SharpeRanker风险调整优选ETF策略:年化收益率（22.9%）
从ETF白名单中计算20日夏普率、动量、波动率、最大回撤等多因子得分，每5个交易日选取综合评分最高的5只ETF按分数加权持仓；若单只持仓20日跌幅超过15%或波动率高于5%，则触发止损清仓。
概要
核心指标
- 累计收益率: 855.75%
- 年化收益率: 22.9%
- 基准收益率: 33.45%
- 阿尔法: 0.2
- 夏普比率: 1.07
- 最大回撤: 23.61%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 1000ETF(512100.SH) | 3.5407080025008 | 639800 | 4 | 3.488 | 2231622.4 | -33722.58/-1.489% |
| 2026-05-15 | 标普500(513500.SH) | 2.4313673069187 | 994400 | 9 | 2.48 | 2466112 | 48360.35/2% |
| 2026-05-15 | 科创50(588000.SH) | 1.6543307990047 | 1341000 | 9 | 1.787 | 2396367 | 177909.4/8.02% |
| 2026-05-15 | 标普科技(161128.SZ) | 5.6454498729216 | 373600 | 24 | 6.576 | 2456793.6 | 347653.53/16.483% |
| 2026-05-14 | 1000ETF(512100.SH) | 3.5407080025008 | 639800 | 3 | 3.529 | 2257854.2 | -7490.78/-0.331% |
| 2026-05-14 | 标普500(513500.SH) | 2.4313673069187 | 994400 | 8 | 2.489 | 2475061.6 | 57309.95/2.37% |
| 2026-05-14 | 科创50(588000.SH) | 1.6543307990047 | 1341000 | 8 | 1.815 | 2433915 | 215457.4/9.712% |
| 2026-05-14 | 标普科技(161128.SZ) | 5.6454498729216 | 373600 | 23 | 6.619 | 2472858.4 | 363718.33/17.245% |
| 2026-05-13 | 1000ETF(512100.SH) | 3.5407080025008 | 639800 | 2 | 3.598 | 2302000.4 | 36655.42/1.618% |
| 2026-05-13 | 标普500(513500.SH) | 2.4313673069187 | 994400 | 7 | 2.488 | 2474067.2 | 56315.55/2.329% |
交易详情
| 2026-05-12 | 创业板(159915.SZ) | 卖 | -562800 | 3.94 | -2217432 | ¥443.49 | 342591.01 |
| 2026-05-12 | 标普500(513500.SH) | 买 | 203700 | 2.477 | 504564.9 | ¥100.91 | 0 |
| 2026-05-12 | 标普科技(161128.SZ) | 卖 | -31200 | 6.529 | -203704.8 | ¥40.74 | 27566.76 |
| 2026-05-12 | 科创50(588000.SH) | 卖 | -105800 | 1.816 | -192132.8 | ¥38.43 | 17104.6 |
| 2026-05-12 | 1000ETF(512100.SH) | 买 | 639800 | 3.54 | 2264892 | ¥452.98 | 0 |
| 2026-04-30 | 有色ETF(159980.SZ) | 卖 | -1145200 | 2.085 | -2387742 | ¥477.55 | -30258.7 |
| 2026-04-30 | 1000ETF(512100.SH) | 卖 | -577100 | 3.362 | -1940210.2 | ¥388.04 | 3652.47 |
| 2026-04-30 | 标普科技(161128.SZ) | 买 | 38000 | 6.211 | 236018 | ¥47.2 | 0 |
| 2026-04-30 | 科创50(588000.SH) | 买 | 1446800 | 1.654 | 2393007.2 | ¥478.6 | 0 |
| 2026-04-30 | 标普500(513500.SH) | 买 | 790700 | 2.419 | 1912703.3 | ¥382.54 | 0 |
