ETF简单动量轮动策略:年化收益率（27.9%）
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: 2271.46%
- 年化收益率: 27.9%
- 基准收益率: 92.5%
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 纳指ETF(513100.SH) | 1.9334692876992 | 5633300 | 12 | 2.1 | 11829930 | 938117.46/8.613% |
| 2026-05-15 | 创业板(159915.SZ) | 3.6657725842485 | 2993600 | 15 | 3.97 | 11884592 | 910735.19/8.299% |
| 2026-05-14 | 纳指ETF(513100.SH) | 1.9334692876992 | 5649000 | 11 | 2.105 | 11891145 | 968976.99/8.872% |
| 2026-05-14 | 创业板(159915.SZ) | 3.6616667146024 | 2952700 | 14 | 3.961 | 11695644.7 | 883841.39/8.175% |
| 2026-05-13 | 纳指ETF(513100.SH) | 1.9324782519155 | 5618600 | 10 | 2.093 | 11759729.8 | 901907.49/8.307% |
| 2026-05-13 | 创业板(159915.SZ) | 3.6616667146024 | 2984200 | 13 | 4.048 | 12080041.6 | 1152895.79/10.551% |
| 2026-05-12 | 纳指ETF(513100.SH) | 1.9324620338577 | 5618000 | 9 | 2.081 | 11691058 | 834486.29/7.686% |
| 2026-05-12 | 创业板(159915.SZ) | 3.6616667146024 | 3000700 | 12 | 3.94 | 11822758 | 835194.69/7.601% |
| 2026-05-11 | 纳指ETF(513100.SH) | 1.931171373565 | 5574700 | 8 | 2.108 | 11751467.6 | 985766.54/9.157% |
| 2026-05-11 | 创业板(159915.SZ) | 3.6616667146024 | 3001000 | 11 | 3.947 | 11844947 | 856285.19/7.792% |
交易详情
| 2026-05-15 | 纳指ETF(513100.SH) | 卖 | -15700 | 2.107 | -33079.9 | ¥9.92 | 2724.43 |
| 2026-05-15 | 创业板(159915.SZ) | 买 | 40900 | 3.961 | 162004.9 | ¥48.6 | 0 |
| 2026-05-14 | 纳指ETF(513100.SH) | 买 | 30400 | 2.116 | 64326.4 | ¥19.3 | 0 |
| 2026-05-14 | 创业板(159915.SZ) | 卖 | -31500 | 4.092 | -128898 | ¥38.67 | 13555.5 |
| 2026-05-13 | 纳指ETF(513100.SH) | 买 | 600 | 2.076 | 1245.6 | ¥5 | 0 |
| 2026-05-13 | 创业板(159915.SZ) | 卖 | -16500 | 3.91 | -64515 | ¥19.35 | 4097.5 |
| 2026-05-12 | 纳指ETF(513100.SH) | 买 | 43300 | 2.098 | 90843.4 | ¥27.25 | 0 |
| 2026-05-12 | 创业板(159915.SZ) | 卖 | -300 | 3.952 | -1185.6 | ¥5 | 87.1 |
| 2026-05-11 | 创业板(159915.SZ) | 买 | 9200 | 3.834 | 35272.8 | ¥10.58 | 0 |
| 2026-05-11 | 纳指ETF(513100.SH) | 卖 | -43200 | 2.104 | -90892.8 | ¥27.27 | 7466.2 |
