目 錄1、宏觀流動(dòng)性：策略年化收益率11.4% 52、信貸預(yù)期：策略年化收益率8.4% 53、跨境資金流：中美匯率與中美利差刻畫跨境資金流向 6、中美匯率：策略年化收益率11.23% 6、中美利差：策略年化收益率10.45% 74、衍生品預(yù)期：期貨基差與期權(quán)PCR刻畫投資者情緒 8、期貨基差：策略年化收益率9.09% 8、期權(quán)PCR：策略年化收益率9.86% 85、市場資金流：融資融券與大小單資金刻畫A股資金流向 9、融資融券：策略年化收益率7.66% 9、大小單資金：策略年化收益率6.17% 106、技術(shù)指標(biāo)：籌碼結(jié)構(gòu)與長短動(dòng)量作為微觀補(bǔ)充指標(biāo) 、籌碼結(jié)構(gòu)：策略年化收益率7.54% 、長端動(dòng)量：策略年化收益率8.72% 7、合成策略：動(dòng)態(tài)賦權(quán)模型有效捕捉歷次大行情 12、等權(quán)合成模型：年化收益率16.79% 13、動(dòng)態(tài)賦權(quán)模型：年化收益率22% 148、擇時(shí)模型泛化能力討論 17、擇時(shí)模型頻率討論：多頻率調(diào)倉均有穩(wěn)健表現(xiàn) 17、主流寬基指數(shù)擇時(shí)測試：高彈性指數(shù)收益更高 189、應(yīng)用：股債輪動(dòng)模型及ETF組合 19、股債輪動(dòng)模型 19、ETF組合：股債輪動(dòng)ETF組合（寬基版） 21、ETF組合：股債輪動(dòng)ETF組合（行業(yè)版） 2110、風(fēng)險(xiǎn)提示 22圖表目錄圖1：開源金工A股權(quán)益擇時(shí)框架 4圖2：最新?lián)駮r(shí)模型信號(hào)（20251128） 4圖3：宏觀流動(dòng)性信號(hào)擇時(shí)效果：年化收益率11.4% 5圖4：信貸預(yù)期信號(hào)擇時(shí)效果：年化收益率8.4% 6圖5：中美匯率信號(hào)擇時(shí)效果：年化收益率11.23% 7圖6：中美利差信號(hào)擇時(shí)效果：年化收益率10.45% 7圖7：期貨基差信號(hào)擇時(shí)效果：年化收益率9.09% 8圖8：期權(quán)PCR信號(hào)擇時(shí)效果：年化收益率9.86% 9圖9：融資融券信號(hào)擇時(shí)效果：年化收益率7.66% 10圖10：大小單資金信號(hào)擇時(shí)效果：年化收益率6.17% 10圖籌碼結(jié)構(gòu)信號(hào)擇時(shí)效果：年化收益率7.54% 圖12：長端動(dòng)量信號(hào)擇時(shí)效果：年化收益率8.72% 12圖13：綜合信號(hào)（等權(quán)）擇時(shí)效果：年化收益率16.79% 13圖14：動(dòng)態(tài)賦權(quán)模型10個(gè)子策略的權(quán)重變化 15圖15：綜合信號(hào)擇時(shí)效果：年化收益率22.15% 15圖16：歷次做多信號(hào)基準(zhǔn)收益 16圖17：歷次空倉信號(hào)基準(zhǔn)收益 16圖18：貢獻(xiàn)主要收益的做多（8次）和空倉（7次）窗口 17圖19：近8周賦權(quán)信號(hào) 17圖20：不同調(diào)倉頻率策略對(duì)比 18圖21：擇時(shí)模型在各主流指數(shù)的擇時(shí)表現(xiàn) 19圖22：股債輪動(dòng)策略年化收益率8.34%，年化IR2.8 20圖23：股債輪動(dòng)ETF組合（寬基版）表現(xiàn) 21圖24：股債輪動(dòng)ETF組合（行業(yè)版）表現(xiàn) 22表1：宏觀流動(dòng)性信號(hào)擇時(shí)績效 5表2：信貸預(yù)期信號(hào)擇時(shí)績效 6表3：中美匯率信號(hào)擇時(shí)績效 7表4：中美利差信號(hào)擇時(shí)績效 8表5：期貨基差信號(hào)擇時(shí)績效 8表6：期權(quán)PCR信號(hào)擇時(shí)績效 9表7：融資融券信號(hào)擇時(shí)績效 10表8：大小單資金信號(hào)擇時(shí)績效 表9：籌碼結(jié)構(gòu)信號(hào)擇時(shí)績效 表10：長端動(dòng)量信號(hào)擇時(shí)績效 12表子策略績效匯總 12表12：子策略相關(guān)性 13表13：綜合信號(hào)（等權(quán)）擇時(shí)績效 