基金代码 基金全名 基金简称 基金类型
516320 华夏中证装备产业交易型开放式指数证券投资基金 华夏中证装备产业ETF 场内基金
562910 易方达中证装备产业交易型开放式指数证券投资基金 易方达中证装备产业ETF 场内基金
018315 易方达中证装备产业交易型开放式指数证券投资基金发起式联接基金 易方达中证装备产业ETF联接发起式A 场外基金
018316 易方达中证装备产业交易型开放式指数证券投资基金发起式联接基金 易方达中证装备产业ETF联接发起式C 场外基金
021200 华夏中证装备产业交易型开放式指数证券投资基金发起式联接基金 华夏中证装备产业ETF发起式联接A 场外基金
021201 华夏中证装备产业交易型开放式指数证券投资基金发起式联接基金 华夏中证装备产业ETF发起式联接C 场外基金

策略参数

参数编号
2e5503601a0687034e465a5fa5c3022b
PE权重
0.5
PB权重
0.3
DRY权重
0.2
BB周期
20
BB标准差
2
回测天数
1926
持仓天数
610
持仓率
31.67 %
年化收益率（不含分红）
5.97 %
夏普比率
0.20
最大回撤
41.72 %
卡玛比率
0.44
索提诺比率
0.22
波动率
17.70 %

策略说明

当前策略在装备产业指数上表现出色，其年化收益率达到5.97%，为所有策略中最高，同时夏普比率高达20.31%，表明风险调整后收益优异，最大回撤41.72%相对较低，波动率17.70%在可控范围内，提供了良好的风险回报平衡。该策略采用成长型估值模型，专注于长线投资，基于2年内的估值指标进行决策，符合中长线操作偏好和较少交易频率的要求，有助于避免频繁市场进出带来的成本和不确定性。装备产业作为周期性行业，估值策略能够有效捕捉长期价值和成长潜力，而当前策略的高夏普和低最大回撤组合显示出对市场波动的稳健应对能力。与其他策略相比，当前策略在收益、风险和操作频率上更为均衡，持仓占比适中减少了不必要的活跃交易，同时保持了对行业动态的敏感度，适合稳健投资风格。综合指数特性、策略指标和个人操作倾向，当前策略在长线框架下提供了最优的整体表现。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-12-25 1418.17 buy 70.51340812455489 100000.0
2020-08-26 2440.56 sell 70.51340812455489 172092.20333246366
2022-12-22 2594.64 buy 66.32604266197379 172092.20333246366

策略参数

参数编号
38c8514113d1b06c00f0341c25dbb3fb
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
2919
持仓天数
1290
持仓率
44.19 %
年化收益率（不含分红）
6.11 %
夏普比率
0.21
最大回撤
42.50 %
卡玛比率
0.31
索提诺比率
0.22
波动率
19.16 %

策略说明

当前策略在装备产业指数的回测中表现出色，年化收益率达到6.11%，同时最大回撤控制在42.50%，夏普比率为20.78%，显示出良好的风险调整后收益。与其他策略相比，该策略在波动率19.16%和Calmar比率31.12%方面也表现稳健，持仓占比44.19%意味着较少的操作频率，适合中长线投资风格。装备产业作为周期性行业，需要策略在收益和风险间取得平衡，当前策略通过适中的参数设置实现了这一点，避免了高收益伴随的高回撤或低收益导致的机会成本，因此是最佳选择。


