动量双筛etf策略:年化收益率（17.59%）
仅纳入 20 日涨幅超 2% 的 ETF 作为候选池，每日从中选取涨幅最高的 1 只全仓配置。止损机制为：若持有标的 20 日涨幅跌破 1%，立即清仓。策略每日调仓。
概要
核心指标
- 累计收益率: 164.21%
- 年化收益率: 17.59%
- 基准收益率: 7.17%
- 阿尔法: 0.25
- 夏普比率: 0.52
- 最大回撤: 52.36%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-31 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 16 | 2.581 | 264036.3 | 80882.68/44.161% |
| 2026-03-30 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 15 | 2.709 | 277130.7 | 93977.08/51.311% |
| 2026-03-27 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 14 | 2.66 | 272118 | 88964.38/48.574% |
| 2026-03-26 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 13 | 2.841 | 290634.3 | 107480.68/58.683% |
| 2026-03-25 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 12 | 2.774 | 283780.2 | 100626.58/54.941% |
| 2026-03-24 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 11 | 3.082 | 315288.6 | 132134.98/72.144% |
| 2026-03-23 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 10 | 2.904 | 297079.2 | 113925.58/62.202% |
| 2026-03-20 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 9 | 2.64 | 270072 | 86918.38/47.457% |
| 2026-03-19 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 8 | 2.545 | 260353.5 | 77199.88/42.15% |
| 2026-03-18 | 嘉实原油(160723.SZ) | 1.7903579667644 | 102300 | 7 | 2.314 | 236722.2 | 53568.58/29.248% |
交易详情
| 2026-03-10 | 能源化工(159981.SZ) | 卖 | -127200 | 1.441 | -183295.2 | ¥36.66 | -22810.01 |
| 2026-03-10 | 嘉实原油(160723.SZ) | 买 | 102300 | 1.79 | 183117 | ¥36.62 | 0 |
| 2026-03-09 | 嘉实原油(160723.SZ) | 卖 | -103800 | 1.946 | -201994.8 | ¥40.4 | 51454.7 |
| 2026-03-09 | 能源化工(159981.SZ) | 买 | 127200 | 1.62 | 206064 | ¥41.21 | 0 |
| 2026-02-13 | 日经225(513880.SH) | 卖 | -81400 | 1.9 | -154660 | ¥30.93 | -3124.75 |
| 2026-02-13 | 嘉实原油(160723.SZ) | 买 | 103800 | 1.45 | 150510 | ¥30.1 | 0 |
| 2026-02-12 | 光伏ETF(515790.SH) | 卖 | -140800 | 1.113 | -156710.4 | ¥31.34 | -2566.25 |
| 2026-02-12 | 日经225(513880.SH) | 买 | 81400 | 1.938 | 157753.2 | ¥31.55 | 0 |
| 2026-02-09 | 黄金ETF(518880.SH) | 卖 | -14600 | 10.72 | -156512 | ¥31.3 | 9329.17 |
| 2026-02-09 | 光伏ETF(515790.SH) | 买 | 140800 | 1.131 | 159244.8 | ¥31.85 | 0 |
