ETF策略-避免黑天鹅事件-DRO组合优化:年化收益率（10.24%）
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: 170.87%
- 年化收益率: 10.24%
- 基准收益率: 12.99%
- 阿尔法: 0.07
- 夏普比率: 0.8
- 最大回撤: 11.69%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-07 | 十年国债(511260.SH) | 104.33096 | 500 | 1893 | 136.478 | 68239 | 16073.52/30.813% |
| 2025-08-07 | 大宗商品(161715.SZ) | 1.3290739241865 | 7933 | 1959 | 1.708 | 13549.56 | 3006.02/28.511% |
| 2025-08-07 | 黄金ETF(518880.SH) | 5.4672833159482 | 10800 | 2575 | 7.484 | 80827.2 | 21780.54/36.887% |
| 2025-08-07 | 标普500(513500.SH) | 1.8597174532173 | 6226 | 2575 | 2.174 | 13535.32 | 1956.72/16.899% |
| 2025-08-07 | 纳指ETF(513100.SH) | 0.9661477519307 | 8103 | 2575 | 1.684 | 13645.45 | 5816.76/74.301% |
| 2025-08-07 | 300ETF(510300.SH) | 3.5235077136594 | 16154 | 2575 | 4.193 | 67733.72 | 10814.98/19.001% |
| 2025-08-06 | 十年国债(511260.SH) | 104.33096 | 500 | 1892 | 136.439 | 68219.5 | 16054.02/30.775% |
| 2025-08-06 | 大宗商品(161715.SZ) | 1.3290739241865 | 8533 | 1958 | 1.707 | 14565.83 | 3224.84/28.435% |
| 2025-08-06 | 黄金ETF(518880.SH) | 5.4672833159482 | 10800 | 2574 | 7.468 | 80654.4 | 21607.74/36.594% |
| 2025-08-06 | 标普500(513500.SH) | 1.8597174532173 | 6326 | 2574 | 2.174 | 13752.72 | 1988.15/16.899% |
交易详情
| 2025-08-07 | 大宗商品(161715.SZ) | 卖 | -600 | 1.69 | -1014 | ¥5 | 216.56 |
| 2025-08-07 | 300ETF(510300.SH) | 卖 | -400 | 4.196 | -1678.4 | ¥5 | 269 |
| 2025-08-07 | 标普500(513500.SH) | 卖 | -100 | 2.185 | -218.5 | ¥5 | 32.53 |
| 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 |
