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 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