卖出宽跨式期权策略:年化收益率（18.88%）
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: 25.25%
- 年化收益率: 18.88%
- 基准收益率: 13.3%
- 阿尔法: 0.16
- 夏普比率: 0.88
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 0.0276 | -40 | 7 | 0.0452 | 18080 | -7040/0% |
| 2026-05-15 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 0.0371 | -40 | 7 | 0.0181 | 7240 | 7600/0% |
| 2026-05-14 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 0.0276 | -40 | 6 | 0.0337 | 13480 | -2440/0% |
| 2026-05-14 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 0.0371 | -40 | 6 | 0.0275 | 11000 | 3840/0% |
| 2026-05-13 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 0.0276 | -40 | 5 | 0.0245 | 9800 | 1240/0% |
| 2026-05-13 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 0.0371 | -40 | 5 | 0.0451 | 18040 | -3200/0% |
| 2026-05-12 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 0.0276 | -40 | 4 | 0.0246 | 9840 | 1200/0% |
| 2026-05-12 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 0.0371 | -40 | 4 | 0.0445 | 17800 | -2960/0% |
| 2026-05-11 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 0.0276 | -40 | 3 | 0.025 | 10000 | 1040/0% |
| 2026-05-11 | 华夏上证50ETF期权2606认购3.20(10010603.SHO) | 0.0371 | -40 | 3 | 0.0447 | 17880 | -3040/0% |
交易详情
| 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 |
| 2026-05-07 | 华夏上证50ETF期权2605认沽2.90(10011303.SHO) | 买 | 40 | 0.0015 | 0.06 | ¥0.18 | 9320 |
| 2026-05-07 | 华夏上证50ETF期权2606认沽3.00(10010610.SHO) | 卖 | -40 | 0.0276 | -1.104 | ¥3.31 | 0 |
| 2026-04-20 | 华夏上证50ETF期权2604认购3.00(10011106.SHO) | 买 | 40 | 0.0092 | 0.368 | ¥1.1 | 1400 |
| 2026-04-20 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 卖 | -40 | 0.0171 | -0.684 | ¥2.05 | 0 |
| 2026-04-20 | 华夏上证50ETF期权2604认沽2.80(10011214.SHO) | 买 | 40 | 0.0003 | 0.012 | ¥0.04 | 9840 |
| 2026-04-20 | 华夏上证50ETF期权2605认沽2.90(10011303.SHO) | 卖 | -40 | 0.0248 | -0.992 | ¥2.98 | 0 |
| 2026-03-27 | 华夏上证50ETF期权2604认购3.10(10011107.SHO) | 买 | 40 | 0.0044 | 0.176 | ¥0.53 | 6240 |
| 2026-03-27 | 华夏上证50ETF期权2604认购3.00(10011106.SHO) | 卖 | -40 | 0.0127 | -0.508 | ¥1.52 | 0 |
