Z-score风险平价动态止损ETF策略:年化收益率（16.95%）
该策略基于Z-score方法对防御性ETF进行横截面选基，通过计算ETF的波动率倒数及成交额等因子，对候选ETF进行评分与排序；在持仓分配上采用风险平价权重，以降低组合整体波动风险；同时结合动态波动率止损机制，及时剔除异常波动的ETF，从而兼顾收益与风险，实现稳健的ETF组合投资管理。
概要
核心指标
- 累计收益率: 788.24%
- 年化收益率: 16.95%
- 基准收益率: 114.33%
- 阿尔法: 0.13
- 夏普比率: 0.8
- 最大回撤: 22.03%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-29 | 日经225(513880.SH) | 2.0444087985191 | 1728700 | 15 | 2.323 | 4015770.1 | 481600.61/13.627% |
| 2026-06-29 | 创业板(159915.SZ) | 3.8337072636646 | 1069400 | 43 | 4.236 | 4529978.4 | 430211.85/10.494% |
| 2026-06-26 | 日经225(513880.SH) | 2.0444087985191 | 1728700 | 14 | 2.353 | 4067631.1 | 533461.61/15.094% |
| 2026-06-26 | 创业板(159915.SZ) | 3.8337072636646 | 1069400 | 42 | 4.215 | 4507521 | 407754.45/9.946% |
| 2026-06-25 | 日经225(513880.SH) | 2.0444087985191 | 1728700 | 13 | 2.418 | 4179996.6 | 645827.11/18.274% |
| 2026-06-25 | 创业板(159915.SZ) | 3.8337072636646 | 1069400 | 41 | 4.395 | 4700013 | 600246.45/14.641% |
| 2026-06-24 | 日经225(513880.SH) | 2.0444087985191 | 1728700 | 12 | 2.312 | 3996754.4 | 462584.91/13.089% |
| 2026-06-24 | 创业板(159915.SZ) | 3.8337072636646 | 1069400 | 40 | 4.258 | 4553505.2 | 453738.65/11.067% |
| 2026-06-23 | 日经225(513880.SH) | 2.0444087985191 | 1728700 | 11 | 2.274 | 3931063.8 | 396894.31/11.23% |
| 2026-06-23 | 创业板(159915.SZ) | 3.8337072636646 | 1069400 | 39 | 4.21 | 4502174 | 402407.45/9.815% |
交易详情
| 2026-06-08 | 国债ETF(511010.SH) | 卖 | -54700 | 141.477 | -7738791.9 | ¥1547.76 | 6658.88 |
| 2026-06-08 | 创业板(159915.SZ) | 买 | 1018200 | 3.83 | 3899706 | ¥779.94 | 0 |
| 2026-06-08 | 日经225(513880.SH) | 买 | 1728700 | 2.044 | 3533462.8 | ¥706.69 | 0 |
| 2026-05-28 | 能源化工(159981.SZ) | 卖 | -1729200 | 1.603 | -2771907.6 | ¥554.38 | -114704.41 |
| 2026-05-28 | 创业板(159915.SZ) | 卖 | -1223600 | 4.039 | -4942120.4 | ¥988.42 | 179625.25 |
| 2026-05-28 | 国债ETF(511010.SH) | 买 | 54700 | 141.327 | 7730586.9 | ¥1546.12 | 0 |
| 2026-05-19 | 国债ETF(511010.SH) | 卖 | -54400 | 141.122 | -7677036.8 | ¥1535.41 | 13373.17 |
| 2026-05-19 | 创业板(159915.SZ) | 买 | 1217200 | 3.901 | 4748297.2 | ¥949.66 | 0 |
| 2026-05-19 | 能源化工(159981.SZ) | 买 | 1729200 | 1.669 | 2886034.8 | ¥577.21 | 0 |
| 2026-05-08 | 能源化工(159981.SZ) | 卖 | -1665600 | 1.651 | -2749905.6 | ¥549.98 | -47230.01 |
