好基优选·多因子动态智能轮动:年化收益率（33.59%）
本策略通过精选8只大类ETF，结合趋势打分和短期均线比进行量化评分，每隔5个交易日择优持有得分最高的4只ETF，并采用均值-方差优化分配权重
概要
核心指标
- 累计收益率: 351.74%
- 年化收益率: 33.59%
- 基准收益率: -8.56%
- 阿尔法: 0.34
- 夏普比率: 1.64
- 最大回撤: 10.91%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 恒生科技(513130.SH) | 0.61713888888889 | 36000 | 1 | 0.61 | 21960 | -257/-1.157% |
| 2026-06-05 | 嘉实原油(160723.SZ) | 2.1004761904762 | 0 | 6 | 2.179 | 0 | 1160.5/5.262% |
| 2026-06-05 | 纳指ETF(513100.SH) | 2.0494098726115 | 61500 | 21 | 2.205 | 135607.5 | 9568.79/7.592% |
| 2026-06-05 | 标普500(513500.SH) | 2.3781951851852 | 53700 | 36 | 2.568 | 137901.6 | 10192.52/7.981% |
| 2026-06-05 | 300ETF(510300.SH) | 4.7237675721243 | 4588 | 111 | 4.843 | 22219.68 | 547.04/2.524% |
| 2026-06-05 | 创业板(159915.SZ) | 3.3150161076705 | 33500 | 116 | 3.977 | 133229.5 | 22176.46/19.969% |
| 2026-06-04 | 嘉实原油(160723.SZ) | 2.1004761904762 | 10500 | 5 | 2.211 | 23215.5 | 1160.5/5.262% |
| 2026-06-04 | 纳指ETF(513100.SH) | 2.0494098726115 | 61700 | 20 | 2.24 | 138208 | 11759.41/9.3% |
| 2026-06-04 | 标普500(513500.SH) | 2.3781951851852 | 54000 | 35 | 2.566 | 138564 | 10141.46/7.897% |
| 2026-06-04 | 300ETF(510300.SH) | 4.7237675721243 | 4588 | 110 | 4.926 | 22600.49 | 927.84/4.281% |
交易详情
| 2026-06-05 | 嘉实原油(160723.SZ) | 卖 | -10500 | 2.186 | -22953 | ¥5 | 898 |
| 2026-06-05 | 创业板(159915.SZ) | 买 | 500 | 4.083 | 2041.5 | ¥5 | 0 |
| 2026-06-05 | 纳指ETF(513100.SH) | 卖 | -200 | 2.202 | -440.4 | ¥5 | 30.52 |
| 2026-06-05 | 恒生科技(513130.SH) | 买 | 36000 | 0.617 | 22212 | ¥5 | 0 |
| 2026-06-05 | 标普500(513500.SH) | 卖 | -300 | 2.569 | -770.7 | ¥5 | 57.24 |
| 2026-05-29 | 恒生科技(513130.SH) | 卖 | -36200 | 0.613 | -22190.6 | ¥5 | 320.8 |
| 2026-05-29 | 创业板(159915.SZ) | 卖 | -900 | 4.143 | -3728.7 | ¥5 | 755.79 |
| 2026-05-29 | 嘉实原油(160723.SZ) | 买 | 10500 | 2.1 | 22050 | ¥5 | 0 |
| 2026-05-29 | 300ETF(510300.SH) | 买 | 100 | 4.946 | 494.6 | ¥5 | 0 |
| 2026-05-29 | 纳指ETF(513100.SH) | 卖 | -200 | 2.235 | -447 | ¥5 | 37.12 |
