| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 001552 | 天弘中证证券保险指数型发起式证券投资基金 | 天弘中证证券保险A | 场外基金 |
| 001553 | 天弘中证证券保险指数型发起式证券投资基金 | 天弘中证证券保险C | 场外基金 |
当前策略针对中证证保指数，该指数属于金融行业，波动性较高，适合采用长线估值模型进行投资。在回测中，当前策略表现出最优的风险调整后收益，年化收益率为7.27%，是所有策略中最高的，同时夏普比率为26.41%和Sortino比率为34.77%，也显著优于其他策略，这表明其在控制下行风险的同时获得了良好的超额回报。波动率为19.48%，处于中等水平，与其他策略相比并不突出，但结合Calmar比率39.47%的最高值，显示了对回撤的有效管理。最大回撤为38.39%，在所有策略中相同，因此不作为区分因素。从操作风格来看，持仓占比为51.39%，持仓天数1347天，意味着持仓时间较长，操作频率适中，这符合中长线投资的偏好，减少了频繁交易带来的成本和风险。相比之下，其他策略在收益率、夏普比率等关键指标上普遍较低，尽管某些策略持仓占比略高，但收益表现不足，难以平衡收益与风险。因此，当前策略在数据优异性和风格匹配度上达到最佳平衡，更适合在金融行业指数中实施长线估值投资。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2017-03-22 | 903.471 | buy | 110.68423889643387 | 100000.0 |
| 2017-05-25 | 926.0759 | sell | 110.68423889643387 | 102502.00615183 |
| 2018-03-23 | 904.9714 | buy | 113.26546468963551 | 102502.00615183 |
| 2019-02-25 | 1030.519 | sell | 113.26546468963551 | 116722.2134064985 |
| 2019-11-20 | 947.1573 | buy | 123.23424356915002 | 116722.2134064985 |
| 2019-12-17 | 1029.6608 | sell | 123.23424356915002 | 126889.46982080588 |
| 2020-02-03 | 924.4975 | buy | 137.2523666324743 | 126889.4698208059 |
| 2020-02-20 | 1060.7536 | sell | 137.2523666324743 | 145590.942013917 |
| 2020-03-16 | 945.6435 | buy | 153.95964971357282 | 145590.942013917 |
| 2020-07-03 | 1250.2936 | sell | 153.95964971357282 | 192494.7646951219 |
| 2020-12-22 | 1125.3774 | buy | 171.04907624333126 | 192494.7646951219 |
| 2021-01-07 | 1197.8675 | sell | 171.04907624333126 | 204894.1293369086 |
| 2021-01-26 | 1144.2749 | buy | 179.0602322369464 | 204894.1293369086 |
| 2023-01-13 | 872.5 | sell | 179.0602322369464 | 156230.05262673573 |
| 2023-12-26 | 770.52 | buy | 202.7592439219433 | 156230.05262673573 |
| 2024-02-22 | 812.91 | sell | 202.7592439219433 | 164825.01697658692 |
| 2024-03-27 | 760.97 | buy | 216.59857415743974 | 164825.01697658692 |
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63.76%，最大回撤仅为13.22%，年化收益率达到12.07%，波动率控制在13.71%，这些指标在众多策略中表现突出。针对中证证保指数这一金融行业指数，该行业通常具有较高波动性，当前策略通过有效的风险管理提供了稳定的回报，确保了较低的向下风险和较高的收益潜力。相比之下，其他策略虽然在操作频率上可能更低，如持仓占比更高的策略，但它们在夏普比率、最大回撤或收益率方面存在不足，要么风险过高导致最大回撤超过24%，要么收益有限如年化收益率低于10%。考虑到投资风格倾向于稳健的中长线操作，当前策略虽然在持仓占比上不是最高，但其优异的指标组合更适合在金融板块中实现长期增值，平衡了收益与风险，并适应行业特点，因此被选为最适合操作的策略。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2017-03-22 | 903.471 | buy | 110.68423889643387 | 100000.0 |
| 2017-04-05 | 909.5194 | sell | 110.68423889643387 | 100669.4625505412 |
| 2017-04-18 | 877.8626 | buy | 114.67564804622181 | 100669.4625505412 |
| 2017-04-27 | 896.3053 | sell | 114.67564804622181 | 102784.39112476325 |
| 2017-05-05 | 870.7891 | buy | 118.03591836962963 | 102784.39112476325 |
| 2017-05-12 | 892.0971 | sell | 118.03591836962963 | 105299.50047338332 |