14表14：綜合信號(hào)（等權(quán)）分年度年化收益表現(xiàn) 14表15：綜合信號(hào)擇時(shí)績效 15表16：綜合信號(hào)分年度年化收益表現(xiàn) 16表17：不同調(diào)倉頻率下策略績效對(duì)比 18表18：各主流指數(shù)的擇時(shí)績效對(duì)比 19表19：股債輪動(dòng)策略分年度表現(xiàn) 20表20：股債輪動(dòng)ETF組合（寬基版）績效 21表21：股債輪動(dòng)ETF組合（行業(yè)版）績效 22Abeta一方面，市場往往并非由單一因素驅(qū)動(dòng)，另一方面，不同歷史階段，市場驅(qū)動(dòng)因素也會(huì)發(fā)生變化。本篇報(bào)告，我們通過宏觀流動(dòng)性、信貸預(yù)期、跨境資金流、衍生品預(yù)期、市場資金流、技術(shù)分析6個(gè)維度，構(gòu)建開源金工A股權(quán)益市場擇時(shí)框架。SLF、MLF、PSLPCR來反映。A圖1：開源金工A股權(quán)益擇時(shí)框架研究所202528110.760.12-0.95、-0.67、-0.59。圖2：最新?lián)駮r(shí)模型信號(hào)（20251128）本篇報(bào)告中，我們的擇時(shí)策略設(shè)置如下：時(shí)間區(qū)間：20150105-20251128；80050.91%；調(diào)倉頻率：倉位設(shè)置：>0<=01、宏觀流動(dòng)性：策略年化收益率11.4%S我們將凈投放指標(biāo)平滑后做Zscore處理，從而衡量央行的流動(dòng)性供給強(qiáng)度。p1；-p-1；1.421.3766.7，2.422158天。圖3：宏觀流動(dòng)性信號(hào)擇時(shí)效果：年化收益率11.4%策略超額做多窗口策略超額做多窗口中證800策略凈值3.53.02.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤 Calmar比率 周勝率周賠率 信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)11.40% 15.60% 0.73 21.37% 0.53 59.85% 1.06 66.67% 2.42 58 212、信貸預(yù)期：策略年化收益率8.4%我們通過金融機(jī)構(gòu)中長期貸款余額刻畫信用擴(kuò)張動(dòng)能，衡量企業(yè)未來投資需求。通過中長期貸款余額同比剔除季節(jié)效應(yīng)，并通過長短均線差刻畫信用擴(kuò)張方向。1；-1。信貸預(yù)期信號(hào)擇時(shí)策略年化收益率8.4%，最大回撤16.42%，次勝率83.33%，次賠率1.85，全區(qū)間內(nèi)信號(hào)觸發(fā)12次，次均持倉87天。圖4：信貸預(yù)期信號(hào)擇時(shí)效果：年化收益率8.4%策略超額做多窗口策略超額做多窗口中證800策略凈值2.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率周勝率周賠率信號(hào)次勝率信號(hào)次賠率 次均天數(shù) 信號(hào)次數(shù)8.40% 11.91% 0.70 16.42% 0.51 56.11% 1.25 83.33% 1.85 87 123、跨境資金流：中美匯率與中美利差刻畫跨境資金流向A、中美匯率：策略年化收益率我們通過美元兌離岸人民幣匯率的長短均線差刻畫匯率變動(dòng)方向。1；-1。73.08%，1.522554天。圖5：中美匯率信號(hào)擇時(shí)效果：年化收益率11.23%策略超額做多窗口策略超額做多窗口中證800策略凈值3.53.02.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)11.23% 14.13% 0.79 34.44% 0.33 55.24% 1.27 73.08% 1.52 54 25、中美利差：策略年化收益率10.45%我們通過中美10年期國債利差的長短均線差刻畫中美利差變動(dòng)方向。1；-1。3.131476天。圖6：中美利差信號(hào)擇時(shí)效果：年化收益率10.45%策略超額做多窗口策略超額做多窗口中證800策略凈值3.02.