ETF全池策略对比报告
生成 2026-08-28 14:03 · ETF标的55只(mootdx全周期qfq) · 引擎signal_grid_search(净值自洽校验) · 全周期回测(2020至今)
三策略同框: 新测=MX6&xih5买/zhong卖/止损10%(universality测试v2 ETF池Top1) | 乘势低吸=(B_c_std&xih5)|B_gs买/S_gs卖(生产ETF席现役) | 蓄力启航=xih5&CTA3_macd买/GS卖/止损5%(R5研究策略)。三者均跑同一批55只ETF全周期数据，口径完全一致。
1.968新测Calmar中位
0.403乘势低吸Calmar中位
0.427蓄力启航Calmar中位
37/55新测跑赢乘势低吸(按标的数)
一、三策略汇总对比(全55只ETF)
| 策略 | 覆盖标的 | Calmar中位 | Calmar去尾均值 | Calmar均值 | 收益中位 | 失效率(Calmar<1) |
|---|
| 新测(MX6&xih5|zhong@stop10) | 54/55(98.2%) | 1.968 | 2.126 | 2.75 | 25.77% | 31.5% |
| 乘势低吸(生产ETF席) | 55/55(100.0%) | 0.403 | 0.54 | 0.773 | 11.95% | 70.9% |
| 蓄力启航(R5研究策略) | 55/55(100.0%) | 0.427 | 0.91 | 1.279 | 7.72% | 65.5% |
失效率=Calmar<1.0的标的占比。新测策略失效率31.5%，明显低于乘势低吸70.9%和蓄力启航65.5%。
二、持仓中的2只ETF专项对比
| 标的 | 新测 Calmar(收益) | 乘势低吸 Calmar(收益) | 蓄力启航 Calmar(收益) |
|---|
| 159259 成长100ETF | 0.559 (7.87%) | 2.488 (35.78%) | 2.835 (22.69%) |
| 159558 半导体设备ETF | -0.456 (-17.12%) | -0.028 (-1.94%) | 4.417 (103.33%) |
持仓的成长100(159259)、半导体设备(159558)与全池中位数存在差异，具体表现见下方全量明细表。
三、全55只ETF明细(按新测Calmar降序)
| 标的 |
新测Calmar | 收益 | 回撤 | 轮次 | 胜率 | 盈亏比 |
乘势Calmar | 收益 | 回撤 | 轮次 | 胜率 | 盈亏比 |
蓄力Calmar | 收益 | 回撤 | 轮次 | 胜率 | 盈亏比 |
|---|
| 512720 | 23.184 | 155.48% | 6.71% | 15 | 80.0% | 3.28 | 0.584 | 25.86% | 44.31% | 65 | 32.3% | 2.9 | 0.431 | 20.05% | 46.58% | 43 | 39.5% | 2.03 |
| 516510 | 13.734 | 178.24% | 12.98% | 21 | 66.7% | 2.89 | 3.391 | 118.91% | 35.07% | 59 | 30.5% | 4.35 | 1.747 | 51.82% | 29.67% | 35 | 25.7% | 4.85 |
| 515980 | 8.89 | 155.91% | 17.54% | 15 | 66.7% | 3.89 | 0.347 | 18.9% | 54.52% | 64 | 35.9% | 2.28 | 1.891 | 60.19% | 31.82% | 36 | 41.7% | 2.32 |
| 510300 | 6.644 | 20.9% | 3.15% | 4 | 50.0% | 27.05 | -0.388 | -14.48% | 37.32% | 69 | 29.0% | 2.1 | 0.244 | 7.17% | 29.32% | 39 | 28.2% | 3.09 |
| 159732 | 6.59 | 87.15% | 13.22% | 14 | 78.6% | 1.2 | 6.614 | 135.56% | 20.5% | 43 | 48.8% | 3.21 | 2.983 | 63.43% | 21.26% | 24 | 45.8% | 3.27 |
| 512660 | 6.195 | 77.54% | 12.52% | 9 | 88.9% | 1.24 | 0.007 | 0.25% | 37.53% | 74 | 31.1% | 2.51 | 3.185 | 71.0% | 22.29% | 36 | 50.0% | 2.47 |
| 159940 | 5.889 | 27.77% | 4.72% | 6 | 50.0% | 8.16 | 0.543 | 12.98% | 23.89% | 70 | 34.3% | 2.46 | 2.891 | 45.32% | 15.67% | 40 | 50.0% | 2.13 |
| 512400 | 5.169 | 91.75% | 17.75% | 13 | 76.9% | 1.81 | 0.859 | 36.4% | 42.37% | 72 | 36.1% | 2.47 | 0.632 | 19.22% | 30.43% | 46 | 37.0% | 2.18 |