| 2017-08-11 | 990.4919 | buy | 106.3103095274008 | 105299.50047338332 |
| 2017-08-22 | 1013.699 | sell | 106.3103095274008 | 107766.65445761666 |
| 2017-10-20 | 1035.152 | buy | 104.10708230058644 | 107766.65445761666 |
| 2017-10-26 | 1058.182 | sell | 104.10708230058644 | 110164.24056299917 |
| 2017-12-27 | 1005.7932 | buy | 109.52971302947681 | 110164.24056299917 |
| 2018-01-08 | 1028.7854 | sell | 109.52971302947681 | 112682.5696309155 |
| 2018-02-09 | 911.3118 | buy | 123.64875515813085 | 112682.5696309155 |
| 2018-03-06 | 950.696 | sell | 123.64875515813085 | 117552.37693381438 |
| 2018-03-23 | 904.9714 | buy | 129.8962342166994 | 117552.37693381438 |
| 2018-04-09 | 934.7518 | sell | 129.8962342166994 | 121420.73874728137 |
| 2018-04-16 | 883.1633 | buy | 137.4839044458498 | 121420.73874728137 |
| 2018-05-03 | 896.3489 | sell | 137.4839044458498 | 123233.54651774256 |
| 2018-05-30 | 853.781 | buy | 144.33859094749423 | 123233.54651774256 |
| 2018-07-09 | 777.1545 | sell | 144.33859094749423 | 112173.3854785044 |
| 2018-08-02 | 748.6581 | buy | 149.83259444932793 | 112173.3854785044 |
| 2018-08-21 | 763.2608 | sell | 149.83259444932793 | 114361.3459054696 |
| 2018-09-10 | 738.2649 | buy | 154.9055710294091 | 114361.3459054696 |
| 2018-09-18 | 769.0608 | sell | 154.9055710294091 | 119131.80238033418 |
| 2018-10-11 | 712.4859 | buy | 167.20583857215163 | 119131.80238033418 |
| 2018-10-22 | 767.7953 | sell | 167.20583857215163 | 128379.85698825674 |
| 2019-05-06 | 957.7543 | buy | 134.04257959296737 | 128379.85698825674 |
| 2019-05-28 | 954.4451 | sell | 134.04257959296737 | 127936.2832838677 |
| 2019-08-02 | 952.4269 | buy | 134.32661686043065 | 127936.2832838677 |
| 2019-08-19 | 993.3348 | sell | 134.32661686043065 | 133431.3030937325 |
| 2020-01-23 | 916.4847 | buy | 145.59032255937552 | 133431.3030937325 |
| 2020-02-14 | 1013.4007 | sell | 145.59032255937552 | 147541.33479489695 |
| 2020-03-16 | 945.6435 | buy | 156.0221529518227 | 147541.33479489695 |
| 2020-04-07 | 926.5465 | sell | 156.0221529518227 | 144561.779739976 |
| 2020-05-22 | 894.1834 | buy | 161.66904881031786 | 144561.779739976 |
| 2020-06-01 | 939.878 | sell | 161.66904881031786 | 151949.18225774393 |
| 2020-09-07 | 1178.3602 | buy | 128.94968979582296 | 151949.1822577439 |
| 2020-09-18 | 1187.7035 | sell | 128.94968979582296 | 153153.99789441322 |
| 2020-10-26 | 1155.4641 | buy | 132.54760394062717 | 153153.99789441322 |
| 2020-11-09 | 1180.3061 | sell | 132.54760394062717 | 156446.7454715063 |
| 2020-12-22 | 1125.3774 | buy | 139.01713813650983 | 156446.7454715063 |
| 2020-12-31 | 1191.6956 | sell | 139.01713813650983 | 165666.11184187097 |
