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 |
2024-11-19 |
2024-11-19 |
2024-11-19 |
2024-11-19 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
60.33% |
54.41% |
96.26% |
350.19% |
| Daily Sharpe |
6.01 |
0.28 |
0.40 |
1.08 |
| Daily Sortino |
11.25 |
0.45 |
0.63 |
1.78 |
| CAGR |
4.05% |
3.73% |
5.84% |
13.50% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.81 |
0.08 |
0.13 |
0.80 |
| MTD |
0.44% |
1.70% |
1.32% |
0.83% |
| 3m |
1.17% |
18.23% |
17.43% |
10.19% |
| 6m |
2.87% |
8.67% |
8.04% |
7.55% |
| YTD |
6.04% |
15.91% |
14.05% |
16.73% |
| 1Y |
6.45% |
11.03% |
10.78% |
16.77% |
| 3Y (ann.) |
4.69% |
-6.45% |
-3.01% |
5.87% |
| 5Y (ann.) |
4.40% |
0.26% |
3.37% |
10.68% |
| 10Y (ann.) |
4.17% |
4.53% |
4.95% |
13.79% |
| Since Incep. (ann.) |
4.05% |
3.73% |
5.84% |
13.50% |
| Daily Sharpe |
6.01 |
0.28 |
0.40 |
1.08 |
| Daily Sortino |
11.25 |
0.45 |
0.63 |
1.78 |
| Daily Mean (ann.) |
4.13% |
6.55% |
7.81% |
13.99% |
| Daily Vol (ann.) |
0.69% |
23.44% |
19.56% |
12.96% |
| Daily Skew |
-0.04 |
-0.15 |
-0.06 |
0.02 |
| Daily Kurt |
18.67 |
10.48 |
14.35 |
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 |
19.45 |
0.45 |
0.66 |
2.26 |
| Monthly Mean (ann.) |
4.01% |
5.63% |
6.80% |
13.09% |
| Monthly Vol (ann.) |
0.89% |
21.90% |
17.54% |
13.31% |
| Monthly Skew |
-0.06 |
0.18 |
-0.21 |
1.27 |
| Monthly Kurt |
0.91 |
3.26 |
3.45 |
8.11 |
| Best Month |
1.07% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.79 |
0.31 |
0.39 |
0.80 |
| Yearly Sortino |
inf |
0.80 |
0.98 |
15.34 |
| Yearly Mean |
4.17% |
7.67% |
7.30% |
15.36% |
| Yearly Vol |
1.49% |
24.80% |
18.87% |
19.21% |
| Yearly Skew |
-0.92 |
0.29 |
-0.04 |
1.15 |
| Yearly Kurt |
1.97 |
-0.95 |
-1.31 |
0.34 |
| 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 |
6.40 |
157.85 |
80.73 |
43.98 |
| Avg. Up Month |
0.38% |
4.65% |
3.86% |
2.66% |
| 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% |
53.03% |
61.36% |
87.12% |
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