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)10.45% 12.02% 0.87 14.96% 0.70 56.89% 1.30 80.00% 3.13 76 144、衍生品預(yù)期：期貨基差與期權(quán)PCR刻畫投資者情緒、期貨基差：策略年化收益率9.09%ICIC當(dāng)基差向上偏離超過閾值p1；-1；9.09%25.99%70%1.443930天。圖7：期貨基差信號(hào)擇時(shí)效果：年化收益率9.09%策略超額做多窗口策略超額做多窗口中證800策略凈值2.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)9.09% 12.69% 0.72 25.99% 0.35 59.84% 1.04 70.00% 1.44 30 39、期權(quán)PCR：策略年化收益率9.86%我們以上證50ETF期權(quán)認(rèn)沽/認(rèn)購持倉量（PCR）衡量期權(quán)市場的投資者預(yù)期，PCR下行代表市場的樂觀情緒與未來的上漲預(yù)期，PCR上行代表市場的悲觀情緒與未來的下跌預(yù)期。我們以期權(quán)PCR長短均線差作為期權(quán)市場投資者情緒指標(biāo)。當(dāng)PCR1；當(dāng)PCR-1。期權(quán)PCR74.58%，1.055823天。圖8：期權(quán)PCR信號(hào)擇時(shí)效果：年化收益率9.86%策略超額做多窗口策略超額做多窗口中證800策略凈值2.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化IR年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)9.86% 14.67% 0.67 22.11% 0.45 58.10% 1.09 74.58% 1.05 23 585、市場資金流：融資融券與大小單資金刻畫A股資金流向、融資融券：策略年化收益率7.66%/1；-1。7.66%22.83%54.29%，2.013433天。圖9：融資融券信號(hào)擇時(shí)效果：年化收益率7.66%策略超額做多窗口策略超額做多窗口中證800策略凈值2.11.91.71.51.31.10.90.72015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)7.66% 13.00% 0.59 22.83% 0.34 55.65% 1.15 54.29% 2.01 33 34、大小單資金：策略年化收益率6.17%ETF（/）1；-1。49.09%，1.775427天。圖10：大小單資金信號(hào)擇時(shí)效果：年化收益率6.17%策略超額做多窗口策略超額做多窗口中證800策略凈值1.91.70.72015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)6.17% 16.20% 0.38 31.50% 0.20 53.75% 1.09 49.09% 1.77 27 546、技術(shù)指標(biāo)：籌碼結(jié)構(gòu)與長短動(dòng)量作為微觀補(bǔ)充指標(biāo)、籌碼結(jié)構(gòu)：策略年化收益率7.54%ETF作為阻力籌碼，將持倉成本低于現(xiàn)價(jià)的籌碼與成交額比值作為支撐籌碼，并通過Zscore市場盈利狀態(tài)下，支撐籌碼強(qiáng)度高于閾值p1；p-1；7.54%18.47%56.52%，24525天。圖11：籌碼結(jié)構(gòu)信號(hào)擇時(shí)效果：年化收益率7.54%策略超額做多窗口策略超額做多窗口中證800策略凈值2.32.11.91.71.51.31.10.90.72015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)7.54% 11.75% 0.64 18.47% 0.41 55.93% 1.16 56.52% 2.00 25 45、長端動(dòng)量：策略年化收益率8.72%指標(biāo)。1；-1。8.72%18.6%68.18%，2.162260天。圖12：長端動(dòng)量信號(hào)擇時(shí)效果：年化收益率8.72%策略超額做多窗口策略超額做多窗口中證800策略凈值2.