ETF简单动量轮动策略:年化收益率（28.02%）
该策略基于一个简单动量指标，在黄金，纳指，创业板100和沪深300ETF中轮动。
概要
核心指标
- 累计收益率: 2336.1%
- 年化收益率: 28.02%
- 基准收益率: 90.81%
- 阿尔法: 0.24
- 夏普比率: 1.22
- 最大回撤: 29.81%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 纳指ETF(513100.SH) | 1.9474604279565 | 5523300 | 27 | 2.205 | 12178876.5 | 1422468.32/13.224% |
| 2026-06-05 | 创业板(159915.SZ) | 3.6944837531564 | 3039700 | 30 | 3.977 | 12088886.9 | 858764.64/7.647% |
| 2026-06-04 | 纳指ETF(513100.SH) | 1.9425965575152 | 5420000 | 26 | 2.24 | 12140800 | 1611926.66/15.31% |
| 2026-06-04 | 创业板(159915.SZ) | 3.6944837531564 | 3062500 | 29 | 4.1 | 12556250 | 1241893.51/10.976% |
| 2026-06-03 | 纳指ETF(513100.SH) | 1.9357831592093 | 5321500 | 25 | 2.299 | 12234128.5 | 1932858.42/18.763% |
| 2026-06-03 | 创业板(159915.SZ) | 3.6944837531564 | 3118400 | 28 | 4.145 | 12925768 | 1404889.86/12.194% |
| 2026-06-02 | 纳指ETF(513100.SH) | 1.9357831592093 | 5321500 | 24 | 2.343 | 12468274.5 | 2167004.42/21.036% |
| 2026-06-02 | 创业板(159915.SZ) | 3.6944837531564 | 3174000 | 27 | 4.071 | 12921354 | 1195062.57/10.191% |
| 2026-06-01 | 纳指ETF(513100.SH) | 1.9357831592093 | 5486100 | 23 | 2.365 | 12974626.5 | 2354726.51/22.173% |
| 2026-06-01 | 创业板(159915.SZ) | 3.6853753209772 | 3076600 | 26 | 3.964 | 12195642.4 | 857216.69/7.56% |
交易详情
| 2026-06-05 | 纳指ETF(513100.SH) | 买 | 103300 | 2.202 | 227466.6 | ¥68.24 | 0 |
| 2026-06-05 | 创业板(159915.SZ) | 卖 | -22800 | 4.083 | -93092.4 | ¥27.93 | 8858.17 |
| 2026-06-04 | 纳指ETF(513100.SH) | 买 | 98500 | 2.31 | 227535 | ¥68.26 | 0 |
| 2026-06-04 | 创业板(159915.SZ) | 卖 | -55900 | 4.074 | -227736.6 | ¥68.32 | 21214.96 |
| 2026-06-03 | 创业板(159915.SZ) | 卖 | -55600 | 4.095 | -227682 | ¥68.3 | 22268.7 |
| 2026-06-02 | 纳指ETF(513100.SH) | 卖 | -164600 | 2.355 | -387633 | ¥116.29 | 69003.09 |
| 2026-06-02 | 创业板(159915.SZ) | 买 | 97400 | 3.981 | 387749.4 | ¥116.32 | 0 |
| 2026-06-01 | 纳指ETF(513100.SH) | 卖 | -62400 | 2.273 | -141835.2 | ¥42.55 | 21042.33 |
| 2026-06-01 | 创业板(159915.SZ) | 买 | 71800 | 4.047 | 290574.6 | ¥87.17 | 0 |
| 2026-05-29 | 纳指ETF(513100.SH) | 买 | 300 | 2.235 | 670.5 | ¥5 | 0 |
