策略专题：行业增强投资之全行业优选（综合评估）投资策略

Core Insights - The "All-Industry Selection (Comprehensive Evaluation) Investment Strategy" is an extension of the comprehensive evaluation investment strategy applied to industry investments [1][3] - The sample space consists of stocks from the CSI All Share Index that meet the following criteria: 1) Non-recurring net profit > 0; 2) Net assets > 0; 3) Operating net cash flow > 0; 4) Year-on-year net profit growth rate > 0 [4] - The selection method involves calculating the comprehensive evaluation score of sample stocks and selecting the stock with the lowest score in each industry category to construct a portfolio, with three stocks selected from the manufacturing sector [4] - Backtesting data over 18.67 years shows that the strategy has an annual compound return of 23.21%, a Sharpe ratio of 0.70, and an expected value of 9.60, indicating excellent performance [1][17] - Rolling 3-year and 5-year backtesting results indicate that as the strategy is applied over a longer period, both the probability of profit and the level of profit significantly increase, enhancing the overall experience of the strategy [1][37] Sample Construction - The sample space includes stocks from the CSI All Share Index that meet specific financial criteria [4] - The selection method involves calculating a comprehensive evaluation score and selecting the lowest-scoring stock from each industry [4] - The number of samples is uncertain [5] Trading Design - The strategy defines three operational periods within a year: May 1 to August 31, September 1 to October 31, and November 1 to April 30 of the following year, with a "buy-and-hold" approach during each period [7] - A stop-loss threshold of -10% is set for the portfolio's net value, triggering a stop-loss operation if the net value falls below 0.90 [8] - Transactions are conducted during the auction phase, regardless of whether buying or selling [9] Performance Evaluation - The performance benchmark for the strategy is the CSI All Share Index [11] - The strategy has shown a total increase of 4819.34% over 18.67 years, compared to a 246.51% increase in the benchmark [17] - The strategy achieved positive excess returns in 43 out of 56 trading periods, resulting in a success rate of 76.79% [21] - The strategy's net value reached 49.1934, with an annual compound return of 23.2077% and a cumulative excess return of 4573.3561% [22] - The strategy has a maximum drawdown of -27.52% and a volatility of 28.9925% [22] Annual Performance Comparison - The strategy outperformed the benchmark in multiple annual periods, with notable excess returns [24] - Over the 18.67 years, the strategy recorded positive excess returns in 16 years, indicating a high success rate of 84.21% [26] Rolling Period Evaluations - In rolling 3-year evaluations, the strategy achieved positive excess returns in 16 out of 17 periods, with a success rate of 94.12% [32] - In rolling 5-year evaluations, all 15 periods recorded positive excess returns, with an average excess return rate of 136.79% [37]