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 2024-10-21 2024-10-21 2024-10-21 2024-10-21
Risk-free rate 0.00% 0.00% 0.00% 0.00%
Total Return 59.81% 54.11% 95.91% 349.23%
Daily Sharpe 6.01 0.28 0.40 1.08
Daily Sortino 11.26 0.45 0.63 1.79
CAGR 4.05% 3.73% 5.87% 13.58%
Max Drawdown -0.84% -46.88% -43.90% -16.83%
Calmar Ratio 4.81 0.08 0.13 0.81
MTD 0.12% 2.60% 3.88% 4.02%
3m 1.59% 12.73% 13.27% 9.07%
6m 2.78% 11.15% 9.32% 7.77%
YTD 5.70% 15.69% 13.84% 16.48%
1Y 6.45% 12.16% 11.96% 16.68%
3Y (ann.) 4.70% -7.04% -3.56% 5.30%
5Y (ann.) 4.39% 0.42% 3.34% 10.59%
10Y (ann.) 4.22% 4.86% 5.13% 14.01%
Since Incep. (ann.) 4.05% 3.73% 5.87% 13.58%
Daily Sharpe 6.01 0.28 0.40 1.08
Daily Sortino 11.26 0.45 0.63 1.79
Daily Mean (ann.) 4.13% 6.55% 7.83% 14.07%
Daily Vol (ann.) 0.69% 23.41% 19.53% 12.98%
Daily Skew -0.04 -0.17 -0.07 0.02
Daily Kurt 18.88 10.59 14.52 10.65
Best Day 0.53% 15.68% 15.17% 6.73%
Worst Day -0.47% -11.12% -9.06% -6.84%
Monthly Sharpe 4.52 0.26 0.39 0.98
Monthly Sortino 19.39 0.45 0.66 2.26
Monthly Mean (ann.) 4.01% 5.66% 6.84% 13.16%
Monthly Vol (ann.) 0.89% 21.99% 17.62% 13.37%
Monthly Skew -0.06 0.18 -0.21 1.26
Monthly Kurt 0.93 3.21 3.39 8.00
Best Month 1.07% 25.68% 15.60% 18.74%
Worst Month -0.55% -24.04% -21.75% -15.84%
Yearly Sharpe 2.85 0.31 0.39 0.80
Yearly Sortino inf 0.80 0.98 15.32
Yearly Mean 4.13% 7.65% 7.29% 15.34%
Yearly Vol 1.45% 24.79% 18.86% 19.20%
Yearly Skew -1.04 0.29 -0.04 1.16
Yearly Kurt 2.25 -0.94 -1.31 0.35
Best Year 6.09% 51.16% 36.60% 54.64%
Worst Year 0.75% -25.53% -20.18% -2.87%
Avg. Drawdown -0.05% -6.61% -2.93% -2.32%
Avg. Drawdown Days 6.38 156.78 80.17 43.66
Avg. Up Month 0.38% 4.71% 3.90% 2.68%
Avg. Down Month -0.11% -4.21% -3.22% -1.70%
Win Year % 100.00% 54.55% 63.64% 81.82%
Win 12m % 99.24% 52.67% 61.07% 87.02%

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