基金代码 基金全名 基金简称 基金类型
562880 嘉实中证电池主题交易型开放式指数证券投资基金 嘉实中证电池主题ETF 场内基金
561910 招商中证电池主题交易型开放式指数证券投资基金 招商中证电池主题ETF 场内基金
012862 汇添富中证电池主题交易型开放式指数证券投资基金发起式联接基金 汇添富中证电池主题ETF发起式联接A 场外基金
012863 汇添富中证电池主题交易型开放式指数证券投资基金发起式联接基金 汇添富中证电池主题ETF发起式联接C 场外基金
159796 汇添富中证电池主题交易型开放式指数证券投资基金 汇添富中证电池主题ETF 场内基金
015808 汇添富中证电池主题交易型开放式指数证券投资基金发起式联接基金 汇添富中证电池主题ETF发起式联接D 场外基金
016019 招商中证电池主题交易型开放式指数证券投资基金联接基金 招商中证电池主题ETF联接A 场外基金
561160 富国中证电池主题交易型开放式指数证券投资基金 富国中证电池主题ETF 场内基金
015997 大成中证电池主题指数型发起式证券投资基金 大成中证电池主题指数发起式A 场外基金
016020 招商中证电池主题交易型开放式指数证券投资基金联接基金 招商中证电池主题ETF联接C 场外基金
015998 大成中证电池主题指数型发起式证券投资基金 大成中证电池主题指数发起式C 场外基金
016566 嘉实中证电池主题交易型开放式指数证券投资基金发起式联接基金 嘉实中证电池主题ETF发起联接A 场外基金
016567 嘉实中证电池主题交易型开放式指数证券投资基金发起式联接基金 嘉实中证电池主题ETF发起联接C 场外基金
017222 富国中证电池主题交易型开放式指数证券投资基金发起式联接基金 富国中证电池主题ETF发起式联接A 场外基金
017223 富国中证电池主题交易型开放式指数证券投资基金发起式联接基金 富国中证电池主题ETF发起式联接C 场外基金
018926 南方中证电池主题指数发起式证券投资基金 南方中证电池主题指数发起A 场外基金
018927 南方中证电池主题指数发起式证券投资基金 南方中证电池主题指数发起C 场外基金

策略参数

参数编号
98ccc9fd08a3d6623b4eba5bc21c8cd1
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.0
回测天数
2249
持仓天数
1247
持仓率
55.45 %
年化收益率（不含分红）
8.92 %
夏普比率
0.31
最大回撤
49.75 %
卡玛比率
0.37
索提诺比率
0.38
波动率
27.29 %

策略说明

当前策略在CS电池指数的量化回测中展现出优秀的综合性能，适合中长线操作风格。该策略的年化收益率达到8.92%，在同类策略中位于较高水平，同时夏普比率为31.50%，表明风险调整后的收益较为优越。最大回撤为49.75%，是所有策略中最低的之一，这反映了良好的风险控制能力，特别是在电池行业这种高波动性指数中，较低的回撤有助于稳定投资组合。持仓占比为55.45%，表明持仓时间较长，操作频率相对较低，符合较少交易的需求。与其他策略相比，一些策略虽然年化收益率略高，但最大回撤显著增大，风险敞口较高；另一些策略持仓占比更高，但夏普比率和收益率明显不足，牺牲了收益潜力。布林线模型专注于中线估值，当前策略通过参数设置有效平衡了收益与风险，在保持较高夏普比率的同时最小化最大回撤，适合对风险敏感的中长线投资者。因此，选择该策略能在电池行业的中线趋势中实现稳健增长，同时控制下行风险。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-03-22 1539.59 buy 64.9523574458135 100000.00000000001
2018-05-16 1533.98 sell 64.9523574458135 99635.617274729
2018-05-23 1527.48 buy 65.22875407516236 99635.617274729
2018-07-02 1328.89 sell 65.22875407516236 86681.8390029425
2018-07-05 1277.26 buy 67.86546122398141 86681.83900294249
2018-07-16 1311.81 sell 67.86546122398141 89026.59068823105
2018-07-30 1260.46 buy 70.63023871303417 89026.59068823105
2018-08-30 1144.2 sell 70.63023871303417 80815.1191354537
2018-09-05 1117.3 buy 72.33072508319493 80815.1191354537
2018-09-17 1134.35 sell 72.33072508319493 82048.35799812217
2018-10-10 1044.49 buy 78.55351223862571 82048.35799812217
2018-10-26 1019.58 sell 78.55351223862571 80091.590008258
2018-11-23 1098.53 buy 72.90796792828417 80091.590008258
2018-12-10 1183.25 sell 72.90796792828417 86268.35305114224
2018-12-19 1142.33 buy 75.51964235478562 86268.35305114224
2019-01-17 1146.45 sell 75.51964235478562 86579.49397764397
2019-01-30 1124.81 buy 76.97255001079647 86579.49397764397
2019-03-08 1450.02 sell 76.97255001079647 111611.7369666551
2019-03-26 1383.83 buy 80.65422556719763 111611.73696665508
2019-04-11 1417.24 sell 80.65422556719763 114306.39464285517
