宏观状态自适应ETF策略:年化收益率（11.24%）
暂定版--该策略通过判断经济增长、滞涨和衰退三种宏观状态，动态调整股票、债券、黄金和大宗商品 ETF 的权重，实现风险平衡与收益优化的宏观因子轮动
概要
核心指标
- 累计收益率: 230.65%
- 年化收益率: 11.24%
- 基准收益率: 26.84%
- 阿尔法: 0.08
- 夏普比率: 0.8
- 最大回撤: 19.47%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-08-21 | 十年国债(511260.SH) | 134.72000987024 | 2088 | 2178 | 135.765 | 283477.32 | 2181.94/0.776% |
| 2026-08-21 | 消费ETF(159928.SZ) | 0.68343236648437 | 748100 | 2823 | 0.659 | 492997.9 | -18277.85/-3.575% |
| 2026-08-21 | 黄金ETF(518880.SH) | 8.7722809584561 | 80700 | 2823 | 9.388 | 757611.6 | 49688.53/7.019% |
| 2026-08-21 | 创业板(159915.SZ) | 3.7184440082876 | 103700 | 2823 | 3.56 | 369172 | -16430.64/-4.261% |
| 2026-08-21 | 城投ETF(511220.SH) | 10.380713770375 | 72961 | 2823 | 10.407 | 759305.13 | 1917.87/0.253% |
| 2026-08-21 | 300ETF(510300.SH) | 4.7587648926094 | 113195 | 2823 | 4.68 | 529752.6 | -8915.79/-1.655% |
| 2026-08-20 | 十年国债(511260.SH) | 134.72000987024 | 2088 | 2177 | 135.705 | 283352.04 | 2056.66/0.731% |
| 2026-08-20 | 消费ETF(159928.SZ) | 0.68343236648437 | 748100 | 2822 | 0.669 | 500478.9 | -10796.85/-2.112% |
| 2026-08-20 | 黄金ETF(518880.SH) | 8.7722809584561 | 80700 | 2822 | 9.234 | 745183.8 | 37260.73/5.263% |
| 2026-08-20 | 创业板(159915.SZ) | 3.7184440082876 | 103700 | 2822 | 3.512 | 364194.4 | -21408.24/-5.552% |
交易详情
| 2026-08-19 | 300ETF(510300.SH) | 买 | 104500 | 4.748 | 496166 | ¥99.23 | 0 |
| 2026-08-19 | 创业板(159915.SZ) | 买 | 45500 | 3.655 | 166302.5 | ¥33.26 | 0 |
| 2026-08-19 | 十年国债(511260.SH) | 卖 | -2000 | 135.871 | -271742 | ¥54.35 | 2301.98 |
| 2026-08-19 | 城投ETF(511220.SH) | 买 | 51300 | 10.41 | 534033 | ¥106.81 | 0 |
| 2026-08-19 | 消费ETF(159928.SZ) | 卖 | -169200 | 0.67 | -113364 | ¥22.67 | -2272.76 |
| 2026-08-12 | 300ETF(510300.SH) | 卖 | -18300 | 4.727 | -86504.1 | ¥17.3 | -2740.05 |
| 2026-08-12 | 创业板(159915.SZ) | 买 | 26000 | 3.556 | 92456 | ¥18.49 | 0 |
| 2026-08-12 | 十年国债(511260.SH) | 卖 | -3000 | 135.531 | -406593 | ¥81.32 | 2432.97 |
| 2026-08-12 | 城投ETF(511220.SH) | 卖 | -36900 | 10.395 | -383575.5 | ¥76.72 | 3268.46 |
| 2026-08-12 | 黄金ETF(518880.SH) | 卖 | -64200 | 9.07 | -582294 | ¥116.46 | 19113.56 |
