趋势增强因子ETF策略:年化收益率（41.68%）
该策略针对 20 只指定 ETF 构建，以 25 天趋势增强评分为核心筛选因子，通过岭回归算法，加入线性时间，二次项和三角函数代表趋势强度和波动情况，辅以 21 日涨跌幅（roc_21）作为止盈指标。每日调仓，若持有的 ETF21 日涨幅超 25%，立即清仓，随后从剩余标的中选取趋势评分最高的 3 只。
概要
核心指标
- 累计收益率: 500.76%
- 年化收益率: 41.68%
- 基准收益率: -7.75%
- 阿尔法: 0.45
- 夏普比率: 1.36
- 最大回撤: 20.56%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 新汽车(515030.SH) | 2.0314062054934 | 98300 | 1 | 2.034 | 199942.2 | 254.97/0.128% |
| 2026-05-15 | 科创50(588000.SH) | 1.8843768075117 | 0 | 2 | 1.787 | 0 | -7388.63/-3.682% |
| 2026-05-15 | 创业板(159915.SZ) | 3.9109799660879 | 50600 | 3 | 3.97 | 200882 | 2986.41/1.509% |
| 2026-05-15 | 标普科技(161128.SZ) | 6.0133043584458 | 30400 | 17 | 6.576 | 199910.4 | 17105.95/9.358% |
| 2026-05-14 | 科创50(588000.SH) | 1.8843768075117 | 106500 | 1 | 1.815 | 193297.5 | -7388.63/-3.682% |
| 2026-05-14 | 创业板(159915.SZ) | 3.9107819066148 | 50500 | 2 | 3.961 | 200030.5 | 2536.01/1.284% |
| 2026-05-14 | 新汽车(515030.SH) | 2.1318030398323 | 0 | 4 | 2.037 | 0 | -2747.81/-1.351% |
| 2026-05-14 | 标普科技(161128.SZ) | 6.0133043584458 | 31000 | 16 | 6.619 | 205189 | 18776.56/10.073% |
| 2026-05-13 | 创业板(159915.SZ) | 3.9107819066148 | 51400 | 1 | 4.048 | 208067.2 | 7053.01/3.509% |
| 2026-05-13 | 科创50(588000.SH) | 1.8023603907638 | 0 | 2 | 1.865 | 0 | 1535.82/0.757% |
交易详情
| 2026-05-15 | 科创50(588000.SH) | 卖 | -106500 | 1.807 | -192445.5 | ¥38.49 | -8240.63 |
| 2026-05-15 | 标普科技(161128.SZ) | 卖 | -600 | 6.719 | -4031.4 | ¥5 | 423.42 |
| 2026-05-15 | 创业板(159915.SZ) | 买 | 100 | 3.961 | 396.1 | ¥5 | 0 |
| 2026-05-15 | 新汽车(515030.SH) | 买 | 98300 | 2.031 | 199647.3 | ¥39.93 | 0 |
| 2026-05-14 | 新汽车(515030.SH) | 卖 | -95400 | 2.104 | -200721.6 | ¥40.14 | -2652.41 |
| 2026-05-14 | 科创50(588000.SH) | 买 | 106500 | 1.884 | 200646 | ¥40.13 | 0 |
| 2026-05-14 | 创业板(159915.SZ) | 卖 | -900 | 4.092 | -3682.8 | ¥5 | 163.1 |
| 2026-05-13 | 科创50(588000.SH) | 卖 | -112600 | 1.78 | -200428 | ¥40.09 | -2517.78 |
| 2026-05-13 | 标普科技(161128.SZ) | 买 | 100 | 6.5 | 650 | ¥5 | 0 |
| 2026-05-13 | 创业板(159915.SZ) | 买 | 51400 | 3.91 | 200974 | ¥40.19 | 0 |