| 2021-01-26 | 1144.2749 | buy | 144.77824501950622 | 165666.11184187097 |
| 2021-02-18 | 1144.295 | sell | 144.77824501950622 | 165669.0218845959 |
| 2021-04-12 | 1002.2822 | buy | 165.29179295471465 | 165669.0218845959 |
| 2021-05-14 | 1028.9198 | sell | 165.29179295471465 | 170071.99854860638 |
| 2021-06-15 | 1018.5802 | buy | 166.96966871004008 | 170071.99854860638 |
| 2021-06-25 | 1042.9696 | sell | 166.96966871004008 | 174144.288586643 |
| 2021-07-02 | 984.351 | buy | 176.91279694605177 | 174144.288586643 |
| 2021-07-15 | 997.5839 | sell | 176.91279694605177 | 176485.3579373504 |
| 2021-07-27 | 944.2221 | buy | 186.91085279337395 | 176485.3579373504 |
| 2021-08-09 | 992.5936 | sell | 186.91085279337395 | 185526.51625324512 |
| 2022-01-06 | 1017.7457 | buy | 182.29162378504287 | 185526.51625324512 |
| 2022-01-20 | 1013.5205 | sell | 182.29162378504287 | 184756.29768442854 |
| 2022-03-07 | 871.8828 | buy | 211.90496897567948 | 184756.29768442854 |
| 2022-03-18 | 860.4347 | sell | 211.90496897567948 | 182330.3884090981 |
| 2022-04-26 | 782.2303 | buy | 233.09041903528677 | 182330.3884090981 |
| 2022-05-20 | 800.5564 | sell | 233.09041903528677 | 186602.02673738066 |
| 2022-08-02 | 767.8778 | buy | 243.0100554246791 | 186602.02673738066 |
| 2022-08-11 | 818.8281 | sell | 243.0100554246791 | 198983.46196428468 |
| 2022-09-16 | 772.5958 | buy | 257.55182977215856 | 198983.46196428468 |
| 2022-10-14 | 761.4034 | sell | 257.55182977215856 | 196100.83886474275 |
| 2022-10-25 | 719.7391 | buy | 272.4610054737095 | 196100.83886474278 |
| 2022-11-04 | 751.6038 | sell | 272.4610054737095 | 204782.72706586088 |
| 2022-12-19 | 787.95 | buy | 259.89304786580476 | 204782.72706586088 |
| 2022-12-30 | 795.92 | sell | 259.89304786580476 | 206854.0746573513 |
| 2023-02-06 | 851.54 | buy | 242.91762531102628 | 206854.0746573513 |
| 2023-02-20 | 869.04 | sell | 242.91762531102628 | 211105.13310029428 |
| 2023-05-23 | 834.71 | buy | 252.90835511769868 | 211105.13310029428 |
| 2023-06-08 | 834.58 | sell | 252.90835511769868 | 211072.25501412898 |
| 2023-06-21 | 793.16 | buy | 266.1156072093008 | 211072.25501412898 |
| 2023-07-03 | 824.84 | sell | 266.1156072093008 | 219502.79745051966 |
| 2023-10-23 | 846.22 | buy | 259.39211723962995 | 219502.79745051966 |
| 2023-11-06 | 868.73 | sell | 259.39211723962995 | 225341.71400958372 |
| 2023-11-27 | 825.99 | buy | 272.81409461323227 | 225341.71400958372 |
| 2023-12-29 | 781.05 | sell | 272.81409461323227 | 213081.44859766506 |
| 2024-01-22 | 744.64 | buy | 286.1536428309855 | 213081.44859766506 |
| 2024-01-24 | 788.18 | sell | 286.1536428309855 | 225540.57820652614 |
| 2024-03-25 | 770.62 | buy | 292.6741820956193 | 225540.57820652614 |