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 |
2025-02-07 |
2025-02-07 |
2025-02-07 |
2025-02-07 |
| Risk-free rate |
0.00% |
0.00% |
0.00% |
0.00% |
| Total Return |
64.58% |
50.10% |
93.03% |
356.72% |
| Daily Sharpe |
6.11 |
0.27 |
0.39 |
1.08 |
| Daily Sortino |
11.73 |
0.43 |
0.61 |
1.78 |
| CAGR |
4.20% |
3.41% |
5.59% |
13.38% |
| Max Drawdown |
-0.84% |
-46.88% |
-43.90% |
-16.83% |
| Calmar Ratio |
4.98 |
0.07 |
0.13 |
0.80 |
| MTD |
0.34% |
0.18% |
0.21% |
0.36% |
| 3m |
2.82% |
-3.59% |
-2.58% |
1.16% |
| 6m |
3.89% |
15.12% |
15.48% |
11.36% |
| YTD |
0.79% |
-3.79% |
-3.35% |
-0.04% |
| 1Y |
7.66% |
15.97% |
15.28% |
14.67% |
| 3Y (ann.) |
5.16% |
-6.06% |
-2.41% |
6.36% |
| 5Y (ann.) |
4.62% |
-0.18% |
2.34% |
9.81% |
| 10Y (ann.) |
4.31% |
1.52% |
2.84% |
11.50% |
| Since Incep. (ann.) |
4.20% |
3.41% |
5.59% |
13.38% |
| Daily Sharpe |
6.11 |
0.27 |
0.39 |
1.08 |
| Daily Sortino |
11.73 |
0.43 |
0.61 |
1.78 |
| Daily Mean (ann.) |
4.28% |
6.22% |
7.55% |
13.87% |
| Daily Vol (ann.) |
0.70% |
23.37% |
19.50% |
12.87% |
| Daily Skew |
0.09 |
-0.15 |
-0.06 |
0.02 |
| Daily Kurt |
17.36 |
10.44 |
14.29 |
10.80 |
| Best Day |
0.53% |
15.68% |
15.17% |
6.73% |
| Worst Day |
-0.47% |
-11.12% |
-9.06% |
-6.84% |
| Monthly Sharpe |
4.38 |
0.24 |
0.38 |
0.98 |
| Monthly Sortino |
20.31 |
0.43 |
0.64 |
2.25 |
| Monthly Mean (ann.) |
4.14% |
5.29% |
6.53% |
12.94% |
| Monthly Vol (ann.) |
0.95% |
21.73% |
17.41% |
13.18% |
| Monthly Skew |
0.38 |
0.19 |
-0.20 |
1.29 |
| Monthly Kurt |
2.15 |
3.33 |
3.50 |
8.33 |
| Best Month |
1.48% |
25.68% |
15.60% |
18.74% |
| Worst Month |
-0.55% |
-24.04% |
-21.75% |
-15.84% |
| Yearly Sharpe |
2.01 |
0.29 |
0.36 |
0.75 |
| Yearly Sortino |
inf |
0.75 |
0.93 |
14.79 |
| Yearly Mean |
4.05% |
6.82% |
6.58% |
14.22% |
| Yearly Vol |
2.01% |
23.92% |
18.34% |
18.87% |
| Yearly Skew |
0.03 |
0.41 |
0.08 |
1.24 |
| Yearly Kurt |
0.70 |
-0.76 |
-1.26 |
0.59 |
| Best Year |
7.99% |
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 |
6.44 |
160.81 |
82.27 |
44.85 |
| Avg. Up Month |
0.39% |
4.61% |
3.83% |
2.62% |
| Avg. Down Month |
-0.11% |
-4.15% |
-3.18% |
-1.68% |
| Win Year % |
100.00% |
50.00% |
58.33% |
75.00% |
| Win 12m % |
99.26% |
54.07% |
62.22% |
87.41% |
仓位
多空信号 - 沪深300