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 |
2023-12-06 |
2023-12-06 |
2023-12-06 |
2023-12-06 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
50.67% |
32.31% |
71.93% |
285.52% |
| Daily Sharpe |
5.93 |
0.23 |
0.37 |
1.04 |
| Daily Sortino |
11.07 |
0.36 |
0.56 |
1.69 |
| CAGR |
3.82% |
2.60% |
5.09% |
13.15% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.53 |
0.06 |
0.12 |
0.78 |
| MTD |
0.03% |
-2.80% |
-1.78% |
-0.06% |
| 3m |
0.47% |
-11.02% |
-6.77% |
-0.57% |
| 6m |
1.60% |
-11.77% |
-8.50% |
-1.53% |
| YTD |
3.42% |
-12.53% |
-8.05% |
2.09% |
| 1Y |
3.53% |
-13.76% |
-9.90% |
0.22% |
| 3Y (ann.) |
3.86% |
-12.56% |
-6.10% |
2.12% |
| 5Y (ann.) |
3.96% |
1.03% |
3.31% |
9.19% |
| 10Y (ann.) |
3.97% |
3.23% |
4.64% |
13.33% |
| Since Incep. (ann.) |
3.82% |
2.60% |
5.09% |
13.15% |
| Daily Sharpe |
5.93 |
0.23 |
0.37 |
1.04 |
| Daily Sortino |
11.07 |
0.36 |
0.56 |
1.69 |
| Daily Mean (ann.) |
3.89% |
5.34% |
6.97% |
13.68% |
| Daily Vol (ann.) |
0.66% |
23.10% |
19.06% |
13.19% |
| Daily Skew |
0.06 |
-0.69 |
-0.89 |
-0.19 |
| Daily Kurt |
22.46 |
6.81 |
7.50 |
9.19 |
| Best Day |
0.53% |
8.12% |
6.25% |
5.46% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.32 |
0.21 |
0.35 |
0.93 |
| Monthly Sortino |
17.61 |
0.35 |
0.57 |
2.12 |
| Monthly Mean (ann.) |
3.77% |
4.51% |
6.01% |
12.73% |
| Monthly Vol (ann.) |
0.87% |
21.97% |
17.42% |
13.69% |
| Monthly Skew |
-0.03 |
0.09 |
-0.37 |
1.27 |
| Monthly Kurt |
1.08 |
3.30 |
3.59 |
7.83 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.74 |
0.26 |
0.34 |
0.75 |
| Yearly Sortino |
inf |
0.69 |
0.87 |
14.58 |
| Yearly Mean |
3.94% |
6.79% |
6.62% |
15.22% |
| Yearly Vol |
1.44% |
26.03% |
19.76% |
20.24% |
| Yearly Skew |
-0.90 |
0.40 |
0.08 |
1.14 |
| Yearly Kurt |
2.31 |
-1.10 |
-1.51 |
0.06 |
| Best Year |
6.09% |
51.16% |
36.60% |
54.64% |
| Worst Year |
0.75% |
-25.53% |
-20.18% |
-2.87% |
| Avg. Drawdown |
-0.04% |
-6.47% |
-2.93% |
-2.41% |
| Avg. Drawdown Days |
6.50 |
144.93 |
74.02 |
45.18 |
| Avg. Up Month |
0.36% |
4.60% |
3.76% |
2.69% |
| Avg. Down Month |
-0.11% |
-4.32% |
-3.24% |
-1.75% |
| Win Year % |
100.00% |
50.00% |
60.00% |
80.00% |
| Win 12m % |
99.17% |
55.37% |
64.46% |
85.95% |
仓位
多空信号 - 沪深300