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 1912.07 buy 52.29934050531623 100000.0
2016-05-03 1950.3 sell 52.29934050531623 101999.40378751824
2016-05-06 1806.56 buy 56.46056803400842 101999.40378751824
2016-05-23 1794.09 sell 56.46056803400842 101295.34050413416
2016-06-13 1799.31 buy 56.29676959730906 101295.34050413416
2016-06-22 1859.36 sell 56.29676959730906 104675.96151845256
2016-07-22 1976.09 buy 52.97125207781658 104675.96151845256
2016-08-08 1944.16 sell 52.97125207781658 102984.58943960788
2016-08-26 1965.36 buy 52.399860300203464 102984.58943960788
2016-09-06 1984.88 sell 52.399860300203464 104007.43471266786
2016-09-12 1938.69 buy 53.64830618235399 104007.43471266786
2016-10-10 1969.08 sell 53.64830618235399 105637.80673754959
2016-10-31 1991.4 buy 53.047005492392074 105637.80673754959
2016-11-08 1977.52 sell 53.047005492392074 104901.51430131517
2016-12-12 2004.14 buy 52.34240836534133 104901.51430131517
2016-12-22 2009.65 sell 52.34240836534133 105189.92097140821
2016-12-30 2021.67 buy 52.03120240761756 105189.92097140821
2017-01-24 2031.58 sell 52.03120240761756 105705.55018726768
2017-03-30 2102.43 buy 50.277797685187 105705.55018726768
2017-04-05 2154.78 sell 50.277797685187 108337.59289608724
2017-04-18 2097.07 buy 51.6614099176886 108337.59289608724
2017-06-06 1889.39 sell 51.6614099176886 97608.55128438167
2017-07-17 1914.25 buy 50.990493030890256 97608.55128438167
2017-07-21 1980.04 sell 50.990493030890256 100963.21582088394
2017-08-11 1987.89 buy 50.789136129707344 100963.21582088394
2017-08-17 1999.92 sell 50.789136129707344 101574.20912852432
2017-09-22 2036.32 buy 49.881260866918915 101574.20912852432
2017-10-09 2079.67 sell 49.881260866918915 103736.56178710527
2017-10-19 2066.41 buy 50.20134522534506 103736.56178710527
2017-10-25 2111.49 sell 50.20134522534506 105999.63842986383
2017-11-03 2093.44 buy 50.63418986446415 105999.63842986383
2017-11-07 2107.87 sell 50.63418986446415 106730.28978960804
2017-11-17 2066.78 buy 51.64085668992734 106730.28978960804
2017-12-11 1983.44 sell 51.64085668992734 102426.54079306948
2018-01-12 1962.53 buy 52.19107009476007 102426.54079306948
2018-01-23 2022.82 sell 52.19107009476007 105573.14040908257
2018-01-31 1904.31 buy 55.43905162976751 105573.14040908257
2018-02-23 1874.54 sell 55.43905162976751 103922.71984206438
2018-03-23 1862.16 buy 55.80762117222171 103922.71984206438
2018-03-30 1920.49 sell 55.80762117222171 107177.97838504007
2018-04-16 1837.46 buy 58.32942125817164 107177.97838504007
2018-05-07 1886.95 sell 58.32942125817164 110064.70144310698
2018-05-18 1884.78 buy 58.3965775544663 110064.70144310698
2018-06-29 1544.83 sell 58.3965775544663 90212.78490346616
2018-07-05 1507.11 buy 59.85812907051653 90212.78490346616
2018-07-16 1544.13 sell 59.85812907051653 92428.7328416567
2018-08-02 1487.48 buy 62.13779872109655 92428.7328416567
2018-08-13 1521.2 sell 62.13779872109655 94524.01941453207
2018-08-16 1448.58 buy 65.25288172868055 94524.01941453207
2018-08-27 1507.21 sell 65.25288172868055 98349.79587028461
2018-09-10 1477.17 buy 66.57987629743673 98349.79587028461
2018-09-13 1484.89 sell 66.57987629743673 98863.79251530083
2018-10-08 1478.08 buy 66.88663165410588 98863.79251530083
2018-10-24 1381.57 sell 66.88663165410588 92408.56369436307
2018-11-23 1429.05 buy 64.66433203482248 92408.56369436307
2018-12-03 1494.33 sell 64.66433203482248 96629.85128959628
2018-12-19 1439.57 buy 67.12410739984598 96629.85128959628
2019-01-04 1477.22 sell 67.12410739984598 99157.07393320049
2019-01-31 1518.54 buy 65.29763716016733 99157.07393320049
2019-03-11 1846.17 sell 65.29763716016733 120550.53879598611
2019-03-26 1792.14 buy 67.26625084869826 120550.53879598611
