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 2024-03-01 2024-03-01 2024-03-01 2024-03-01
Risk-free rate 0.00% 0.00% 0.00% 0.00%
Total Return 53.62% 37.27% 77.28% 310.76%
Daily Sharpe 6.04 0.24 0.38 1.07
Daily Sortino 11.39 0.38 0.57 1.74
CAGR 3.92% 2.88% 5.27% 13.50%
Max Drawdown -0.84% -46.88% -43.90% -16.83%
Calmar Ratio 4.65 0.06 0.12 0.80
MTD 0.09% 2.24% 2.12% 1.12%
3m 1.97% 0.60% 1.11% 6.40%
6m 2.39% -6.97% -3.30% 6.29%
YTD 1.61% 3.04% 3.01% 6.50%
1Y 5.03% -13.59% -9.35% 5.36%
3Y (ann.) 4.29% -13.26% -6.07% 4.25%
5Y (ann.) 4.07% -1.01% 1.72% 9.18%
10Y (ann.) 4.11% 4.92% 5.23% 14.41%
Since Incep. (ann.) 3.92% 2.88% 5.27% 13.50%
Daily Sharpe 6.04 0.24 0.38 1.07
Daily Sortino 11.39 0.38 0.57 1.74
Daily Mean (ann.) 3.99% 5.61% 7.15% 14.00%
Daily Vol (ann.) 0.66% 23.02% 19.03% 13.09%
Daily Skew 0.07 -0.68 -0.86 -0.19
Daily Kurt 21.54 6.78 7.42 9.31
Best Day 0.53% 8.12% 6.25% 5.46%
Worst Day -0.47% -11.12% -9.06% -6.84%
Monthly Sharpe 4.37 0.22 0.36 0.96
Monthly Sortino 18.23 0.37 0.59 2.19
Monthly Mean (ann.) 3.86% 4.77% 6.18% 13.02%
Monthly Vol (ann.) 0.88% 21.86% 17.37% 13.55%
Monthly Skew -0.01 0.08 -0.37 1.27
Monthly Kurt 1.02 3.29 3.53 7.97
Best Month 1.07% 25.68% 15.60% 18.74%
Worst Month -0.55% -24.04% -21.75% -15.84%
Yearly Sharpe 2.45 0.26 0.34 0.74
Yearly Sortino inf 0.68 0.85 14.42
Yearly Mean 3.76% 6.50% 6.30% 14.43%
Yearly Vol 1.53% 24.67% 18.77% 19.38%
Yearly Skew -0.65 0.46 0.14 1.29
Yearly Kurt 0.55 -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% -2.38%
Avg. Drawdown Days 6.43 148.11 75.67 44.91
Avg. Up Month 0.37% 4.59% 3.77% 2.67%
Avg. Down Month -0.11% -4.32% -3.27% -1.75%
Win Year % 100.00% 54.55% 63.64% 81.82%
Win 12m % 99.19% 54.03% 62.90% 86.29%

仓位

多空信号 - 沪深300