基金代码 基金全名 基金简称 基金类型
560030 汇添富中证800价值交易型开放式指数证券投资基金 汇添富中证800价值ETF 场内基金
019162 汇添富中证800价值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800价值ETF发起式联接A 场外基金
019163 汇添富中证800价值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800价值ETF发起式联接C 场外基金

策略参数

参数编号
72d8466c9f3b9da9bbe5cbf0187fdd79
PE权重
0.3
PB权重
0.4
DRY权重
0.3
BB周期
20
BB标准差
2
回测天数
1926
持仓天数
1487
持仓率
77.21 %
年化收益率（不含分红）
5.37 %
夏普比率
0.17
最大回撤
27.17 %
卡玛比率
0.66
索提诺比率
0.21
波动率
16.65 %

策略说明

当前策略在年化收益率、夏普比率、Sortino比率和Calmar比率上均显著优于其他策略，显示出更高的收益和更好的风险调整后回报。指数为800价值，属于价值型股票指数，其投资风格侧重于基本面稳健的公司，适合采用长线估值策略进行投资，以捕捉估值修复和长期增长潜力。该策略持仓占比为77.21%，表明操作频率较低，符合中长线投资偏好，减少了交易成本和市场噪声的影响。尽管波动率略高于部分其他策略，但其较高的夏普比率和Sortino比率表明在承担风险时能获得更优的超额收益，而最大回撤与其他策略相同，风险控制一致。其他策略虽然在波动率或持仓占比上可能有轻微优势，但收益率和风险调整指标普遍较低，整体表现逊色，无法在收益与风险平衡上匹配当前策略。考虑到价值指数通常需要耐心持有以兑现估值优势，当前策略的综合指标更符合稳健投资目标，因此被选为最佳操作策略。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2019-03-07 5407.22 buy 18.493791634148415 100000.0
2020-12-01 6349.79 sell 18.493791634148415 117431.69318059926
2020-12-22 5932.65 buy 19.79413806319255 117431.69318059926
2021-02-18 6697.23 sell 19.79413806319255 132565.89526095503
2021-04-26 6203.28 buy 21.37029043682617 132565.89526095503
2023-05-08 5859.04 sell 21.37029043682617 125209.38648098201
2023-12-05 4951.71 buy 25.286090356862985 125209.38648098201
2024-01-26 5211.08 sell 25.286090356862985 131767.83973684156

策略参数

参数编号
f3748ccb09bf01c9dfc851c2c5ba0cc5
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
30
BB标准差
1.5
回测天数
2795
持仓天数
1712
持仓率
61.25 %
年化收益率（不含分红）
10.36 %
夏普比率
0.49
最大回撤
18.12 %
卡玛比率
0.92
索提诺比率
0.55
波动率
14.83 %

