低市净率均线反转策略:年化收益率（77.79%）
本策略结合低市净率估值和长期均线动量，筛选价格低于每股净资产且股价相对长期均线动量较弱的股票，捕捉价值回归机会。
概要
核心指标
- 累计收益率: 72.99%
- 年化收益率: 77.79%
- 基准收益率: 19.53%
- 阿尔法: 0.44
- 夏普比率: 1.64
- 最大回撤: 18.1%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-07-21 | 金地集团(600383.SH) | 3.8511551162791 | 43000 | 4 | 3.83 | 164690 | -909.67/-0.549% |
| 2025-07-21 | 彩虹股份(600707.SH) | 6.0918271062271 | 27300 | 4 | 6.24 | 170352 | 4045.12/2.432% |
| 2025-07-21 | 淮北矿业(600985.SH) | 11.495908053691 | 14900 | 9 | 11.98 | 178502 | 7212.97/4.211% |
| 2025-07-21 | 华发股份(600325.SH) | 4.9488282420749 | 34700 | 9 | 4.85 | 168295 | -3429.34/-1.997% |
| 2025-07-21 | 中文传媒(600373.SH) | 10.179167065868 | 16700 | 9 | 10.03 | 167501 | -2491.09/-1.465% |
| 2025-07-21 | 平煤股份(601666.SH) | 7.3189102678571 | 22300 | 19 | 7.98 | 177954 | 14742.3/9.033% |
| 2025-07-21 | 兰花科创(600123.SH) | 6.6316278302838 | 25972 | 49 | 6.74 | 175051.28 | 2814.64/1.634% |
| 2025-07-21 | 恒源煤电(600971.SH) | 7.2427087475259 | 24904 | 59 | 6.87 | 171090.48 | -9281.94/-5.146% |
| 2025-07-21 | 山煤国际(600546.SH) | 8.8064026168965 | 18957 | 54 | 9.16 | 173646.12 | 6703.15/4.015% |
| 2025-07-21 | 潞安环能(601699.SH) | 13.356248176803 | 15672 | 174 | 11.45 | 179444.4 | -29874.72/-14.272% |
交易详情
| 2025-07-16 | 荣安地产(000517.SZ) | 卖 | -89700 | 1.92 | -172224 | ¥223.89 | 7157.03 |
| 2025-07-16 | 山西焦煤(000983.SZ) | 卖 | -26767 | 6.43 | -172111.81 | ¥223.75 | 5118.6 |
| 2025-07-16 | 潞安环能(601699.SH) | 买 | 100 | 10.68 | 1068 | ¥5 | 0 |
| 2025-07-16 | 山煤国际(600546.SH) | 卖 | -100 | 8.87 | -887 | ¥5.89 | 6.36 |
| 2025-07-16 | 中文传媒(600373.SH) | 买 | 300 | 9.95 | 2985 | ¥5 | 0 |
| 2025-07-16 | 彩虹股份(600707.SH) | 买 | 27300 | 6.09 | 166257 | ¥49.88 | 0 |
| 2025-07-16 | 华发股份(600325.SH) | 买 | 800 | 4.83 | 3864 | ¥5 | 0 |
| 2025-07-16 | 淮北矿业(600985.SH) | 买 | 400 | 11.21 | 4484 | ¥5 | 0 |
| 2025-07-16 | 平煤股份(601666.SH) | 卖 | -100 | 7.53 | -753 | ¥5.75 | 21.11 |
| 2025-07-16 | 金地集团(600383.SH) | 买 | 43000 | 3.85 | 165550 | ¥49.67 | 0 |
