低市净均线反转策略:年化收益率（27.72%）
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: 66.48%
- 年化收益率: 27.72%
- 基准收益率: 35.79%
- 阿尔法: 0.12
- 夏普比率: 0.76
- 最大回撤: 25.01%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-31 | 居然智家(000785.SZ) | 2.5307589506173 | 64800 | 4 | 2.45 | 158760 | -5233.18/-3.191% |
| 2026-03-31 | 苏交科(300284.SZ) | 6.5919770428016 | 25700 | 4 | 6.52 | 167564 | -1849.81/-1.092% |
| 2026-03-31 | 珍宝岛(603567.SH) | 7.2921871485944 | 24800 | 9 | 7.08 | 175584 | -5262.24/-2.91% |
| 2026-03-31 | 保利发展(600048.SH) | 6.3805892361111 | 28300 | 14 | 5.82 | 164706 | -15864.68/-8.786% |
| 2026-03-31 | 华发股份(600325.SH) | 4.1181969762419 | 46300 | 19 | 3.59 | 166217 | -24455.52/-12.826% |
| 2026-03-31 | 信达地产(600657.SH) | 3.2384952638752 | 56200 | 19 | 3.01 | 169162 | -12841.43/-7.056% |
| 2026-03-31 | 华夏幸福(600340.SH) | 1.5550970078762 | 115700 | 44 | 1.39 | 160823 | -19101.72/-10.617% |
| 2026-03-31 | 瑞茂通(600180.SH) | 3.6510951020408 | 48200 | 9 | 3.47 | 167254 | -8728.78/-4.96% |
| 2026-03-31 | 金地集团(600383.SH) | 3.7165618814587 | 60200 | 99 | 2.73 | 164346 | -59391.03/-26.545% |
| 2026-03-31 | 万 科Ａ(000002.SZ) | 5.833178404004 | 41200 | 109 | 3.99 | 164388 | -75938.95/-31.598% |
交易详情
| 2026-03-26 | 华联股份(000882.SZ) | 卖 | -99100 | 1.7 | -168470 | ¥219.01 | -12932.13 |
| 2026-03-26 | 光明肉业(600073.SH) | 卖 | -29800 | 5.88 | -175224 | ¥227.79 | -6610.53 |
| 2026-03-26 | 珍宝岛(603567.SH) | 卖 | -100 | 6.89 | -689 | ¥5.69 | -40.22 |
| 2026-03-26 | 华夏幸福(600340.SH) | 卖 | -1100 | 1.46 | -1606 | ¥6.61 | -104.61 |
| 2026-03-26 | 万 科Ａ(000002.SZ) | 买 | 1600 | 4.1 | 6560 | ¥5 | 0 |
| 2026-03-26 | 金地集团(600383.SH) | 买 | 500 | 2.82 | 1410 | ¥5 | 0 |
| 2026-03-26 | 华发股份(600325.SH) | 买 | 800 | 3.67 | 2936 | ¥5 | 0 |
| 2026-03-26 | 苏交科(300284.SZ) | 买 | 25700 | 6.59 | 169363 | ¥50.81 | 0 |
| 2026-03-26 | 信达地产(600657.SH) | 买 | 400 | 3.01 | 1204 | ¥5 | 0 |
| 2026-03-26 | 居然智家(000785.SZ) | 买 | 64800 | 2.53 | 163944 | ¥49.18 | 0 |