| 515000 | 4.796 | 73.01% | 15.22% | 13 | 76.9% | 2.72 | 0.629 | 30.82% | 49.01% | 72 | 29.2% | 3.57 | 4.744 | 101.22% | 21.34% | 37 | 43.2% | 3.81 |
| 159824 | 4.46 | 70.81% | 15.88% | 13 | 61.5% | 3.29 | 0.007 | 0.31% | 42.01% | 57 | 28.1% | 2.9 | 0.04 | 1.58% | 39.97% | 43 | 34.9% | 2.16 |
| 159928 | 3.75 | 44.57% | 11.89% | 8 | 75.0% | 1.96 | -0.329 | -12.66% | 38.51% | 67 | 31.3% | 2.0 | -0.685 | -21.81% | 31.85% | 41 | 34.1% | 1.33 |
| 516390 | 3.697 | 57.65% | 15.59% | 12 | 50.0% | 4.37 | 0.079 | 3.33% | 42.4% | 56 | 26.8% | 3.16 | -0.436 | -19.58% | 44.94% | 42 | 33.3% | 1.81 |
| 561760 | 3.544 | 9.42% | 2.66% | 3 | 100.0% | 0.0 | 0.45 | 11.95% | 26.56% | 21 | 33.3% | 2.73 | 0.594 | 7.72% | 13.01% | 8 | 37.5% | 2.12 |
| 159647 | 3.373 | 38.15% | 11.31% | 3 | 100.0% | 0.0 | -0.629 | -20.82% | 33.1% | 41 | 29.3% | 1.53 | -0.261 | -7.09% | 27.15% | 25 | 24.0% | 2.66 |
| 515700 | 3.241 | 52.11% | 16.08% | 15 | 53.3% | 3.16 | 1.781 | 74.34% | 41.75% | 68 | 30.9% | 3.42 | -0.014 | -0.59% | 40.6% | 45 | 35.6% | 2.05 |
| 513010 | 3.171 | 62.54% | 19.72% | 7 | 71.4% | 2.9 | 1.008 | 27.53% | 27.31% | 58 | 32.8% | 2.86 | -0.529 | -14.06% | 26.59% | 34 | 32.4% | 1.73 |
| 159755 | 3.017 | 43.01% | 14.26% | 14 | 57.1% | 1.94 | -0.25 | -15.15% | 60.65% | 55 | 21.8% | 3.68 | -0.388 | -18.3% | 47.16% | 38 | 34.2% | 1.81 |
| 512980 | 2.86 | 56.03% | 19.59% | 16 | 56.2% | 1.97 | 0.651 | 24.25% | 37.22% | 68 | 32.4% | 2.7 | -0.228 | -8.53% | 37.35% | 47 | 29.8% | 2.42 |
| 562800 | 2.747 | 50.45% | 18.37% | 16 | 56.2% | 1.83 | 0.828 | 39.29% | 47.42% | 47 | 29.8% | 3.35 | 0.407 | 19.72% | 48.43% | 36 | 25.0% | 4.18 |
| 513360 | 2.591 | 44.38% | 17.13% | 9 | 66.7% | 1.81 | 1.397 | 40.54% | 29.02% | 58 | 36.2% | 2.64 | 0.57 | 19.53% | 34.24% | 32 | 34.4% | 2.72 |
| 159748 | 2.503 | 42.92% | 17.14% | 13 | 69.2% | 1.33 | 4.806 | 95.48% | 19.87% | 44 | 45.5% | 2.9 | 0.427 | 12.46% | 29.21% | 29 | 44.8% | 1.62 |
| 159688 | 2.407 | 11.02% | 4.58% | 4 | 75.0% | 2.69 | 0.631 | 15.85% | 25.12% | 33 | 39.4% | 2.1 | -0.385 | -10.42% | 27.1% | 21 | 33.3% | 1.67 |
| 512010 | 2.266 | 30.45% | 13.44% | 12 | 41.7% | 5.28 | -0.268 | -10.67% | 39.87% | 67 | 32.8% | 1.97 | -0.092 | -3.67% | 39.98% | 44 | 43.2% | 1.34 |
| 515230 | 2.243 | 68.54% | 30.56% | 24 | 45.8% | 2.52 | 0.583 | 23.79% | 40.83% | 53 | 35.8% | 2.34 | 1.94 | 66.92% | 34.5% | 37 | 32.4% | 3.82 |
| 512480 | 2.11 | 72.45% | 34.33% | 21 | 57.1% | 1.68 | -0.617 | -41.87% | 67.89% | 64 | 32.8% | 2.05 | 7.207 | 209.96% | 29.13% | 41 | 43.9% | 3.71 |