策略说明

当前策略在基于800价值指数的布林线模型中表现卓越，年化收益率达到10.36%，为所有策略中最高，夏普比率为49.44%，显著高于其他策略，表明其风险调整后收益极为优秀。最大回撤为18.12%，虽略高于最低的17.76%，但结合高达61.25%的持仓占比，意味着操作频率较低，更倾向于中长期持有，这符合价值指数注重稳健和低估值的特性，减少了频繁交易带来的成本和不确定性。波动率为14.83%，在可接受范围内，而高持仓占比与高夏普比率共同支撑了策略的持续性和稳定性。其他策略虽在某些指标如波动率或最大回撤上略有优势，但综合收益率、夏普比率和持仓占比来看，当前策略在平衡收益、风险与操作风格上更为出色，更适合中长线投资目标，避免了过度交易，增强了在价值行业中的适应性。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2016-09-14 4445.81 buy 22.493088998405238 100000.0
2016-10-12 4503.78 sell 22.493088998405238 101303.92436923753
2016-12-15 4646.35 buy 21.80290429460491 101303.92436923753
2017-03-03 4841.64 sell 21.80290429460491 105561.81354893094
2017-05-03 4859.94 buy 21.720805925367586 105561.81354893094
2017-08-04 5398.61 sell 21.720805925367586 117262.1600767487
2017-08-11 5304.5 buy 22.106166476906154 117262.1600767487
2017-08-24 5478.03 sell 22.106166476906154 121098.24314548621
2017-12-15 5818.2 buy 20.81369549783201 121098.24314548621
2018-02-06 6146.84 sell 20.81369549783201 127938.45603389373
2018-02-08 5757.96 buy 22.21940687915403 127938.45603389373
2018-05-17 5672.17 sell 22.21940687915403 126032.2531177311
2018-05-30 5515.93 buy 22.848776746211627 126032.2531177311
2018-07-26 5192.99 sell 22.848776746211627 118653.4691553095
2018-08-03 4918.65 buy 24.123177936081955 118653.4691553095
2018-08-28 5084.4 sell 24.123177936081955 122651.88589821509
2018-09-06 4938.19 buy 24.83741733270998 122651.88589821509
2018-10-08 5009.15 sell 24.83741733270998 124414.34903214418
2018-10-11 4872.59 buy 25.53351483136159 124414.34903214418
2018-11-05 4972.18 sell 25.53351483136159 126957.23177419948
2018-11-29 4844.31 buy 26.207495344889047 126957.23177419946
2018-12-06 4861.49 sell 26.207495344889047 127407.47654422464
2018-12-10 4823.09 buy 26.416151584196985 127407.47654422464
2019-03-25 5495.07 sell 26.416151584196985 145158.6020857733
2019-05-06 5537.97 buy 26.211518315515125 145158.6020857733
2019-07-08 5554.2 sell 26.211518315515125 145584.0150280341
2019-08-02 5359.45 buy 27.16398418271168 145584.0150280341
2019-09-23 5480.14 sell 27.16398418271168 148862.4362790456
2019-11-15 5492.63 buy 27.1022144726744 148862.4362790456
2020-01-21 5715.72 sell 27.1022144726744 154908.66930575453
2020-01-23 5100.22 buy 30.372938678283393 154908.66930575453
2020-03-09 5484.9 sell 30.372938678283393 166592.53135651659
2020-03-13 5071.79 buy 32.84689061584107 166592.53135651659
2020-05-15 5087.8 sell 32.84689061584107 167118.4100752762
2020-05-22 4980.57 buy 33.55407314329006 167118.41007527616
2020-06-11 5133.01 sell 33.55407314329006 172233.39298523933
2020-09-24 5566.11 buy 30.943224798870187 172233.39298523933
2020-10-27 5707.63 sell 30.943224798870187 176612.47815877546
2020-12-22 5932.65 buy 29.769576522932496 176612.47815877546
2021-01-28 6183.38 sell 29.769576522932496 184076.60408037034
2021-03-09 6244.67 buy 29.477394975294185 184076.60408037034
2021-03-17 6501.47 sell 29.477394975294185 191646.3991100259
2021-03-24 6205.04 buy 30.8856025279492 191646.3991100259
2021-05-19 6221.52 sell 30.8856025279492 192155.39383968653
2021-05-24 6335.85 buy 30.32827384481743 192155.39383968653
2021-06-03 6275.09 sell 30.32827384481743 190312.64792087543
2021-06-15 6111.9 buy 31.13805002059514 190312.64792087543
2021-08-17 5947.84 sell 31.13805002059514 185204.1394344966
2021-10-28 5878.4 buy 31.505875652302773 185204.1394344966
2021-12-29 5933.73 sell 31.505875652302773 186947.35953433852
2022-01-27 5835.41 buy 32.0367137072354 186947.35953433852
2022-02-14 6025.87 sell 32.0367137072354 193049.07202701858
2022-02-24 5927.37 buy 32.56909422341082 193049.0720270186
2022-04-11 5825.14 sell 32.56909422341082 189719.53352455932
2022-04-25 5312.35 buy 35.71292055767397 189719.53352455932
2022-06-22 5570.2 sell 35.71292055767397 198928.11009035553
2022-07-13 5409.48 buy 36.773980140485875 198928.1100903555
2022-08-30 5310.07 sell 36.773980140485875 195272.40872458983
2022-09-23 5117.16 buy 38.160309375628245 195272.40872458983
2022-12-19 5153.92 sell 38.160309375628245 196675.18169723792
2023-03-29 5419.48 buy 36.29041562977222 196675.18169723795
2023-04-06 5507.32 sell 36.29041562977222 199862.93180615714
2023-05-23 5396.66 buy 37.03456059973338 199862.93180615714
2023-08-11 5476.29 sell 37.03456059973338 202811.99386671392
2023-08-21 5408.07 buy 37.50173238636222 202811.99386671392
2023-09-25 5402.02 sell 37.50173238636222 202585.10838577646
2023-10-10 5307.13 buy 38.17225287222594 202585.10838577646
2024-01-04 5024.04 sell 38.17225287222594 191778.925320178
2024-01-22 4905.01 buy 39.098579884684845 191778.925320178
2024-03-14 5442.23 sell 39.098579884684845 212783.4644058284