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)8.72% 14.12% 0.62 18.60% 0.47 56.94% 1.08 68.18% 2.16 60 227、合成策略：動(dòng)態(tài)賦權(quán)模型有效捕捉歷次大行情610（.414.93.183.3PR（58次。中證800宏觀流動(dòng)性信貸預(yù)期中證800宏觀流動(dòng)性信貸預(yù)期中美匯率中美利差期貨基差期權(quán)PCR融資融券大小單資金籌碼結(jié)構(gòu)長端動(dòng)量年化收益率2.17%11.40%8.40%11.23%10.45%9.09%9.86%7.66%6.17%7.54%8.72%年化波動(dòng)率22.10%15.60%11.91%14.13%12.02%12.69%14.67%13.00%16.20%11.75%14.12%年化IR0.100.730.700.790.870.720.670.590.380.640.62中證800宏觀流動(dòng)性信貸預(yù)期中美匯率中美利差期貨基差期權(quán)PCR融資融券大小單資金籌碼結(jié)構(gòu)長端動(dòng)量最大回撤50.91%21.37%16.42%34.44%14.96%25.99%22.11%22.83%31.50%18.47%18.60%Calmar比率0.040.530.510.330.700.350.450.340.200.410.47信號(hào)次勝率-66.67%83.33%73.08%80.00%70.00%74.58%54.29%49.09%56.52%68.18%信號(hào)次賠率-2.421.851.523.131.441.052.011.772.002.16次均天數(shù)-58875476302333272560信號(hào)次數(shù)-21122514395834544522PCR30%信貸預(yù)期中美匯率中美利差期貨基差信貸預(yù)期中美匯率中美利差期貨基差期權(quán)PCR融資融券大小單資金籌碼結(jié)構(gòu)長端動(dòng)量宏觀流動(dòng)性26%5%2%6%-8%21%-2%15%12%信貸預(yù)期9%27%3%0%14%-7%13%7%中美匯率5%15%-6%14%8%23%5%中美利差2%-1%10%-5%7%27%期貨基差-8%9%18%20%2%期權(quán)PCR-19%-30%-29%-6%融資融券3%35%11%大小單資金20%-5%籌碼結(jié)構(gòu)20%、等權(quán)合成模型：年化收益率16.79%10（（67.5%3936天。圖13：綜合信號(hào)（等權(quán)）擇時(shí)效果：年化收益率16.79%策略超額做多窗口策略超額做多窗口中證800策略凈值5.04.54.03.53.02.52.01.51.02015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)16.79% 13.50% 1.24 23.72% 0.71 59.80% 1.27 67.50% 2.65 36 39（20222023802070.66擇時(shí)策略中證800策略超額擇時(shí)策略中證800策略超額201557.74%12.27%40.50%201612.37%-6.52%20.21%201713.81%14.57%-0.66%20181.42%-29.25%43.35%201937.21%36.74%0.34%202029.16%24.94%3.38%20219.56%-3.74%13.82%2022-0.68%-21.80%27.00%2023-10.43%-11.43%1.13%202415.21%13.99%1.07%202529.34%23.93%4.37%2015-202516.79%2.17%14.31%、動(dòng)態(tài)賦權(quán)模型：年化收益率22%考慮到不同階段，市場的驅(qū)動(dòng)主導(dǎo)因素不同。為了使權(quán)益擇時(shí)模型更靈活適應(yīng)市場環(huán)境變動(dòng)，我們采用約束優(yōu)化動(dòng)態(tài)調(diào)整各子策略權(quán)重。我們將基準(zhǔn)指數(shù)日收益絕對(duì)值作為擇時(shí)策略最優(yōu)解，即后驗(yàn)視角下可獲取的最大擇時(shí)收益。通過最小化過去120日組合信號(hào)收益與最優(yōu)解收益間的歐氏距離，動(dòng)態(tài)調(diào)整子策略權(quán)重。??min‖|????|?∑????????????‖??

