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 2024-07-19 2024-07-19 2024-07-19 2024-07-19
Risk-free rate 0.00% 0.00% 0.00% 0.00%
Total Return 57.31% 36.71% 72.95% 311.88%
Daily Sharpe 6.08 0.24 0.36 1.05
Daily Sortino 11.62 0.37 0.55 1.71
CAGR 4.00% 2.75% 4.86% 13.05%
Max Drawdown -0.84% -46.88% -43.90% -16.83%
Calmar Ratio 4.75 0.06 0.11 0.78
MTD 0.17% 1.66% 0.20% 0.29%
3m 1.18% -1.40% -3.49% -1.19%
6m 3.58% 7.34% 3.92% 5.99%
YTD 4.04% 2.63% 0.50% 6.79%
1Y 5.47% -9.02% -6.98% 6.17%
3Y (ann.) 4.52% -11.68% -7.69% 2.85%
5Y (ann.) 4.28% -1.56% 1.32% 9.25%
10Y (ann.) 4.19% 4.92% 5.07% 14.62%
Since Incep. (ann.) 4.00% 2.75% 4.86% 13.05%
Daily Sharpe 6.08 0.24 0.36 1.05
Daily Sortino 11.62 0.37 0.55 1.71
Daily Mean (ann.) 4.07% 5.41% 6.70% 13.56%
Daily Vol (ann.) 0.67% 22.72% 18.79% 12.89%
Daily Skew 0.14 -0.68 -0.86 -0.19
Daily Kurt 20.06 6.97 7.61 9.64
Best Day 0.53% 8.12% 6.25% 5.46%
Worst Day -0.47% -11.12% -9.06% -6.84%
Monthly Sharpe 4.47 0.21 0.34 0.95
Monthly Sortino 18.94 0.36 0.56 2.15
Monthly Mean (ann.) 3.96% 4.61% 5.80% 12.67%
Monthly Vol (ann.) 0.89% 21.60% 17.19% 13.39%
Monthly Skew -0.03 0.08 -0.36 1.29
Monthly Kurt 0.98 3.40 3.60 8.21
Best Month 1.07% 25.68% 15.60% 18.74%
Worst Month -0.55% -24.04% -21.75% -15.84%
Yearly Sharpe 2.93 0.26 0.32 0.75
Yearly Sortino inf 0.68 0.82 14.44
Yearly Mean 3.98% 6.46% 6.07% 14.46%
Yearly Vol 1.36% 24.68% 18.83% 19.37%
Yearly Skew -1.05 0.47 0.19 1.28
Yearly Kurt 3.10 -0.78 -1.26 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 6.35 153.30 78.37 43.21
Avg. Up Month 0.38% 4.52% 3.70% 2.60%
Avg. Down Month -0.11% -4.27% -3.24% -1.75%
Win Year % 100.00% 54.55% 63.64% 81.82%
Win 12m % 99.22% 52.34% 60.94% 86.72%

仓位

多空信号 - 沪深300