创业板和标普500止损轮动策略:年化收益率（26.12%）
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: 1448.01%
- 年化收益率: 26.12%
- 基准收益率: 91.65%
- 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
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-31 | 创业板(159915.SZ) | 3.2426483963816 | 486400 | 2 | 3.182 | 1547724.8 | -29499.38/-1.87% |
| 2026-03-30 | 创业板(159915.SZ) | 3.2426483963816 | 486400 | 1 | 3.264 | 1587609.6 | 10385.42/0.658% |
| 2026-03-30 | 标普500(513500.SH) | 2.190437997521 | 0 | 2 | 2.171 | 0 | 13477.87/0.847% |
| 2026-03-27 | 标普500(513500.SH) | 2.190437997521 | 726100 | 1 | 2.209 | 1603954.9 | 13477.87/0.847% |
| 2026-03-27 | 创业板(159915.SZ) | 3.3036605993116 | 0 | 13 | 3.293 | 0 | -20082.27/-1.231% |
| 2026-03-26 | 创业板(159915.SZ) | 3.3036605993116 | 493900 | 12 | 3.263 | 1611595.7 | -20082.27/-1.231% |
| 2026-03-25 | 创业板(159915.SZ) | 3.3036605993116 | 493900 | 11 | 3.307 | 1633327.3 | 1649.33/0.101% |
| 2026-03-24 | 创业板(159915.SZ) | 3.3036605993116 | 493900 | 10 | 3.237 | 1598754.3 | -32923.67/-2.018% |
| 2026-03-23 | 创业板(159915.SZ) | 3.3036605993116 | 493900 | 9 | 3.228 | 1594309.2 | -37368.77/-2.29% |
| 2026-03-20 | 创业板(159915.SZ) | 3.3036605993116 | 493900 | 8 | 3.341 | 1650119.9 | 18441.93/1.13% |
交易详情
| 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 |
| 2026-03-27 | 创业板(159915.SZ) | 卖 | -493900 | 3.241 | -1600729.9 | ¥320.15 | -30948.07 |
| 2026-03-27 | 标普500(513500.SH) | 买 | 726100 | 2.19 | 1590159 | ¥318.03 | 0 |
| 2026-03-11 | 标普500(513500.SH) | 卖 | -699600 | 2.312 | -1617475.2 | ¥323.5 | -5921.41 |
| 2026-03-11 | 创业板(159915.SZ) | 买 | 493900 | 3.303 | 1631351.7 | ¥326.27 | 0 |
| 2026-03-10 | 创业板(159915.SZ) | 卖 | -501500 | 3.267 | -1638400.5 | ¥327.68 | 41806.75 |
| 2026-03-10 | 标普500(513500.SH) | 买 | 699600 | 2.32 | 1623072 | ¥324.61 | 0 |
| 2026-03-09 | 标普500(513500.SH) | 卖 | -692500 | 2.306 | -1596905 | ¥319.38 | -36336.58 |
| 2026-03-09 | 创业板(159915.SZ) | 买 | 501500 | 3.183 | 1596274.5 | ¥319.25 | 0 |
