基金代码 基金全名 基金简称 基金类型
159259 易方达国证成长100交易型开放式指数证券投资基金 易方达国证成长100ETF 场内基金

策略参数

参数编号
5ef718c26462f62f6340e6745b121b63
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
2919
持仓天数
1009
持仓率
34.57 %
年化收益率（不含分红）
15.44 %
夏普比率
0.69
最大回撤
19.45 %
卡玛比率
1.04
索提诺比率
0.64
波动率
18.24 %

策略说明

当前策略针对成长100指数，展现了优异的收益能力和风险控制。年化收益率达到15.44%，为所有策略中最高，同时夏普比率68.76%也位居榜首，表明在单位风险下获得的超额回报最优，最大回撤19.45%处于较低水平，与多个策略相当，显示了对下行风险的有效管理。持仓占比34.57%适中，减少了不必要的交易频率，符合中长线操作风格，避免因短期波动导致的频繁调仓，有利于在成长型指数的高波动环境中稳定获利。成长指数通常具有较高成长潜力和波动性，当前策略通过布林线模型在中期趋势中捕捉机会，同时保持合理的持仓时间，平衡了收益与稳定性。相比之下，其他策略或在收益率、夏普比率上有所欠缺，或回撤较高、操作频繁，未能全面优化投资目标。考虑到指数行业特性，当前策略在风险调整后收益和操作效率上表现突出，更适合长期持有和减少交易成本。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-04-20 2373.3455 buy 42.13461546159209 100000.00000000001
2016-05-03 2513.5389 sell 42.13461546159209 105906.99499925318
2016-05-09 2339.7957 buy 45.26335141108823 105906.99499925318
2016-05-23 2378.5625 sell 45.26335141108823 107661.71029073655
2016-07-27 2594.0385 buy 41.50351287798409 107661.71029073655
2016-08-09 2616.1752 sell 41.50351287798409 108580.46110426262
2016-09-02 2610.2471 buy 41.597770994272004 108580.46110426262
2016-09-06 2646.0851 sell 41.597770994272004 110071.24202115533
2016-09-12 2568.8585 buy 42.84830870254447 110071.24202115533
2016-10-10 2653.8441 sell 42.84830870254447 113712.7312452263
2016-10-28 2618.0676 buy 43.43384076302167 113712.73124522631
2016-11-10 2656.5157 sell 43.43384076302167 115382.67989826704
2016-11-24 2661.7844 buy 43.34786840672259 115382.67989826704
2016-11-28 2642.4059 sell 43.34786840672259 114542.66323034737
2016-12-02 2598.137 buy 44.08646011751781 114542.66323034737
2017-01-04 2528.4898 sell 44.08646011751781 111472.16472525058
2017-01-13 2350.8579 buy 47.417653242780254 111472.16472525058
2017-01-25 2445.0416 sell 47.417653242780254 115938.13475297262
2017-03-30 2616.6582 buy 44.30771078659514 115938.1347529726
2017-04-05 2705.4362 sell 44.30771078659514 119871.68470118496
2017-04-18 2600.2234 buy 46.100533016195826 119871.68470118496
2017-05-16 2490.4235 sell 46.100533016195826 114809.85078605996
2017-05-23 2387.3187 buy 48.091547553353465 114809.85078605996
2017-06-07 2412.7967 sell 48.091547553353465 116035.1272346243
2017-07-17 2608.214 buy 44.48834613824798 116035.1272346243
2017-07-19 2688.6151 sell 44.48834613824798 119612.03920132019
2017-08-11 2704.9437 buy 44.21978882640707 119612.03920132018
2017-08-22 2731.0092 sell 44.21978882640707 120764.6501069749
2017-09-21 2863.5376 buy 42.17323708512677 120764.65010697492
2017-09-29 2976.1294 sell 42.17323708512677 125513.01078221608
2017-10-19 2889.6189 buy 43.435835356079686 125513.0107822161
2017-10-25 2999.4763 sell 43.435835356079686 130284.75872126308
2017-11-17 2909.0045 buy 44.78671611586131 130284.75872126308
2017-12-11 2806.1722 sell 44.78671611586131 125679.23769362198
2018-01-15 2742.7719 buy 45.82197947033874 125679.23769362198
2018-01-24 2812.1789 sell 45.82197947033874 128859.60382271977
2018-01-31 2624.5621 buy 49.09756329359468 128859.60382271979
2018-02-22 2660.249 sell 49.09756329359468 130611.74365422195
2018-03-21 2693.7635 buy 48.486715205036354 130611.74365422195
2018-04-10 2677.8536 sell 48.486715205036354 129840.32486398134
2018-04-17 2577.4376 buy 50.3757394025684 129840.32486398134
2018-05-07 2651.5761 sell 50.3757394025684 133575.10661967867
2018-05-25 2592.5769 buy 51.52213869516413 133575.10661967867
