股票-债全-商品轮动策略——基于美林时钟模型
##这部分是先确定周期最优配置资产
选取2006.01.01-2018.01.01的GDP,CPI,沪深300(000300.SH),上债指数(000012.SH),南华商品指数(NHCI.NH)
思路很简单。通过季度的宏观经济变量,统计对应时间段的三种大资产的平均收益,选取最高的收益作为策略待选资产。
先看结果:
经济↑+通货↓时,股票:37.23%,商品:-19.58%,债券:0.68%
经济↑+通货↓时,股票:0.84%,商品:-22.89%,债券:0.51%
经济↑+通货↓时,股票:-1.20%,商品:-8.75%,债券:0.36%
经济↑+通货↓时,股票:-12.41%,商品:-11.36%,债券:0.31%
经济↑+通货↓时,股票:-16.22%,商品:-17.42%,债券:0.31%
经济↑+通货↓时,股票:5.28%,商品:-7.33%,债券:0.30%
经济↑+通货↓时,股票:-7.90%,商品:-10.30%,债券:0.36%
经济↑+通货↓时,股票:-27.52%,商品:-16.86%,债券:0.39%
经济↑+通货↓时,股票:-28.06%,商品:-10.73%,债券:0.35%
经济↑+通货↓时,股票:-27.32%,商品:-17.94%,债券:0.38%
经济↑+通货↓时,股票:-26.81%,商品:-9.58%,债券:0.27%
经济↑+通货↓时,股票:12.52%,商品:17.76%,债券:0.18%
经济↑+通货↓时,股票:0.74%,商品:11.30%,债券:0.22%
经济↑+通货↓时,股票:-168.76%,商品:-45.18%,债券:1.03%
经济↑+通货↓时,股票:-202.40%,商品:-34.00%,债券:0.82%
经济↑+通货↓时,股票:-37.58%,商品:12.90%,债券:0.25%
经济↑+通货↓时,股票:11.56%,商品:4.40%,债券:0.12%
经济↑+通货↓时,股票:55.56%,商品:12.08%,债券:-0.03%
经济↑+通货↓时,股票的平均收益:-24.03%,v,商品的平均收益:-9.64%,债券的平均收益:0.38%
经济↑+通货↑时,股票:9.21%,商品:3.76%,债券:0.23%
经济↑+通货↑时,股票:21.14%,商品:4.24%,债券:0.10%
经济↑+通货↑时,股票:15.71%,商品:14.60%,债券:0.04%
经济↑+通货↑时,股票:12.43%,商品:18.80%,债券:0.17%
经济↑+通货↑时,股票:-39.92%,商品:2.49%,债券:0.83%
经济↑+通货↑时,股票:-11.48%,商品:-16.01%,债券:1.02%
经济↑+通货↑时,股票:30.08%,商品:-15.84%,债券:0.95%
经济↑+通货↑时,股票:45.11%,商品:-20.31%,债券:0.84%
经济↑+通货↑时,股票:50.93%,商品:-14.94%,债券:0.78%
经济↑+通货↑时,股票:-11.60%,商品:12.41%,债券:0.25%
经济↑+通货↑时,股票:0.82%,商品:14.95%,债券:0.30%
经济↑+通货↑时,股票:-30.35%,商品:8.65%,债券:0.38%
经济↑+通货↑时,股票:-39.31%,商品:-24.26%,债券:0.71%
经济↑+通货↑时,股票:74.50%,商品:7.79%,债券:-0.11%
经济↑+通货↑时,股票:65.11%,商品:-3.68%,债券:0.03%
经济↑+通货↑时,股票的平均收益:12.83%,v,商品的平均收益:-0.49%,债券的平均收益:0.44%
经济↓+通货↓时,股票:7.68%,商品:22.46%,债券:0.29%
经济↓+通货↓时,股票:5.09%,商品:37.37%,债券:0.34%
经济↓+通货↓时,股票:-5.14%,商品:24.09%,债券:0.69%
经济↓+通货↓时,股票:-24.29%,商品:15.51%,债券:0.76%
经济↓+通货↓时,股票的