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 |
2024-10-25 |
2024-10-25 |
2024-10-25 |
2024-10-25 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
59.63% |
53.50% |
95.25% |
348.07% |
| Daily Sharpe |
5.99 |
0.28 |
0.40 |
1.08 |
| Daily Sortino |
11.19 |
0.44 |
0.63 |
1.78 |
| CAGR |
4.04% |
3.70% |
5.83% |
13.54% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.79 |
0.08 |
0.13 |
0.80 |
| MTD |
0.01% |
2.20% |
3.53% |
3.75% |
| 3m |
1.25% |
15.45% |
15.76% |
9.44% |
| 6m |
2.56% |
11.97% |
10.35% |
8.39% |
| YTD |
5.58% |
15.23% |
13.46% |
16.18% |
| 1Y |
6.30% |
11.53% |
11.77% |
16.36% |
| 3Y (ann.) |
4.65% |
-7.33% |
-3.67% |
5.35% |
| 5Y (ann.) |
4.36% |
0.31% |
3.24% |
10.49% |
| 10Y (ann.) |
4.20% |
5.15% |
5.37% |
14.35% |
| Since Incep. (ann.) |
4.04% |
3.70% |
5.83% |
13.54% |
| Daily Sharpe |
5.99 |
0.28 |
0.40 |
1.08 |
| Daily Sortino |
11.19 |
0.44 |
0.63 |
1.78 |
| Daily Mean (ann.) |
4.11% |
6.51% |
7.79% |
14.03% |
| Daily Vol (ann.) |
0.69% |
23.39% |
19.52% |
12.97% |
| Daily Skew |
-0.04 |
-0.17 |
-0.07 |
0.02 |
| Daily Kurt |
18.81 |
10.61 |
14.54 |
10.67 |
| Best Day |
0.53% |
15.68% |
15.17% |
6.73% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.50 |
0.26 |
0.39 |
0.98 |
| Monthly Sortino |
19.34 |
0.45 |
0.66 |
2.26 |
| Monthly Mean (ann.) |
4.00% |
5.62% |
6.81% |
13.14% |
| Monthly Vol (ann.) |
0.89% |
21.98% |
17.61% |
13.36% |
| Monthly Skew |
-0.06 |
0.18 |
-0.21 |
1.26 |
| Monthly Kurt |
0.89 |
3.21 |
3.39 |
8.01 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.86 |
0.31 |
0.38 |
0.80 |
| Yearly Sortino |
inf |
0.80 |
0.98 |
15.29 |
| Yearly Mean |
4.12% |
7.61% |
7.25% |
15.31% |
| Yearly Vol |
1.44% |
24.77% |
18.85% |
19.20% |
| Yearly Skew |
-1.07 |
0.30 |
-0.03 |
1.16 |
| Yearly Kurt |
2.35 |
-0.93 |
-1.30 |
0.37 |
| Best Year |
6.09% |
51.16% |
36.60% |
54.64% |
| Worst Year |
0.75% |
-25.53% |
-20.18% |
-2.87% |
| Avg. Drawdown |
-0.05% |
-6.61% |
-2.93% |
-2.32% |
| Avg. Drawdown Days |
6.39 |
156.93 |
80.25 |
43.71 |
| Avg. Up Month |
0.38% |
4.71% |
3.90% |
2.68% |
| Avg. Down Month |
-0.11% |
-4.21% |
-3.22% |
-1.70% |
| Win Year % |
100.00% |
54.55% |
63.64% |
81.82% |
| Win 12m % |
99.24% |
52.67% |
61.07% |
87.02% |
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