基金代码 基金全名 基金简称 基金类型
160137 南方中证互联网指数证券投资基金（LOF） 南方中证互联网指数（LOF）A 场外基金
018533 南方中证互联网指数证券投资基金（LOF） 南方中证互联网指数（LOF）C 场外基金

策略参数

参数编号
33400f74e0a4af401273964961862d90
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
2642
持仓天数
1381
持仓率
52.27 %
年化收益率（不含分红）
8.43 %
夏普比率
0.32
最大回撤
33.85 %
卡玛比率
0.47
索提诺比率
0.34
波动率
19.48 %

策略说明

当前策略在互联网指数的回测中表现出色，主要基于其高年化收益率（8.43%）和卓越的夏普比率（32.28%），这表明策略在风险调整后收益方面具有显著优势。互联网行业通常具有较高波动性，估值策略适用于长线投资，而该策略的持仓占比为52.27%，意味着较长的持仓时间，符合中长线操作的偏好。尽管最大回撤为33.85%，略高于其他策略中的最低值，但其高夏普比率和Sortino比率（33.73%）显示了对下行风险的有效控制，整体风险收益比更为平衡。相比之下，其他策略在年化收益率和夏普比率上普遍较低，例如一些策略虽有较低波动率或最大回撤，但收益率不足6.5%，夏普比率多在25%以下，未能充分捕捉互联网行业的增长潜力。此外，该策略采用价值防御型参数设置（如pe_weight=0.300, pb_weight=0.400, dyr_weight=0.300），在估值指标加权上更注重平衡，进一步增强了稳健性。综合来看，当前策略在收益性和风险调整后表现上均领先，适合长期持有互联网指数以实现更优投资回报。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-02-23 2729.45 buy 36.637417794793826 100000.0
2017-11-01 3031.09 sell 36.637417794793826 111051.31070362162
2018-02-09 2749.93 buy 40.38332274044126 111051.31070362162
2018-03-14 3019.61 sell 40.38332274044126 121941.88518026384
2018-03-23 2874.4 buy 42.423422342145784 121941.88518026385
2020-03-23 2971.64 sell 42.423422342145784 126067.1387688141
2022-03-14 2654.66 buy 47.48899624389342 126067.1387688141
2023-02-17 2902.33 sell 47.48899624389342 137828.73846853917
2024-02-02 2005.72 buy 68.71783622267274 137828.73846853917
2024-02-28 2613.58 sell 68.71783622267274 179599.562394853

策略参数

参数编号
af37ca8d1211c0ded34414902c20f920
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.5
回测天数
2599
持仓天数
1282
持仓率
49.33 %
年化收益率（不含分红）
13.11 %
夏普比率
0.53
最大回撤
29.65 %
卡玛比率
0.66
索提诺比率
0.58
波动率
20.47 %