??.??.?? 25%≤????≤15%1????=1??其中，????為基準(zhǔn)指數(shù)日收益，????為子策略權(quán)重，????為子策略打分。??圖14：動(dòng)態(tài)賦權(quán)模型10個(gè)子策略的權(quán)重變化宏觀流動(dòng)性 信貸預(yù)期 中美匯率 中美利差 期貨期現(xiàn)差 期權(quán)PCR 融資融券 大小單資金 籌碼結(jié)構(gòu) 長端動(dòng)量100%90%80%70%60%50%40%30%20%10%20141231201503272014123120150327201506192015091120151204201603042016052720160819201611182017021020170505201707282017102720180119201804132018070620180928201812282019032920190621201909122019120620200306202005292020082120201113202102052021043020210723202110152022010720220408202207012022092320221223202303242023061620230908202312082024030820240531202408232024111520250207202504302025072520251017我們采用動(dòng)態(tài)賦權(quán)模型作為綜合信號(hào)的最終方案22.15%14.22%70.83%3.1447次，次均持倉26天。圖15：綜合信號(hào)擇時(shí)效果：年化收益率22.15%策略超額做多窗口策略超額做多窗口中證800策略凈值8.57.56.55.54.53.52.51.52015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收益率 年化波動(dòng)率年化年化收益率 年化波動(dòng)率年化IR最大回撤Calmar比率 周勝率 周賠率信號(hào)次勝率 信號(hào)次賠率次均天數(shù)信號(hào)次數(shù)22.15% 12.83% 1.73 14.22% 1.56 65.76% 1.35 70.83% 3.14 26 472023800，20174.85%2025時(shí)策略錄得年化收益率29.6%。擇時(shí)策略中證800策略超額擇時(shí)策略中證800策略超額201566.45%12.27%48.26%201617.89%-6.52%26.12%20179.01%14.57%-4.85%20188.73%-29.25%53.68%201950.55%36.74%10.10%202034.65%24.94%7.77%20219.49%-3.74%13.74%20227.18%-21.80%37.05%2023-7.00%-11.43%5.00%202428.90%13.99%13.08%202529.60%23.93%4.58%2015-202522.15%2.17%19.55%47次勝率7.3410共8224.8122024.1.25成功捕捉9244834次勝率70.3，10%7次。圖16：歷次做多信號(hào)基準(zhǔn)益 圖17：歷次空倉信號(hào)基準(zhǔn)益圖18：貢獻(xiàn)主要收益的做多（8次）和空倉（7次）窗口做多空倉做多空倉中證8006,5006,0005,5005,0004,5004,0003,5003,000我們根據(jù)各子策略權(quán)重，統(tǒng)計(jì)各子策略賦權(quán)信號(hào)并做歸一化處理，聚合子策略賦權(quán)信號(hào)得到六維度賦權(quán)打分。從近8周賦權(quán)信號(hào)變動(dòng)來看，宏觀流動(dòng)性維度維持較高正信號(hào)；信貸預(yù)期維度維持較高負(fù)信號(hào)；跨境資金流維度維持正信號(hào)，但信號(hào)強(qiáng)度降低；市場資金流維度近6周轉(zhuǎn)負(fù)，維持較高負(fù)信號(hào)；衍生品預(yù)期、技術(shù)分析維度波動(dòng)較大，衍生品預(yù)期維度近2周轉(zhuǎn)正，技術(shù)分析維度近2周轉(zhuǎn)負(fù)。圖19：近8周賦權(quán)信號(hào)信貸信貸技術(shù)衍生0.80.60.40.20.0-0.2-0.4-0.6-0.8-1.02025101020251017202510242025103120251107202511142025112120251128

