低市净均线反转策略:年化收益率（15.32%）
本策略结合低市净率估值和长期均线动量，筛选价格低于每股净资产且股价相对长期均线动量较弱的股票，捕捉价值回归机会。
概要
核心指标
- 累计收益率: 36.79%
- 年化收益率: 15.32%
- 基准收益率: 48.29%
- 阿尔法: -0.03
- 夏普比率: 0.49
- 最大回撤: 28.16%
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 | 山鹰国际(600567.SH) | 1.4304291845494 | 23300 | 3 | 1.4 | 32620 | -709/-2.127% |
| 2026-05-15 | 神马股份(600810.SH) | 7.3221959798995 | 19900 | 3 | 7.12 | 141688 | -4023.7/-2.761% |
| 2026-05-15 | 尖峰集团(600668.SH) | 9.0427120253165 | 15800 | 3 | 8.76 | 138408 | -4466.85/-3.126% |
| 2026-05-15 | 新钢股份(600782.SH) | 3.1109329809725 | 45900 | 8 | 2.99 | 137241 | -5550.82/-3.887% |
| 2026-05-15 | 沙钢股份(002075.SZ) | 4.4613378612717 | 31700 | 8 | 4.34 | 137578 | -3846.41/-2.72% |
| 2026-05-15 | 浦发银行(600000.SH) | 9.0427119496855 | 15900 | 3 | 9.07 | 144213 | 433.88/0.302% |
| 2026-05-15 | 瑞茂通(600180.SH) | 3.0909269709544 | 48200 | 13 | 1.93 | 93026 | -55956.68/-37.559% |
| 2026-05-15 | 华发股份(600325.SH) | 4.10206078317 | 39600 | 48 | 3.31 | 131076 | -31365.61/-19.309% |
| 2026-05-15 | 华联股份(000882.SZ) | 1.6104830357143 | 89600 | 3 | 1.53 | 137088 | -7211.28/-4.997% |
| 2026-05-15 | 广东鸿图(002101.SZ) | 9.8936308219178 | 14600 | 8 | 9.72 | 141912 | -2535.01/-1.755% |
交易详情
| 2026-05-13 | ST龙元(600491.SH) | 卖 | -76700 | 1.53 | -117351 | ¥152.56 | -62830.04 |
| 2026-05-13 | 苏交科(300284.SZ) | 卖 | -100 | 6.82 | -682 | ¥5.68 | -3 |
| 2026-05-13 | *ST华幸(600340.SH) | 卖 | -118800 | 1.18 | -140184 | ¥182.24 | -43584.11 |
| 2026-05-13 | *ST国中(600187.SH) | 卖 | -89700 | 1.56 | -139932 | ¥181.91 | -30032.65 |
| 2026-05-13 | 金地集团(600383.SH) | 卖 | -53200 | 3.11 | -165452 | ¥215.09 | -31175.22 |
| 2026-05-13 | ST西王(000639.SZ) | 卖 | -76000 | 1.68 | -127680 | ¥165.98 | -59634.78 |
| 2026-05-13 | 万 科Ａ(000002.SZ) | 卖 | -4300 | 4.08 | -17544 | ¥22.81 | -7408.21 |
| 2026-05-13 | 浦发银行(600000.SH) | 买 | 15900 | 9.04 | 143736 | ¥43.12 | 0 |
| 2026-05-13 | 尖峰集团(600668.SH) | 买 | 15800 | 9.04 | 142832 | ¥42.85 | 0 |
| 2026-05-13 | 华发股份(600325.SH) | 卖 | -4900 | 3.64 | -17836 | ¥23.19 | -2264.1 |
