基于动量评分的ETF轮动策略：:年化收益率（36.4%）
- 使用4只不同资产类别的ETF进行轮动 - 通过25日数据计算动量评分（年化收益率×风险调整因子） - 只选择动量评分在安全区间的ETF - 每日选择动量评分最高的1只ETF全仓持有 - 无符合条件ETF时空仓
概要
核心指标
- 累计收益率: 3004.84%
- 年化收益率: 36.4%
- 基准收益率: 35.3%
- 阿尔法: 0.35
- 夏普比率: 1.22
- 最大回撤: 48.51%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-29 | 创业板(159915.SZ) | 4.3798757994979 | 7329600 | 5 | 4.236 | 31048185.6 | -1054552.06/-3.285% |
| 2026-06-26 | 创业板(159915.SZ) | 4.3798757994979 | 7329600 | 4 | 4.215 | 30894264 | -1208473.66/-3.764% |
| 2026-06-25 | 创业板(159915.SZ) | 4.3798757994979 | 7329600 | 3 | 4.395 | 32213592 | 110854.34/0.345% |
| 2026-06-24 | 创业板(159915.SZ) | 4.3798757994979 | 7329600 | 2 | 4.258 | 31209436.8 | -893300.86/-2.783% |
| 2026-06-23 | 创业板(159915.SZ) | 4.3798757994979 | 7329600 | 1 | 4.21 | 30857616 | -1245121.66/-3.879% |
| 2026-06-23 | 纳指ETF(513100.SH) | 2.0653992491496 | 0 | 26 | 2.174 | 0 | 2669991.42/8.938% |
| 2026-06-22 | 纳指ETF(513100.SH) | 2.0653992491496 | 14463600 | 25 | 2.25 | 32543100 | 2669991.42/8.938% |
| 2026-06-18 | 纳指ETF(513100.SH) | 2.0653992491496 | 14463600 | 24 | 2.266 | 32774517.6 | 2901409.02/9.712% |
| 2026-06-17 | 纳指ETF(513100.SH) | 2.0653992491496 | 14463600 | 23 | 2.279 | 32962544.4 | 3089435.82/10.342% |
| 2026-06-16 | 纳指ETF(513100.SH) | 2.0653992491496 | 14463600 | 22 | 2.28 | 32977008 | 3103899.42/10.39% |
交易详情
| 2026-06-23 | 纳指ETF(513100.SH) | 卖 | -14463600 | 2.22 | -32109192 | ¥6421.84 | 2236083.42 |
| 2026-06-23 | 创业板(159915.SZ) | 买 | 7329600 | 4.379 | 32096318.4 | ¥6419.26 | 0 |
| 2026-05-20 | 纳指ETF(513100.SH) | 买 | 100 | 2.036 | 203.6 | ¥5 | 0 |
| 2026-05-19 | 纳指ETF(513100.SH) | 买 | 28700 | 2.058 | 59064.6 | ¥11.81 | 0 |
| 2026-05-18 | 创业板(159915.SZ) | 卖 | -7637800 | 3.912 | -29879073.6 | ¥5975.81 | -311548.92 |
| 2026-05-18 | 纳指ETF(513100.SH) | 买 | 14434800 | 2.065 | 29807862 | ¥5961.57 | 0 |
| 2026-05-12 | 纳指ETF(513100.SH) | 卖 | -14393100 | 2.098 | -30196723.8 | ¥6039.34 | 972887.2 |
| 2026-05-12 | 创业板(159915.SZ) | 买 | 7637800 | 3.952 | 30184585.6 | ¥6036.92 | 0 |
| 2026-05-07 | 创业板(159915.SZ) | 卖 | -7663800 | 3.814 | -29229733.2 | ¥5845.95 | 1197255.97 |
| 2026-05-07 | 纳指ETF(513100.SH) | 买 | 14393100 | 2.03 | 29217993 | ¥5843.6 | 0 |