策略说明

当前策略在互联网指数的回测中展现出全面的优势，年化收益率达到13.11%，显著高于其他策略，同时夏普比率为52.99%、Sortino比率为58.42%和Calmar比率为65.75%，这些风险调整后指标均为最高，表明其在高波动的互联网行业中有效平衡了收益与风险。互联网指数通常以高增长和高波动为特征，当前策略基于布林线模型，通过适当的参数设置捕捉了中短期价格波动，实现了较高的回报并控制最大回撤在可接受的29.65%。相比之下，其他策略虽然在波动率或最大回撤方面略有改善，例如某些策略的波动率低至14%左右，但年化收益率和夏普比率等关键指标均明显偏低，无法在追求稳健增长的同时最大化投资效率。此外，当前策略的持仓占比为49.33%，持仓天数适中，减少了频繁操作，符合中长线投资偏好，避免因过度交易而增加成本或风险。综合考虑指数特性、策略表现和操作风格，当前策略在收益潜力、风险管理和适应性方面均优于其他选项，是互联网指数投资中的最佳选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2017-03-30 2702.03 buy 37.00921159276544 100000.0
2017-05-22 2582.27 sell 37.00921159276544 95567.7768196504
2017-07-17 2675.13 buy 35.72453556262701 95567.7768196504
2017-08-03 2729.56 sell 35.72453556262701 97512.26329032418
2017-08-11 2769.83 buy 35.205143741790714 97512.26329032418
2017-08-24 2848.77 sell 35.205143741790714 100291.35733730113
2017-09-25 2874.57 buy 34.8891685842756 100291.35733730112
2017-10-17 3008.9 sell 34.8891685842756 104978.01935322686
2017-11-27 3059.27 buy 34.3147284656885 104978.01935322686
2017-12-14 3011.01 sell 34.3147284656885 103321.99055747275
2017-12-27 2945.75 buy 35.074935265203344 103321.99055747275
2018-01-05 2993.86 sell 35.074935265203344 105009.44569308168
2018-01-31 2878.1 buy 36.48568350407619 105009.44569308168
2018-03-07 2972.85 sell 36.48568350407619 108466.46420509291
2018-03-23 2874.4 buy 37.73534101206962 108466.46420509291
2018-05-11 2839.02 sell 37.73534101206962 107131.38784008588
2018-05-25 2792.35 buy 38.36603142159324 107131.38784008588
2018-07-18 2429.18 sell 38.36603142159324 93197.99620870587
2018-08-02 2307.4 buy 40.39091453961422 93197.99620870587
2018-08-14 2337.66 sell 40.39091453961422 94420.22528267458
2018-09-10 2266.87 buy 41.652245290940634 94420.2252826746
2018-09-27 2318.71 sell 41.652245290940634 96579.47767855696
2018-10-11 2059.2 buy 46.901455749104976 96579.47767855696
2018-10-23 2102.44 sell 46.901455749104976 98607.49662514827
2018-11-23 2123.45 buy 46.43739980934247 98607.49662514827
2018-12-05 2126.33 sell 46.43739980934247 98741.23633659918
2018-12-19 2051.52 buy 48.1307695448249 98741.23633659918
2019-01-14 2124.27 sell 48.1307695448249 102242.74982098519
2019-01-30 2065.91 buy 49.49041817939078 102242.74982098519
2019-03-08 2860.39 sell 49.49041817939078 141561.89725614758
2019-04-25 2748.44 buy 51.506271650881075 141561.89725614758
2019-06-12 2453.68 sell 51.506271650881075 126379.90862433387
2019-08-05 2416.73 buy 52.293764145905364 126379.90862433387
2019-08-26 2632.29 sell 52.293764145905364 137652.35242362524
2019-09-25 2707.67 buy 50.83793535535174 137652.35242362524
2019-10-30 2698.01 sell 50.83793535535174 137161.25796809257
2020-02-03 2923.63 buy 46.914711494988275 137161.25796809257
2020-02-26 3518.39 sell 46.914711494988275 165064.2517768518
2020-03-09 3394.54 buy 48.62639761995788 165064.2517768518
2020-04-10 2916.42 sell 48.62639761995788 141814.99854679755
2020-05-21 3014.65 buy 47.04194468571726 141814.99854679755
2020-06-15 3277.15 sell 47.04194468571726 154163.50902679833
2020-09-07 3655.24 buy 42.17602921471595 154163.50902679833
2020-10-15 3528.58 sell 42.17602921471595 148821.4931664624
2020-10-23 3401.37 buy 43.7533973564953 148821.4931664624
2020-11-11 3441.93 sell 43.7533973564953 150596.13096324186
2020-11-25 3326.02 buy 45.278179615047975 150596.13096324186
2020-12-07 3412.46 sell 45.278179615047975 154509.9768091666
