多周期风险加权 Dual Momentum ETF 策略:年化收益率（19.49%）
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: 1072.79%
- 年化收益率: 19.49%
- 基准收益率: 111.4%
- 阿尔法: 0.16
- 夏普比率: 0.81
- 最大回撤: 28.98%
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
|
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|---|---|---|---|---|---|---|---|
| 2026-05-15 | 新汽车(515030.SH) | 2.1324264002055 | 2724600 | 6 | 2.034 | 5541836.4 | -268172.57/-4.616% |
| 2026-05-15 | 创业板(159915.SZ) | 3.5117022006141 | 1546700 | 20 | 3.97 | 6140399 | 708849.21/13.051% |
| 2026-05-14 | 新汽车(515030.SH) | 2.1324264002055 | 2724600 | 5 | 2.037 | 5550010.2 | -259998.77/-4.475% |
| 2026-05-14 | 创业板(159915.SZ) | 3.5117022006141 | 1546700 | 19 | 3.961 | 6126478.7 | 694928.91/12.794% |
| 2026-05-13 | 新汽车(515030.SH) | 2.1324264002055 | 2724600 | 4 | 2.103 | 5729833.8 | -80175.17/-1.38% |
| 2026-05-13 | 创业板(159915.SZ) | 3.5117022006141 | 1546700 | 18 | 4.048 | 6261041.6 | 829491.81/15.272% |
| 2026-05-12 | 新汽车(515030.SH) | 2.1324264002055 | 2724600 | 3 | 2.102 | 5727109.2 | -82899.77/-1.427% |
| 2026-05-12 | 创业板(159915.SZ) | 3.5117022006141 | 1546700 | 17 | 3.94 | 6093998 | 662448.21/12.196% |
| 2026-05-11 | 新汽车(515030.SH) | 2.1324264002055 | 2724600 | 2 | 2.14 | 5830644 | 20635.03/0.355% |
| 2026-05-11 | 创业板(159915.SZ) | 3.5117022006141 | 1546700 | 16 | 3.947 | 6104824.9 | 673275.11/12.396% |
交易详情
| 2026-05-08 | 能源化工(159981.SZ) | 卖 | -3456800 | 1.636 | -5655324.8 | ¥1131.06 | -91025.84 |
| 2026-05-08 | 创业板(159915.SZ) | 卖 | -4200 | 3.806 | -15985.2 | ¥5 | 1236.05 |
| 2026-05-08 | 新汽车(515030.SH) | 买 | 2724600 | 2.132 | 5808847.2 | ¥1161.77 | 0 |
| 2026-04-24 | 新汽车(515030.SH) | 卖 | -2767800 | 2.059 | -5698900.2 | ¥1139.78 | 256317.1 |
| 2026-04-24 | 创业板(159915.SZ) | 卖 | -12300 | 3.674 | -45190.2 | ¥9.04 | 1996.26 |
| 2026-04-24 | 能源化工(159981.SZ) | 买 | 3456800 | 1.662 | 5745201.6 | ¥1149.04 | 0 |
| 2026-04-15 | 能源化工(159981.SZ) | 卖 | -3528600 | 1.64 | -5786904 | ¥1157.38 | -43509.05 |
| 2026-04-15 | 豆粕ETF(159985.SZ) | 卖 | -2544700 | 2.097 | -5336235.9 | ¥1067.25 | 90560.27 |
| 2026-04-15 | 创业板(159915.SZ) | 买 | 1563200 | 3.511 | 5488395.2 | ¥1097.68 | 0 |
| 2026-04-15 | 新汽车(515030.SH) | 买 | 2767800 | 1.966 | 5441494.8 | ¥1088.3 | 0 |
