ETF简单动量轮动策略:年化收益率（27.24%）
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: 2275.07%
- 年化收益率: 27.24%
- 基准收益率: 80.32%
- 阿尔法: 0.24
- 夏普比率: 1.18
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-08-25 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 8 | 9.533 | 23750516.2 | 1548678.05/6.975% |
| 2026-08-24 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 7 | 9.564 | 23827749.6 | 1625911.45/7.323% |
| 2026-08-21 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 6 | 9.388 | 23389263.2 | 1187425.05/5.348% |
| 2026-08-20 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 5 | 9.234 | 23005587.6 | 803749.45/3.62% |
| 2026-08-19 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 4 | 8.974 | 22357823.6 | 155985.45/0.703% |
| 2026-08-18 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 3 | 9.078 | 22616929.2 | 415091.05/1.87% |
| 2026-08-17 | 黄金ETF(518880.SH) | 8.9113904431243 | 2491400 | 2 | 9.068 | 22592015.2 | 390177.05/1.757% |
| 2026-08-14 | 黄金ETF(518880.SH) | 8.9086717998859 | 2454600 | 1 | 8.946 | 21958851.6 | 91625.8/0.419% |
| 2026-07-17 | 创业板(159915.SZ) | 3.8595551603604 | 0 | 59 | 3.463 | 0 | -824328.88/-3.538% |
| 2026-07-16 | 创业板(159915.SZ) | 3.8595551603604 | 6036600 | 58 | 3.723 | 22474261.8 | -824328.88/-3.538% |
交易详情
| 2026-08-17 | 黄金ETF(518880.SH) | 买 | 36800 | 9.09 | 334512 | ¥100.35 | 0 |
| 2026-08-14 | 黄金ETF(518880.SH) | 买 | 2454600 | 8.906 | 21860667.6 | ¥6558.2 | 0 |
| 2026-07-17 | 创业板(159915.SZ) | 卖 | -6036600 | 3.679 | -22208651.4 | ¥6662.6 | -1089939.28 |
| 2026-07-06 | 创业板(159915.SZ) | 买 | 13600 | 4.051 | 55093.6 | ¥16.53 | 0 |
| 2026-07-03 | 纳指ETF(513100.SH) | 卖 | -5728100 | 2.15 | -12315415 | ¥3694.62 | 1085838.17 |
| 2026-07-03 | 创业板(159915.SZ) | 买 | 3069700 | 4.002 | 12284939.4 | ¥3685.48 | 0 |
| 2026-07-02 | 创业板(159915.SZ) | 买 | 26900 | 4.207 | 113168.3 | ¥33.95 | 0 |
| 2026-07-02 | 纳指ETF(513100.SH) | 卖 | -14500 | 2.193 | -31798.5 | ¥9.54 | 3372.17 |
| 2026-07-01 | 纳指ETF(513100.SH) | 买 | 300 | 2.227 | 668.1 | ¥5 | 0 |
| 2026-07-01 | 创业板(159915.SZ) | 卖 | -26000 | 4.364 | -113464 | ¥34.04 | 17139.85 |
