# SharpeRanker风险调整优选ETF策略:年化收益率（19.59%）
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: 524.75%
- 年化收益率: 19.59%
- 基准收益率: 14.6%
- 阿尔法: 0.17
- 夏普比率: 0.96
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-14 | 中证军工(512560.SH) | 0.75315059834305 | 1955400 | 1 | 0.753 | 1472416.2 | -294.48/-0.02% |
| 2025-08-14 | 创业板(159915.SZ) | 2.4464892008295 | 626900 | 1 | 2.446 | 1533397.4 | -306.68/-0.02% |
| 2025-08-14 | 云计算(516510.SH) | 1.3292657959962 | 0 | 6 | 1.374 | 0 | 64759.18/4.644% |
| 2025-08-14 | 科创50(588000.SH) | 1.1122224029461 | 1288600 | 6 | 1.142 | 1471581.2 | 38371.41/2.677% |
| 2025-08-14 | 恒生医疗(513060.SH) | 0.68472263711625 | 0 | 11 | 0.699 | 0 | 30792.86/1.939% |
| 2025-08-14 | 1000ETF(512100.SH) | 2.7198714229458 | 611800 | 16 | 2.823 | 1727111.4 | 63094.06/3.792% |
| 2025-08-13 | 云计算(516510.SH) | 1.3292657959962 | 1049000 | 5 | 1.391 | 1459159 | 64759.18/4.644% |
| 2025-08-13 | 科创50(588000.SH) | 1.1122224029461 | 1303400 | 5 | 1.133 | 1476752.2 | 27081.52/1.868% |
| 2025-08-13 | 恒生医疗(513060.SH) | 0.68472263711625 | 2319200 | 10 | 0.698 | 1618801.6 | 30792.86/1.939% |
| 2025-08-13 | 1000ETF(512100.SH) | 2.7167641187849 | 594000 | 15 | 2.854 | 1695276 | 81518.11/5.051% |
交易详情
| 2025-08-14 | 云计算(516510.SH) | 卖 | -1049000 | 1.374 | -1441326 | ¥288.27 | 46926.18 |
| 2025-08-14 | 恒生医疗(513060.SH) | 卖 | -2319200 | 0.699 | -1621120.8 | ¥324.22 | 33112.06 |
| 2025-08-14 | 1000ETF(512100.SH) | 买 | 17800 | 2.823 | 50249.4 | ¥10.05 | 0 |
| 2025-08-14 | 创业板(159915.SZ) | 买 | 626900 | 2.446 | 1533397.4 | ¥306.68 | 0 |
| 2025-08-14 | 中证军工(512560.SH) | 买 | 1955400 | 0.753 | 1472416.2 | ¥294.48 | 0 |
| 2025-08-14 | 科创50(588000.SH) | 卖 | -14800 | 1.142 | -16901.6 | ¥5 | 440.71 |
| 2025-08-07 | 创业板(159915.SZ) | 卖 | -601200 | 2.32 | -1394784 | ¥278.96 | 87259.43 |
| 2025-08-07 | 300ETF(510300.SH) | 卖 | -398100 | 4.193 | -1669233.3 | ¥333.85 | -12410.46 |
| 2025-08-07 | 1000ETF(512100.SH) | 买 | 59600 | 2.772 | 165211.2 | ¥33.04 | 0 |
| 2025-08-07 | 恒生医疗(513060.SH) | 买 | 240200 | 0.681 | 163576.2 | ¥32.72 | 0 |