2019-04-01 1897.24 sell 67.26625084869826 127620.2217601843
2019-04-15 1912.05 buy 66.74523247832656 127620.22176018429
2019-04-17 1933.7 sell 66.74523247832656 129065.25604334006
2019-04-23 1876.01 buy 68.79774417158761 129065.25604334006
2019-05-16 1638.86 sell 68.79774417158761 112749.87101304806
2019-05-23 1618.91 buy 69.6455460853587 112749.87101304806
2019-05-28 1658.04 sell 69.6455460853587 115475.10123136814
2019-06-03 1609.96 buy 71.7254473597904 115475.10123136814
2019-06-11 1648.99 sell 71.7254473597904 118274.54544182077
2019-07-08 1667.95 buy 70.91012646771232 118274.54544182077
2019-07-16 1702.0 sell 70.91012646771232 120689.03524804636
2019-08-02 1659.87 buy 72.70993225255374 120689.03524804638
2019-08-19 1664.66 sell 72.70993225255374 121037.31582353612
2019-09-17 1741.99 buy 69.48221047396146 121037.31582353612
2019-10-14 1721.02 sell 69.48221047396146 119580.27386989715
2019-10-18 1666.04 buy 71.7751517790072 119580.27386989715
2019-10-28 1669.44 sell 71.7751517790072 119824.30938594579
2019-10-30 1650.84 buy 72.58384179323605 119824.30938594579
2019-11-04 1687.37 sell 72.58384179323605 122475.7971266527
2019-11-11 1650.38 buy 74.21066489332922 122475.79712665269
2019-11-19 1664.57 sell 74.21066489332922 123528.84646148903
2020-01-16 1872.53 buy 65.96895454891992 123528.84646148903
2020-01-20 1876.02 sell 65.96895454891992 123759.07811286475
2020-01-23 1678.08 buy 73.75040410043904 123759.07811286474
2020-02-10 1840.32 sell 73.75040410043904 135724.34367411997
2020-02-28 1942.13 buy 69.88427328454839 135724.34367411997
2020-03-05 1958.95 sell 69.88427328454839 136899.79715076607
2020-03-09 1922.88 buy 71.19518490533265 136899.79715076607
2020-04-02 1721.65 sell 71.19518490533265 122573.19009226597
2020-04-27 1803.27 buy 67.97273291978793 122573.19009226598
2020-04-30 1896.95 sell 67.97273291978793 128940.87571219172
2020-05-21 1835.25 buy 70.25793527431779 128940.87571219172
2020-06-01 1888.54 sell 70.25793527431779 132684.92108296012
2020-08-12 2421.21 buy 54.801079246723795 132684.92108296012
2020-08-17 2518.21 sell 54.801079246723795 138000.62576989233
2020-08-20 2425.3 buy 56.900435315174335 138000.62576989233
2020-08-24 2456.57 sell 56.900435315174335 139779.90238219782
2020-08-26 2440.56 buy 57.27370045489471 139779.90238219782
2020-09-01 2504.41 sell 57.27370045489471 143436.82815624285
2020-09-07 2410.92 buy 59.494644432931345 143436.82815624285
2020-09-16 2492.79 sell 59.494644432931345 148307.65469596692
2020-09-24 2419.08 buy 61.3074618019937 148307.65469596692
2020-10-09 2658.69 sell 61.3074618019937 162997.53561834263
2020-10-22 2449.62 buy 66.53992685328444 162997.53561834263
2020-11-02 2544.22 sell 66.53992685328444 169292.21269866332
2020-11-18 2607.2 buy 64.93257621151555 169292.21269866332
2020-11-20 2713.17 sell 64.93257621151555 176173.11779979765
2020-12-11 2750.64 buy 64.04804620008349 176173.11779979765
2020-12-15 2780.64 sell 64.04804620008349 178094.55918580014
2021-01-19 3406.19 buy 52.28556222224836 178094.55918580014
2021-01-21 3559.74 sell 52.28556222224836 186123.00726502636
2021-01-29 3364.44 buy 55.32064987487557 186123.00726502636
2021-02-09 3615.35 sell 55.32064987487557 200003.51152513138
2021-02-24 3323.55 buy 60.17767493346914 200003.51152513138
2021-03-22 2926.26 sell 60.17767493346914 176095.5230508134
2021-03-24 2850.01 buy 61.78768602594847 176095.5230508134
2021-03-30 2961.83 sell 61.78768602594847 183004.62210223495
2021-04-09 2811.65 buy 65.0879811150872 183004.62210223495
2021-04-19 2964.21 sell 65.0879811150872 192934.44450115264
2021-05-07 2897.05 buy 66.5968638791711 192934.44450115264
2021-05-17 2993.27 sell 66.5968638791711 199342.39474360648
2021-06-16 3003.96 buy 66.3598698862856 199342.39474360648
