月度动量期货轮动策略:年化收益率（301.35%）
本策略每五日（一周）选取动量最大的5只股票，次日开盘买入并持有，旨在捕捉日内价格上涨的动能。
概要
核心指标
- 累计收益率: 2217.98%
- 年化收益率: 301.35%
- 基准收益率: 43.51%
- 阿尔法: 53.18
- 夏普比率: 1.33
- 最大回撤: 95.94%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 鸡蛋2607(jd2607.DCE) | 3705 | 602 | 4 | 3787 | 0 | 493640/0% |
| 2026-05-15 | 生猪2607(lh2607.DCE) | 11480 | 194 | 14 | 10790 | 0 | -2141760/0% |
| 2026-05-15 | 棉花609(CF609.CZC) | 15345 | 199 | 24 | 16085 | 0 | 736300/0% |
| 2026-05-15 | 螺纹钢2610(rb2610.SHF) | 3119 | 981 | 24 | 3232 | 0 | 1108530/0% |
| 2026-05-15 | 热轧卷板2610(hc2610.SHF) | 3282 | 930 | 24 | 3446 | 0 | 1525200/0% |
| 2026-05-14 | 鸡蛋2607(jd2607.DCE) | 3705 | 602 | 3 | 3780 | 0 | 451500/0% |
| 2026-05-14 | 生猪2607(lh2607.DCE) | 11480 | 194 | 13 | 10765 | 0 | -2219360/0% |
| 2026-05-14 | 棉花609(CF609.CZC) | 15345 | 199 | 23 | 16435 | 0 | 1084550/0% |
| 2026-05-14 | 螺纹钢2610(rb2610.SHF) | 3119 | 981 | 23 | 3255 | 0 | 1334160/0% |
| 2026-05-14 | 热轧卷板2610(hc2610.SHF) | 3282 | 930 | 23 | 3478 | 0 | 1822800/0% |
交易详情
| 2026-05-12 | 玉米2607(c2607.DCE) | 卖 | -1097 | 2355 | -2583435 | ¥2194 | -855660 |
| 2026-05-12 | 鸡蛋2607(jd2607.DCE) | 买 | 602 | 3705 | 2230410 | ¥1204 | 0 |
| 2026-04-30 | 玉米2607(c2607.DCE) | 买 | 1097 | 2433 | 2669001 | ¥2194 | 0 |
| 2026-04-30 | 线材2607(wr2607.SHF) | 卖 | -4 | 3413 | -13652 | ¥8 | 1720 |
| 2026-04-23 | 玉米2607(c2607.DCE) | 卖 | -828 | 2437 | -2017836 | ¥1656 | 397440 |
| 2026-04-23 | 白糖609(SR609.CZC) | 卖 | -577 | 5409 | -3120993 | ¥1154 | 715480 |
| 2026-04-23 | 生猪2607(lh2607.DCE) | 买 | 194 | 11480 | 2227120 | ¥388 | 0 |
| 2026-04-23 | 线材2607(wr2607.SHF) | 买 | 4 | 3370 | 13480 | ¥8 | 0 |
| 2026-04-16 | 玉米2605(c2605.DCE) | 卖 | -1302 | 2367 | -3081834 | ¥2604 | 325500 |
| 2026-04-16 | 玉米2607(c2607.DCE) | 买 | 828 | 2389 | 1978092 | ¥1656 | 0 |