| 516970 | 2.015 | 25.62% | 12.72% | 9 | 77.8% | 1.55 | -0.711 | -26.23% | 36.88% | 61 | 26.2% | 2.0 | 0.104 | 3.34% | 31.95% | 29 | 31.0% | 2.63 |
| 159938 | 1.989 | 27.67% | 13.91% | 9 | 55.6% | 3.12 | -0.838 | -57.1% | 68.11% | 65 | 29.2% | 1.37 | -0.796 | -55.49% | 69.73% | 45 | 33.3% | 1.04 |
| 515790 | 1.947 | 31.2% | 16.03% | 21 | 42.9% | 2.38 | 0.19 | 9.26% | 48.75% | 59 | 30.5% | 2.73 | 0.511 | 16.87% | 32.98% | 39 | 35.9% | 2.45 |
| 512810 | 1.941 | 23.86% | 12.29% | 9 | 44.4% | 2.78 | 0.243 | 8.62% | 35.52% | 71 | 33.8% | 2.4 | 4.736 | 96.69% | 20.41% | 36 | 52.8% | 2.71 |
| 512170 | 1.922 | 29.3% | 15.24% | 16 | 43.8% | 3.04 | -0.523 | -32.82% | 62.74% | 68 | 30.9% | 1.85 | 0.093 | 3.6% | 38.85% | 49 | 32.7% | 2.32 |
| 159840 | 1.688 | 25.19% | 14.93% | 11 | 54.5% | 1.77 | -0.203 | -10.97% | 53.93% | 53 | 22.6% | 3.65 | -0.003 | -0.15% | 44.13% | 35 | 28.6% | 2.89 |
| 516620 | 1.558 | 40.16% | 25.77% | 13 | 53.8% | 1.98 | 2.748 | 81.76% | 29.76% | 38 | 39.5% | 3.5 | 3.177 | 74.79% | 23.54% | 23 | 39.1% | 3.77 |
| 512670 | 1.514 | 25.93% | 17.13% | 13 | 61.5% | 1.1 | -0.267 | -16.76% | 62.72% | 63 | 42.9% | 1.51 | 3.942 | 73.76% | 18.71% | 36 | 50.0% | 2.33 |
| 515210 | 1.466 | 24.8% | 16.92% | 9 | 66.7% | 1.2 | 2.802 | 78.69% | 28.09% | 67 | 32.8% | 3.94 | 1.628 | 36.26% | 22.27% | 40 | 40.0% | 2.47 |
| 516820 | 1.442 | 21.4% | 14.84% | 11 | 36.4% | 4.38 | -0.158 | -4.7% | 29.75% | 48 | 35.4% | 1.83 | -0.64 | -26.49% | 41.4% | 39 | 28.2% | 1.71 |
| 515450 | 1.093 | 2.78% | 2.55% | 2 | 100.0% | 0.0 | 0.273 | 5.71% | 20.88% | 67 | 32.8% | 2.35 | 0.351 | 7.03% | 20.01% | 27 | 37.0% | 2.15 |
| 515080 | 1.0 | 2.49% | 2.49% | 2 | 100.0% | 0.0 | 0.403 | 7.11% | 17.61% | 70 | 37.1% | 1.95 | 0.687 | 11.64% | 16.95% | 32 | 37.5% | 2.28 |
| 516160 | 0.958 | 22.28% | 23.27% | 16 | 25.0% | 5.31 | 2.543 | 145.2% | 57.1% | 53 | 24.5% | 9.7 | 5.254 | 222.22% | 42.3% | 40 | 32.5% | 9.07 |
| 512690 | 0.864 | 16.38% | 18.95% | 18 | 33.3% | 3.19 | -0.628 | -41.67% | 66.35% | 65 | 33.8% | 1.62 | -0.673 | -33.17% | 49.25% | 47 | 31.9% | 1.42 |
| 512290 | 0.755 | 10.77% | 14.26% | 12 | 50.0% | 1.61 | -0.768 | -35.85% | 46.68% | 69 | 27.5% | 1.9 | -0.287 | -11.64% | 40.51% | 46 | 39.1% | 1.44 |
| 512950 | 0.716 | 10.11% | 14.12% | 3 | 66.7% | 5.39 | 1.083 | 26.22% | 24.2% | 75 | 36.0% | 2.6 | 0.81 | 16.83% | 20.77% | 37 | 35.1% | 2.81 |