2020-12-11 3307.88 buy 46.70966806811813 154509.9768091666
2021-01-15 3658.06 sell 46.70966806811813 170866.7683732602
2021-01-28 3422.03 buy 49.93140573672942 170866.7683732602
2021-02-22 3389.64 sell 49.93140573672942 169249.4901414475
2021-03-09 3136.04 buy 53.969174545429105 169249.4901414475
2021-03-29 3129.56 sell 53.969174545429105 168899.7698903931
2021-04-12 3091.11 buy 54.64049156788115 168899.7698903931
2021-04-26 3210.97 sell 54.64049156788115 175448.9792097193
2021-04-30 3138.34 buy 55.90502597223988 175448.9792097193
2021-05-21 3250.92 sell 55.90502597223988 181742.76703367408
2021-07-02 3316.63 buy 54.79741998163017 181742.76703367408
2021-07-16 3420.88 sell 54.79741998163017 187455.39806675902
2021-07-23 3299.54 buy 56.81258541092365 187455.39806675902
2021-08-05 3334.59 sell 56.81258541092365 189446.67918541192
2021-08-13 3282.81 buy 57.708694437208344 189446.67918541192
2021-09-13 3234.37 sell 57.708694437208344 186651.27002687354
2021-09-29 3162.58 buy 59.018671472934614 186651.27002687354
2021-10-12 3173.18 sell 59.018671472934614 187276.86794448664
2021-10-27 3122.53 buy 59.97600277482895 187276.86794448664
2021-11-18 3364.07 sell 59.97600277482895 201763.47165471883
2021-11-26 3295.27 buy 61.22820638512742 201763.47165471883
2021-12-17 3404.18 sell 61.22820638512742 208431.83561212305
2022-01-25 3283.39 buy 63.48068173811915 208431.83561212305
2022-02-22 3189.9 sell 63.48068173811915 202497.0266764263
2022-03-04 2892.37 buy 70.01076165097352 202497.02667642626
2022-05-16 2381.08 sell 70.01076165097352 166701.22435190002
2022-05-24 2360.49 buy 70.62144908552887 166701.22435190002
2022-06-09 2555.1 sell 70.62144908552887 180444.8645584348
2022-07-11 2518.46 buy 71.64889041653821 180444.8645584348
2022-07-22 2552.1 sell 71.64889041653821 182855.13323204714
2022-08-02 2517.04 buy 72.64689207642594 182855.13323204714
2022-08-10 2676.72 sell 72.64689207642594 194455.38895881083
2022-08-24 2535.97 buy 76.67889957641883 194455.38895881083
2022-09-14 2479.13 sell 76.67889957641883 190096.96030688722
2022-10-10 2206.45 buy 86.15511808873404 190096.96030688722
2022-10-21 2369.18 sell 86.15511808873404 204116.9826734669
2022-11-25 2432.86 buy 83.90001178590913 204116.9826734669
2022-12-08 2511.7 sell 83.90001178590913 210731.65960266793
2022-12-19 2383.61 buy 88.40861533668172 210731.65960266793
2023-01-11 2563.98 sell 88.40861533668172 226677.9215509452
2023-04-26 3229.55 buy 70.18870169247889 226677.9215509452
2023-06-06 3327.88 sell 70.18870169247889 233579.57658836665
2023-07-12 3279.53 buy 71.22349135039674 233579.57658836665
2023-08-08 3175.2 sell 71.22349135039674 226148.82973577973
2023-08-11 3147.32 buy 71.85441255918677 226148.82973577973
2023-08-31 2939.58 sell 71.85441255918677 211221.79407073423
2023-10-18 2653.83 buy 79.59130542300534 211221.79407073423
2023-11-16 2771.4 sell 79.59130542300534 220579.343849317
2023-11-22 2726.76 buy 80.89430087331374 220579.343849317
2023-12-13 2697.96 sell 80.89430087331374 218249.58798416553
2023-12-20 2600.77 buy 83.91729679447454 218249.58798416556
2024-01-26 2206.17 sell 83.91729679447454 185135.8226690659
2024-01-31 2126.18 buy 87.07438818400414 185135.8226690659
2024-03-07 2686.42 sell 87.07438818400414 233918.37790527238
2024-03-26 2502.37 buy 93.47873332291883 233918.37790527238