2019-04-15 1446.02 buy 79.04897210471167 114306.39464285516
2019-04-22 1415.57 sell 79.04897210471167 111899.35344226669
2019-04-25 1372.63 buy 81.52186200379322 111899.35344226669
2019-05-17 1215.12 sell 81.52186200379322 99058.8449580492
2019-05-23 1189.51 buy 83.27701739207674 99058.8449580492
2019-06-14 1201.8 sell 83.27701739207674 100082.31950179783
2019-07-22 1255.57 buy 79.71066487873861 100082.31950179783
2019-07-31 1261.48 sell 79.71066487873861 100553.40953123118
2019-08-05 1200.59 buy 83.7533292224916 100553.40953123118
2019-08-23 1215.12 sell 83.7533292224916 101770.34540483399
2019-09-26 1264.49 buy 80.48331375086714 101770.34540483399
2019-10-30 1215.91 sell 80.48331375086714 97860.46602281687
2020-02-03 1691.17 buy 57.86554043816817 97860.46602281687
2020-02-14 1887.45 sell 57.86554043816817 109218.31430002052
2020-02-28 1824.71 buy 59.855162902609464 109218.31430002052
2020-04-10 1483.13 sell 59.855162902609464 88772.98775574718
2020-05-18 1662.67 buy 53.391826252802524 88772.98775574718
2020-05-21 1629.53 sell 53.391826252802524 87003.5826337293
2020-07-24 2099.73 buy 41.435604879546084 87003.5826337293
2020-08-07 2256.56 sell 41.435604879546084 93501.9285469885
2020-08-20 2194.89 buy 42.59982438618268 93501.9285469885
2020-08-31 2319.57 sell 42.59982438618268 98813.27465145777
2020-09-09 2110.36 buy 46.82294710450244 98813.27465145777
2020-09-22 2360.49 sell 46.82294710450244 110525.09841070695
2020-10-23 2617.12 buy 42.23157455932741 110525.09841070695
2020-11-11 2976.9 sell 42.23157455932741 125719.17430566179
2020-11-18 2886.76 buy 43.550268919363496 125719.17430566177
2020-11-26 2950.45 sell 43.550268919363496 128492.89093313602
2021-02-22 3790.92 buy 33.89490966127906 128492.890933136
2021-03-19 3321.65 sell 33.89490966127906 112587.02667638758
2021-03-24 3152.46 buy 35.714022279866384 112587.02667638758
2021-04-08 3290.61 sell 35.714022279866384 117520.91885435113
2021-04-12 3216.33 buy 36.53882495090713 117520.91885435111
2021-05-07 3557.42 sell 36.53882495090713 129983.94665685603
2021-05-13 3534.81 buy 36.772541284215 129983.94665685603
2021-06-03 4051.71 sell 36.772541284215 148991.67324666676
2021-06-16 3965.1187 buy 37.575589665617514 148991.67324666676
2021-07-16 5019.6676 sell 37.575589665617514 188616.96999539505
2021-07-27 5006.0828 buy 37.67755699034683 188616.96999539505
2021-08-03 5640.3925 sell 37.67755699034683 212516.20986667482
2021-08-16 5238.9744 buy 40.56446808876844 212516.2098666748
2021-09-01 5458.5404 sell 40.56446808876844 221422.78786705332
2021-09-03 5442.4077 buy 40.6847116336127 221422.78786705332
2021-09-08 5631.1317 sell 40.6847116336127 229100.96938539526
2021-09-28 5305.9299 buy 43.178288010438145 229100.96938539526
2021-11-01 6062.0289 sell 43.178288010438145 261748.02977179954
