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 |
2024-09-10 |
2024-09-10 |
2024-09-10 |
2024-09-10 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
59.14% |
24.73% |
61.08% |
307.43% |
| Daily Sharpe |
6.13 |
0.20 |
0.32 |
1.04 |
| Daily Sortino |
11.71 |
0.31 |
0.49 |
1.68 |
| CAGR |
4.06% |
1.91% |
4.16% |
12.77% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.81 |
0.04 |
0.09 |
0.76 |
| MTD |
0.25% |
-2.45% |
-1.63% |
0.12% |
| 3m |
1.83% |
-11.15% |
-10.37% |
-2.52% |
| 6m |
3.36% |
-9.51% |
-9.30% |
-1.17% |
| YTD |
5.26% |
-6.37% |
-6.40% |
5.64% |
| 1Y |
6.18% |
-14.77% |
-11.61% |
5.51% |
| 3Y (ann.) |
4.64% |
-13.68% |
-10.42% |
0.70% |
| 5Y (ann.) |
4.34% |
-4.29% |
-1.20% |
7.86% |
| 10Y (ann.) |
4.25% |
2.74% |
3.24% |
13.08% |
| Since Incep. (ann.) |
4.06% |
1.91% |
4.16% |
12.77% |
| Daily Sharpe |
6.13 |
0.20 |
0.32 |
1.04 |
| Daily Sortino |
11.71 |
0.31 |
0.49 |
1.68 |
| Daily Mean (ann.) |
4.12% |
4.54% |
5.99% |
13.29% |
| Daily Vol (ann.) |
0.67% |
22.63% |
18.71% |
12.82% |
| Daily Skew |
0.11 |
-0.67 |
-0.85 |
-0.18 |
| Daily Kurt |
19.50 |
7.00 |
7.64 |
9.76 |
| Best Day |
0.53% |
8.12% |
6.25% |
5.46% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.52 |
0.18 |
0.30 |
0.93 |
| Monthly Sortino |
19.29 |
0.30 |
0.50 |
2.12 |
| Monthly Mean (ann.) |
4.00% |
3.77% |
5.11% |
12.40% |
| Monthly Vol (ann.) |
0.88% |
21.49% |
17.13% |
13.31% |
| Monthly Skew |
-0.05 |
0.12 |
-0.33 |
1.31 |
| Monthly Kurt |
0.96 |
3.44 |
3.59 |
8.34 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.90 |
0.23 |
0.28 |
0.74 |
| Yearly Sortino |
inf |
0.61 |
0.75 |
14.34 |
| Yearly Mean |
4.09% |
5.65% |
5.45% |
14.35% |
| Yearly Vol |
1.41% |
24.96% |
19.14% |
19.42% |
| Yearly Skew |
-1.13 |
0.56 |
0.27 |
1.29 |
| Yearly Kurt |
2.64 |
-0.82 |
-1.38 |
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% |
-2.30% |
| Avg. Drawdown Days |
6.32 |
155.26 |
79.38 |
43.79 |
| Avg. Up Month |
0.38% |
4.56% |
3.75% |
2.60% |
| Avg. Down Month |
-0.11% |
-4.19% |
-3.20% |
-1.70% |
| Win Year % |
100.00% |
45.45% |
54.55% |
81.82% |
| Win 12m % |
99.23% |
51.54% |
60.00% |
86.92% |
仓位
多空信号 - 沪深300