回测收益率
以 2013 年 1 月 1 日为起点
| Stat |
无风险收益 |
沪深300 |
等权组合 |
宽基择时 |
| Start |
2013-01-03 |
2013-01-03 |
2013-01-03 |
2013-01-03 |
| End |
2024-04-29 |
2024-04-29 |
2024-04-29 |
2024-04-29 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
55.60% |
39.98% |
79.73% |
316.09% |
| Daily Sharpe |
6.05 |
0.25 |
0.38 |
1.07 |
| Daily Sortino |
11.54 |
0.39 |
0.58 |
1.74 |
| CAGR |
3.98% |
3.02% |
5.32% |
13.42% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.72 |
0.06 |
0.12 |
0.80 |
| MTD |
0.95% |
1.92% |
2.18% |
1.55% |
| 3m |
2.17% |
7.46% |
6.59% |
5.90% |
| 6m |
3.56% |
2.38% |
3.25% |
7.92% |
| YTD |
2.91% |
5.08% |
4.44% |
7.88% |
| 1Y |
5.60% |
-10.22% |
-6.78% |
6.14% |
| 3Y (ann.) |
4.49% |
-11.24% |
-5.54% |
4.07% |
| 5Y (ann.) |
4.27% |
-1.65% |
1.13% |
8.83% |
| 10Y (ann.) |
4.18% |
5.31% |
5.76% |
15.08% |
| Since Incep. (ann.) |
3.98% |
3.02% |
5.32% |
13.42% |
| Daily Sharpe |
6.05 |
0.25 |
0.38 |
1.07 |
| Daily Sortino |
11.54 |
0.39 |
0.58 |
1.74 |
| Daily Mean (ann.) |
4.06% |
5.72% |
7.18% |
13.92% |
| Daily Vol (ann.) |
0.67% |
22.91% |
18.94% |
13.01% |
| Daily Skew |
0.15 |
-0.68 |
-0.86 |
-0.19 |
| Daily Kurt |
20.44 |
6.84 |
7.49 |
9.44 |
| Best Day |
0.53% |
8.12% |
6.25% |
5.46% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.40 |
0.23 |
0.36 |
0.97 |
| Monthly Sortino |
18.70 |
0.39 |
0.60 |
2.20 |
| Monthly Mean (ann.) |
3.95% |
4.91% |
6.26% |
13.04% |
| Monthly Vol (ann.) |
0.90% |
21.79% |
17.31% |
13.50% |
| Monthly Skew |
0.02 |
0.07 |
-0.38 |
1.27 |
| Monthly Kurt |
1.00 |
3.33 |
3.58 |
8.04 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.78 |
0.27 |
0.34 |
0.75 |
| Yearly Sortino |
inf |
0.70 |
0.86 |
14.54 |
| Yearly Mean |
3.88% |
6.69% |
6.43% |
14.56% |
| Yearly Vol |
1.40% |
24.65% |
18.75% |
19.33% |
| Yearly Skew |
-0.75 |
0.44 |
0.12 |
1.28 |
| Yearly Kurt |
2.02 |
-0.79 |
-1.23 |
0.54 |
| Best Year |
6.09% |
51.16% |
36.60% |
54.64% |
| Worst Year |
0.75% |
-25.53% |
-20.18% |
-2.87% |
| Avg. Drawdown |
-0.04% |
-6.61% |
-2.93% |
-2.33% |
| Avg. Drawdown Days |
6.37 |
150.30 |
76.81 |
43.93 |
| Avg. Up Month |
0.38% |
4.55% |
3.74% |
2.65% |
| Avg. Down Month |
-0.11% |
-4.32% |
-3.27% |
-1.75% |
| Win Year % |
100.00% |
54.55% |
63.64% |
81.82% |
| Win 12m % |
99.20% |
53.60% |
62.40% |
86.40% |
仓位
多空信号 - 沪深300
多空信号 - 上证50
多空信号 - 中证500
多空信号 - 创业板
多空信号 - 上证红利