基于250日均线逃逸与股债轮动的ETF配置策略:年化收益率（11.33%）
本策略采用"核心-卫星"配置框架，核心仓位（70%）由沪深300和创业板50各半组成，半年再平衡；当沪深300跌破250日均线时触发极端逃逸信号，清仓核心仓位转入债券ETF；卫星仓位（30%）基于股债相对强度动态配置，每月选取20日涨幅最强的ETF进行轮动，根据市场强弱状态（机会区/中性区/风险区）灵活调整股债比例
概要
核心指标
- 累计收益率: 67.95%
- 年化收益率: 11.33%
- 基准收益率: -9.47%
- 阿尔法: 0.11
- 夏普比率: 0.62
- 最大回撤: 18.12%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 科创50(588000.SH) | 1.5294222042139 | 225900 | 36 | 1.763 | 398261.7 | 52765.22/15.272% |
| 2026-06-05 | 创业板50(159949.SZ) | 0.94942052625583 | 306600 | 406 | 1.927 | 590818.2 | 299725.87/102.966% |
| 2026-06-05 | 300ETF(510300.SH) | 3.9446217089701 | 124428 | 406 | 4.843 | 602604.8 | 111783.41/22.775% |
| 2026-06-04 | 科创50(588000.SH) | 1.5294222042139 | 225900 | 35 | 1.832 | 413848.8 | 68352.32/19.784% |
| 2026-06-04 | 创业板50(159949.SZ) | 0.94942052625583 | 306600 | 405 | 1.997 | 612280.2 | 321187.87/110.339% |
| 2026-06-04 | 300ETF(510300.SH) | 3.9446217089701 | 124428 | 405 | 4.926 | 612932.33 | 122110.94/24.879% |
| 2026-06-03 | 科创50(588000.SH) | 1.5294222042139 | 225900 | 34 | 1.823 | 411815.7 | 66319.22/19.195% |
| 2026-06-03 | 创业板50(159949.SZ) | 0.94942052625583 | 306600 | 404 | 2.017 | 618412.2 | 327319.87/112.445% |
| 2026-06-03 | 300ETF(510300.SH) | 3.9446217089701 | 124428 | 404 | 4.965 | 617785.02 | 126963.63/25.868% |
| 2026-06-02 | 科创50(588000.SH) | 1.5294222042139 | 225900 | 33 | 1.781 | 402327.9 | 56831.42/16.449% |
交易详情
| 2026-05-29 | 300ETF(510300.SH) | 买 | 4400 | 4.946 | 21762.4 | ¥6.53 | 0 |
| 2026-05-29 | 创业板50(159949.SZ) | 卖 | -4800 | 2.01 | -9648 | ¥5 | 5090.78 |
| 2026-05-29 | 科创50(588000.SH) | 卖 | -7700 | 1.944 | -14968.8 | ¥5 | 3192.25 |
| 2026-05-15 | 300ETF(510300.SH) | 买 | 6300 | 4.935 | 31090.5 | ¥9.33 | 0 |
| 2026-05-15 | 创业板50(159949.SZ) | 卖 | -3200 | 1.909 | -6108.8 | ¥5 | 3070.65 |
| 2026-05-15 | 科创50(588000.SH) | 卖 | -13200 | 1.807 | -23852.4 | ¥7.16 | 3664.03 |
| 2026-04-28 | 创业板50(159949.SZ) | 卖 | -5400 | 1.73 | -9342 | ¥5 | 4215.13 |
| 2026-04-28 | 国债ETF(511010.SH) | 卖 | -2007 | 140.76 | -282505.32 | ¥84.75 | 950.54 |
| 2026-04-28 | 科创50(588000.SH) | 买 | 130300 | 1.579 | 205743.7 | ¥61.72 | 0 |
| 2026-04-14 | 创业板50(159949.SZ) | 卖 | -9900 | 1.669 | -16523.1 | ¥5 | 7123.84 |
