创业板和标普500止损轮动策略:年化收益率（25.59%）
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: 1182.02%
- 年化收益率: 25.59%
- 基准收益率: 77.21%
- 阿尔法: 0.23
- 夏普比率: 0.86
- 最大回撤: 41.93%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-07 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 22 | 2.32 | 1276696 | 89461.5/7.535% |
| 2025-08-06 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 21 | 2.336 | 1285500.8 | 98266.3/8.277% |
| 2025-08-05 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 20 | 2.32 | 1276696 | 89461.5/7.535% |
| 2025-08-04 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 19 | 2.313 | 1272843.9 | 85609.4/7.211% |
| 2025-08-01 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 18 | 2.303 | 1267340.9 | 80106.4/6.747% |
| 2025-07-31 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 17 | 2.301 | 1266240.3 | 79005.8/6.655% |
| 2025-07-30 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 16 | 2.345 | 1290453.5 | 103219/8.694% |
| 2025-07-29 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 15 | 2.383 | 1311364.9 | 124130.4/10.455% |
| 2025-07-28 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 14 | 2.342 | 1288802.6 | 101568.1/8.555% |
| 2025-07-25 | 创业板(159915.SZ) | 2.157431401054 | 550300 | 13 | 2.318 | 1275595.4 | 88360.9/7.443% |
交易详情
| 2025-07-09 | 标普500(513500.SH) | 卖 | -558800 | 2.118 | -1183538.4 | ¥236.71 | 1998.94 |
| 2025-07-09 | 创业板(159915.SZ) | 买 | 550300 | 2.157 | 1186997.1 | ¥237.4 | 0 |
| 2025-07-08 | 创业板(159915.SZ) | 卖 | -562500 | 2.109 | -1186312.5 | ¥237.26 | -237.26 |
| 2025-07-08 | 标普500(513500.SH) | 买 | 558800 | 2.114 | 1181303.2 | ¥236.26 | 0 |
| 2025-06-26 | 标普500(513500.SH) | 卖 | -574200 | 2.063 | -1184574.6 | ¥236.91 | 22735.68 |
| 2025-06-26 | 创业板(159915.SZ) | 买 | 562500 | 2.109 | 1186312.5 | ¥237.26 | 0 |
| 2025-06-20 | 创业板(159915.SZ) | 卖 | -580400 | 2.005 | -1163702 | ¥232.74 | -13584.61 |
| 2025-06-20 | 标普500(513500.SH) | 买 | 574200 | 2.023 | 1161606.6 | ¥232.32 | 0 |
| 2025-06-19 | 标普500(513500.SH) | 卖 | -579200 | 2.028 | -1174617.6 | ¥234.92 | -3131.5 |
| 2025-06-19 | 创业板(159915.SZ) | 买 | 580400 | 2.028 | 1177051.2 | ¥235.41 | 0 |
