创业板和标普500止损轮动策略:年化收益率（26.02%）
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: 1581.87%
- 年化收益率: 26.02%
- 基准收益率: 96.04%
- 阿尔法: 0.23
- 夏普比率: 0.87
- 最大回撤: 41.97%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-08-25 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 26 | 2.695 | 1681680 | 116999.13/7.478% |
| 2026-08-24 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 25 | 2.672 | 1667328 | 102647.13/6.56% |
| 2026-08-21 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 24 | 2.672 | 1667328 | 102647.13/6.56% |
| 2026-08-20 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 23 | 2.675 | 1669200 | 104519.13/6.68% |
| 2026-08-19 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 22 | 2.642 | 1648608 | 83927.13/5.364% |
| 2026-08-18 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 21 | 2.688 | 1677312 | 112631.13/7.198% |
| 2026-08-17 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 20 | 2.748 | 1714752 | 150071.13/9.591% |
| 2026-08-14 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 19 | 2.778 | 1733472 | 168791.13/10.788% |
| 2026-08-13 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 18 | 2.711 | 1691664 | 126983.13/8.116% |
| 2026-08-12 | 标普500(513500.SH) | 2.5075013942308 | 624000 | 17 | 2.698 | 1683552 | 118871.13/7.597% |
交易详情
| 2026-07-21 | 创业板(159915.SZ) | 卖 | -448700 | 3.488 | -1565065.6 | ¥313.01 | -11083.97 |
| 2026-07-21 | 标普500(513500.SH) | 买 | 624000 | 2.507 | 1564368 | ¥312.87 | 0 |
| 2026-07-20 | 标普500(513500.SH) | 卖 | -629800 | 2.503 | -1576389.4 | ¥315.28 | -17953.2 |
| 2026-07-20 | 创业板(159915.SZ) | 买 | 448700 | 3.512 | 1575834.4 | ¥315.17 | 0 |
| 2026-07-13 | 创业板(159915.SZ) | 卖 | -417500 | 3.81 | -1590675 | ¥318.14 | -98867.84 |
| 2026-07-13 | 标普500(513500.SH) | 买 | 629800 | 2.531 | 1594023.8 | ¥318.8 | 0 |
| 2026-07-10 | 标普500(513500.SH) | 卖 | -663100 | 2.525 | -1674327.5 | ¥334.87 | 18235.65 |
| 2026-07-10 | 创业板(159915.SZ) | 买 | 417500 | 4.046 | 1689205 | ¥337.84 | 0 |
| 2026-07-09 | 创业板(159915.SZ) | 卖 | -429300 | 3.904 | -1675987.2 | ¥335.2 | -63454.92 |
| 2026-07-09 | 标普500(513500.SH) | 买 | 663100 | 2.497 | 1655760.7 | ¥331.15 | 0 |
