基于两融信用账户的分钟级配对交易策略：30分钟Z-Score信号、分钟级执行与风控:年化收益率（81.87%）
本策略属于市场中性（Market Neutral）的统计套利策略，通过同时交易两只高度相关的股票（示例：工商银行 601398 / 中信银行 601998 ，在两者相对价格出现短期偏离时进行对冲开仓，并在偏离回归到正常区间时平仓获利。
概要
核心指标
- 累计收益率: 10.75%
- 年化收益率: 81.87%
- 基准收益率: 14%
- 阿尔法: 0.85
- 夏普比率: 4.09
- 最大回撤: 2.28%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-09-30 | (601998.SH) | 7.974475 | -5200 | 29 | 7.2 | 37440 | 4027.27/12.053% |
| 2025-09-30 | (601328.SH) | 7.6322869565217 | 0 | 37 | 6.72 | 0 | -74.26/-0.423% |
| 2025-09-30 | (601328.SH) | 7.4699051020408 | -9800 | 37 | 6.72 | 65856 | 7349.07/12.561% |
| 2025-09-29 | (601998.SH) | 7.974475 | -5200 | 28 | 7.3 | 37960 | 3507.27/10.18% |
| 2025-09-29 | (601328.SH) | 7.6322869565217 | 0 | 36 | 6.8 | 0 | -74.26/-0.423% |
| 2025-09-29 | (601328.SH) | 7.4699051020408 | -9800 | 36 | 6.8 | 66640 | 6565.07/10.928% |
| 2025-09-26 | (601998.SH) | 7.974475 | -5200 | 27 | 7.4 | 38480 | 2987.27/8.417% |
| 2025-09-26 | (601328.SH) | 7.6322869565217 | 0 | 35 | 6.82 | 0 | -74.26/-0.423% |
| 2025-09-26 | (601328.SH) | 7.4699051020408 | -9800 | 35 | 6.82 | 66836 | 6369.07/10.533% |
| 2025-09-25 | (601998.SH) | 7.974475 | -5200 | 26 | 7.34 | 38168 | 3299.27/9.462% |
交易详情
| 2025-09-25 | (601328.SH) | 卖 | -100 | 6.83 | -683 | ¥5.34 | 0 |
| 2025-09-19 | (601998.SH) | 卖 | -500 | 7.41 | -3705 | ¥6.85 | 0 |
| 2025-09-18 | (601328.SH) | 卖 | -100 | 7.01 | -701 | ¥5.35 | 0 |
| 2025-09-17 | (601328.SH) | 卖 | -200 | 7.04 | -1408 | ¥5.7 | 0 |
| 2025-09-16 | (601328.SH) | 卖 | -300 | 7.06 | -2118 | ¥6.06 | 0 |
| 2025-09-12 | (601998.SH) | 卖 | -100 | 7.81 | -781 | ¥5.39 | 0 |
| 2025-09-08 | (601998.SH) | 卖 | -100 | 7.85 | -785 | ¥5.39 | 0 |
| 2025-09-05 | (601328.SH) | 卖 | -100 | 7.27 | -727 | ¥5.36 | 0 |
| 2025-09-02 | (601998.SH) | 卖 | -300 | 7.95 | -2385 | ¥6.19 | 0 |
| 2025-08-28 | (601998.SH) | 卖 | -500 | 7.94 | -3970 | ¥6.99 | 0 |
