研报原版复现 · 三种概率 · 复合信号 · 独立建模
将点位效率择时框架应用于全部32个申万一级行业指数，每个行业独立建模（独立波段划分 + 独立历史样本库）。回测口径：T日收盘信号 → T+1开盘买入 → T+1开盘卖出，含场内ETF成本（万3.5/单边）。
| 行业 | 日频年化 | 日频回撤 | 日频夏普 | 交易 | 周频年化 | 周频回撤 | 交易 | 信号 | 7日概率 | 中期概率 | 长期概率 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 计算机 | 72.40% | -23.34% | 3.18 | 170 | 41.16% | -29.45% | 112 | 空仓 | 34.1% | 42.3% | 82.1% |
| 通信 | 66.85% | -23.63% | 2.93 | 277 | 45.86% | -23.16% | 167 | 空仓 | 54.3% | 47.7% | 62.2% |
| 国防军工 | 63.88% | -32.11% | 2.47 | 249 | 39.90% | -33.48% | 157 | 做多 | — | 93.4% | 98.1% |
| 传媒 | 60.29% | -35.42% | 2.61 | 229 | 35.24% | -33.64% | 133 | 做多 | 0.0% | — | 2.7% |
| 农林牧渔 | 56.50% | -13.62% | 3.25 | 175 | 37.17% | -16.86% | 123 | 做多 | 76.0% | 86.5% | 70.4% |
| 非银金融 | 55.44% | -18.99% | 2.79 | 257 | 29.95% | -17.25% | 153 | 做多 | 86.7% | 67.1% | 32.0% |
| 电子 | 54.62% | -33.84% | 2.23 | 278 | 36.26% | -37.53% | 143 | 空仓 | — | 30.3% | 90.4% |
| 美容护理 | 51.94% | -17.34% | 2.59 | 171 | 29.08% | -21.60% | 111 | 做多 | 90.9% | 86.3% | 63.5% |
| 医药生物 | 50.56% | -25.97% | 2.66 | 214 | 29.76% | -33.53% | 134 | 空仓 | 50.0% | 65.5% | 46.7% |
| 社会服务 | 50.50% | -26.37% | 2.19 | 229 | 38.09% | -34.36% | 131 | 做多 | 86.0% | 72.5% | 64.0% |
| 房地产 | 48.85% | -16.92% | 2.76 | 154 | 26.46% | -18.83% | 116 | 空仓 | 27.3% | 61.6% | 85.8% |
| 电力设备 | 47.65% | -26.51% | 1.96 | 255 | 26.16% | -33.99% | 147 | 做多 | 87.2% | 93.8% | 82.5% |
| 机械设备 | 47.04% | -29.10% | 2.52 | 188 | 29.14% | -31.13% | 122 | 空仓 | 58.8% | — | 98.3% |
| 家用电器 | 46.81% | -27.22% | 2.22 | 241 | 31.79% | -31.88% | 131 | 做多 | 89.9% | 94.0% | 65.9% |
| 有色金属 | 44.75% | -36.03% | 1.92 | 227 | 28.86% | -53.10% | 109 | 做多 | — | 64.1% | 49.8% |
| 汽车 | 44.13% | -27.07% | 2.10 | 181 | 27.93% | -36.78% | 117 | 做多 | — | 93.7% | 85.2% |
| 商贸零售 | 42.40% | -37.26% | 2.17 | 165 | 23.09% | -38.24% | 109 | 做多 | 0.0% | — | 4.9% |
| 环保 | 42.31% | -28.93% | 2.31 | 173 | 25.57% | -28.79% | 105 | 做多 | — | 85.8% | 71.9% |
| 钢铁 | 40.31% | -21.01% | 2.05 | 219 | 29.90% | -34.56% | 125 | 做多 | — | 84.9% | 72.0% |
| 综合 | 37.76% | -26.74% | 1.82 | 202 | 32.64% | -27.16% | 119 | 空仓 | — | 38.1% | 83.4% |
| 建筑材料 | 35.32% | -33.84% | 1.59 | 203 | 25.85% | -33.84% | 117 | 做多 | — | 67.5% | 93.2% |
| 基础化工 | 35.22% | -30.91% | 1.69 | 221 | 24.31% | -39.78% | 117 | 做多 | — | 57.1% | 88.2% |
| 石油石化 | 33.86% | -27.77% | 1.90 | 175 | 20.43% | -28.41% | 113 | 做多 | 93.5% | 81.2% | 69.0% |
| 纺织服饰 | 33.72% | -34.51% | 1.69 | 225 | 22.04% | -35.92% | 131 | 做多 | 92.1% | 73.7% | 61.9% |
| 公用事业 | 32.32% | -25.21% | 1.83 | 221 | 22.11% | -33.78% | 141 | 做多 | 96.6% | 97.6% | 84.0% |
| 采掘 | 29.76% | -20.74% | 1.54 | 129 | 18.79% | -33.06% | 79 | 做多 | — | 86.9% | 70.8% |
| 轻工制造 | 28.36% | -31.55% | 1.46 | 187 | 20.10% | -33.09% | 125 | 做多 | 97.5% | 88.9% | 79.1% |
| 交通运输 | 27.02% | -21.14% | 1.54 | 217 | 21.40% | -30.44% | 129 | 做多 | — | 79.2% | 64.2% |
| 煤炭 | 26.44% | -26.46% | 1.48 | 183 | 19.02% | -32.54% | 107 | 空仓 | — | 47.5% | 34.5% |
| 食品饮料 | 26.28% | -22.31% | 1.26 | 233 | 23.20% | -33.16% | 123 | 做多 | — | 83.4% | 69.4% |
| 建筑装饰 | 23.28% | -24.52% | 1.21 | 253 | 17.58% | -39.21% | 147 | 做多 | — | — | 98.0% |
| 银行 | 16.68% | -30.79% | 0.94 | 200 | 15.08% | -31.08% | 124 | 空仓 | — | 43.5% | 27.2% |
说明：各行业独立建模波段划分和历史样本池。回测采用日频检测 + 次日开盘成交 + 含ETF成本口径。 行业ETF通常波动更大，择时换手率高于宽基。多数周期性/成长性行业从择时中受益更大，防御性行业（如银行、公用事业）择时效果有限。