erp_rotation 收益增强版(傻瓜C) · X=[-1,0,1,2] / Y=0-25-50-80 / 每季检查

生成时间: 2026-08-24 16:44:08

概览

153.5%
总收益
7.2%
年化
0.87
夏普
-10.2%
最大回撤

策略参数

参数
signal_modeabs
pct_window3
n_levels4
X1-1.0
dX21.0
dX31.0
dX41.0
dX51.0
Y10.0
dY20.25
dY30.25
dY40.3
dY50.25
check_intervalquarterly
max_stock_weight0.8

核心指标

指标策略基准
总收益率153.5%102.3%
年化收益 (CAGR)7.2%5.4%
年化波动率8.2%10.7%
夏普比率0.870.50
最大回撤-10.2%-23.9%
最长回撤持续(交易日)555
水下时间占比90.6%
Sortino1.12
Calmar0.70
年换手率57.4%
交易次数50
月度胜率65.8%
盈亏比1.00
持有1年盈利概率85.5%
持有3年盈利概率96.8%
持有5年盈利概率100.0%

策略事件 (31)

日期事件
2013-03-25erp_rotation start: level=2/4 stock=25% bond=75%
2013-07-01erp_rotation rebalance: level 1 -> 3
2013-10-08erp_rotation rebalance: level 2 -> 2
2014-01-02erp_rotation rebalance: level 1 -> 1
2014-04-01erp_rotation rebalance: level 0 -> 2
2014-10-08erp_rotation rebalance: level 1 -> 1
2015-10-08erp_rotation rebalance: level 0 -> 2
2018-01-02erp_rotation rebalance: level 1 -> 1
2018-04-02erp_rotation rebalance: level 0 -> 2
2018-07-02erp_rotation rebalance: level 1 -> 3
2019-01-02erp_rotation rebalance: level 2 -> 4
2019-04-01erp_rotation rebalance: level 3 -> 2
2019-07-01erp_rotation rebalance: level 1 -> 3
2020-01-02erp_rotation rebalance: level 2 -> 2
2020-04-01erp_rotation rebalance: level 1 -> 3
2020-07-01erp_rotation rebalance: level 2 -> 2
2021-01-04erp_rotation rebalance: level 1 -> 1
2021-04-01erp_rotation rebalance: level 0 -> 2
2022-04-01erp_rotation rebalance: level 1 -> 3
2022-04-02skip order 511010: no data on this day
2022-04-02skip order H00300: no data on this day
2022-07-01erp_rotation rebalance: level 2 -> 2
2022-10-08erp_rotation rebalance: level 1 -> 3
2022-10-09skip order 511010: no data on this day
2022-10-09skip order H00300: no data on this day
2024-01-02erp_rotation rebalance: level 2 -> 4
2024-10-08erp_rotation rebalance: level 3 -> 3
2025-01-02erp_rotation rebalance: level 2 -> 4
2025-10-09erp_rotation rebalance: level 3 -> 3
2026-01-04erp_rotation rebalance: level 2 -> 4
2026-07-01erp_rotation rebalance: level 3 -> 3

净值对比

回撤

X 比值与买卖点