创业板和标普500止损轮动策略:年化收益率（27.45%）
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: 1744.17%
- 年化收益率: 27.45%
- 基准收益率: 112.82%
- 阿尔法: 0.23
- 夏普比率: 0.91
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-06-18 | 创业板(159915.SZ) | 4.1698338041213 | 431900 | 1 | 4.269 | 1843781.1 | 42829.88/2.378% |
| 2026-06-18 | 标普500(513500.SH) | 2.5225043941795 | 0 | 8 | 2.564 | 0 | 38519.5/2.2% |
| 2026-06-17 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 7 | 2.578 | 1789389.8 | 38519.5/2.2% |
| 2026-06-16 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 6 | 2.586 | 1794942.6 | 44072.3/2.517% |
| 2026-06-15 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 5 | 2.574 | 1786613.4 | 35743.1/2.041% |
| 2026-06-12 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 4 | 2.515 | 1745661.5 | -5208.8/-0.297% |
| 2026-06-11 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 3 | 2.498 | 1733861.8 | -17008.5/-0.971% |
| 2026-06-10 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 2 | 2.515 | 1745661.5 | -5208.8/-0.297% |
| 2026-06-09 | 标普500(513500.SH) | 2.5225043941795 | 694100 | 1 | 2.552 | 1771343.2 | 20472.9/1.169% |
| 2026-06-09 | 创业板(159915.SZ) | 4.0958190048224 | 0 | 5 | 3.972 | 0 | -122635.23/-6.563% |
交易详情
| 2026-06-18 | 标普500(513500.SH) | 卖 | -694100 | 2.57 | -1783837 | ¥356.77 | 32966.7 |
| 2026-06-18 | 创业板(159915.SZ) | 买 | 431900 | 4.169 | 1800591.1 | ¥360.12 | 0 |
| 2026-06-09 | 创业板(159915.SZ) | 卖 | -456200 | 3.877 | -1768687.4 | ¥353.74 | -99825.23 |
| 2026-06-09 | 标普500(513500.SH) | 买 | 694100 | 2.522 | 1750520.2 | ¥350.1 | 0 |
| 2026-06-03 | 标普500(513500.SH) | 卖 | -712600 | 2.623 | -1869149.8 | ¥373.83 | -9639.48 |
| 2026-06-03 | 创业板(159915.SZ) | 买 | 456200 | 4.095 | 1868139 | ¥373.63 | 0 |
| 2026-06-02 | 创业板(159915.SZ) | 卖 | -471500 | 3.981 | -1877041.5 | ¥375.41 | 130727.81 |
| 2026-06-02 | 标普500(513500.SH) | 买 | 712600 | 2.636 | 1878413.6 | ¥375.68 | 0 |
| 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 |