信號(hào)分析資金流預(yù)期8、擇時(shí)模型泛化能力討論、擇時(shí)模型頻率討論：多頻率調(diào)倉均有穩(wěn)健表現(xiàn)2.23R1.1597次1216.53%IR1.2519.22%，2453天。圖20：不同調(diào)倉頻率策略對(duì)比做多窗口（月頻策略）做多窗口（日頻策略） 做多窗口（月頻策略）做多窗口（日頻策略） 日頻策略做多窗口（周頻策略）中證800周頻策略月頻策略8.56.54.52.52015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918中證800日頻策略周頻策略中證800日頻策略周頻策略月頻策略年化收益率2.17%22.23%22.15%16.53%年化波動(dòng)率22.10%12.99%12.83%13.19%年化IR0.101.711.731.25最大回撤50.91%15.00%14.22%19.22%Calmar比率0.041.481.560.86信號(hào)次勝率-64.29%70.83%80.00%信號(hào)次賠率-2.633.141.99平均持倉天數(shù)-122653信號(hào)次數(shù)-974724、主流寬基指數(shù)擇時(shí)測試：高彈性指數(shù)收益更高擇時(shí)模型在各主流寬基指數(shù)上均有較佳表現(xiàn)。上證綜指上超額年化收益率5030013.94%50014.82%100015.44%21.14%。圖21：擇時(shí)模型在各主流指數(shù)的擇時(shí)表現(xiàn) 上證綜指 上證綜指 中證500深證成指中證800上證50中證1000滬深300創(chuàng)業(yè)板指16.514.512.510.58.56.54.52.52015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918年化收率 年化波年化收率 年化波率 年化最大回撤 Calmar比率 信號(hào)次率 信號(hào)次率 次均天數(shù) 信號(hào)次數(shù)上證綜指深證成指上證50300500800創(chuàng)業(yè)板指

擇時(shí)策略 16.05% 11.98% 1.34 12.90% 1.24 66.67% 2.76 26 50策略超額 14.42% 16.70% 0.86 14.95% 0.96 - - - -擇時(shí)策略 21.39% 14.80% 1.44 15.90% 1.35 67.31% 2.64 21 52策略超額 20.02% 21.06% 0.95 22.59% 0.89 - - - -擇時(shí)策略 9.34% 13.52% 0.69 22.81% 0.41 52.00% 2.20 26 49策略超額 8.16% 16.92% 0.48 25.32% 0.32 - - - -擇時(shí)策略 16.32% 12.66% 1.29 19.79% 0.82 62.07% 2.42 20 57策略超額 13.94% 18.00% 0.77 23.43% 0.59 - - - -擇時(shí)策略 17.70% 14.37% 1.23 24.39% 0.73 65.00% 2.41 20 59策略超額 14.82% 21.45% 0.69 31.85% 0.47 - - - -擇時(shí)策略 22.15% 12.83% 1.73 14.22% 1.56 70.83% 3.14 26 47策略超額 19.55% 18.29% 1.07 16.49% 1.19 - - - -擇時(shí)策略 17.57% 14.76% 1.19 19.09% 0.92 65.52% 1.95 17 57策略超額 15.44% 24.00% 0.64 29.81% 0.52 - - - -擇時(shí)策略 29.90% 20.09% 1.49 26.06% 1.15 60.34% 3.41 21 57策略超額 21.14% 24.53% 0.86 23.93% 0.88 - - - -9、應(yīng)用：股債輪動(dòng)模型及ETF組合、股債輪動(dòng)模型我們以中證800指數(shù)與中債-國債總財(cái)富（總值）指數(shù)為標(biāo)的，構(gòu)建股債輪動(dòng)策略。標(biāo)的指數(shù)：800vs中債）基準(zhǔn)策略：調(diào)倉頻率：softmax8.34%IR2.83.74%4.66%IR1.985.09%。截至2025285.06%。圖22：股債輪動(dòng)策略年化收益率8.34%，年化IR2.8基準(zhǔn)策略債券倉位（右軸）基準(zhǔn)策略債券倉位（右軸）策略超額權(quán)益?zhèn)}位（右軸）策略凈值

100%

20%2015010520150506201501052015050620150827201512282016042720160822201612212017042420170817201712142018041720180810201812102019041120190807201912052020040720200804202012032021050720210928202202082022060820220929202302032023060120230925202401242024053020240924202501222025052820250918從分年度表現(xiàn)來看，股債輪動(dòng)策略所有年份均錄得正收益，除2016年、20173.74%、3.39%2%年份股債輪動(dòng)策略年化收益率 年化年份股債輪動(dòng)策略年化收益率 年化IR最大回撤年化收益率基準(zhǔn)策略年化IR最大回撤年化收益率策略超額年化IR最大回撤201525.90%5.341.78%10.77%3.022.32%13.65%3.980.85%20162.75%1.063.74%1.27%0.524.40%1.46%1.260.56%20174.29%1.223.39%0.90%0.393.