卖出跨式期权策略:年化收益率（36.74%）
卖出跨式策略：同时卖出相同到期日、相同行权价的看涨期权和看跌期权。行权价选择最接近标的价格的50整价格（平值期权），收取权利金赚取时间价值，适合预期市场波动较小的震荡行情。每隔5天调仓一次。
概要
核心指标
- 累计收益率: 50.27%
- 年化收益率: 36.74%
- 基准收益率: 13.3%
- 阿尔法: 0.33
- 夏普比率: 1.41
- 最大回撤: 18.51%
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 | 华夏上证50ETF期权2606认沽3.10(10010611.SHO) | 0.0581 | -40 | 7 | 0.0977 | 39080 | -15840/0% |
| 2026-05-15 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0735 | -40 | 7 | 0.0409 | 16360 | 13040/0% |
| 2026-05-14 | 华夏上证50ETF期权2606认沽3.10(10010611.SHO) | 0.0581 | -40 | 6 | 0.0755 | 30200 | -6960/0% |
| 2026-05-14 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0735 | -40 | 6 | 0.058 | 23200 | 6200/0% |
| 2026-05-13 | 华夏上证50ETF期权2606认沽3.10(10010611.SHO) | 0.0581 | -40 | 5 | 0.057 | 22800 | 440/0% |
| 2026-05-13 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0735 | -40 | 5 | 0.087 | 34800 | -5400/0% |
| 2026-05-12 | 华夏上证50ETF期权2606认沽3.10(10010611.SHO) | 0.0581 | -40 | 4 | 0.0574 | 22960 | 280/0% |
| 2026-05-12 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0735 | -40 | 4 | 0.0861 | 34440 | -5040/0% |
| 2026-05-11 | 华夏上证50ETF期权2606认沽3.10(10010611.SHO) | 0.0581 | -40 | 3 | 0.0591 | 23640 | -400/0% |
| 2026-05-11 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 0.0735 | -40 | 3 | 0.0851 | 34040 | -4640/0% |
交易详情
| 2026-05-07 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 买 | 40 | 0.12 | 4.8 | ¥14.4 | -27640 |
| 2026-05-07 | 华夏上证50ETF期权2606认购3.10(10010602.SHO) | 卖 | -40 | 0.0735 | -2.94 | ¥8.82 | 0 |
| 2026-05-07 | 华夏上证50ETF期权2605认沽3.00(10011305.SHO) | 买 | 40 | 0.0082 | 0.328 | ¥0.98 | 20880 |
| 2026-05-07 | 华夏上证50ETF期权2606认沽3.10(10010611.SHO) | 卖 | -40 | 0.0581 | -2.324 | ¥6.97 | 0 |
| 2026-04-20 | 华夏上证50ETF期权2605认购2.95(10011295.SHO) | 买 | 40 | 0.078 | 3.12 | ¥9.36 | -6920 |
| 2026-04-20 | 华夏上证50ETF期权2605认购3.00(10011296.SHO) | 卖 | -40 | 0.0509 | -2.036 | ¥6.11 | 0 |
| 2026-04-20 | 华夏上证50ETF期权2605认沽2.95(10011304.SHO) | 买 | 40 | 0.04 | 1.6 | ¥4.8 | 17840 |
| 2026-04-20 | 华夏上证50ETF期权2605认沽3.00(10011305.SHO) | 卖 | -40 | 0.0604 | -2.416 | ¥7.25 | 0 |
| 2026-04-03 | 华夏上证50ETF期权2604认购2.90(10011104.SHO) | 买 | 40 | 0.0564 | 2.256 | ¥6.77 | -3920 |
| 2026-04-03 | 华夏上证50ETF期权2605认购2.95(10011295.SHO) | 卖 | -40 | 0.0607 | -2.428 | ¥7.28 | 0 |
