基于CatBoost模型与分类任务的ETF选基策略:年化收益率（88.86%）
该策略基于多因子模型和机器学习（CatBoost二分类模型）构建，旨在通过历史行情数据计算多个因子特征，结合风险调整收益的标签，训练模型预测标的未来上涨概率，并据此进行调仓操作。策略聚焦于中长期持有，结合定期调仓和仓位分配，以实现稳健的投资收益。
概要
核心指标
- 累计收益率: 166.85%
- 年化收益率: 88.86%
- 基准收益率: 22.08%
- 阿尔法: 0.69
- 夏普比率: 1.9
- 最大回撤: 18.27%
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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|---|---|---|---|---|---|---|---|
| 2026-08-11 | 恒生医疗(159506.SZ) | 1.19335789177 | 532200 | 5 | 1.291 | 687070.2 | 51965.13/8.182% |
| 2026-08-11 | 医药港股(159776.SZ) | 1.1053315011306 | 574900 | 5 | 1.196 | 687580.4 | 52125.32/8.203% |
| 2026-08-11 | 酒ETF(512690.SH) | 0.44013199887625 | 1423800 | 5 | 0.441 | 627895.8 | 1235.86/0.197% |
| 2026-08-11 | HS医疗(159303.SZ) | 1.484445196926 | 416400 | 5 | 1.599 | 665823.6 | 47700.62/7.717% |
| 2026-08-10 | 恒生医疗(159506.SZ) | 1.19335789177 | 532200 | 4 | 1.288 | 685473.6 | 50368.53/7.931% |
| 2026-08-10 | 医药港股(159776.SZ) | 1.1053315011306 | 574900 | 4 | 1.194 | 686430.6 | 50975.52/8.022% |
| 2026-08-10 | 酒ETF(512690.SH) | 0.44013199887625 | 1423800 | 4 | 0.445 | 633591 | 6931.06/1.106% |
| 2026-08-10 | HS医疗(159303.SZ) | 1.484445196926 | 416400 | 4 | 1.596 | 664574.4 | 46451.42/7.515% |
| 2026-08-07 | 恒生医疗(159506.SZ) | 1.19335789177 | 532200 | 3 | 1.263 | 672168.6 | 37063.53/5.836% |
| 2026-08-07 | 医药港股(159776.SZ) | 1.1053315011306 | 574900 | 3 | 1.176 | 676082.4 | 40627.32/6.393% |
交易详情
| 2026-08-05 | 疫苗ETF(159643.SZ) | 卖 | -1124700 | 0.551 | -619709.7 | ¥185.91 | 5439.27 |
| 2026-08-05 | 生物药基(159508.SZ) | 卖 | -786700 | 0.805 | -633293.5 | ¥189.99 | 12400.99 |
| 2026-08-05 | 医药(159938.SZ) | 卖 | -938000 | 0.652 | -611576 | ¥183.47 | 16705.59 |
| 2026-08-05 | 疫苗龙头(159645.SZ) | 卖 | -1054300 | 0.618 | -651557.4 | ¥195.47 | 859.15 |
| 2026-08-05 | 医药港股(159776.SZ) | 买 | 574900 | 1.105 | 635264.5 | ¥190.58 | 0 |
| 2026-08-05 | 恒生医疗(159506.SZ) | 买 | 532200 | 1.193 | 634914.6 | ¥190.47 | 0 |
| 2026-08-05 | 酒ETF(512690.SH) | 买 | 1423800 | 0.44 | 626472 | ¥187.94 | 0 |
| 2026-08-05 | HS医疗(159303.SZ) | 买 | 416400 | 1.484 | 617937.6 | ¥185.38 | 0 |
| 2026-07-28 | 中证证券(512570.SH) | 卖 | -558500 | 1.1 | -614350 | ¥184.31 | -5770.98 |
| 2026-07-28 | 证券基金(512900.SH) | 卖 | -570900 | 1.085 | -619426.5 | ¥185.83 | -21886.53 |
