月度动量期货轮动策略:年化收益率（299.54%）
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: 2391.55%
- 年化收益率: 299.54%
- 基准收益率: 42.25%
- 阿尔法: 49.96
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 生猪2609(lh2609.DCE) | 12030 | 195 | 4 | 11780 | 0 | -780000/0% |
| 2026-06-05 | 线材2607(wr2607.SHF) | 3433 | 82 | 9 | 3367 | 0 | -54120/0% |
| 2026-06-05 | 白糖609(SR609.CZC) | 5350 | 400 | 9 | 5341 | 0 | -36000/0% |
| 2026-06-05 | 鸡蛋2607(jd2607.DCE) | 3705 | 602 | 19 | 4342 | 0 | 3834740/0% |
| 2026-06-05 | 热轧卷板2610(hc2610.SHF) | 3282 | 930 | 39 | 3381 | 0 | 920700/0% |
| 2026-06-04 | 生猪2609(lh2609.DCE) | 12030 | 195 | 3 | 11965 | 0 | -202800/0% |
| 2026-06-04 | 线材2607(wr2607.SHF) | 3433 | 82 | 8 | 3348 | 0 | -69700/0% |
| 2026-06-04 | 白糖609(SR609.CZC) | 5350 | 400 | 8 | 5374 | 0 | 96000/0% |
| 2026-06-04 | 鸡蛋2607(jd2607.DCE) | 3705 | 602 | 18 | 4363 | 0 | 3961160/0% |
| 2026-06-04 | 热轧卷板2610(hc2610.SHF) | 3282 | 930 | 38 | 3377 | 0 | 883500/0% |
交易详情
| 2026-06-02 | 螺纹钢2610(rb2610.SHF) | 卖 | -981 | 3180 | -3119580 | ¥1962 | 598410 |
| 2026-06-02 | 生猪2609(lh2609.DCE) | 买 | 195 | 12030 | 2345850 | ¥390 | 0 |
| 2026-05-26 | 棉花609(CF609.CZC) | 卖 | -199 | 15940 | -3172060 | ¥398 | 592025 |
| 2026-05-26 | 白糖609(SR609.CZC) | 买 | 400 | 5350 | 2140000 | ¥800 | 0 |
| 2026-05-26 | 线材2607(wr2607.SHF) | 买 | 82 | 3433 | 281506 | ¥164 | 0 |
| 2026-05-26 | 生猪2607(lh2607.DCE) | 卖 | -194 | 10960 | -2126240 | ¥388 | -1614080 |
| 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 |
