动量因子的ETF策略:年化收益率（43.73%）
该策略主要是基于基金日行情数据构建的动量策略，旨在选择一定数量的表现较好且市场活跃度较高的基金进行持仓，因子包括动量因子和收盘价格差分。
概要
核心指标
- 累计收益率: 38.05%
- 年化收益率: 43.73%
- 基准收益率: 25.99%
- 阿尔法: 0.23
- 夏普比率: 1.69
- 最大回撤: 12.16%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-06 | 能源化工(159981.SZ) | 1.3404020039101 | 204600 | 1 | 1.346 | 275391.6 | 1145.35/0.418% |
| 2025-08-06 | 国债ETF(511010.SH) | 141.3724 | 1900 | 1 | 141.351 | 268566.9 | -40.66/-0.015% |
| 2025-08-06 | 油气ETF(513350.SH) | 0.92127630779615 | 0 | 2 | 0.936 | 0 | 1695.93/0.621% |
| 2025-08-06 | 30年国债(511090.SH) | 123.58806363636 | 2200 | 3 | 123.441 | 271570.2 | -323.54/-0.119% |
| 2025-08-06 | 中概互联(159607.SZ) | 1.0763228166798 | 0 | 2 | 1.086 | 0 | 934.74/0.342% |
| 2025-08-06 | 标普消费(159529.SZ) | 1.5364608174387 | 183500 | 5 | 1.489 | 273231.5 | -8709.06/-3.089% |
| 2025-08-05 | 油气ETF(513350.SH) | 0.92127630779615 | 296300 | 1 | 0.927 | 274670.1 | 1695.93/0.621% |
| 2025-08-05 | A500中证(159351.SZ) | 1.0233068939956 | 0 | 2 | 1.036 | 0 | 1266.2/0.459% |
| 2025-08-05 | 保证金(159001.SZ) | 100.03 | 0 | 2 | 100 | 0 | -78.3/-0.029% |
| 2025-08-05 | 30年国债(511090.SH) | 123.58806363636 | 2200 | 2 | 123.427 | 271539.4 | -354.34/-0.13% |
交易详情
| 2025-08-06 | 油气ETF(513350.SH) | 卖 | -296300 | 0.928 | -274966.4 | ¥82.49 | 1992.23 |
| 2025-08-06 | 中概互联(159607.SZ) | 卖 | -254200 | 1.078 | -274027.6 | ¥82.21 | 426.34 |
| 2025-08-06 | 国债ETF(511010.SH) | 买 | 1900 | 141.33 | 268527 | ¥80.56 | 0 |
| 2025-08-06 | 能源化工(159981.SZ) | 买 | 204600 | 1.34 | 274164 | ¥82.25 | 0 |
| 2025-08-05 | A500中证(159351.SZ) | 卖 | -269800 | 1.028 | -277354.4 | ¥83.21 | 1266.2 |
| 2025-08-05 | 保证金(159001.SZ) | 卖 | -2700 | 100 | -270000 | ¥81 | -81 |
| 2025-08-05 | 能源化工(159981.SZ) | 卖 | -205100 | 1.336 | -274013.6 | ¥82.2 | 328.12 |
| 2025-08-05 | 油气ETF(513350.SH) | 买 | 296300 | 0.921 | 272892.3 | ¥81.87 | 0 |
| 2025-08-05 | 中概互联(159607.SZ) | 买 | 254200 | 1.076 | 273519.2 | ¥82.06 | 0 |
| 2025-08-04 | 恒生科技(159740.SZ) | 卖 | -383900 | 0.714 | -274104.6 | ¥82.23 | -5074.43 |
