好基优选·多因子动态智能轮动:年化收益率（32.21%）
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: 315.35%
- 年化收益率: 32.21%
- 基准收益率: -9.46%
- 阿尔法: 0.32
- 夏普比率: 1.58
- 最大回撤: 10.91%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-04-24 | 标普500(513500.SH) | 2.3145747126437 | 8700 | 9 | 2.366 | 20584.2 | 447.4/2.222% |
| 2026-04-24 | 嘉实原油(160723.SZ) | 2.4394877659574 | 18800 | 9 | 2.334 | 43879.2 | -1983.17/-4.324% |
| 2026-04-24 | 纳指ETF(513100.SH) | 1.7341560538117 | 66900 | 14 | 1.907 | 127578.3 | 11563.26/9.967% |
| 2026-04-24 | 300ETF(510300.SH) | 4.4741395223788 | 4388 | 84 | 4.782 | 20983.42 | 1350.89/6.881% |
| 2026-04-24 | 创业板(159915.SZ) | 3.3032284729382 | 34800 | 89 | 3.674 | 127855.2 | 12902.85/11.225% |
| 2026-04-23 | 标普500(513500.SH) | 2.3145747126437 | 8700 | 8 | 2.369 | 20610.3 | 473.5/2.351% |
| 2026-04-23 | 嘉实原油(160723.SZ) | 2.4394877659574 | 18800 | 8 | 2.259 | 42469.2 | -3393.17/-7.399% |
| 2026-04-23 | 纳指ETF(513100.SH) | 1.7341560538117 | 66900 | 13 | 1.905 | 127444.5 | 11429.46/9.852% |
| 2026-04-23 | 300ETF(510300.SH) | 4.4741395223788 | 4388 | 83 | 4.801 | 21066.79 | 1434.26/7.306% |
| 2026-04-23 | 创业板(159915.SZ) | 3.3032284729382 | 34800 | 88 | 3.728 | 129734.4 | 14782.05/12.859% |
交易详情
| 2026-04-14 | 恒生科技(513130.SH) | 卖 | -32000 | 0.615 | -19680 | ¥5 | 699.03 |
| 2026-04-14 | 豆粕ETF(159985.SZ) | 卖 | -9200 | 2.109 | -19402.8 | ¥5 | -739.98 |
| 2026-04-14 | 创业板(159915.SZ) | 卖 | -1200 | 3.501 | -4201.2 | ¥5 | 237.33 |
| 2026-04-14 | 嘉实原油(160723.SZ) | 买 | 18800 | 2.439 | 45853.2 | ¥9.17 | 0 |
| 2026-04-14 | 300ETF(510300.SH) | 卖 | -20900 | 4.679 | -97791.1 | ¥19.56 | 4281.58 |
| 2026-04-14 | 纳指ETF(513100.SH) | 买 | 1800 | 1.833 | 3299.4 | ¥5 | 0 |
| 2026-04-14 | 标普500(513500.SH) | 买 | 8700 | 2.314 | 20131.8 | ¥5 | 0 |
| 2026-04-07 | 嘉实原油(160723.SZ) | 卖 | -36600 | 2.714 | -99332.4 | ¥19.87 | -5218.11 |
| 2026-04-07 | 豆粕ETF(159985.SZ) | 卖 | -46500 | 2.056 | -95604 | ¥19.12 | -6204.63 |
| 2026-04-07 | 300ETF(510300.SH) | 买 | 20900 | 4.455 | 93109.5 | ¥18.62 | 0 |
