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 |
2024-10-09 |
2024-10-09 |
2024-10-09 |
2024-10-09 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
59.24% |
62.77% |
104.76% |
355.61% |
| Daily Sharpe |
6.00 |
0.30 |
0.42 |
1.10 |
| Daily Sortino |
11.19 |
0.48 |
0.67 |
1.81 |
| CAGR |
4.03% |
4.23% |
6.28% |
13.76% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.78 |
0.09 |
0.14 |
0.82 |
| MTD |
-0.23% |
8.37% |
8.57% |
5.50% |
| 3m |
1.37% |
22.70% |
20.35% |
11.82% |
| 6m |
3.22% |
17.96% |
15.33% |
10.45% |
| YTD |
5.32% |
22.18% |
18.99% |
18.13% |
| 1Y |
6.03% |
13.30% |
13.12% |
17.74% |
| 3Y (ann.) |
4.56% |
-5.51% |
-2.19% |
5.67% |
| 5Y (ann.) |
4.30% |
1.75% |
4.49% |
11.07% |
| 10Y (ann.) |
4.20% |
5.32% |
5.48% |
14.02% |
| Since Incep. (ann.) |
4.03% |
4.23% |
6.28% |
13.76% |
| Daily Sharpe |
6.00 |
0.30 |
0.42 |
1.10 |
| Daily Sortino |
11.19 |
0.48 |
0.67 |
1.81 |
| Daily Mean (ann.) |
4.11% |
7.03% |
8.22% |
14.23% |
| Daily Vol (ann.) |
0.69% |
23.33% |
19.46% |
12.98% |
| Daily Skew |
-0.05 |
-0.17 |
-0.07 |
0.02 |
| Daily Kurt |
19.05 |
10.75 |
14.74 |
10.68 |
| Best Day |
0.53% |
15.68% |
15.17% |
6.73% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.42 |
0.28 |
0.41 |
0.99 |
| Monthly Sortino |
18.36 |
0.49 |
0.70 |
2.28 |
| Monthly Mean (ann.) |
3.98% |
6.15% |
7.24% |
13.29% |
| Monthly Vol (ann.) |
0.90% |
22.10% |
17.74% |
13.40% |
| Monthly Skew |
-0.10 |
0.17 |
-0.20 |
1.25 |
| Monthly Kurt |
0.86 |
3.10 |
3.25 |
7.88 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.89 |
0.33 |
0.41 |
0.81 |
| Yearly Sortino |
inf |
0.86 |
1.04 |
15.47 |
| Yearly Mean |
4.10% |
8.24% |
7.75% |
15.49% |
| Yearly Vol |
1.42% |
25.07% |
19.10% |
19.22% |
| Yearly Skew |
-1.12 |
0.22 |
-0.11 |
1.13 |
| Yearly Kurt |
2.58 |
-1.11 |
-1.42 |
0.29 |
| 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% |
-2.29% |
| Avg. Drawdown Days |
6.35 |
156.33 |
79.94 |
43.53 |
| Avg. Up Month |
0.38% |
4.79% |
3.97% |
2.70% |
| Avg. Down Month |
-0.12% |
-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