现金流驱动轮动策略:年化收益率（96.15%）
本策略精选非ST、非科创板、非停牌且“购买商品、接受劳务支付的现金(滚动十二期)”大于80万的小市值股票，按流通市值升序排列，选取前5名等权重持仓，每5日轮动调仓，旨在捕捉基本面稳健的小市值股票的投资机会。
概要
核心指标
- 累计收益率: 159.72%
- 年化收益率: 96.15%
- 基准收益率: 16.53%
- 阿尔法: 1.04
- 夏普比率: 1.24
- 最大回撤: 43.7%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-06-26 | 退市九有(600462.SH) | 0.16004799947996 | 3076700 | 1 | 0.15 | 461505 | -30914.68/-6.278% |
| 2025-06-26 | 退市海越(600387.SH) | 0.9102729919843 | 0 | 6 | 0.87 | 0 | -24618.88/-4.424% |
| 2025-06-26 | 人乐退(002336.SZ) | 0.38613005460842 | 1501600 | 6 | 0.35 | 525560 | -54252.89/-9.357% |
| 2025-06-26 | 工智退(000584.SZ) | 0.23006899921993 | 2179300 | 1 | 0.22 | 479446 | -21943.37/-4.377% |
| 2025-06-26 | 退市鹏博(600804.SH) | 0.2146011245576 | 3503600 | 11 | 0.15 | 525540 | -226336.5/-30.103% |
| 2025-06-26 | 龙津退(002750.SZ) | 0.70485521156936 | 922500 | 11 | 0.59 | 544275 | -105953.93/-16.295% |
| 2025-06-26 | 保丽洁(832802.BJ) | 11.782821762042 | 0 | 276 | 18.34 | 0 | 202175.33/56.244% |
| 2025-06-25 | 退市海越(600387.SH) | 0.9102729919843 | 611300 | 5 | 0.87 | 531831 | -24618.88/-4.424% |
| 2025-06-25 | 人乐退(002336.SZ) | 0.39011699833562 | 1381900 | 5 | 0.35 | 483665 | -55437.68/-10.283% |
| 2025-06-25 | 退市鹏博(600804.SH) | 0.22158209507543 | 3161700 | 10 | 0.15 | 474255 | -226321.11/-32.305% |
交易详情
| 2025-06-26 | 保丽洁(832802.BJ) | 卖 | -30507 | 18.49 | -564074.43 | ¥733.3 | 204615.89 |
| 2025-06-26 | 退市海越(600387.SH) | 卖 | -611300 | 0.87 | -531831 | ¥691.38 | -24618.88 |
| 2025-06-26 | 退市九有(600462.SH) | 买 | 3076700 | 0.16 | 492272 | ¥147.68 | 0 |
| 2025-06-26 | 人乐退(002336.SZ) | 买 | 119700 | 0.34 | 40698 | ¥12.21 | 0 |
| 2025-06-26 | 工智退(000584.SZ) | 买 | 2179300 | 0.23 | 501239 | ¥150.37 | 0 |
| 2025-06-26 | 退市鹏博(600804.SH) | 买 | 341900 | 0.15 | 51285 | ¥15.39 | 0 |
| 2025-06-26 | 龙津退(002750.SZ) | 卖 | -11000 | 0.6 | -6600 | ¥11.6 | -1153.41 |
| 2025-06-19 | 博迅生物(836504.BJ) | 卖 | -22739 | 25.58 | -581663.62 | ¥756.16 | 166289.14 |
| 2025-06-19 | 天罡股份(832651.BJ) | 卖 | -20562 | 30.56 | -628374.72 | ¥816.89 | 148451.57 |
| 2025-06-19 | 人乐退(002336.SZ) | 买 | 1381900 | 0.39 | 538941 | ¥161.68 | 0 |
