熊市看涨价差策略:年化收益率（67.1%）
熊市看涨价差策略：通过卖出较低行权价的看涨期权并买入较高行权价的看涨期权来构建看跌头寸。这是一种贷方价差策略，通过时间价值衰减获利，适合温和看跌的市场预期。\n\n策略构成：\n- 卖出1个较低行权价的看涨期权（平值或轻度价内）\n- 买入1个较高行权价的看涨期权（价外）\n\n每隔5天调仓一次。
概要
核心指标
- 累计收益率: 18.91%
- 年化收益率: 67.1%
- 基准收益率: 3.01%
- 阿尔法: 0.69
- 夏普比率: 2.58
- 最大回撤: 3.74%
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
|
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|---|---|---|---|---|---|---|---|
| 2026-05-15 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 0.0181 | 40 | 9 | 0.0101 | 4040 | -3200/0% |
| 2026-05-15 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 0.065 | -40 | 9 | 0.0567 | 22680 | 3320/0% |
| 2026-05-14 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 0.0181 | 40 | 8 | 0.0239 | 9560 | 2320/0% |
| 2026-05-14 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 0.065 | -40 | 8 | 0.0868 | 34720 | -8720/0% |
| 2026-05-13 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 0.0181 | 40 | 7 | 0.0498 | 19920 | 12680/0% |
| 2026-05-13 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 0.065 | -40 | 7 | 0.1299 | 51960 | -25960/0% |
| 2026-05-12 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 0.0181 | 40 | 6 | 0.05 | 20000 | 12760/0% |
| 2026-05-12 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 0.065 | -40 | 6 | 0.1279 | 51160 | -25160/0% |
| 2026-05-11 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 0.0181 | 40 | 5 | 0.0505 | 20200 | 12960/0% |
| 2026-05-11 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 0.065 | -40 | 5 | 0.1261 | 50440 | -24440/0% |
交易详情
| 2026-04-30 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 卖 | -40 | 0.065 | -2.6 | ¥7.8 | 0 |
| 2026-04-30 | 华夏上证50ETF期权2605认购3.10(10011297.SHO) | 买 | 40 | 0.0181 | 0.724 | ¥2.17 | 0 |
| 2026-04-22 | 华夏上证50ETF期权2604认购2.95(10011105.SHO) | 卖 | -40 | 0.0518 | -2.072 | ¥0 | 8520 |
| 2026-04-22 | 华夏上证50ETF期权2604认购2.85(10011103.SHO) | 买 | 40 | 0.1514 | 6.056 | ¥0 | 0 |
| 2026-04-01 | 华夏上证50ETF期权2604认购2.95(10011105.SHO) | 卖 | -40 | 0.0305 | -1.22 | ¥3.66 | -2880 |
| 2026-04-01 | 华夏上证50ETF期权2604认购2.85(10011103.SHO) | 买 | 40 | 0.0958 | 3.832 | ¥11.5 | 440 |
| 2026-04-01 | 华夏上证50ETF期权2604认购2.85(10011103.SHO) | 卖 | -40 | 0.0958 | -3.832 | ¥11.5 | 0 |
| 2026-04-01 | 华夏上证50ETF期权2604认购2.95(10011105.SHO) | 买 | 40 | 0.0305 | 1.22 | ¥3.66 | 0 |
| 2026-03-25 | 华夏上证50ETF期权2604认购3.10(10011107.SHO) | 卖 | -40 | 0.0094 | -0.376 | ¥1.13 | -8640 |
| 2026-03-25 | 华夏上证50ETF期权2604认购3.00(10011106.SHO) | 买 | 40 | 0.0229 | 0.916 | ¥2.75 | 25000 |
