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[2021-10-31 11:15:00.080371] INFO: moduleinvoker: instruments.v2 开始运行..
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[2021-10-31 11:15:00.101211] INFO: moduleinvoker: advanced_auto_labeler.v2 开始运行..
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[2021-10-31 11:15:00.113668] INFO: moduleinvoker: input_features.v1 开始运行..
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[2021-10-31 11:15:00.132281] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
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[2021-10-31 11:15:00.162419] INFO: moduleinvoker: join.v3 开始运行..
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[2021-10-31 11:15:00.177554] INFO: moduleinvoker: dropnan.v1 开始运行..
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[2021-10-31 11:15:00.193696] INFO: moduleinvoker: stock_ranker_train.v5 开始运行..
[2021-10-31 11:15:00.202589] INFO: moduleinvoker: 命中缓存
[2021-10-31 11:15:00.281224] INFO: moduleinvoker: stock_ranker_train.v5 运行完成[0.087511s].
[2021-10-31 11:15:00.287836] INFO: moduleinvoker: instruments.v2 开始运行..
[2021-10-31 11:15:00.295903] INFO: moduleinvoker: 命中缓存
[2021-10-31 11:15:00.297698] INFO: moduleinvoker: instruments.v2 运行完成[0.009872s].
[2021-10-31 11:15:00.309227] INFO: moduleinvoker: general_feature_extractor.v7 开始运行..
[2021-10-31 11:15:00.315392] INFO: moduleinvoker: 命中缓存
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[2021-10-31 11:15:00.322772] INFO: moduleinvoker: derived_feature_extractor.v3 开始运行..
[2021-10-31 11:15:00.327208] INFO: moduleinvoker: 命中缓存
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[2021-10-31 11:15:00.336578] INFO: moduleinvoker: dropnan.v1 开始运行..
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[2021-10-31 11:15:00.347249] INFO: moduleinvoker: dropnan.v1 运行完成[0.010668s].
[2021-10-31 11:15:00.354223] INFO: moduleinvoker: stock_ranker_predict.v5 开始运行..
[2021-10-31 11:15:00.360933] INFO: moduleinvoker: 命中缓存
[2021-10-31 11:15:00.362785] INFO: moduleinvoker: stock_ranker_predict.v5 运行完成[0.008557s].
[2021-10-31 11:15:00.430405] INFO: moduleinvoker: backtest.v8 开始运行..
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[2021-10-31 11:15:02.028381] INFO: moduleinvoker: backtest.v8 运行完成[1.597971s].
[2021-10-31 11:15:02.030116] INFO: moduleinvoker: trade.v4 运行完成[1.662173s].
[2021-10-31 11:15:02.037472] INFO: moduleinvoker: strategy_interval_return.v1 开始运行..
[2021-10-31 11:15:02.047769] INFO: moduleinvoker: 命中缓存
[2021-10-31 11:15:02.098172] INFO: moduleinvoker: strategy_interval_return.v1 运行完成[0.060685s].
[2021-10-31 11:15:02.107647] INFO: moduleinvoker: strategy_top10_position_analysis.v1 开始运行..
[2021-10-31 11:16:40.684646] INFO: moduleinvoker: strategy_top10_position_analysis.v1 运行完成[98.576979s].
[2021-10-31 11:16:40.700775] INFO: moduleinvoker: strategy_average_position_analysis.v1 开始运行..
[2021-10-31 11:16:47.764080] INFO: moduleinvoker: strategy_average_position_analysis.v1 运行完成[7.063304s].
[2021-10-31 11:16:47.785573] INFO: moduleinvoker: strategy_evaluate_risk_overview.v1 开始运行..
[2021-10-31 11:16:48.038552] INFO: moduleinvoker: strategy_evaluate_risk_overview.v1 运行完成[0.252976s].
[2021-10-31 11:16:48.055028] INFO: moduleinvoker: strategy_turn_analysis.v1 开始运行..
[2021-10-31 11:16:48.733176] INFO: moduleinvoker: strategy_turn_analysis.v1 运行完成[0.678144s].
[2021-10-31 11:16:48.758306] INFO: moduleinvoker: strategy_brinson_analysis.v1 开始运行..
[2021-10-31 11:17:01.793799] INFO: brinson归因分析: 数据准备完成...
[2021-10-31 11:17:16.594367] INFO: brinson归因分析: 单期brinson数据计算完成...
[2021-10-31 11:17:18.220011] INFO: brinson归因分析: 多期brinson数据计算完成...
[2021-10-31 11:17:18.474260] INFO: moduleinvoker: strategy_brinson_analysis.v1 运行完成[29.715953s].
[2021-10-31 11:17:18.488630] INFO: moduleinvoker: strategy_style_show.v1 开始运行..
[2021-10-31 11:17:18.904437] INFO: moduleinvoker: strategy_style_show.v1 运行完成[0.415829s].