2018-06-12 2526.3488 sell 51.52213869516413 130162.89326596148
2018-06-15 2349.4729 buy 55.40089152165214 130162.89326596148
2018-06-29 2382.6878 sell 55.40089152165214 132003.028337764
2018-07-05 2287.5692 buy 57.70449625644724 132003.028337764
2018-07-12 2442.0643 sell 57.70449625644724 140918.09025735347
2018-08-01 2337.0937 buy 60.296294606139874 140918.09025735347
2018-08-27 2344.892 sell 60.296294606139874 141388.29885158053
2018-09-17 2200.4139 buy 64.25531980668752 141388.29885158053
2018-09-19 2223.5524 sell 64.25531980668752 142875.0705689276
2018-10-11 2037.1899 buy 70.13340806810773 142875.0705689276
2018-11-02 2066.6889 sell 70.13340806810773 144943.93597352869
2018-11-23 1961.6103 buy 73.89028084402324 144943.93597352869
2018-12-03 2069.4147 sell 73.89028084402324 152909.63336575008
2018-12-19 1961.0284 buy 77.97420647541365 152909.63336575008
2019-01-07 1960.3753 sell 77.97420647541365 152858.70841150096
2019-01-30 1929.8474 buy 79.20766606287158 152858.70841150096
2019-02-11 2053.5082 sell 79.20766606287158 162653.5917629685
2019-04-26 2648.5481 buy 61.41236089424561 162653.5917629685
2019-05-31 2460.8388 sell 61.41236089424561 151125.9204881623
2019-06-06 2404.522 buy 62.85071231960543 151125.9204881623
2019-06-11 2482.6845 sell 62.85071231960543 156038.48928984342
2019-08-05 2505.2312 buy 62.2850654621591 156038.48928984342
2019-08-15 2559.8998 sell 62.2850654621591 159443.526619568
2019-09-26 2722.501 buy 58.565093867575435 159443.526619568
2019-10-10 2802.7427 sell 58.565093867575435 164142.8893121618
2019-11-22 2742.1372 buy 59.859473593138155 164142.8893121618
2019-12-03 2824.3482 sell 59.859473593138155 169063.99649572728
2020-02-03 2984.9211 buy 56.63935187289449 169063.99649572728
2020-02-11 3251.6667 sell 56.63935187289449 184172.29439467363
2020-03-12 3379.9402 buy 54.48980854592446 184172.29439467363
2020-03-31 3230.6564 sell 54.48980854592446 176037.84871366556
2020-05-21 3463.9598 buy 50.81983015901788 176037.84871366556
2020-06-01 3641.8357 sell 50.81983015901788 185077.471741048
2020-08-26 4721.4639 buy 39.19917120218753 185077.471741048
2020-09-01 4786.5985 sell 39.19917120218753 187630.69407763402
2020-09-07 4508.9998 buy 41.61248667113138 187630.69407763405
2020-09-18 4503.9585 sell 41.61248667113138 187420.91304857886
2020-09-24 4372.3425 buy 42.86510332815393 187420.91304857886
2020-10-09 4713.4091 sell 42.86510332815393 202040.768099361
2020-10-23 4370.3904 buy 46.229455405027664 202040.76809936104
2020-11-03 4580.8534 sell 46.229455405027664 211770.35797226935
2020-12-11 4699.7822 buy 45.05961105437383 211770.35797226935
2020-12-17 4832.1772 sell 45.05961105437383 217736.0251778132
2021-02-26 5555.7255 buy 39.19128567057771 217736.0251778132
2021-03-18 5019.9512 sell 39.19128567057771 196738.34153155942
2021-03-24 4878.6091 buy 40.3267278642102 196738.34153155942
2021-03-30 5066.9261 sell 40.3267278642102 204332.5499427639
2021-05-13 5455.1959 buy 37.45650086420616 204332.5499427639
2021-05-18 5673.1043 sell 37.45650086420616 212494.6361156817
2021-06-16 5935.1281 buy 35.80287274939891 212494.6361156817
2021-06-18 6102.1648 sell 35.80287274939891 218475.02983026122
2021-08-17 7304.7278 buy 29.908716082515934 218475.02983026122
2021-08-23 7843.9493 sell 29.908716082515934 234602.4525793496
2021-09-27 7775.4116 buy 30.1723515934963 234602.4525793496
