ETF动量因子止盈策略:年化收益率（46.98%）
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: 656.45%
- 年化收益率: 46.98%
- 基准收益率: -6.16%
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-24 | 日经225(513880.SH) | 2.2594518134715 | 173700 | 15 | 2.312 | 401594.4 | 9127.62/2.326% |
| 2026-06-24 | 标普科技(161128.SZ) | 6.8543705244123 | 51800 | 21 | 6.848 | 354726.4 | -329.99/-0.093% |
| 2026-06-23 | 日经225(513880.SH) | 2.2594518134715 | 173700 | 14 | 2.274 | 394993.8 | 2527.02/0.644% |
| 2026-06-23 | 标普科技(161128.SZ) | 6.8543705244123 | 51800 | 20 | 6.788 | 351618.4 | -3437.99/-0.968% |
| 2026-06-22 | 日经225(513880.SH) | 2.2594518134715 | 173700 | 13 | 2.414 | 419311.8 | 26845.02/6.84% |
| 2026-06-22 | 标普科技(161128.SZ) | 6.8543705244123 | 51800 | 19 | 7.03 | 364154 | 9097.61/2.562% |
| 2026-06-18 | 日经225(513880.SH) | 2.2594518134715 | 173700 | 12 | 2.33 | 404721 | 12254.22/3.122% |
| 2026-06-18 | 标普科技(161128.SZ) | 6.8543705244123 | 51800 | 18 | 7.059 | 365656.2 | 10599.81/2.985% |
| 2026-06-17 | 日经225(513880.SH) | 2.2594518134715 | 173700 | 11 | 2.27 | 394299 | 1832.22/0.467% |
| 2026-06-17 | 标普科技(161128.SZ) | 6.8543705244123 | 51800 | 17 | 7.09 | 367262 | 12205.61/3.438% |
交易详情
| 2026-06-03 | 创业板(159915.SZ) | 卖 | -90500 | 4.095 | -370597.5 | ¥74.12 | -4418.99 |
| 2026-06-03 | 标普科技(161128.SZ) | 卖 | -2900 | 7.543 | -21874.7 | ¥5 | 1997.03 |
| 2026-06-03 | 日经225(513880.SH) | 买 | 173700 | 2.259 | 392388.3 | ¥78.48 | 0 |
| 2026-05-29 | 科创50(588000.SH) | 卖 | -190700 | 1.944 | -370720.8 | ¥74.14 | -7512.93 |
| 2026-05-29 | 标普科技(161128.SZ) | 卖 | -600 | 6.968 | -4180.8 | ¥5 | 68.18 |
| 2026-05-29 | 创业板(159915.SZ) | 买 | 90500 | 4.143 | 374941.5 | ¥74.99 | 0 |
| 2026-05-26 | 创业板(159915.SZ) | 卖 | -95000 | 4.012 | -381140 | ¥76.23 | 3914.57 |
| 2026-05-26 | 1000ETF(512100.SH) | 卖 | -105300 | 3.515 | -370129.5 | ¥74.03 | -4286.87 |
| 2026-05-26 | 科创50(588000.SH) | 买 | 190700 | 1.983 | 378158.1 | ¥75.63 | 0 |
| 2026-05-26 | 标普科技(161128.SZ) | 买 | 55300 | 6.853 | 378970.9 | ¥75.79 | 0 |
