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 2024-05-16 2024-05-16 2024-05-16 2024-05-16
Risk-free rate 0.00% 0.00% 0.00% 0.00%
Total Return 55.87% 42.01% 81.87% 318.85%
Daily Sharpe 6.04 0.26 0.38 1.07
Daily Sortino 11.52 0.40 0.59 1.74
CAGR 3.98% 3.13% 5.40% 13.43%
Max Drawdown -0.84% -46.88% -43.90% -16.83%
Calmar Ratio 4.72 0.07 0.12 0.80
MTD 0.29% 0.48% 0.29% 0.32%
3m 1.96% 8.50% 6.24% 4.15%
6m 3.51% 0.99% 1.78% 8.65%
YTD 3.09% 6.60% 5.68% 8.60%
1Y 5.45% -9.13% -6.35% 5.97%
3Y (ann.) 4.47% -10.75% -5.29% 4.12%
5Y (ann.) 4.27% -0.45% 2.32% 9.56%
10Y (ann.) 4.17% 5.42% 5.83% 15.09%
Since Incep. (ann.) 3.98% 3.13% 5.40% 13.43%
Daily Sharpe 6.04 0.26 0.38 1.07
Daily Sortino 11.52 0.40 0.59 1.74
Daily Mean (ann.) 4.06% 5.84% 7.26% 13.93%
Daily Vol (ann.) 0.67% 22.87% 18.91% 12.99%
Daily Skew 0.14 -0.68 -0.86 -0.19
Daily Kurt 20.25 6.87 7.51 9.48
Best Day 0.53% 8.12% 6.25% 5.46%
Worst Day -0.47% -11.12% -9.06% -6.84%
Monthly Sharpe 4.43 0.23 0.37 0.97
Monthly Sortino 18.70 0.39 0.61 2.20
Monthly Mean (ann.) 3.93% 5.01% 6.32% 13.01%
Monthly Vol (ann.) 0.89% 21.71% 17.26% 13.46%
Monthly Skew -0.01 0.07 -0.38 1.27
Monthly Kurt 1.00 3.36 3.61 8.12
Best Month 1.07% 25.68% 15.60% 18.74%
Worst Month -0.55% -24.04% -21.75% -15.84%
Yearly Sharpe 2.82 0.28 0.35 0.76
Yearly Sortino inf 0.72 0.88 14.61
Yearly Mean 3.90% 6.83% 6.54% 14.62%
Yearly Vol 1.38% 24.64% 18.74% 19.30%
Yearly Skew -0.80 0.42 0.10 1.27
Yearly Kurt 2.26 -0.80 -1.23 0.53
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% -2.28%
Avg. Drawdown Days 6.41 150.93 77.13 43.02
Avg. Up Month 0.37% 4.51% 3.70% 2.63%
Avg. Down Month -0.11% -4.32% -3.27% -1.75%
Win Year % 100.00% 54.55% 63.64% 81.82%
Win 12m % 99.21% 53.17% 61.90% 86.51%

仓位

多空信号 - 沪深300