基金代码 基金全名 基金简称 基金类型
516890 平安中证新材料主题交易型开放式指数证券投资基金 平安中证新材料主题ETF 场内基金
516360 华宝中证新材料主题交易型开放式指数证券投资基金 华宝新材料ETF 场内基金
159703 天弘中证新材料主题交易型开放式指数证券投资基金 天弘中证新材料主题ETF 场内基金
159763 建信中证新材料主题交易型开放式指数证券投资基金 建信中证新材料主题ETF 场内基金
516710 华夏中证新材料主题交易型开放式指数证券投资基金 华夏中证新材料主题ETF 场内基金
159761 国泰中证新材料主题交易型开放式指数证券投资基金 国泰中证新材料主题ETF 场内基金

策略参数

参数编号
beb792f3f3b80187573ab3ac59dda897
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
2286
持仓天数
968
持仓率
42.34 %
年化收益率（不含分红）
5.32 %
夏普比率
0.18
最大回撤
60.32 %
卡玛比率
0.26
索提诺比率
0.24
波动率
24.99 %

策略说明

当前策略在新材料指数上表现出卓越的综合性能，年化收益率为5.32%，是所有策略中最高的，同时夏普比率达到18.04%，Sortino比率为24.28%，均显著优于其他策略，这表明风险调整后的回报更为出色。波动率为24.99%，相对较低，有助于有效控制投资组合的下行风险。最大回撤与其他策略相同为60.32%，但在相同回撤水平下，该策略通过更高的收益和更优的风险指标展现了更强的稳健性。从操作风格来看，该策略的持仓占比为42.34%，持仓天数968天，操作频率较低，符合中长线投资偏好，减少了不必要的交易成本和市场波动干扰。新材料行业作为具有成长潜力的领域，该策略采用成长型估值模型，权重配置更侧重于市盈率（PE权重0.5），可能更好地捕捉行业增长动态和估值机会。相比之下，其他策略在年化收益率、夏普比率和波动率等关键指标上均不及当前策略，或持仓占比过高导致潜在操作频繁。综合考虑指数数据质量和个人投资风格，当前策略在收益、风险和操作效率方面达到最佳平衡，是最适合的选择。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2019-03-13 2639.61 buy 37.8843844355795 100000.0
2021-11-05 6601.8018 sell 37.8843844355795 250105.19735870074
2022-03-08 5175.5904 buy 48.32399359862418 250105.19735870074

策略参数

参数编号
98ccc9fd08a3d6623b4eba5bc21c8cd1
PE权重
0.34
PB权重
0.33
DRY权重
0.33
BB周期
10
BB标准差
2.0
回测天数
2249
持仓天数
1349
持仓率
59.98 %
年化收益率（不含分红）
8.40 %
夏普比率
0.30
最大回撤
45.02 %
卡玛比率
0.40
索提诺比率
0.36
波动率
23.58 %

策略说明

在当前新材料指数的量化策略中，所有策略均基于布林线模型，专注于中线估值，适合捕捉短期到中期的市场波动。通过综合评估关键指标，当前策略在年化收益率达到8.40%的同时，保持了较低的波动率23.58%和相对较小的最大回撤45.02%，夏普比率高达30.39%，表明其风险调整后收益优异，Calmar比率也为最高39.59%，进一步强化了风险回报平衡。其他策略在收益或风险控制方面存在不足，例如部分策略的最大回撤超过50%或收益率低于7%，夏普比率和波动率指标也相对较差。考虑到新材料行业可能的高成长性和固有波动性，当前策略在收益最大化与风险最小化之间取得了最佳平衡，尽管布林线策略通常涉及较频繁的操作，与个人偏好的中长线风格略有差异，但其全面的优秀指标（包括高收益、低回撤和优越的风险调整后表现）使其成为最适合在当前市场条件下执行的策略，能够有效利用行业增长机会同时严格管理下行风险，确保投资稳健性。


