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 |
2024-12-20 |
2024-12-20 |
2024-12-20 |
2024-12-20 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
62.78% |
53.74% |
97.67% |
356.07% |
| Daily Sharpe |
6.09 |
0.28 |
0.40 |
1.08 |
| Daily Sortino |
11.56 |
0.44 |
0.63 |
1.79 |
| CAGR |
4.16% |
3.66% |
5.86% |
13.53% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.93 |
0.08 |
0.13 |
0.80 |
| MTD |
1.16% |
1.74% |
2.13% |
1.37% |
| 3m |
1.71% |
23.30% |
22.78% |
11.34% |
| 6m |
3.86% |
11.68% |
11.74% |
9.75% |
| YTD |
7.66% |
15.41% |
14.87% |
18.25% |
| 1Y |
7.73% |
18.06% |
15.89% |
17.84% |
| 3Y (ann.) |
5.10% |
-7.24% |
-3.43% |
5.87% |
| 5Y (ann.) |
4.64% |
-0.47% |
2.73% |
10.15% |
| 10Y (ann.) |
4.30% |
1.49% |
3.10% |
11.47% |
| Since Incep. (ann.) |
4.16% |
3.66% |
5.86% |
13.53% |
| Daily Sharpe |
6.09 |
0.28 |
0.40 |
1.08 |
| Daily Sortino |
11.56 |
0.44 |
0.63 |
1.79 |
| Daily Mean (ann.) |
4.23% |
6.48% |
7.82% |
13.99% |
| Daily Vol (ann.) |
0.69% |
23.42% |
19.54% |
12.92% |
| Daily Skew |
0.03 |
-0.15 |
-0.06 |
0.02 |
| Daily Kurt |
18.05 |
10.44 |
14.30 |
10.71 |
| Best Day |
0.53% |
15.68% |
15.17% |
6.73% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.44 |
0.25 |
0.39 |
0.99 |
| Monthly Sortino |
20.01 |
0.45 |
0.66 |
2.27 |
| Monthly Mean (ann.) |
4.11% |
5.56% |
6.82% |
13.11% |
| Monthly Vol (ann.) |
0.92% |
21.83% |
17.48% |
13.26% |
| Monthly Skew |
0.10 |
0.18 |
-0.21 |
1.27 |
| Monthly Kurt |
1.01 |
3.30 |
3.49 |
8.19 |
| Best Month |
1.16% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.46 |
0.31 |
0.39 |
0.81 |
| Yearly Sortino |
inf |
0.80 |
0.99 |
15.48 |
| Yearly Mean |
4.31% |
7.63% |
7.38% |
15.50% |
| Yearly Vol |
1.75% |
24.78% |
18.90% |
19.22% |
| Yearly Skew |
-0.06 |
0.30 |
-0.06 |
1.12 |
| Yearly Kurt |
1.66 |
-0.94 |
-1.33 |
0.28 |
| Best Year |
7.66% |
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 |
159.00 |
81.33 |
44.32 |
| Avg. Up Month |
0.39% |
4.65% |
3.87% |
2.64% |
| Avg. Down Month |
-0.11% |
-4.16% |
-3.17% |
-1.70% |
| Win Year % |
100.00% |
54.55% |
63.64% |
81.82% |
| Win 12m % |
99.25% |
53.38% |
61.65% |
87.22% |
仓位
多空信号 - 沪深300