124.18032764496527 135491.91369014516
2021-02-22 1328.15 buy 102.01552060395674 135491.91369014516
2021-03-16 1296.34 sell 102.01552060395674 132246.79997973327
2021-03-24 1219.92 buy 108.40612497518957 132246.79997973327
2021-03-30 1270.25 sell 108.40612497518957 137702.88024973456
2021-05-06 1354.0 buy 101.70079782107427 137702.88024973456
2021-05-14 1476.22 sell 101.70079782107427 150132.75175942626
2021-06-16 1577.57 buy 95.16709354223664 150132.75175942626
2021-06-23 1688.44 sell 95.16709354223664 160683.92742045404
2021-07-05 1546.7 buy 103.88823134444561 160683.92742045404
2021-07-14 1622.85 sell 103.88823134444561 168595.01623733356
2021-07-23 1424.62 buy 118.34385045649617 168595.01623733356
2021-08-03 1547.82 sell 118.34385045649617 183174.97861357388
2021-08-12 1421.62 buy 128.8494665336545 183174.97861357388
2021-08-31 1375.18 sell 128.8494665336545 177191.209387751
2021-09-16 1456.95 buy 121.61790685181441 177191.209387751
2021-10-18 1339.64 sell 121.61790685181441 162924.21273496468
2021-10-28 1281.31 buy 127.15440661117503 162924.21273496468
2021-11-10 1232.4 sell 127.15440661117503 156705.09070761214
2021-12-02 1248.69 buy 125.49559194644958 156705.09070761214
2021-12-31 1082.62 sell 125.49559194644958 135864.03775306523
2022-01-04 1019.6 buy 133.25229281391253 135864.03775306523
2022-01-11 1101.98 sell 133.25229281391253 146841.36163507533
2022-01-24 1009.98 buy 145.39036578454557 146841.36163507533
2022-02-17 947.97 sell 145.39036578454557 137825.70505277565
2022-03-03 878.35 buy 156.9143337539428 137825.70505277565
2022-03-17 857.77 sell 156.9143337539428 134596.40806411952
2022-04-11 834.59 buy 161.27249076087602 134596.40806411952
2022-05-02 774.58 sell 161.27249076087602 124918.44589355936
2022-05-06 714.97 buy 174.71844398164868 124918.44589355936
2022-05-17 738.62 sell 174.71844398164868 129050.53709372535
2022-05-26 723.11 buy 178.46598317507065 129050.53709372533
2022-05-30 772.77 sell 178.46598317507065 137913.15781819934
2022-07-15 860.46 buy 160.27840668735251 137913.15781819934
2022-08-05 823.04 sell 160.27840668735251 131915.5398399586
2022-08-17 783.89 buy 168.28322831004172 131915.5398399586
2022-10-05 634.0 sell 168.28322831004172 106691.56674856645
2022-10-10 595.11 buy 179.28041328253002 106691.56674856645
2022-10-14 653.34 sell 179.28041328253002 117131.06521400817
2022-11-25 753.86 buy 155.3750898230549 117131.06521400818
2022-11-30 781.57 sell 155.3750898230549 121436.50895300503
2022-12-20 791.18 buy 153.487839623101 121436.50895300503
2022-12-23 820.91 sell 153.487839623101 125999.70242499984
2023-01-31 973.57 buy 129.4202804369484 125999.70242499985
2023-03-01 862.73 sell 129.4202804369484 111654.75854136849
2023-03-08 808.25 buy 138.1438398284794 111654.75854136847
2023-03-21 802.33 sell 138.1438398284794 110836.94700958388
2023-03-31 761.13 buy 145.62157188599042 110836.94700958389
2023-04-06 785.13 sell 145.62157188599042 114331.86473484765
2023-04-25 799.85 buy 142.94163247464854 114331.86473484764
2023-05-05 813.57 sell 142.94163247464854 116293.02393239982
2023-05-09 786.94 buy 147.77876830813 116293.02393239982
2023-06-16 721.76 sell 147.77876830813 106660.8038140759
2023-06-21 669.68 buy 159.27129944761066 106660.8038140759
2023-07-04 678.85 sell 159.27129944761066 108121.3216300105
2023-08-07 639.13 buy 169.16952987656737 108121.3216300105
2023-08-24 643.55 sell 169.16952987656737 108869.05095206492
2023-09-07 637.11 buy 170.8795199448524 108869.05095206492
2023-09-15 673.58 sell 170.8795199448524 115101.02704445369
2023-09-21 652.6 buy 176.3730111009097 115101.02704445367
2023-09-27 665.42 sell 176.3730111009097 117362.12904676732
2023-10-03 623.64 buy 188.18890553326813 117362.12904676734
2023-10-11 698.51 sell 188.18890553326813 131451.83240404312
2023-12-04 674.09 buy 195.00635286689183 131451.83240404312
2023-12-15 663.13 sell 195.00635286689183 129314.56277662198
2023-12-21 629.78 buy 205.33291431392232 129314.56277662198
2023-12-28 679.38 sell 205.33291431392232 139499.07532659255
2024-01-08 631.0 buy 221.07618910711972 139499.07532659255
2024-02-16 530.27 sell 221.07618910711972 117230.07079783236
2024-03-07 541.88 buy 216.33954159192507 117230.07079783236
2024-03-12 588.03 sell 216.33954159192507 127214.1406422997
2024-03-22 529.64 buy 240.1898282650474 127214.1406422997