卖出宽跨式期权策略:年化收益率（19.7%）
卖出宽跨式策略：同时卖出相同到期日、不同行权价的看涨期权和看跌期权。看涨期权选择价外期权，看跌期权也选择价外期权，赚取时间价值，适合预期市场波动较小的情况。每隔5天调仓一次。
概要
核心指标
- 累计收益率: 27.73%
- 年化收益率: 19.7%
- 基准收益率: 9.79%
- 阿尔法: 0.17
- 夏普比率: 0.93
- 最大回撤: 16.97%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 华夏上证50ETF期权2607认沽2.90(10011692.SHO) | 0.0363 | -40 | 2 | 0.0534 | 21360 | -6840/0% |
| 2026-06-05 | 华夏上证50ETF期权2607认购3.10(10011686.SHO) | 0.032 | -40 | 2 | 0.0205 | 8200 | 4600/0% |
| 2026-06-04 | 华夏上证50ETF期权2607认沽2.90(10011692.SHO) | 0.0363 | -40 | 1 | 0.0428 | 17120 | -2600/0% |
| 2026-06-04 | 华夏上证50ETF期权2607认购3.10(10011686.SHO) | 0.032 | -40 | 1 | 0.0249 | 9960 | 2840/0% |
| 2026-06-04 | 华夏上证50ETF期权2606认沽2.90(10010608.SHO) | 0.0208 | 0 | 6 | 0.0171 | 0 | 0/0% |
| 2026-06-04 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0236 | 0 | 6 | 0.0068 | 0 | 0/0% |
| 2026-06-03 | 华夏上证50ETF期权2606认沽2.90(10010608.SHO) | 0.0208 | -40 | 5 | 0.0106 | 4240 | 4080/0% |
| 2026-06-03 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0236 | -40 | 5 | 0.0116 | 4640 | 4800/0% |
| 2026-06-02 | 华夏上证50ETF期权2606认沽2.90(10010608.SHO) | 0.0208 | -40 | 4 | 0.0129 | 5160 | 3160/0% |
| 2026-06-02 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0236 | -40 | 4 | 0.0126 | 5040 | 4400/0% |
交易详情
| 2026-06-04 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 买 | 40 | 0.0103 | 0.412 | ¥1.24 | 5320 |
| 2026-06-04 | 华夏上证50ETF期权2607认购3.10(10011686.SHO) | 卖 | -40 | 0.032 | -1.28 | ¥3.84 | 0 |
| 2026-06-04 | 华夏上证50ETF期权2606认沽2.90(10010608.SHO) | 买 | 40 | 0.014 | 0.56 | ¥1.68 | 2720 |
| 2026-06-04 | 华夏上证50ETF期权2607认沽2.90(10011692.SHO) | 卖 | -40 | 0.0363 | -1.452 | ¥4.36 | 0 |
| 2026-05-28 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 买 | 40 | 0.0085 | 0.34 | ¥1.02 | 11440 |
| 2026-05-28 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 卖 | -40 | 0.0236 | -0.944 | ¥2.83 | 0 |
| 2026-05-28 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 买 | 40 | 0.0573 | 2.292 | ¥6.88 | -11880 |
| 2026-05-28 | 华夏上证50ETF期权2606认沽2.90(10010608.SHO) | 卖 | -40 | 0.0208 | -0.832 | ¥2.5 | 0 |
| 2026-05-07 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 买 | 40 | 0.0509 | 2.036 | ¥6.11 | -13520 |
| 2026-05-07 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 卖 | -40 | 0.0371 | -1.484 | ¥4.45 | 0 |
