宽基择时组合是一个实验性量化策略,使用简单的因子进行宽基指数择时投资,目标是寻找一种逻辑比较可靠、个人投资者可操作的策略。为方便跟踪策略效果和宽基交易信号,策略每日更新运行数据。
研究过程见: ① 宽基定投是圣杯吗 ② 宽基择时指标研究 ③ 宽基择时组合构建

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 2024-04-15 2024-04-15 2024-04-15 2024-04-15
Risk-free rate 0.00% 0.00% 0.00% 0.00%
Total Return 55.35% 35.65% 76.30% 313.43%
Daily Sharpe 6.05 0.24 0.37 1.07
Daily Sortino 11.53 0.37 0.57 1.74
CAGR 3.98% 2.74% 5.16% 13.41%
Max Drawdown -0.84% -46.88% -43.90% -16.83%
Calmar Ratio 4.72 0.06 0.12 0.80
MTD 0.79% -1.23% 0.22% 0.91%
3m 2.30% 6.21% 5.04% 6.21%
6m 3.49% -5.55% -2.41% 7.01%
YTD 2.75% 1.83% 2.44% 7.19%
1Y 5.65% -14.83% -10.07% 4.97%
3Y (ann.) 4.44% -11.24% -5.20% 4.17%
5Y (ann.) 4.23% -3.05% -0.02% 8.23%
10Y (ann.) 4.17% 4.38% 4.96% 14.23%
Since Incep. (ann.) 3.98% 2.74% 5.16% 13.41%
Daily Sharpe 6.05 0.24 0.37 1.07
Daily Sortino 11.53 0.37 0.57 1.74
Daily Mean (ann.) 4.06% 5.45% 7.03% 13.91%
Daily Vol (ann.) 0.67% 22.93% 18.96% 13.03%
Daily Skew 0.15 -0.68 -0.86 -0.19
Daily Kurt 20.50 6.83 7.48 9.41
Best Day 0.53% 8.12% 6.25% 5.46%
Worst Day -0.47% -11.12% -9.06% -6.84%
Monthly Sharpe 4.43 0.21 0.35 0.96
Monthly Sortino 18.63 0.36 0.58 2.19
Monthly Mean (ann.) 3.93% 4.63% 6.08% 12.99%
Monthly Vol (ann.) 0.89% 21.79% 17.30% 13.50%
Monthly Skew -0.02 0.08 -0.37 1.27
Monthly Kurt 0.97 3.33 3.58 8.05
Best Month 1.07% 25.68% 15.60% 18.74%
Worst Month -0.55% -24.04% -21.75% -15.84%
Yearly Sharpe 2.75 0.26 0.33 0.75
Yearly Sortino inf 0.67 0.84 14.48
Yearly Mean 3.87% 6.39% 6.25% 14.50%
Yearly Vol 1.41% 24.69% 18.78% 19.35%
Yearly Skew -0.72 0.48 0.15 1.28
Yearly Kurt 1.80 -0.78 -1.24 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% -2.34%
Avg. Drawdown Days 6.39 149.78 76.54 44.29
Avg. Up Month 0.37% 4.59% 3.71% 2.64%
Avg. Down Month -0.11% -4.28% -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