2021-06-18 3131.55 sell 66.3598698862856 207809.25054239767
2021-07-27 3289.33 buy 63.1767717262779 207809.25054239767
2021-07-29 3477.54 sell 63.1767717262779 219699.75074900044
2021-08-16 3566.19 buy 61.60629432223197 219699.75074900044
2021-08-24 3746.46 sell 61.60629432223197 230805.5174264692
2021-09-13 3663.5 buy 63.001369571849104 230805.5174264692
2021-10-15 3671.07 sell 63.001369571849104 231282.4377941281
2021-11-16 3773.29 buy 61.2946361912623 231282.4377941281
2021-11-22 3884.8 sell 61.2946361912623 238117.4026758158
2021-12-06 3763.74 buy 63.2661668116862 238117.4026758158
2021-12-08 3809.2 sell 63.2661668116862 240993.48261907505
2021-12-17 3648.6 buy 66.05094628599328 240993.48261907508
2021-12-31 3619.03 sell 66.05094628599328 239040.35613739825
2022-01-05 3493.94 buy 68.41570151101571 239040.35613739825
2022-01-17 3507.23 sell 68.41570151101571 239949.60081047963
2022-01-20 3377.11 buy 71.05175751174218 239949.60081047963
2022-02-23 3254.05 sell 71.05175751174218 231205.97153108465
2022-03-07 3066.22 buy 75.4042343768825 231205.97153108465
2022-03-17 3113.44 sell 75.4042343768825 234766.55947836104
2022-03-25 2962.49 buy 79.24636352472449 234766.559478361
2022-05-05 2577.29 sell 79.24636352472449 204240.86024863718
2022-07-11 3276.54 buy 62.33431004920959 204240.86024863718
2022-07-14 3368.59 sell 62.33431004920959 209978.73348866694
2022-07-25 3302.77 buy 63.576553465323634 209978.73348866694
2022-08-01 3290.29 sell 63.576553465323634 209185.2981014197
2022-08-03 3214.67 buy 65.07209079047607 209185.2981014197
2022-08-09 3288.46 sell 65.07209079047607 213986.96768084893
2022-08-24 3216.38 buy 66.53037504301386 213986.96768084893
2022-09-13 3065.0 sell 66.53037504301386 203915.5995068375
2022-09-15 2879.84 buy 70.80796138217313 203915.5995068375
2022-10-12 2856.61 sell 70.80796138217313 202270.7305639296
2022-10-28 2792.61 buy 72.4307119733617 202270.73056392962
2022-11-02 2928.05 sell 72.4307119733617 212080.74619360172
2022-11-14 2923.88 buy 72.53401172195908 212080.74619360172
2022-12-07 2845.24 sell 72.53401172195908 206376.67151178682
2022-12-12 2755.05 buy 74.90850311674446 206376.67151178682
2023-01-03 2672.58 sell 74.90850311674446 200198.9672597489
2023-02-08 2916.86 buy 68.63509639123883 200198.9672597489
2023-03-01 2818.82 sell 68.63509639123883 193469.98240955186
2023-03-08 2794.46 buy 69.23340552720448 193469.98240955183
2023-03-27 2681.31 sell 69.23340552720448 185636.22257414865
2023-04-13 2694.34 buy 68.8985883645526 185636.22257414865
2023-04-17 2729.01 sell 68.8985883645526 188024.9366327477
2023-04-20 2635.07 buy 71.35481662071508 188024.9366327477
2023-05-15 2640.69 sell 71.35481662071508 188425.95070215611
2023-05-26 2519.92 buy 74.77457645566372 188425.95070215611
2023-06-15 2557.93 sell 74.77457645566372 191268.13235323588
2023-07-07 2580.48 buy 74.12114504016148 191268.1323532359
2023-07-13 2577.11 sell 74.12114504016148 191018.34409445056
2023-07-19 2515.25 buy 75.94407875736033 191018.34409445056
2023-07-31 2545.07 sell 75.94407875736033 193282.99652299506
2023-08-11 2471.24 buy 78.21296050686905 193282.99652299506
2023-09-01 2384.19 sell 78.21296050686905 186474.55831087212
2023-09-08 2317.76 buy 80.45464513619706 186474.55831087212
2023-09-28 2238.86 sell 80.45464513619706 180126.68680962615
2023-10-10 2204.13 buy 81.72235158980011 180126.68680962612
2023-10-27 2147.79 sell 81.72235158980011 175522.44952105678
2023-11-17 2146.39 buy 81.7756556455522 175522.44952105678
2023-12-25 1958.9 sell 81.7756556455522 160190.33184407224
2024-01-08 1942.16 buy 82.48050204106367 160190.33184407224
2024-02-07 1927.52 sell 82.48050204106367 158982.81729419105
2024-03-22 2024.94 buy 78.51235952383333 158982.81729419105