动量双筛etf策略:年化收益率（17.33%）
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: 165.61%
- 年化收益率: 17.33%
- 基准收益率: 17.04%
- 阿尔法: 0.24
- 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
|
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|---|---|---|---|---|---|---|---|
| 2026-05-15 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 8 | 1.787 | 265548.2 | 10053.71/3.935% |
| 2026-05-14 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 7 | 1.815 | 269709 | 14214.51/5.564% |
| 2026-05-13 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 6 | 1.865 | 277139 | 21644.51/8.472% |
| 2026-05-12 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 5 | 1.816 | 269857.6 | 14363.11/5.622% |
| 2026-05-11 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 4 | 1.811 | 269114.6 | 13620.11/5.331% |
| 2026-05-08 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 3 | 1.727 | 256632.2 | 1137.71/0.445% |
| 2026-05-07 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 2 | 1.769 | 262873.4 | 7378.91/2.888% |
| 2026-05-06 | 科创50(588000.SH) | 1.7193438088829 | 148600 | 1 | 1.744 | 259158.4 | 3663.91/1.434% |
| 2026-05-06 | 标普科技(161128.SZ) | 6.2612519900498 | 0 | 4 | 6.315 | 0 | -2020.13/-0.803% |
| 2026-04-30 | 标普科技(161128.SZ) | 6.2612519900498 | 40200 | 3 | 6.211 | 249682.2 | -2020.13/-0.803% |
交易详情
| 2026-05-06 | 标普科技(161128.SZ) | 卖 | -40200 | 6.35 | -255270 | ¥51.05 | 3567.67 |
| 2026-05-06 | 科创50(588000.SH) | 买 | 148600 | 1.719 | 255443.4 | ¥51.09 | 0 |
| 2026-04-28 | 科创50(588000.SH) | 卖 | -159600 | 1.579 | -252008.4 | ¥50.4 | 4259.66 |
| 2026-04-28 | 标普科技(161128.SZ) | 买 | 40200 | 6.26 | 251652 | ¥50.33 | 0 |
| 2026-04-27 | 创业板(159915.SZ) | 卖 | -67300 | 3.68 | -247664 | ¥49.53 | -6040.43 |
| 2026-04-27 | 科创50(588000.SH) | 买 | 159600 | 1.552 | 247699.2 | ¥49.54 | 0 |
| 2026-04-23 | 日经225(513880.SH) | 卖 | -134900 | 1.882 | -253881.8 | ¥50.78 | 893.71 |
| 2026-04-23 | 创业板(159915.SZ) | 买 | 67300 | 3.769 | 253653.7 | ¥50.73 | 0 |
| 2026-04-22 | 新汽车(515030.SH) | 卖 | -124600 | 2.031 | -253062.6 | ¥50.61 | 697.14 |
| 2026-04-22 | 日经225(513880.SH) | 买 | 134900 | 1.875 | 252937.5 | ¥50.59 | 0 |