回测结果

起始日期：2016-04-01
结束日期：2024-04-01

date price type amount value
2018-02-09 3244.83 buy 30.818255501829064 100000.0
2018-03-05 3460.35 sell 30.818255501829064 106641.9504257542
2018-03-23 3321.68 buy 32.1048235910004 106641.9504257542
2018-05-17 3295.72 sell 32.1048235910004 105808.50920533182
2018-05-23 3239.19 buy 32.66511356398724 105808.50920533184
2018-07-19 2798.7 sell 32.66511356398724 91419.85333153108
2018-08-02 2656.97 buy 34.40755948751062 91419.85333153108
2018-08-30 2510.92 sell 34.40755948751062 86394.62926838016
2018-09-05 2440.07 buy 35.40661918239237 86394.62926838016
2018-10-08 2417.03 sell 35.40661918239237 85578.86076241784
2018-10-10 2218.64 buy 38.57266648145614 85578.86076241784
2018-11-08 2187.99 sell 38.57266648145614 84396.60853476121
2018-11-23 2101.29 buy 40.16418891954999 84396.60853476121
2018-12-10 2189.39 sell 40.16418891954999 87935.07357857356
2018-12-14 2158.08 buy 40.74690168046299 87935.07357857357
2019-01-17 2150.8 sell 40.74690168046299 87638.4361343398
2019-01-29 2081.73 buy 42.09884861837981 87638.4361343398
2019-03-08 2680.82 sell 42.09884861837981 112859.43535312498
2019-03-26 2616.48 buy 43.13407148272678 112859.43535312497
2019-04-10 2786.07 sell 43.13407148272678 120174.54253588061
2019-04-15 2811.33 buy 42.74650878263335 120174.54253588061
2019-05-17 2361.74 sell 42.74650878263335 100956.13965229648
2019-06-04 2323.51 buy 43.44984082370916 100956.13965229648
2019-06-14 2353.53 sell 43.44984082370916 102260.50387382423
2019-07-08 2328.29 buy 43.92086203772907 102260.50387382421
2019-07-22 2320.22 sell 43.92086203772907 101906.06251717974
2019-08-05 2257.62 buy 45.13871356436413 101906.06251717974
2019-08-30 2416.39 sell 45.13871356436413 109072.73606979384
2019-09-26 2416.81 buy 45.13086923249815 109072.73606979386
2019-11-11 2281.17 sell 45.13086923249815 102951.18496709781
2019-11-15 2286.63 buy 45.023106041247516 102951.18496709781
2019-12-20 2486.13 sell 45.023106041247516 111933.29462232669
2020-01-23 2526.87 buy 44.29721142058226 111933.29462232669
2020-02-26 2927.35 sell 44.29721142058226 129673.44185204146
2020-02-28 2829.96 buy 45.82165184385697 129673.44185204148
2020-04-03 2390.45 sell 45.82165184385697 109534.36765014789
2020-05-22 2474.18 buy 44.27097771792994 109534.36765014789
2020-06-10 2653.07 sell 44.27097771792994 117454.00285410839
2020-06-15 2666.98 buy 44.04007636131819 117454.00285410839
2020-07-15 3124.28 sell 44.04007636131819 137593.5297741392
2020-08-12 3388.35 buy 40.60782675170487 137593.5297741392
2020-08-26 3444.62 sell 40.60782675170487 139878.53218545762
2020-09-09 3274.87 buy 42.71269765989417 139878.53218545762
2020-09-22 3527.57 sell 42.71269765989417 150672.03088411287
2020-09-24 3397.36 buy 44.34973946950363 150672.03088411287
2020-10-16 3664.21 sell 44.34973946950363 162506.7588615499
2020-10-23 3615.06 buy 44.952714162849276 162506.7588615499
2020-10-29 3704.39 sell 44.952714162849276 166522.38481771722
2020-11-18 3830.3 buy 43.47502410195473 166522.38481771722
2020-11-25 3807.64 sell 43.47502410195473 165537.2407715669
2021-02-24 4918.39 buy 33.65679435172218 165537.24077156687
2021-03-19 4385.76 sell 33.65679435172218 147610.6223960091
2021-03-23 4118.65 buy 35.839564516530686 147610.6223960091
2021-03-31 4470.2978 sell 35.839564516530686 160213.5264112052
2021-04-12 4286.2625 buy 37.3783748454989 160213.5264112052
2021-04-27 4687.8497 sell 37.3783748454989 175224.20330595953
2021-05-13 4644.7474 buy 37.7252384717325 175224.20330595953
2021-06-03 5186.1414 sell 37.7252384717325 195648.42106312467
