ETF策略-避免黑天鹅事件-DRO组合优化:年化收益率（11.28%）
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: 222.25%
- 年化收益率: 11.28%
- 基准收益率: 33.45%
- 阿尔法: 0.08
- 夏普比率: 0.87
- 最大回撤: 11.7%
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 | 十年国债(511260.SH) | 107.41908496732 | 612 | 2076 | 135.414 | 82873.37 | 17132.89/26.061% |
| 2026-05-15 | 大宗商品(161715.SZ) | 1.8180381124839 | 10633 | 2142 | 2.396 | 25476.67 | 6145.47/31.79% |
| 2026-05-15 | 黄金ETF(518880.SH) | 5.7723521517885 | 1700 | 2758 | 9.554 | 16241.8 | 6428.8/65.513% |
| 2026-05-15 | 标普500(513500.SH) | 1.921440813353 | 6626 | 2758 | 2.48 | 16432.48 | 3701.01/29.07% |
| 2026-05-15 | 纳指ETF(513100.SH) | 1.1841841963326 | 10303 | 2758 | 2.1 | 21636.3 | 9435.65/77.337% |
| 2026-05-15 | 300ETF(510300.SH) | 3.7096199691841 | 19976 | 2758 | 4.878 | 97442.93 | 23339.56/31.496% |
| 2026-05-14 | 十年国债(511260.SH) | 107.41908496732 | 612 | 2075 | 135.37 | 82846.44 | 17105.96/26.02% |
| 2026-05-14 | 大宗商品(161715.SZ) | 1.8180381124839 | 10633 | 2141 | 2.46 | 26157.18 | 6825.98/35.311% |
| 2026-05-14 | 黄金ETF(518880.SH) | 5.7723521517885 | 1700 | 2757 | 9.795 | 16651.5 | 6838.5/69.688% |
| 2026-05-14 | 标普500(513500.SH) | 1.921440813353 | 6626 | 2757 | 2.489 | 16492.11 | 3760.65/29.538% |
交易详情
| 2026-05-06 | 大宗商品(161715.SZ) | 买 | 4300 | 2.512 | 10801.6 | ¥5 | 0 |
| 2026-05-06 | 300ETF(510300.SH) | 卖 | -500 | 4.866 | -2433 | ¥5 | 578.19 |
| 2026-05-06 | 纳指ETF(513100.SH) | 买 | 1200 | 2.02 | 2424 | ¥5 | 0 |
| 2026-05-06 | 标普500(513500.SH) | 卖 | -400 | 2.455 | -982 | ¥5 | 213.42 |
| 2026-05-06 | 黄金ETF(518880.SH) | 卖 | -6300 | 9.698 | -61097.4 | ¥12.22 | 24731.58 |
| 2026-03-31 | 300ETF(510300.SH) | 买 | 800 | 4.501 | 3600.8 | ¥5 | 0 |
| 2026-03-31 | 纳指ETF(513100.SH) | 买 | 700 | 1.68 | 1176 | ¥5 | 0 |
| 2026-03-31 | 标普500(513500.SH) | 买 | 600 | 2.168 | 1300.8 | ¥5 | 0 |
| 2026-03-31 | 黄金ETF(518880.SH) | 买 | 500 | 9.751 | 4875.5 | ¥5 | 0 |
| 2026-03-25 | 十年国债(511260.SH) | 买 | 3 | 134.24 | -5.92 | ¥0 | 0 |
