基于国证1000成长/价值比值布林带突破，动态切换风格配置 | 2011.06-至今
| 标的 | 年化收益 | 年化波动 | 夏普比率 | 最大回撤 | Calmar |
|---|---|---|---|---|---|
| 轮动策略 | 5.68% | 22.26% | 0.14 | -48.07% | 0.12 |
| 国证成长 | 2.01% | 23.80% | -0.02 | -56.98% | 0.04 |
| 国证价值 | 3.01% | 20.38% | 0.02 | -43.87% | 0.07 |
| 中证800 | 2.04% | 21.83% | -0.02 | -50.91% | 0.04 |
布林带周期 × 标准差网格搜索。实盘采用行业通用参数 22日/2.0σ，非极值最优参数。
| 年份 | 轮动策略 | 国证成长 | 国证价值 | 中证800 |
|---|---|---|---|---|
| 2010 | -13.29% | -6.40% | -15.24% | -6.63% |
| 2011 | -18.91% | -28.37% | -18.13% | -27.38% |
| 2012 | 14.56% | 11.85% | 13.87% | 5.81% |
| 2013 | -1.19% | -1.02% | -3.00% | -2.14% |
| 2014 | 61.15% | 32.67% | 64.08% | 48.28% |
| 2015 | 7.18% | 26.86% | 8.42% | 14.91% |
| 2016 | -15.50% | -15.63% | -8.10% | -13.27% |
| 2017 | 19.42% | 6.84% | 20.62% | 15.16% |
| 2018 | -24.33% | -33.97% | -21.66% | -27.38% |
| 2019 | 35.65% | 45.35% | 23.69% | 33.71% |
| 2020 | 27.53% | 48.57% | 4.87% | 25.79% |
| 2021 | 8.33% | 5.43% | -1.39% | -0.76% |
| 2022 | -13.83% | -27.47% | -13.99% | -21.32% |
| 2023 | -8.63% | -18.95% | -2.50% | -10.37% |
| 2024 | 16.84% | 3.85% | 19.65% | 12.20% |
| 2025 | 32.05% | 30.04% | 10.47% | 20.89% |
| 2026 | 1.98% | 2.54% | -3.97% | -0.04% |
以国证1000成长 / 国证1000价值净值比值为核心，捕捉风格强弱切换。