2021-07-27 6144.8328 buy 31.83950278730524 195648.42106312467
2021-07-30 6564.8132 sell 31.83950278730524 209020.38817953822
2021-08-16 6251.5228 buy 33.435115709653694 209020.38817953825
2021-09-01 6472.2654 sell 33.435115709653694 216400.94255258807
2021-09-03 6394.4984 buy 33.84173847828128 216400.9425525881
2021-09-16 6394.8773 sell 33.84173847828128 216413.7651872975
2021-09-27 6178.9347 buy 35.0244460727668 216413.7651872975
2021-10-28 6707.0349 sell 35.0244460727668 234910.18216321486
2021-11-05 6601.8018 buy 35.58273775550409 234910.18216321486
2021-11-10 6672.3396 sell 35.58273775550409 237420.11020246506
2021-11-15 6401.8813 buy 37.08599067628215 237420.11020246506
2021-11-24 6505.4611 sell 37.08599067628215 241261.46969951625
2021-12-06 6321.8202 buy 38.163291910693104 241261.46969951625
2021-12-14 6410.7595 sell 38.163291910693104 244655.68616774897
2021-12-17 6110.7915 buy 40.03666074480678 244655.68616774897
2022-01-04 5872.4255 sell 40.03666074480678 235112.30749265235
2022-01-25 5703.0485 buy 41.22572471418617 235112.30749265235
2022-02-22 5687.7583 sell 41.22572471418617 234481.95791662755
2022-03-07 5173.721 buy 45.321724522181924 234481.95791662758
2022-03-22 5390.821 sell 45.321724522181924 244321.3043103933
2022-03-28 5114.6406 buy 47.76900732974147 244321.3043103933
2022-05-06 4451.8226 sell 47.76900732974147 212659.14641010875
2022-07-11 5750.1536 buy 36.983211441535886 212659.14641010875
2022-08-10 5699.0962 sell 36.983211441535886 210770.87979025368
2022-08-24 5435.5797 buy 38.77615478442045 210770.87979025368
2022-09-14 4974.3418 sell 38.77615478442045 192885.84758741263
2022-09-28 4783.3389 buy 40.32452051168957 192885.84758741263
2022-10-19 4617.9325 sell 40.32452051168957 186215.9138178479
2022-10-24 4558.092 buy 40.85391734476792 186215.9138178479
2022-11-10 4699.1543 sell 40.85391734476792 191978.86136251077
2022-11-22 4545.1642 buy 42.2380474972743 191978.86136251077
2022-12-05 4615.8107 sell 42.2380474972743 194962.83158502693
2022-12-14 4607.4201 buy 42.314967455437134 194962.83158502693
2023-02-03 4746.81 sell 42.314967455437134 200861.11066714357
2023-02-16 4552.23 buy 44.123673598905064 200861.11066714357
2023-03-07 4510.98 sell 44.123673598905064 199041.00913118874
2023-03-16 4292.66 buy 46.36775545493674 199041.00913118874
2023-04-04 4393.75 sell 46.36775545493674 203728.32553012832
2023-04-13 4413.98 buy 46.155244366791045 203728.32553012832
2023-04-19 4345.61 sell 46.155244366791045 200572.69147277082
2023-05-09 4097.6 buy 48.94882162064887 200572.69147277082
2023-05-18 4108.43 sell 48.94882162064887 201102.80721092244
2023-05-26 3945.24 buy 50.97352942049722 201102.80721092244
2023-06-21 3884.07 sell 50.97352942049722 197984.75641627065
2023-07-07 3948.64 buy 50.13998653112734 197984.75641627065
2023-07-14 3928.72 sell 50.13998653112734 196985.9678845706
2023-07-21 3828.76 buy 51.449024719379274 196985.9678845706
2023-08-08 4011.4 sell 51.449024719379274 206382.61775931803
2023-08-11 3904.09 buy 52.86318137115641 206382.61775931803
2023-09-07 3630.17 sell 52.86318137115641 191902.33511813087
2023-09-13 3559.03 buy 53.91984195641252 191902.33511813087
2023-11-01 3208.62 sell 53.91984195641252 173008.28329818434
2023-11-16 3250.26 buy 53.22905961313382 173008.28329818434
2023-12-27 3032.94 sell 53.22905961313382 161440.5440630581
2024-01-08 2831.92 buy 57.00745221018182 161440.5440630581
2024-02-28 2859.28 sell 57.00745221018182 163000.2679555287
2024-03-22 2839.43 buy 57.40598217090356 163000.2679555287