创业板和标普500止损轮动策略:年化收益率（27.87%）
该策略的思路比较简单，因为创业板和标普500呈现负相关，很适合做轮动策略。以 20 日涨跌幅为核心评分因子，每日调仓，并设置-2%的止损机制。
概要
核心指标
- 累计收益率: 1774.11%
- 年化收益率: 27.87%
- 基准收益率: 109.29%
- 阿尔法: 0.24
- 夏普比率: 0.92
- 最大回撤: 41.97%
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 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 9 | 3.97 | 1871855 | 125541.31/7.189% |
| 2026-05-14 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 8 | 3.961 | 1867611.5 | 121297.81/6.946% |
| 2026-05-13 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 7 | 4.048 | 1908632 | 162318.31/9.295% |
| 2026-05-12 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 6 | 3.94 | 1857710 | 111396.31/6.379% |
| 2026-05-11 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 5 | 3.947 | 1861010.5 | 114696.81/6.568% |
| 2026-05-08 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 4 | 3.806 | 1794529 | 48215.31/2.761% |
| 2026-05-07 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 3 | 3.845 | 1812917.5 | 66603.81/3.814% |
| 2026-05-06 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 2 | 3.786 | 1785099 | 38785.31/2.221% |
| 2026-04-30 | 创业板(159915.SZ) | 3.7037405938494 | 471500 | 1 | 3.689 | 1739363.5 | -6950.19/-0.398% |
| 2026-04-30 | 标普500(513500.SH) | 2.4004800027678 | 0 | 2 | 2.419 | 0 | 7601.75/0.438% |
交易详情
| 2026-04-30 | 标普500(513500.SH) | 卖 | -722600 | 2.42 | -1748692 | ¥349.74 | 14105.15 |
| 2026-04-30 | 创业板(159915.SZ) | 买 | 471500 | 3.703 | 1745964.5 | ¥349.19 | 0 |
| 2026-04-29 | 创业板(159915.SZ) | 卖 | -484000 | 3.585 | -1735140 | ¥347.03 | 166182.27 |
| 2026-04-29 | 标普500(513500.SH) | 买 | 722600 | 2.4 | 1734240 | ¥346.85 | 0 |
| 2026-04-08 | 标普500(513500.SH) | 卖 | -692400 | 2.261 | -1565516.4 | ¥313.1 | 35698.9 |
| 2026-04-08 | 创业板(159915.SZ) | 买 | 484000 | 3.241 | 1568644 | ¥313.73 | 0 |
| 2026-04-07 | 创业板(159915.SZ) | 卖 | -486400 | 3.153 | -1533619.2 | ¥306.72 | -43604.98 |
| 2026-04-07 | 标普500(513500.SH) | 买 | 692400 | 2.209 | 1529511.6 | ¥305.9 | 0 |
| 2026-03-30 | 标普500(513500.SH) | 卖 | -726100 | 2.159 | -1567649.9 | ¥313.53 | -22827.13 |
| 2026-03-30 | 创业板(159915.SZ) | 买 | 486400 | 3.242 | 1576908.8 | ¥315.38 | 0 |
