基金代码 基金全名 基金简称 基金类型
159263 易方达国证价值100交易型开放式指数证券投资基金 易方达国证价值100ETF 场内基金
025497 易方达国证价值100交易型开放式指数证券投资基金发起式联接基金 易方达国证价值100ETF联接发起式A 场外基金
025498 易方达国证价值100交易型开放式指数证券投资基金发起式联接基金 易方达国证价值100ETF联接发起式C 场外基金

策略参数

参数编号
42a98f0488c13e29024ae64ae22361da
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
25
BB标准差
3.0
回测天数
2919
持仓天数
745
持仓率
25.52 %
年化收益率（不含分红）
12.25 %
夏普比率
0.83
最大回撤
10.61 %
卡玛比率
1.67
索提诺比率
0.69
波动率
10.28 %

策略说明

当前策略在回测中展现出卓越的风险调整后收益，夏普比率高达82.74%，波动率最低为10.28%，最大回撤控制在10.61%，这些数据指标表明策略在有效管理风险的同时实现了稳定回报，适合价值型指数的中线操作。指数为价值100，属于价值投资范畴，布林线模型能较好地捕捉中线估值机会。相较于其他策略，当前策略的持仓占比仅为25.52%，操作频率较低，更符合中长线投资风格，减少了频繁交易带来的成本和不确定性。虽然年化收益率12.25%并非最高，但结合优异的夏普比率、低波动率和低回撤，它在收益与风险之间取得了良好平衡。其他策略如高收益选项往往伴随较高的最大回撤和持仓占比，增加了操作风险和交易频率，不符合偏好较少操作的风格。因此，综合考量指数数据指标和个人投资偏好，当前策略提供了更稳健和可持续的长期表现。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-05-06 1500.2628 buy 66.65498871264421 100000.0
2016-06-03 1571.07 sell 66.65498871264421 104719.65311677393
2017-05-09 1970.3559 buy 53.14758268634308 104719.65311677393
2017-05-22 2052.5493 sell 53.14758268634308 109088.03363954561
2017-08-11 2224.3486 buy 49.042687661253105 109088.03363954561
2017-08-25 2302.1262 sell 49.042687661253105 112902.4561833875
2018-02-09 2557.2151 buy 44.150551192736 112902.45618338752
2018-05-07 2537.6175 sell 44.150551192736 112037.21134133275
2018-06-26 2363.4729 buy 47.403636970549876 112037.21134133275
2018-07-30 2376.5595 sell 47.403636970549876 112657.56377691151
2019-01-02 2002.7794 buy 56.25061041516181 112657.56377691151
2019-01-18 2141.4552 sell 56.25061041516181 120458.16217672241
2019-05-06 2396.4856 buy 50.26450489697181 120458.16217672241
2019-06-20 2393.9905 sell 50.26450489697181 120332.74721055398
2019-08-05 2199.0747 buy 54.719717893418526 120332.74721055398
2019-09-04 2311.9568 sell 54.719717893418526 126509.62387777063
2019-11-15 2239.7178 buy 56.48462671403095 126509.62387777063
2019-11-25 2328.0137 sell 56.48462671403095 131496.98482965003
2020-02-03 2199.3463 buy 59.789122263124284 131496.98482965003
2020-03-04 2481.5273 sell 59.789122263124284 148368.3391389807
2020-03-16 2192.6059 buy 67.66758182078262 148368.3391389807
2020-04-30 2262.1149 sell 67.66758182078262 153071.8450837615
2020-09-24 2434.8342 buy 62.86746139994317 153071.8450837615
2020-11-04 2599.9391 sell 62.86746139994317 163451.571011453
2020-12-14 2531.7588 buy 64.5604830173605 163451.571011453
2021-01-13 2597.4548 sell 64.5604830173605 167692.9365037615
2021-01-29 2449.889 buy 68.44919769988007 167692.9365037615
2021-02-19 2701.7045 sell 68.44919769988007 184929.50544715562
2021-06-17 2586.6688 buy 71.4933065443692 184929.50544715562
2021-08-11 2623.3374 sell 71.4933065443692 187551.0649075085
2022-03-14 2608.2197 buy 71.90769432019415 187551.0649075085
2022-04-06 2992.0749 sell 71.90769432019415 215153.2072923255
2022-04-26 2767.5806 buy 77.74053889968933 215153.2072923255
2022-05-27 2896.5972 sell 77.74053889968933 225183.02730333118
2022-07-11 2796.1566 buy 80.53305287097697 225183.0273033312
2022-08-22 2772.4242 sell 80.53305287097697 223271.78467937603
2022-10-28 2487.805 buy 89.74649728550914 223271.78467937605
2022-11-25 2717.0479 sell 89.74649728550914 243845.5319819483
2023-05-24 3054.6762 buy 79.8269656148656 243845.5319819483
2023-07-25 3131.9452 sell 79.8269656148656 250013.68178804338
2023-10-11 3080.9419 buy 81.14845716111796 250013.68178804335
2023-12-01 3014.7388 sell 81.14845716111796 244641.40236376016
2023-12-20 2946.1988 buy 83.03628470820101 244641.40236376016
2023-12-29 3033.716 sell 83.03628470820101 251908.50549982474