基于 XGBoost 的截面强弱选股策略（沪深300+中证500）:年化收益率（31.33%）
Top30% 相对收益标签 + Walk-Forward 滚动训练 + Top10 等权、5日调仓回测框架
概要
核心指标
- 累计收益率: 34.93%
- 年化收益率: 31.33%
- 基准收益率: 23.3%
- 阿尔法: 0.11
- 夏普比率: 1.05
- 最大回撤: 18.88%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-02-27 | 山金国际(000975.SZ) | 30.689204651163 | 4300 | 1 | 30.98 | 133214 | 1250.42/0.948% |
| 2026-02-27 | 润泽科技(300442.SZ) | 97.919369230769 | 1300 | 1 | 103.39 | 134407 | 7111.82/5.587% |
| 2026-02-27 | TCL科技(000100.SZ) | 4.8414519855596 | 27700 | 1 | 4.97 | 137669 | 3560.78/2.655% |
| 2026-02-27 | 星宸科技(301536.SZ) | 82.784825 | 1600 | 1 | 83.73 | 133968 | 1512.28/1.142% |
| 2026-02-27 | 信维通信(300136.SZ) | 74.922470588235 | 1700 | 1 | 76.59 | 130203 | 2834.8/2.226% |
| 2026-02-27 | 深信服(300454.SZ) | 125.00749 | 1000 | 1 | 131.1 | 131100 | 6092.51/4.874% |
| 2026-02-27 | 兆易创新(603986.SH) | 290.58715 | 0 | 6 | 300 | 0 | 7525.14/6.474% |
| 2026-02-27 | 西部矿业(601168.SH) | 32.939879487179 | 0 | 6 | 34.65 | 0 | 3159.47/2.459% |
| 2026-02-27 | 国博电子(688375.SH) | 119.6358839779 | 0 | 6 | 122.97 | 0 | 1318.53/1.015% |
| 2026-02-27 | 盛科通信-U(688702.SH) | 146.84403669725 | 0 | 6 | 197.05 | 0 | 29086.4/22.715% |
交易详情
| 2026-02-27 | 国博电子(688375.SH) | 卖 | -1086 | 120.04 | -130363.44 | ¥169.47 | 438.87 |
| 2026-02-27 | 中科星图(688568.SH) | 卖 | -1921 | 67.06 | -128822.26 | ¥167.47 | 57.43 |
| 2026-02-27 | 岩山科技(002195.SZ) | 卖 | -12800 | 10.8 | -138240 | ¥179.71 | 10713.75 |
| 2026-02-27 | 中国铝业(601600.SH) | 卖 | -9600 | 13.35 | -128160 | ¥166.61 | 825.81 |
| 2026-02-27 | 西部矿业(601168.SH) | 卖 | -3900 | 33.51 | -130689 | ¥169.9 | 2223.47 |
| 2026-02-27 | 晶盛机电(300316.SZ) | 卖 | -2400 | 54.91 | -131784 | ¥171.32 | 4617.86 |
| 2026-02-27 | 兆易创新(603986.SH) | 卖 | -400 | 303.5 | -121400 | ¥157.82 | 5165.14 |
| 2026-02-27 | 盛科通信-U(688702.SH) | 卖 | -872 | 175.7 | -153210.4 | ¥199.17 | 25162.4 |
| 2026-02-27 | 光线传媒(300251.SZ) | 买 | 6700 | 19.88 | 133196 | ¥39.96 | 0 |
| 2026-02-27 | 深信服(300454.SZ) | 买 | 1000 | 124.97 | 124970 | ¥37.49 | 0 |
