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 2024-06-13 2024-06-13 2024-06-13 2024-06-13
Risk-free rate 0.00% 0.00% 0.00% 0.00%
Total Return 56.44% 38.56% 78.25% 316.93%
Daily Sharpe 6.05 0.24 0.37 1.07
Daily Sortino 11.55 0.38 0.57 1.73
CAGR 3.99% 2.89% 5.18% 13.29%
Max Drawdown -0.84% -46.88% -43.90% -16.83%
Calmar Ratio 4.73 0.06 0.12 0.79
MTD 0.15% -1.43% -1.31% -0.50%
3m 1.72% -1.28% -1.10% 0.52%
6m 3.71% 3.79% 2.38% 7.59%
YTD 3.47% 4.01% 3.58% 8.10%
1Y 5.42% -7.54% -4.64% 6.72%
3Y (ann.) 4.55% -12.07% -6.84% 3.55%
5Y (ann.) 4.28% -0.78% 2.22% 9.77%
10Y (ann.) 4.16% 5.12% 5.41% 14.78%
Since Incep. (ann.) 3.99% 2.89% 5.18% 13.29%
Daily Sharpe 6.05 0.24 0.37 1.07
Daily Sortino 11.55 0.38 0.57 1.73
Daily Mean (ann.) 4.06% 5.58% 7.03% 13.79%
Daily Vol (ann.) 0.67% 22.81% 18.86% 12.95%
Daily Skew 0.14 -0.68 -0.86 -0.19
Daily Kurt 20.15 6.91 7.55 9.54
Best Day 0.53% 8.12% 6.25% 5.46%
Worst Day -0.47% -11.12% -9.06% -6.84%
Monthly Sharpe 4.44 0.22 0.35 0.96
Monthly Sortino 18.78 0.38 0.59 2.19
Monthly Mean (ann.) 3.94% 4.76% 6.10% 12.87%
Monthly Vol (ann.) 0.89% 21.64% 17.20% 13.41%
Monthly Skew -0.01 0.08 -0.37 1.29
Monthly Kurt 0.98 3.40 3.64 8.19
Best Month 1.07% 25.68% 15.60% 18.74%
Worst Month -0.55% -24.04% -21.75% -15.84%
Yearly Sharpe 2.88 0.27 0.34 0.75
Yearly Sortino inf 0.69 0.85 14.56
Yearly Mean 3.93% 6.59% 6.35% 14.58%
Yearly Vol 1.37% 24.66% 18.76% 19.32%
Yearly Skew -0.90 0.45 0.14 1.27
Yearly Kurt 2.70 -0.78 -1.24 0.53
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% -2.27%
Avg. Drawdown Days 6.36 151.96 77.67 42.81
Avg. Up Month 0.37% 4.56% 3.75% 2.63%
Avg. Down Month -0.11% -4.22% -3.19% -1.72%
Win Year % 100.00% 54.55% 63.64% 81.82%
Win 12m % 99.21% 52.76% 61.42% 86.61%

仓位

多空信号 - 沪深300