ETF策略-避免黑天鹅事件-DRO组合优化:年化收益率（10.18%）
大类ETF标的，通过分布式鲁棒性优化调仓仓位，避免黑天鹅时间，控制风险
概要
核心指标
- 累计收益率: 168.81%
- 年化收益率: 10.18%
- 基准收益率: 11.92%
- 阿尔法: 0.07
- 夏普比率: 0.79
- 最大回撤: 11.69%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-07-31 | 十年国债(511260.SH) | 104.33096 | 500 | 1888 | 136.346 | 68173 | 16007.52/30.686% |
| 2025-07-31 | 大宗商品(161715.SZ) | 1.3290739241865 | 8533 | 1954 | 1.676 | 14301.31 | 2960.32/26.103% |
| 2025-07-31 | 黄金ETF(518880.SH) | 5.4672833159482 | 10800 | 2570 | 7.35 | 79380 | 20333.34/34.436% |
| 2025-07-31 | 标普500(513500.SH) | 1.8597174532173 | 6326 | 2570 | 2.202 | 13929.85 | 2165.28/18.405% |
| 2025-07-31 | 纳指ETF(513100.SH) | 0.9661477519307 | 8103 | 2570 | 1.704 | 13807.51 | 5978.82/76.371% |
| 2025-07-31 | 300ETF(510300.SH) | 3.5235077136594 | 16554 | 2570 | 4.155 | 68781.87 | 10453.72/17.922% |
| 2025-07-30 | 十年国债(511260.SH) | 104.33096 | 500 | 1887 | 136.083 | 68041.5 | 15876.02/30.434% |
| 2025-07-30 | 大宗商品(161715.SZ) | 1.3290739241865 | 8533 | 1953 | 1.723 | 14702.36 | 3361.37/29.639% |
| 2025-07-30 | 黄金ETF(518880.SH) | 5.4672833159482 | 10800 | 2569 | 7.377 | 79671.6 | 20624.94/34.93% |
| 2025-07-30 | 标普500(513500.SH) | 1.8597174532173 | 6326 | 2569 | 2.18 | 13790.68 | 2026.11/17.222% |
交易详情
| 2025-07-08 | 大宗商品(161715.SZ) | 卖 | -200 | 1.564 | -312.8 | ¥5 | 46.99 |
| 2025-07-08 | 300ETF(510300.SH) | 卖 | -200 | 4.016 | -803.2 | ¥5 | 98.5 |
| 2025-07-08 | 纳指ETF(513100.SH) | 卖 | -300 | 1.633 | -489.9 | ¥5 | 200.06 |
| 2025-07-08 | 标普500(513500.SH) | 卖 | -200 | 2.114 | -422.8 | ¥5 | 50.86 |
| 2025-07-08 | 黄金ETF(518880.SH) | 买 | 300 | 7.397 | 2219.1 | ¥5 | 0 |
| 2025-06-18 | 300ETF(510300.SH) | 买 | 369 | 3.901 | -2.41 | ¥0 | 0 |
| 2025-06-06 | 300ETF(510300.SH) | 买 | 2600 | 3.987 | 10366.2 | ¥5 | 0 |
| 2025-06-06 | 纳指ETF(513100.SH) | 卖 | -300 | 1.56 | -468 | ¥5 | 178.16 |
| 2025-06-06 | 标普500(513500.SH) | 卖 | -300 | 2.018 | -605.4 | ¥5 | 47.48 |
| 2025-06-06 | 黄金ETF(518880.SH) | 买 | 100 | 7.477 | 747.7 | ¥5 | 0 |
