ETF动量因子止盈策略:年化收益率（46.87%）
该策略针对 20 只指定 ETF 构建，以 21 日动量为核心评分因子，采用每 3 天调仓机制。并在动量策略的基础上设立止盈机制，调仓时先检查持仓：若持有的 ETF的 21 日涨幅超 25%，立即清仓并剔除该标的；随后从剩余标的中选取评分最高的 2 只，等权重配置。
概要
核心指标
- 累计收益率: 623.1%
- 年化收益率: 46.87%
- 基准收益率: -7.75%
- 阿尔法: 0.53
- 夏普比率: 1.28
- 最大回撤: 23.97%
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 | 科创50(588000.SH) | 1.7803559757943 | 198300 | 3 | 1.787 | 354362.1 | 1317.51/0.373% |
| 2026-05-15 | 创业板(159915.SZ) | 3.8117621857923 | 91500 | 6 | 3.97 | 363255 | 14478.76/4.151% |
| 2026-05-14 | 科创50(588000.SH) | 1.7803559757943 | 198300 | 2 | 1.815 | 359914.5 | 6869.91/1.946% |
| 2026-05-14 | 创业板(159915.SZ) | 3.8117621857923 | 91500 | 5 | 3.961 | 362431.5 | 13655.26/3.915% |
| 2026-05-13 | 科创50(588000.SH) | 1.7803559757943 | 198300 | 1 | 1.865 | 369829.5 | 16784.91/4.754% |
| 2026-05-13 | 创业板(159915.SZ) | 3.8117621857923 | 91500 | 4 | 4.048 | 370392 | 21615.76/6.198% |
| 2026-05-13 | 标普科技(161128.SZ) | 6.154797277677 | 0 | 10 | 6.579 | 0 | 20618.57/6.08% |
| 2026-05-12 | 创业板(159915.SZ) | 3.8117621857923 | 91500 | 3 | 3.94 | 360510 | 11733.76/3.364% |
| 2026-05-12 | 标普科技(161128.SZ) | 6.154797277677 | 55100 | 9 | 6.529 | 359747.9 | 20618.57/6.08% |
| 2026-05-11 | 创业板(159915.SZ) | 3.8117621857923 | 91500 | 2 | 3.947 | 361150.5 | 12374.26/3.548% |
交易详情
| 2026-05-13 | 标普科技(161128.SZ) | 卖 | -55100 | 6.5 | -358150 | ¥71.63 | 19020.67 |
| 2026-05-13 | 科创50(588000.SH) | 买 | 198300 | 1.78 | 352974 | ¥70.59 | 0 |
| 2026-05-08 | 科创50(588000.SH) | 卖 | -207500 | 1.744 | -361880 | ¥72.38 | 31473.93 |
| 2026-05-08 | 创业板(159915.SZ) | 买 | 91500 | 3.811 | 348706.5 | ¥69.74 | 0 |
| 2026-05-08 | 标普科技(161128.SZ) | 买 | 2000 | 6.313 | 12626 | ¥5 | 0 |
| 2026-04-30 | 新汽车(515030.SH) | 卖 | -156900 | 2.128 | -333883.2 | ¥66.78 | 15155.57 |
| 2026-04-30 | 标普科技(161128.SZ) | 买 | 600 | 6.273 | 3763.8 | ¥5 | 0 |
| 2026-04-30 | 科创50(588000.SH) | 买 | 207500 | 1.592 | 330340 | ¥66.07 | 0 |
| 2026-04-27 | 创业板(159915.SZ) | 卖 | -87300 | 3.68 | -321264 | ¥64.25 | 31719.3 |
| 2026-04-27 | 标普科技(161128.SZ) | 买 | 52500 | 6.146 | 322665 | ¥64.53 | 0 |