2021-10-15 8100.0112 sell 30.1723515934963 244396.38583765787
2021-11-02 7960.6372 buy 30.70060595622394 244396.38583765787
2021-11-22 8100.8146 sell 30.70060595622394 248699.91695902584
2021-12-07 8001.6905 buy 31.080921832583485 248699.91695902584
2021-12-31 7372.2828 sell 31.080921832583485 229137.3454344997
2022-01-05 7116.8435 buy 32.196485061741164 229137.3454344997
2022-01-17 7198.9802 sell 32.196485061741164 231781.85846907043
2022-02-08 6754.9326 buy 34.31297870671136 231781.85846907043
2022-02-15 6928.4248 sell 34.31297870671136 237734.89263345092
2022-03-07 6484.6671 buy 36.66107896787037 237734.89263345092
2022-03-17 6817.221 sell 36.66107896787037 249926.67742242417
2022-04-11 6155.0215 buy 40.6053297169513 249926.67742242417
2022-05-10 5870.7487 sell 40.6053297169513 238383.68664886322
2022-07-12 7181.3033 buy 33.195045062205246 238383.68664886322
2022-08-01 7221.7057 sell 33.195045062205246 239724.8461374845
2022-08-03 7134.441 buy 33.60106925510836 239724.8461374845
2022-08-05 7386.5287 sell 33.60106925510836 248195.2624035455
2022-08-19 7384.8781 buy 33.60857945692367 248195.26240354552
2022-09-07 6994.7118 sell 33.60857945692367 235082.3273085816
2022-09-15 6519.9541 buy 36.05582550168284 235082.3273085816
2022-10-14 6367.2602 sell 36.05582550168284 229576.82269501017
2022-10-28 6122.3462 buy 37.49817720125173 229576.82269501014
2022-11-02 6448.4709 sell 37.49817720125173 241805.90448531523
2022-11-25 5976.7723 buy 40.45760694034057 241805.90448531526
2022-12-01 6096.0999 sell 40.45760694034057 246633.61362324946
2022-12-13 5888.6285 buy 41.88303161309114 246633.61362324946
2022-12-27 5852.8464 sell 41.88303161309114 245134.95079776668
2023-02-16 5942.7309 buy 41.24954586077029 245134.95079776668
2023-03-06 5918.0821 sell 41.24954586077029 244118.19899175374
2023-03-10 5712.2004 buy 42.736280574426935 244118.19899175374
2023-03-29 5562.3502 sell 42.736280574426935 237714.15880041977
2023-04-12 5400.2429 buy 44.01916047154467 237714.15880041977
2023-04-17 5584.5049 sell 44.01916047154467 245825.21734722753
2023-04-24 5186.1053 buy 47.400737765048376 245825.21734722753
2023-04-27 5459.6921 sell 47.400737765048376 258793.4335100063
2023-05-26 5268.8359 buy 49.117763092603866 258793.4335100063
2023-06-15 5396.1572 sell 49.117763092603866 265047.1709600486
2023-07-19 5150.5077 buy 51.46039699349418 265047.1709600486
2023-07-31 5197.8696 sell 51.46039699349418 267484.4331364148
2023-08-11 5072.4929 buy 52.73234254037394 267484.4331364148
2023-08-29 4958.5209 sell 52.73234254037394 261474.4225924033
2023-09-14 4757.4223 buy 54.96136481144491 261474.4225924033
2023-09-28 4794.3962 sell 54.96136481144491 263506.5585988052
2023-10-18 4566.7882 buy 57.70063052164434 263506.5585988052
2023-10-27 4696.9426 sell 57.70063052164434 271016.54954397155
2023-11-22 4695.5936 buy 57.71720737160293 271016.54954397155
2023-12-08 4780.7503 sell 57.71720737160293 275931.55645695294
2023-12-20 4615.9599 buy 59.77771957181711 275931.55645695294
2023-12-28 4751.4165 sell 59.77771957181711 284028.84310590476
2024-01-17 4554.4747 buy 62.362591037316506 284028.84310590476
2024-01-25 4544.0498 sell 62.362591037316506 283378.7193305998
2024-01-30 4229.3456 buy 67.00297070322176 283378.7193305998
2024-02-07 4629.294 sell 67.00297070322176 310176.4502586003
2024-03-27 5232.5338 buy 59.2784417863866 310176.4502586003