宏观状态自适应ETF策略:年化收益率（11.26%）
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: 225.94%
- 年化收益率: 11.26%
- 基准收益率: 36.74%
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-30 | 十年国债(511260.SH) | 134.17456235426 | 2088 | 2140 | 134.854 | 281575.15 | 1418.67/0.506% |
| 2026-06-30 | 消费ETF(159928.SZ) | 0.69230632865964 | 778500 | 2785 | 0.615 | 478777.5 | -60182.98/-11.166% |
| 2026-06-30 | 黄金ETF(518880.SH) | 8.9818340315707 | 86800 | 2785 | 8.378 | 727210.4 | -52412.79/-6.723% |
| 2026-06-30 | 创业板(159915.SZ) | 4.0015931890351 | 90000 | 2785 | 4.364 | 392760 | 32616.61/9.057% |
| 2026-06-30 | 城投ETF(511220.SH) | 10.305977846215 | 80861 | 2785 | 10.375 | 838932.88 | 5581.2/0.67% |
| 2026-06-30 | 300ETF(510300.SH) | 4.8840969457295 | 107595 | 2785 | 5.019 | 540019.31 | 14514.89/2.762% |
| 2026-06-29 | 十年国债(511260.SH) | 134.17456235426 | 2088 | 2139 | 134.97 | 281817.36 | 1660.87/0.593% |
| 2026-06-29 | 消费ETF(159928.SZ) | 0.69230632865964 | 778500 | 2784 | 0.622 | 484227 | -54733.48/-10.155% |
| 2026-06-29 | 黄金ETF(518880.SH) | 8.9818340315707 | 86800 | 2784 | 8.449 | 733373.2 | -46249.99/-5.932% |
| 2026-06-29 | 创业板(159915.SZ) | 4.0015931890351 | 90000 | 2784 | 4.236 | 381240 | 21096.61/5.858% |
交易详情
| 2026-06-25 | 十年国债(511260.SH) | 买 | 19 | 134.643 | -67.34 | ¥0 | 0 |
| 2026-06-24 | 300ETF(510300.SH) | 买 | 19700 | 4.929 | 97101.3 | ¥19.42 | 0 |
| 2026-06-24 | 创业板(159915.SZ) | 买 | 59700 | 4.206 | 251098.2 | ¥50.22 | 0 |
| 2026-06-24 | 城投ETF(511220.SH) | 卖 | -1200 | 10.366 | -12439.2 | ¥5 | 72.03 |
| 2026-06-24 | 黄金ETF(518880.SH) | 买 | 2400 | 8.485 | 20364 | ¥5 | 0 |
| 2026-06-24 | 消费ETF(159928.SZ) | 买 | 13400 | 0.617 | 8267.8 | ¥5 | 0 |
| 2026-06-16 | 300ETF(510300.SH) | 买 | 60600 | 4.92 | 298152 | ¥59.63 | 0 |
| 2026-06-16 | 十年国债(511260.SH) | 卖 | -4900 | 135.699 | -664925.1 | ¥132.99 | 1432.21 |
| 2026-06-16 | 城投ETF(511220.SH) | 买 | 21900 | 10.365 | 226993.5 | ¥45.4 | 0 |
| 2026-06-16 | 黄金ETF(518880.SH) | 卖 | -27100 | 8.945 | -242409.5 | ¥48.48 | -1379.47 |
