好基优选·多因子动态智能轮动:年化收益率（31.59%）
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: 324.95%
- 年化收益率: 31.59%
- 基准收益率: -5.47%
- 阿尔法: 0.31
- 夏普比率: 1.54
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-30 | 豆粕ETF(159985.SZ) | 2.0081627906977 | 4300 | 2 | 1.985 | 8535.5 | -99.6/-1.153% |
| 2026-06-30 | 纳指ETF(513100.SH) | 2.0494098726115 | 9700 | 37 | 2.204 | 21378.8 | 1499.52/7.543% |
| 2026-06-30 | 标普500(513500.SH) | 2.3781951851852 | 50600 | 52 | 2.483 | 125639.8 | 5303.12/4.407% |
| 2026-06-30 | 300ETF(510300.SH) | 4.7237675721243 | 4588 | 127 | 5.019 | 23027.17 | 1354.53/6.25% |
| 2026-06-30 | 创业板(159915.SZ) | 4.0278509570535 | 29700 | 132 | 4.364 | 129610.8 | 9983.63/8.346% |
| 2026-06-29 | 豆粕ETF(159985.SZ) | 2.0081627906977 | 4300 | 1 | 2.008 | 8634.4 | -0.7/-0.008% |
| 2026-06-29 | 嘉实原油(160723.SZ) | 2.1704339160839 | 0 | 11 | 1.726 | 0 | -26050.82/-20.984% |
| 2026-06-29 | 纳指ETF(513100.SH) | 2.0494098726115 | 9700 | 36 | 2.178 | 21126.6 | 1247.32/6.274% |
| 2026-06-29 | 标普500(513500.SH) | 2.3781951851852 | 50600 | 51 | 2.478 | 125386.8 | 5050.12/4.197% |
| 2026-06-29 | 300ETF(510300.SH) | 4.7237675721243 | 4588 | 126 | 4.959 | 22751.89 | 1079.25/4.98% |
交易详情
| 2026-06-29 | 嘉实原油(160723.SZ) | 卖 | -57200 | 1.738 | -99413.6 | ¥19.88 | -24735.22 |
| 2026-06-29 | 创业板(159915.SZ) | 买 | 23900 | 4.2 | 100380 | ¥20.08 | 0 |
| 2026-06-29 | 豆粕ETF(159985.SZ) | 买 | 4300 | 2.007 | 8630.1 | ¥5 | 0 |
| 2026-06-29 | 纳指ETF(513100.SH) | 卖 | -51800 | 2.161 | -111939.8 | ¥22.39 | 5780.37 |
| 2026-06-29 | 标普500(513500.SH) | 卖 | -1900 | 2.492 | -4734.8 | ¥5 | 216.23 |
| 2026-06-12 | 恒生科技(513130.SH) | 卖 | -36000 | 0.587 | -21132 | ¥5 | -1085 |
| 2026-06-12 | 创业板(159915.SZ) | 卖 | -27700 | 3.932 | -108916.4 | ¥21.78 | 17090.45 |
| 2026-06-12 | 嘉实原油(160723.SZ) | 买 | 57200 | 2.17 | 124124 | ¥24.82 | 0 |
| 2026-06-12 | 标普500(513500.SH) | 卖 | -1200 | 2.55 | -3060 | ¥5 | 206.17 |
| 2026-06-05 | 嘉实原油(160723.SZ) | 卖 | -10500 | 2.186 | -22953 | ¥5 | 898 |
