入场：20日年化波动率 < 60日25%分位 且 收盘价 > MA20 |
离场：收盘价 < MA20 或 波动率 > 75%分位 |
空仓：资金按DR007(~2.55%年化)计息
策略总收益
400.57%
年化收益
8.48%
最大回撤
-18.44%
夏普比率
0.807
基准总收益
341.01%
基准回撤
-71.76%
胜率
64.2%
盈亏比
8.80
总交易
123
盈利
79
亏损
44
平均持仓
10天
平均收益
2.84%
最大盈利
40.94%
最大亏损
-2.66%
持仓MDD
-7.61%
| 年 | 中证800 | 策略(含DR007) | 超额 | 交易 | 胜率 | 最大盈利 | 最大亏损 |
|---|---|---|---|---|---|---|---|
| 2005 | -8.65 | +3.35 | +12.00 | 4 | 100% | +17.83 | +0.33 |
| 2006 | +116.84 | +25.58 | -91.26 | 3 | 100% | +12.24 | +0.04 |
| 2007 | +167.11 | +60.54 | -106.57 | 5 | 100% | +40.94 | +3.89 |
| 2008 | -64.95 | -8.52 | +56.43 | 2 | 50% | +1.75 | -1.73 |
| 2009 | +103.65 | +50.02 | -53.63 | 7 | 85.7% | +33.11 | 0.00 |
| 2010 | -7.32 | -1.85 | +5.47 | 10 | 70% | +7.26 | -1.01 |
| 2011 | -27.38 | -3.30 | +24.08 | 6 | 66.7% | +2.52 | -2.66 |
| 2012 | +5.81 | -2.13 | -7.94 | 4 | 50% | +5.47 | -1.33 |
| 2013 | -2.14 | -2.86 | -0.72 | 4 | 50% | +5.81 | -0.93 |
| 2014 | +48.28 | +3.99 | -44.29 | 8 | 62.5% | +8.35 | -2.12 |
| 2015 | +14.91 | +38.84 | +23.93 | 5 | 60% | +39.43 | -1.52 |
| 2016 | -13.27 | -4.91 | +8.36 | 8 | 62.5% | +4.57 | -0.61 |
| 2017 | +15.16 | +5.29 | -9.87 | 6 | 66.7% | +4.28 | -0.79 |
| 2018 | -27.38 | -6.47 | +20.91 | 5 | 20% | +1.37 | -1.37 |
| 2019 | +33.71 | +25.35 | -8.36 | 9 | 66.7% | +13.63 | -0.81 |
| 2020 | +25.79 | +19.54 | -6.25 | 6 | 100% | +7.05 | +0.61 |
| 2021 | -0.76 | +0.30 | +1.06 | 11 | 45.5% | +3.27 | -0.42 |
| 2022 | -21.32 | +3.52 | +24.84 | 4 | 25% | +9.40 | -1.32 |
| 2023 | -10.37 | +0.21 | +10.58 | 5 | 80% | +3.66 | -0.01 |
| 2024 | +12.20 | -5.49 | -17.69 | 5 | 40% | +0.30 | -0.70 |
| 2025 | +2.67 | -2.61 | -5.28 | 6 | 50% | +2.30 | -0.20 |
000906.SH | 波动率收缩+均线趋势确认 | 空仓DR007计息 | 2005-2025