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 |
2025-02-26 |
2025-02-26 |
2025-02-26 |
2025-02-26 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
63.91% |
53.52% |
97.12% |
360.47% |
| Daily Sharpe |
6.00 |
0.27 |
0.40 |
1.08 |
| Daily Sortino |
11.43 |
0.44 |
0.63 |
1.78 |
| CAGR |
4.15% |
3.59% |
5.75% |
13.40% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.92 |
0.08 |
0.13 |
0.80 |
| MTD |
-0.06% |
2.47% |
2.33% |
1.18% |
| 3m |
1.97% |
2.49% |
2.55% |
2.42% |
| 6m |
3.26% |
18.02% |
19.13% |
13.08% |
| YTD |
0.38% |
-1.60% |
-1.30% |
0.78% |
| 1Y |
6.93% |
12.79% |
12.21% |
12.73% |
| 3Y (ann.) |
4.97% |
-4.85% |
-1.70% |
6.18% |
| 5Y (ann.) |
4.54% |
-0.69% |
1.71% |
8.88% |
| 10Y (ann.) |
4.22% |
1.24% |
2.57% |
10.95% |
| Since Incep. (ann.) |
4.15% |
3.59% |
5.75% |
13.40% |
| Daily Sharpe |
6.00 |
0.27 |
0.40 |
1.08 |
| Daily Sortino |
11.43 |
0.44 |
0.63 |
1.78 |
| Daily Mean (ann.) |
4.23% |
6.39% |
7.70% |
13.88% |
| Daily Vol (ann.) |
0.70% |
23.33% |
19.47% |
12.85% |
| Daily Skew |
0.06 |
-0.15 |
-0.06 |
0.02 |
| Daily Kurt |
17.08 |
10.46 |
14.31 |
10.83 |
| Best Day |
0.53% |
15.68% |
15.17% |
6.73% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.31 |
0.25 |
0.39 |
0.99 |
| Monthly Sortino |
20.09 |
0.44 |
0.66 |
2.26 |
| Monthly Mean (ann.) |
4.11% |
5.48% |
6.71% |
13.01% |
| Monthly Vol (ann.) |
0.95% |
21.73% |
17.42% |
13.18% |
| Monthly Skew |
0.38 |
0.18 |
-0.21 |
1.28 |
| Monthly Kurt |
2.05 |
3.32 |
3.49 |
8.33 |
| Best Month |
1.48% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
1.93 |
0.29 |
0.37 |
0.76 |
| Yearly Sortino |
inf |
0.76 |
0.94 |
14.84 |
| Yearly Mean |
4.01% |
7.00% |
6.75% |
14.29% |
| Yearly Vol |
2.08% |
23.84% |
18.24% |
18.82% |
| Yearly Skew |
-0.10 |
0.39 |
0.06 |
1.25 |
| Yearly Kurt |
0.72 |
-0.73 |
-1.22 |
0.61 |
| Best Year |
7.99% |
51.16% |
36.60% |
54.64% |
| Worst Year |
0.38% |
-25.53% |
-20.18% |
-2.87% |
| Avg. Drawdown |
-0.05% |
-6.61% |
-2.93% |
-2.28% |
| Avg. Drawdown Days |
6.44 |
161.52 |
82.63 |
44.07 |
| Avg. Up Month |
0.39% |
4.64% |
3.86% |
2.63% |
| Avg. Down Month |
-0.11% |
-4.15% |
-3.18% |
-1.68% |
| Win Year % |
100.00% |
50.00% |
58.33% |
83.33% |
| Win 12m % |
99.26% |
54.07% |
62.22% |
87.41% |
仓位
多空信号 - 沪深300
多空信号 - 上证50
多空信号 - 中证500
多空信号 - 创业板
多空信号 - 上证红利