ETF策略-避免黑天鹅事件-DRO组合优化:年化收益率（10.7%）
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: 216.33%
- 年化收益率: 10.7%
- 基准收益率: 18.36%
- 阿尔法: 0.08
- 夏普比率: 0.81
- 最大回撤: 11.7%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-10-08 | 十年国债(511260.SH) | 109.61502762431 | 724 | 2173 | 134.73 | 97544.52 | 18183.24/22.912% |
| 2026-10-08 | 大宗商品(161715.SZ) | 1.9024738278521 | 12533 | 2239 | 2.129 | 26682.76 | 2839.05/11.907% |
| 2026-10-08 | 黄金ETF(518880.SH) | 5.9419436989114 | 1800 | 2855 | 8.474 | 15253.2 | 4557.7/42.613% |
| 2026-10-08 | 标普500(513500.SH) | 1.921440813353 | 6026 | 2855 | 2.703 | 16288.28 | 4709.68/40.676% |
| 2026-10-08 | 纳指ETF(513100.SH) | 1.8627152630752 | 30303 | 2855 | 2.374 | 71939.32 | 15493.46/27.448% |
| 2026-10-08 | 300ETF(510300.SH) | 3.7237420059068 | 20076 | 2855 | 4.389 | 88113.56 | 13355.72/17.865% |
| 2026-09-30 | 十年国债(511260.SH) | 109.61502762431 | 724 | 2172 | 134.804 | 97598.1 | 18236.82/22.979% |
| 2026-09-30 | 大宗商品(161715.SZ) | 1.9024738278521 | 12533 | 2238 | 2.128 | 26670.22 | 2826.52/11.854% |
| 2026-09-30 | 黄金ETF(518880.SH) | 5.9419436989114 | 1800 | 2854 | 8.633 | 15539.4 | 4843.9/45.289% |
| 2026-09-30 | 标普500(513500.SH) | 1.921440813353 | 6026 | 2854 | 2.688 | 16197.89 | 4619.29/39.895% |
交易详情
| 2026-09-18 | 十年国债(511260.SH) | 买 | 6 | 134.695 | -107.28 | ¥0 | 0 |
| 2026-09-08 | 大宗商品(161715.SZ) | 卖 | -100 | 2.251 | -225.1 | ¥5 | 34.85 |
| 2026-09-08 | 300ETF(510300.SH) | 买 | 300 | 4.638 | 1391.4 | ¥5 | 0 |
| 2026-09-08 | 纳指ETF(513100.SH) | 卖 | -100 | 2.239 | -223.9 | ¥5 | 37.63 |
| 2026-08-07 | 大宗商品(161715.SZ) | 卖 | -100 | 2.254 | -225.4 | ¥5 | 35.15 |
| 2026-08-07 | 纳指ETF(513100.SH) | 卖 | -500 | 2.244 | -1122 | ¥5 | 190.64 |
| 2026-08-07 | 标普500(513500.SH) | 卖 | -300 | 2.682 | -804.6 | ¥5 | 228.17 |
| 2026-08-07 | 黄金ETF(518880.SH) | 买 | 100 | 8.775 | 877.5 | ¥5 | 0 |
| 2026-07-08 | 大宗商品(161715.SZ) | 买 | 500 | 2.198 | 1099 | ¥5 | 0 |
| 2026-07-08 | 纳指ETF(513100.SH) | 买 | 300 | 2.161 | 648.3 | ¥5 | 0 |
