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[2022-12-17 14:42:57.261261] INFO: moduleinvoker: test_stategy_asset_allocation.v17 运行完成[0.543268s].
再平衡日期和各策略对应权重:
2021-01-04 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-02-03 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-03-05 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-04-04 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-05-04 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-06-03 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-07-03 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-08-02 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-09-01 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-10-01 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-10-31 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-11-30 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
2021-12-30 {'stockrank': 0.33, '多条件选股': 0.33, '多头排列回踩': 0.33}
策略名称 |
收益率 |
年化收益率 |
夏普比率 |
年化波动率 |
最大回撤 |
收益回撤比 |
stockrank |
67.67% |
70.91% |
1.97 |
27.29% |
-15.12% |
4.69 |
多条件选股 |
37.14% |
38.75% |
1.27 |
25.56% |
-15.43% |
2.51 |
多头排列回踩 |
35.57% |
37.11% |
1.10 |
29.59% |
-22.19% |
1.67 |
组合收益 |
48.57% |
50.76% |
1.87 |
21.34% |
-12.19% |
4.16 |