SharpeRanker风险调整优选ETF策略:年化收益率（23.02%）
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: 877.92%
- 年化收益率: 23.02%
- 基准收益率: 32.28%
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-05 | 创业板(159915.SZ) | 4.0718141927853 | 507300 | 4 | 3.977 | 2017532.1 | -48099.24/-2.329% |
| 2026-06-05 | 日经225(513880.SH) | 2.0799468686869 | 1138500 | 9 | 2.153 | 2451190.5 | 83170.99/3.512% |
| 2026-06-05 | 标普科技(161128.SZ) | 6.8738216949153 | 383500 | 9 | 7.118 | 2729753 | 93642.38/3.552% |
| 2026-06-05 | 标普500(513500.SH) | 2.4352122497641 | 1004800 | 24 | 2.568 | 2580326.4 | 133425.13/5.453% |
| 2026-06-04 | 创业板(159915.SZ) | 4.0718141927853 | 507300 | 3 | 4.1 | 2079930 | 14298.66/0.692% |
| 2026-06-04 | 日经225(513880.SH) | 2.0799468686869 | 1138500 | 8 | 2.219 | 2526331.5 | 158311.99/6.685% |
| 2026-06-04 | 标普科技(161128.SZ) | 6.8738216949153 | 383500 | 8 | 7.281 | 2792263.5 | 156152.88/5.924% |
| 2026-06-04 | 标普500(513500.SH) | 2.4352122497641 | 1004800 | 23 | 2.566 | 2578316.8 | 131415.53/5.371% |
| 2026-06-03 | 创业板(159915.SZ) | 4.0718141927853 | 507300 | 2 | 4.145 | 2102758.5 | 37127.16/1.797% |
| 2026-06-03 | 日经225(513880.SH) | 2.0799468686869 | 1138500 | 7 | 2.235 | 2544547.5 | 176527.99/7.455% |
交易详情
| 2026-06-02 | 科创50(588000.SH) | 卖 | -1319200 | 1.781 | -2349495.2 | ¥469.9 | 159414.07 |
| 2026-06-02 | 标普科技(161128.SZ) | 买 | 4200 | 7.545 | 31689 | ¥6.34 | 0 |
| 2026-06-02 | 标普500(513500.SH) | 卖 | -3400 | 2.611 | -8877.4 | ¥5 | 597.68 |
| 2026-06-02 | 日经225(513880.SH) | 买 | 118500 | 2.196 | 260226 | ¥52.05 | 0 |
| 2026-06-02 | 创业板(159915.SZ) | 买 | 507300 | 4.071 | 2065218.3 | ¥413.04 | 0 |
| 2026-05-26 | 1000ETF(512100.SH) | 卖 | -666200 | 3.499 | -2331033.8 | ¥466.21 | -27838.68 |
| 2026-05-26 | 创业板(159915.SZ) | 卖 | -583500 | 4.055 | -2366092.5 | ¥473.22 | 77147.8 |
| 2026-05-26 | 科创50(588000.SH) | 卖 | -58800 | 1.968 | -115718.4 | ¥23.14 | 18101.08 |
| 2026-05-26 | 标普科技(161128.SZ) | 买 | 379300 | 6.865 | 2603894.5 | ¥520.78 | 0 |
| 2026-05-26 | 标普500(513500.SH) | 买 | 39500 | 2.529 | 99895.5 | ¥19.98 | 0 |
