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 |
2024-07-25 |
2024-07-25 |
2024-07-25 |
2024-07-25 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
57.66% |
32.96% |
68.67% |
309.42% |
| Daily Sharpe |
6.10 |
0.23 |
0.34 |
1.05 |
| Daily Sortino |
11.66 |
0.35 |
0.53 |
1.70 |
| CAGR |
4.02% |
2.50% |
4.63% |
12.97% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.76 |
0.05 |
0.11 |
0.77 |
| MTD |
0.39% |
-1.13% |
-2.28% |
-0.31% |
| 3m |
1.30% |
-3.02% |
-4.68% |
-0.96% |
| 6m |
3.64% |
3.97% |
1.71% |
5.17% |
| YTD |
4.27% |
-0.19% |
-1.99% |
6.15% |
| 1Y |
5.60% |
-11.93% |
-9.55% |
5.37% |
| 3Y (ann.) |
4.54% |
-12.41% |
-8.39% |
2.69% |
| 5Y (ann.) |
4.31% |
-2.28% |
0.67% |
9.04% |
| 10Y (ann.) |
4.21% |
4.25% |
4.64% |
14.33% |
| Since Incep. (ann.) |
4.02% |
2.50% |
4.63% |
12.97% |
| Daily Sharpe |
6.10 |
0.23 |
0.34 |
1.05 |
| Daily Sortino |
11.66 |
0.35 |
0.53 |
1.70 |
| Daily Mean (ann.) |
4.09% |
5.15% |
6.47% |
13.48% |
| Daily Vol (ann.) |
0.67% |
22.72% |
18.78% |
12.89% |
| Daily Skew |
0.13 |
-0.68 |
-0.86 |
-0.19 |
| Daily Kurt |
20.02 |
6.96 |
7.60 |
9.65 |
| Best Day |
0.53% |
8.12% |
6.25% |
5.46% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.49 |
0.20 |
0.32 |
0.94 |
| Monthly Sortino |
19.04 |
0.35 |
0.54 |
2.15 |
| Monthly Mean (ann.) |
3.98% |
4.37% |
5.58% |
12.62% |
| Monthly Vol (ann.) |
0.88% |
21.61% |
17.21% |
13.39% |
| Monthly Skew |
-0.05 |
0.09 |
-0.35 |
1.29 |
| Monthly Kurt |
1.00 |
3.40 |
3.57 |
8.20 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.94 |
0.25 |
0.31 |
0.74 |
| Yearly Sortino |
inf |
0.65 |
0.80 |
14.38 |
| Yearly Mean |
4.01% |
6.21% |
5.85% |
14.40% |
| Yearly Vol |
1.36% |
24.74% |
18.91% |
19.39% |
| Yearly Skew |
-1.10 |
0.50 |
0.22 |
1.29 |
| Yearly Kurt |
3.14 |
-0.78 |
-1.30 |
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 |
6.36 |
153.52 |
78.48 |
43.27 |
| Avg. Up Month |
0.38% |
4.56% |
3.75% |
2.63% |
| Avg. Down Month |
-0.11% |
-4.22% |
-3.22% |
-1.72% |
| Win Year % |
100.00% |
45.45% |
54.55% |
81.82% |
| Win 12m % |
99.22% |
52.34% |
60.94% |
86.72% |
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