多周期风险加权 Dual Momentum ETF 策略:年化收益率（20.4%）
本策略基于Dual Momentum理念，通过多周期动量和风险调整，从白名单ETF中挑选上涨趋势明确、风险可控的标的进行投资。只买入价格高于长期均线的ETF，以确保长期上涨趋势。根据短中长期动量加权评分选择最佳ETF，对动量评分进行波动率调整，并设置止损机制。定期调仓，并均衡分配资金于优选ETF，旨在在控制回撤的同时实现稳健收益。
概要
核心指标
- 累计收益率: 1042.5%
- 年化收益率: 20.4%
- 基准收益率: 81.55%
- 阿尔法: 0.17
- 夏普比率: 0.88
- 最大回撤: 28.96%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-14 | 1000ETF(512100.SH) | 2.8135626009285 | 1981600 | 3 | 2.823 | 5594056.8 | 18701.15/0.335% |
| 2025-08-14 | 恒生医疗(513060.SH) | 0.45309060019179 | 8284800 | 80 | 0.699 | 5791075.2 | 2037310.2/54.274% |
| 2025-08-13 | 1000ETF(512100.SH) | 2.8135626009285 | 1981600 | 2 | 2.854 | 5655486.4 | 80130.75/1.437% |
| 2025-08-13 | 恒生医疗(513060.SH) | 0.45309060019179 | 8284800 | 79 | 0.698 | 5782790.4 | 2029025.4/54.053% |
| 2025-08-12 | 1000ETF(512100.SH) | 2.8135626009285 | 1981600 | 1 | 2.813 | 5574240.8 | -1114.85/-0.02% |
| 2025-08-12 | 300ETF(510300.SH) | 4.0788156024964 | 0 | 22 | 4.228 | 0 | 153955.86/3.02% |
| 2025-08-12 | 恒生医疗(513060.SH) | 0.45309060019179 | 8284800 | 78 | 0.674 | 5583955.2 | 1830190.2/48.756% |
| 2025-08-11 | 300ETF(510300.SH) | 4.0788156024964 | 1249800 | 21 | 4.202 | 5251659.6 | 153955.86/3.02% |
| 2025-08-11 | 恒生医疗(513060.SH) | 0.45309060019179 | 8777100 | 77 | 0.674 | 5915765.4 | 1938943.89/48.756% |
| 2025-08-08 | 300ETF(510300.SH) | 4.0788156024964 | 1249800 | 20 | 4.183 | 5227913.4 | 130209.66/2.554% |
交易详情
| 2025-08-12 | 300ETF(510300.SH) | 卖 | -1249800 | 4.228 | -5284154.4 | ¥1056.83 | 186450.66 |
| 2025-08-12 | 恒生医疗(513060.SH) | 卖 | -492300 | 0.674 | -331810.2 | ¥66.36 | 108753.7 |
| 2025-08-12 | 1000ETF(512100.SH) | 买 | 1981600 | 2.813 | 5574240.8 | ¥1114.85 | 0 |
| 2025-07-14 | 日经225(513880.SH) | 卖 | -3539400 | 1.385 | -4902069 | ¥980.41 | -128424.3 |
| 2025-07-14 | 恒生医疗(513060.SH) | 卖 | -206700 | 0.592 | -122366.4 | ¥24.47 | 28712.57 |
| 2025-07-14 | 300ETF(510300.SH) | 买 | 1249800 | 4.078 | 5096684.4 | ¥1019.34 | 0 |
| 2025-07-03 | 黄金ETF(518880.SH) | 卖 | -644500 | 7.445 | -4798302.5 | ¥959.66 | -19653.9 |
| 2025-07-03 | 恒生医疗(513060.SH) | 卖 | -401100 | 0.58 | -232638 | ¥46.53 | 50903.36 |
| 2025-07-03 | 日经225(513880.SH) | 买 | 3539400 | 1.421 | 5029487.4 | ¥1005.9 | 0 |
| 2025-06-04 | 日经225(513880.SH) | 卖 | -3550800 | 1.354 | -4807783.2 | ¥961.56 | 55862.61 |