| 159259 🔶持仓 | 0.559 | 7.87% | 14.08% | 3 | 66.7% | 0.46 | 2.488 | 35.78% | 14.38% | 7 | 57.1% | 4.75 | 2.835 | 22.69% | 8.0% | 5 | 60.0% | 5.07 |
| 159206 | 0.474 | 8.27% | 17.45% | 6 | 50.0% | 1.62 | 1.646 | 37.32% | 22.67% | 12 | 33.3% | 4.79 | 4.901 | 73.04% | 14.9% | 5 | 80.0% | 4.35 |
| 515220 | 0.36 | 6.47% | 17.98% | 13 | 53.8% | 1.18 | -0.134 | -8.87% | 66.03% | 70 | 42.9% | 1.5 | 1.263 | 26.27% | 20.8% | 32 | 46.9% | 1.81 |
| 159213 | 0.253 | 2.58% | 10.23% | 3 | 66.7% | 1.03 | -0.389 | -9.62% | 24.71% | 11 | 27.3% | 2.79 | 2.23 | 24.66% | 11.06% | 4 | 50.0% | 6.81 |
| 516010 | 0.033 | 1.0% | 30.17% | 23 | 43.5% | 1.45 | 1.802 | 65.84% | 36.53% | 58 | 27.6% | 4.22 | -0.742 | -34.67% | 46.71% | 38 | 26.3% | 1.78 |
| 512200 | -0.31 | -8.25% | 26.64% | 15 | 33.3% | 1.76 | 4.201 | 151.75% | 36.12% | 72 | 30.6% | 7.33 | 10.813 | 275.47% | 25.48% | 43 | 39.5% | 8.61 |
| 562550 | -0.351 | -3.24% | 9.24% | 3 | 33.3% | 0.46 | 0.841 | 12.71% | 15.12% | 37 | 43.2% | 1.96 | 0.55 | 5.57% | 10.12% | 13 | 30.8% | 3.5 |
| 159981 | -0.367 | -2.76% | 7.52% | 2 | 0.0% | 0.0 | 1.786 | 52.13% | 29.19% | 85 | 37.6% | 2.63 | -0.296 | -5.01% | 16.93% | 38 | 39.5% | 1.42 |
| 159558 🔶持仓 | -0.456 | -17.12% | 37.56% | 8 | 37.5% | 0.88 | -0.028 | -1.94% | 69.43% | 14 | 35.7% | 2.28 | 4.417 | 103.33% | 23.39% | 9 | 66.7% | 3.92 |
| 512800 | -0.818 | -6.8% | 8.31% | 2 | 50.0% | 0.07 | -0.658 | -38.79% | 58.92% | 62 | 40.3% | 1.05 | -0.52 | -28.97% | 55.76% | 32 | 53.1% | 0.64 |
| 512880 | -0.9 | -23.23% | 25.82% | 17 | 17.6% | 1.53 | -0.421 | -17.82% | 42.29% | 75 | 33.3% | 2.01 | -0.414 | -9.76% | 23.57% | 42 | 40.5% | 1.2 |
| 512000 | -0.928 | -29.72% | 32.03% | 18 | 11.1% | 1.12 | -0.45 | -17.57% | 39.06% | 73 | 34.2% | 1.93 | -0.552 | -11.82% | 21.4% | 42 | 38.1% | 1.27 |
| 159841 | -0.978 | -22.87% | 23.38% | 13 | 7.7% | 1.47 | 0.823 | 21.91% | 26.62% | 59 | 35.6% | 2.59 | 0.215 | 3.94% | 18.33% | 34 | 47.1% | 1.23 |
| 518880 | — | — | — | 0 | — | — | 2.119 | 63.3% | 29.87% | 75 | 38.7% | 3.07 | -0.175 | -2.9% | 16.59% | 15 | 40.0% | 0.57 |
四、结论
全55只ETF口径下，新测策略(MX6&xih5|zhong@止损10%)的Calmar中位数(1.968)显著高于生产策略乘势低吸(0.403)和蓄力启航(0.427)，按标的数新测在37/55只ETF上跑赢乘势低吸。
但需注意: ①新测策略仅覆盖54/55只(1只无信号)，乘势低吸/蓄力启航覆盖率100% ②持仓中的2只ETF(成长100/半导体)具体表现需看上方专项对比，全池中位数领先不代表持仓标的必然领先 ③本轮为无交易成本口径，止损策略在高频震荡标的上的成本敏感度尚未验证。
数据来源: /root/ths_analysis/universality/etf_full_compare_raw.json · 引擎: signal_grid_search.run_strategy_metrics(轮次连乘≡逐日净值自洽校验)