跨资产回撤优化ETF策略:年化收益率（14.05%）
本策略以多资产 ETF 为标的，通过动量、波动率、回撤及流动性等因子综合打分，结合跨品类相关性控制，筛选出具备相对优势的 ETF 标的。策略采用风险平价与回撤约束进行组合优化，并辅以个基止损与组合止损机制，力求在不同市场环境中实现收益的稳健增长与风险的有效控制。
概要
核心指标
- 累计收益率: 501.66%
- 年化收益率: 14.05%
- 基准收益率: 100.78%
- 阿尔法: 0.1
- 夏普比率: 0.76
- 最大回撤: 17.45%
源码
查看AI策略代码
绩效
持仓详情
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-09 | 黄金ETF(518880.SH) | 10.955850623704 | 142300 | 24 | 10.868 | 1546516.4 | -12501.14/-0.802% |
| 2026-03-09 | 500ETF(510500.SH) | 8.4542867775547 | 371800 | 31 | 8.356 | 3106760.8 | -36543.02/-1.163% |
| 2026-03-09 | 中证军工(512560.SH) | 0.93042055328963 | 1458100 | 31 | 0.921 | 1342910.1 | -13736.11/-1.013% |
| 2026-03-06 | 黄金ETF(518880.SH) | 10.955850623704 | 142300 | 23 | 10.873 | 1547227.9 | -11789.64/-0.756% |
| 2026-03-06 | 500ETF(510500.SH) | 8.4542867775547 | 371800 | 30 | 8.421 | 3130927.8 | -12376.02/-0.394% |
| 2026-03-06 | 中证军工(512560.SH) | 0.93042055328963 | 1458100 | 30 | 0.939 | 1369155.9 | 12509.69/0.922% |
| 2026-03-05 | 科创50(588000.SH) | 1.5433085958672 | 0 | 8 | 1.482 | 0 | -99551.59/-5.463% |
| 2026-03-05 | 黄金ETF(518880.SH) | 10.955850623704 | 142300 | 22 | 10.964 | 1560177.2 | 1159.66/0.074% |
| 2026-03-05 | 500ETF(510500.SH) | 8.4542867775547 | 371800 | 29 | 8.371 | 3112337.8 | -30966.02/-0.985% |
| 2026-03-05 | 中证军工(512560.SH) | 0.93042055328963 | 1458100 | 29 | 0.933 | 1360407.3 | 3761.09/0.277% |
交易详情
| 2026-03-05 | 科创50(588000.SH) | 卖 | -1180800 | 1.482 | -1749945.6 | ¥349.99 | -72393.19 |
| 2026-03-05 | 中证军工(512560.SH) | 买 | 416700 | 0.933 | 388781.1 | ¥77.76 | 0 |
| 2026-03-05 | 黄金ETF(518880.SH) | 买 | 51600 | 10.964 | 565742.4 | ¥113.15 | 0 |
| 2026-03-05 | 500ETF(510500.SH) | 买 | 92500 | 8.371 | 774317.5 | ¥154.86 | 0 |
| 2026-02-24 | 十年国债(511260.SH) | 卖 | -41300 | 135.247 | -5585701.1 | ¥1117.14 | 12555.89 |
| 2026-02-24 | 中证军工(512560.SH) | 买 | 912600 | 0.928 | 846892.8 | ¥169.38 | 0 |
| 2026-02-24 | 黄金ETF(518880.SH) | 买 | 78100 | 10.95 | 855195 | ¥171.04 | 0 |
| 2026-02-24 | 500ETF(510500.SH) | 买 | 243700 | 8.469 | 2063895.3 | ¥412.78 | 0 |
| 2026-02-24 | 科创50(588000.SH) | 买 | 1180800 | 1.543 | 1821974.4 | ¥364.39 | 0 |
| 2026-02-05 | 中证军工(512560.SH) | 卖 | -722700 | 0.904 | -653320.8 | ¥130.66 | -24071.12 |