2021-11-05 6153.3714 buy 42.53733648708406 261748.02977179954
2021-11-10 6099.0692 sell 42.53733648708406 259438.1588184106
2021-11-15 5809.2354 buy 44.65960508648188 259438.1588184106
2021-11-24 6022.7221 sell 44.65960508648188 268972.3905316268
2021-12-07 6014.79 buy 44.71850065116601 268972.3905316268
2022-01-19 5057.2323 sell 44.71850065116601 226151.84590064778
2022-01-27 4913.2453 buy 46.029015872797515 226151.84590064778
2022-02-18 4774.1449 sell 46.029015872797515 219749.19138113532
2022-03-04 4483.8784 buy 49.008731231679995 219749.19138113532
2022-03-22 4680.1052 sell 49.008731231679995 229366.01788278794
2022-03-28 4394.0984 buy 52.198653057652955 229366.01788278794
2022-05-24 3876.8897 sell 52.198653057652955 202368.42039308825
2022-08-03 4979.6365 buy 40.63919532943585 202368.42039308828
2022-08-12 5215.5418 sell 40.63919532943585 211955.42195903746
2022-08-25 4947.5505 buy 42.84047670843126 211955.42195903746
2022-10-17 4369.2899 sell 42.84047670843126 187182.46219333395
2022-10-28 3952.2084 buy 47.3614858450617 187182.46219333395
2022-11-09 4191.2471 sell 47.3614858450617 198503.6901998059
2022-11-17 4008.952 buy 49.515107738831965 198503.6901998059
2022-12-05 4059.4675 sell 49.515107738831965 201004.97062478686
2022-12-14 4068.7818 buy 49.401757210176974 201004.97062478686
2023-02-03 4161.35 sell 49.401757210176974 205578.00236656997
2023-02-15 4019.12 buy 51.150003574556116 205578.00236656997
2023-03-28 3610.24 sell 51.150003574556116 184663.78890500547
2023-04-04 3547.71 buy 52.05154561816086 184663.78890500547
2023-04-12 3552.94 sell 52.05154561816086 184936.01848858845
2023-04-21 3430.55 buy 53.90856232632915 184936.01848858845
2023-05-12 3570.57 sell 53.90856232632915 192484.29538552108
2023-05-26 3328.99 buy 57.82062889510665 192484.29538552108
2023-06-21 3346.85 sell 57.82062889510665 193516.97181758768
2023-07-17 3335.73 buy 58.01337992511015 193516.97181758768
2023-08-08 3322.31 sell 58.01337992511015 192738.4322589927
2023-08-11 3216.38 buy 59.92402398317135 192738.4322589927
2023-09-05 2954.7 sell 59.92402398317135 177057.5136630764
2023-09-07 2845.4 buy 62.22587814123722 177057.5136630764
2023-10-13 2669.37 sell 62.22587814123722 166103.8923338744
2023-10-18 2608.95 buy 63.66695120024316 166103.8923338744
2023-11-02 2652.99 sell 63.66695120024316 168907.78486473308
2023-11-22 2664.01 buy 63.40358514597658 168907.78486473308
2023-12-27 2583.1 sell 63.40358514597658 163777.8007905721
2024-01-08 2400.54 buy 68.22539961449178 163777.8007905721
2024-01-17 2443.17 sell 68.22539961449178 166686.2495761379
2024-01-22 2322.68 buy 71.76462085872264 166686.2495761379
2024-02-28 2324.08 sell 71.76462085872264 166786.7200453401
2024-03-22 2375.42 buy 70.21357067185596 166786.7200453401