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-5f379064cecf416fa425d55541bb411c"}/bigcharts-data-end
- 收益率308.49%
- 年化收益率106.83%
- 基准收益率-6.33%
- 阿尔法1.22
- 贝塔0.94
- 夏普比率1.88
- 胜率0.62
- 盈亏比0.74
- 收益波动率41.79%
- 信息比率0.17
- 最大回撤47.66%
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-b2badc02bef24b7f852ae03d5645c525"}/bigcharts-data-end
|
成立至今 |
年初至今 |
近一月 |
近三月 |
近半年 |
近一年 |
近两年 |
近三年 |
近五年 |
本策略 |
3.085 |
0.358 |
0.023 |
0.059 |
0.211 |
0.251 |
-- |
-- |
-- |
基准 |
-0.091 |
-0.046 |
-0.064 |
0.005 |
0.049 |
-0.113 |
-- |
-- |
-- |
|
2015 |
2016 |
基准 |
2.265 |
0.358 |
本策略 |
0.025 |
-0.046 |
|
2015年1季 |
2015年2季 |
2015年3季 |
2015年4季 |
2016年1季 |
2016年2季 |
2016年3季 |
2016年4季 |
基准 |
0.657 |
0.793 |
-0.236 |
0.445 |
0.048 |
0.092 |
0.114 |
0.059 |
本策略 |
0.112 |
0.085 |
-0.247 |
0.132 |
-0.072 |
-0.021 |
0.031 |
0.005 |
|
2016年2月 |
2016年3月 |
2016年4月 |
2016年5月 |
2016年6月 |
2016年7月 |
2016年8月 |
2016年9月 |
基准 |
0.066 |
0.138 |
0.038 |
-0.038 |
0.022 |
0.013 |
0.109 |
0.008 |
本策略 |
-0.008 |
0.098 |
-0.02 |
-0.014 |
-0.002 |
0.016 |
0.048 |
-0.015 |
bigcharts-data-start/{"__type":"tabs","__id":"bigchart-c553d96eb715428e91eb90ba5d3d05b7"}/bigcharts-data-end
策略风险概览
- 年化波动率41.79%
- 下行风险47.02%
- 最大回撤-47.66%
- 最大回撤修复期数250
- 最大单期跌幅-8.47%
- 最大连跌期数6
- 亏损期占比0.39
brinson归因分析
行业名称 |
风格类型 |
组合收益率 |
基准收益率 |
超额收益率 |
配置回报 |
选股回报 |
交叉回报 |
nan |
0 |
0.031005 |
0.011867 |
0.019137 |
0.220575 |
-0.009587 |
-0.150648 |
农林牧渔 |
110000 |
0.055503 |
-0.000343 |
0.055846 |
0.107132 |
0.009744 |
0.154836 |
采掘 |
210000 |
0.027329 |
-0.012763 |
0.040091 |
0.088471 |
0.025363 |
0.332442 |
化工 |
220000 |
0.322513 |
-0.001108 |
0.323621 |
0.376999 |
0.134351 |
2.893165 |
钢铁 |
230000 |
-0.010901 |
-0.007891 |
-0.00301 |
0.105383 |
0.010958 |
-0.20537 |
有色金属 |
240000 |
0.085724 |
-0.008017 |
0.093741 |
0.453917 |
0.051811 |
0.937743 |
电子 |
270000 |
0.079093 |
0.001076 |
0.078017 |
0.414532 |
0.010997 |
0.338118 |
汽车/交运设备 |
280000 |
0.124072 |
0.001142 |
0.122929 |
0.17789 |
0.069529 |
1.367833 |
家用电器 |
330000 |
0.045379 |
0.009025 |
0.036354 |
0.074802 |
-0.004566 |
0.249665 |
食品饮料 |
340000 |
-0.08327 |
0.022037 |
-0.105307 |
-0.26242 |
-0.033461 |
-0.681651 |
纺织服装 |
350000 |
0.088923 |
-0.000851 |
0.089774 |
-0.01977 |
0.008832 |
0.209497 |
医药生物 |
370000 |
0.113227 |
0.020689 |
0.092538 |
-0.98133 |
0.123549 |
4.028588 |
公用事业 |
410000 |
0.037931 |
-0.021406 |
0.059337 |
0.055007 |
0.04458 |
0.698335 |
交通运输 |
420000 |
0.043708 |
-0.018091 |
0.061799 |
-0.081564 |
0.015945 |
0.837989 |
房地产 |
430000 |
0.128104 |
-0.001182 |
0.129286 |
0.188364 |
0.072921 |
1.411774 |
商业贸易 |
450000 |
0.025827 |
0.001437 |
0.02439 |
0.252228 |
0.003496 |
0.112889 |
休闲服务 |
460000 |
0.042318 |
-0.001243 |
0.043561 |
-0.011924 |
0.00101 |
0.084255 |
银行 |
480000 |
0.0 |
0.003003 |
-0.003003 |
-0.003003 |
-0.003003 |
0.003003 |
非银金融 |
490000 |
-0.051035 |
-0.0957 |
0.044666 |
-1.262163 |
0.101616 |
-0.611108 |
综合 |
510000 |
0.116234 |
0.002071 |
0.114162 |
0.098028 |
0.001231 |
0.136076 |
建筑材料/建筑建材 |
610000 |
0.092318 |
-0.001916 |
0.094233 |
-0.006989 |
0.009869 |
0.234497 |
建筑装饰 |
620000 |
0.020636 |
-0.004619 |
0.025255 |
0.3904 |
0.010292 |
-0.107114 |
电气设备 |
630000 |
0.039374 |
-0.005234 |
0.044608 |
0.457435 |
0.005983 |
-0.175005 |
机械设备 |
640000 |
0.149277 |
-0.029239 |
0.178517 |
0.143568 |
0.112466 |
0.957555 |
国防军工 |
650000 |
-0.044624 |
-0.011698 |
-0.032927 |
-0.2545 |
-0.004849 |
-0.133533 |
计算机 |
710000 |
-0.049589 |
-0.002721 |
-0.046868 |
-2.000065 |
0.058938 |
1.626996 |
传媒/信息服务 |
720000 |
-0.063417 |
-0.026201 |
-0.037216 |
-2.667842 |
-0.014691 |
1.611067 |
通信 |
730000 |
-0.175596 |
0.001044 |
-0.176639 |
-0.595793 |
-0.019645 |
-0.251391 |
轻工制造 |
nan |
nan |
nan |
nan |
nan |
nan |
nan |
合计 |
—— |
11.87398 |
-0.315698 |
12.189678 |
-4.542633 |
0.79368 |
15.93863 |